UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-4563
Oppenheimer Limited-Term Government Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 9/30/2016
Item 1. Reports to Stockholders.
Annual Report
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| 9/30/2016
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Oppenheimer Limited-Term Government Fund
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Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 9/30/16
Class A Shares of the Fund | ||||||||||
Without Sales Charge | With Sales Charge |
Bloomberg Barclays Index
| Bloomberg Barclays U.S. 1-3 Year Government Bond Index
| |||||||
1-Year | 0.96% | -1.32% | 4.00% | 0.89% | ||||||
5-Year | 1.12 | 0.66 | 2.16 | 0.72 | ||||||
10-Year | 2.01 | 1.78 | 4.34 | 2.33 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 2.25% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
2 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
The Fund’s Class A shares (without sales charge) produced a total return of 0.96% during the reporting period. On a relative basis, the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “Index”) returned 0.89%.
MARKET OVERVIEW
The first half of the reporting period was a turbulent time for various asset classes. The prospect of more sluggish demand for energy and construction materials from China and other emerging markets sent equity and commodity prices broadly lower. The Federal Reserve (the “Fed”) finally hiked interest rates 0.25% in December 2015, but did not raise rates for the remainder of the reporting period.
Early 2016 seemed to pick up where 2015 left off; with heightened volatility fueled by the three usual suspects: global economic slowdown in China, oil and Fed uncertainty. The Brexit came and went with most financial assets rallying strong early in the third quarter of 2016 after a two-day swoon. 10-Year U.S. Treasury yields fell to record lows as German and Japanese bonds went further into negative territory. Credit spreads tightened
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
3 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
dramatically and by mid-July stood at levels not seen since before the emerging markets-influenced sell off in the summer of 2015.
Central banks disappointed in early July with the Fed and Bank of Japan (BoJ) were mostly on hold. Fed Chair Janet Yellen and others were hawkish at its annual policy symposium at Jackson Hole, which raised expectations for a September hike which did not materialize as data softened. As the September BoJ meeting approached, expectations rose that they would invoke policies aimed to steepen their yield curve, which reverberated throughout developed market bond markets. 10-Year U.S. Treasury yields rose 15 basis points (bps) over two days and the 2-year/10-year yield curve steepened about the same amount.
FUND REVIEW
Against this backdrop, the Fund produced a muted total return for the one-year period. The Fund’s exposure to agency mortgage-backed securities (“MBS”) was the top outperformer versus the Index. The Fund’s modest allocations to structured credit sectors including asset-backed securities and commercial mortgages also produced incremental outperformance. On the other hand, our relative weightings to U.S. Treasuries and agency debentures detracted from performance during the reporting period.
STRATEGY & OUTLOOK
We see the Fed and other central bank policies remaining the largest risks to the
market. The Fed in particular hiking interest rates during the fourth quarter would be a cause of market volatility and may be viewed as a policy mistake. A U.S. interest rate hike while other developed market central banks maintain an easing bias could strengthen the U.S. dollar, which would translate into lower oil and commodity prices and would once again be a negative for credits in those sectors. Brexit fears appear to be localized, but there remains risk of a contagion which we believe are small at this point.
In Agency MBS, we have a slight overweight in 15-year mortgages which tend to be less sensitive overall to interest rates. We currently do not find spreads particularly attractive in 30-year MBS and have reduced our position.
In asset-backed securities (“ABS”), we have reduced our exposure to the auto sector by replacing maturities with shorter duration (0-2 year) bonds that currently offer attractive spreads. This is a defensive position as we feel that due to the credit curve flattening throughout the year, adding risk in longer duration auto bonds has become too expensive. This posture will allow us to add risk if/when the curve steepens once again. Prudent underwriting, a robust structure and collateral performance by issuers that is in line or above expectations remain a focus in our selection process. However, we do find the auto sector in general appealing. In CMBS, both agency and non-agency, we cut our positions over the third quarter of 2016 and are likely to remain light risk in this sector as
4 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
spreads are not attractive given the weaker underwriting and collateral available in new vintages.
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Peter A. Strzalkowski, CFA Portfolio Manager |
5 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Mortgage-Backed Obligations | ||||
Government Agency | 46.7% | |||
Non-Agency | 14.9 | |||
U.S. Government Obligations | 33.6 | |||
Asset-Backed Securities | 4.8 | |||
Over-the-Counter Options Purchased | —* |
*Less than 0.05%.
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2016, and are based on the total market value of investments.
6 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 9/30/16
Inception
| 1-Year
| 5-Year
| 10-Year
| |||||||||||||
Class A (OPGVX) | 3/10/86 | 0.96 | % | 1.12 | % | 2.01% | ||||||||||
Class B (OGSBX) | 5/3/93 | 0.15 | 0.34 | 1.55 | ||||||||||||
Class C (OLTCX) | 2/1/95 | 0.15 | 0.32 | 1.22 | ||||||||||||
Class I (OLTIX) | 12/28/12 | 1.28 | 1.08 | * | N/A | |||||||||||
Class R (OLTNX) | 3/1/01 | 0.65 | 0.80 | 1.72 | ||||||||||||
Class Y (OLTYX) | 1/26/98 | 1.26 | 1.49 | 2.32 | ||||||||||||
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 9/30/16
|
| |||||||||||||||
Inception Date | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A (OPGVX) | 3/10/86 | -1.32 | % | 0.66 | % | 1.78% | ||||||||||
Class B (OGSBX) | 5/3/93 | -3.83 | 0.15 | 1.55 | ||||||||||||
Class C (OLTCX) | 2/1/95 | -0.84 | 0.32 | 1.22 | ||||||||||||
Class I (OLTIX) | 12/28/12 | 1.28 | 1.08 | * | N/A | |||||||||||
Class R (OLTNX) | 3/1/01 | 0.65 | 0.80 | 1.72 | ||||||||||||
Class Y (OLTYX) | 1/26/98 | 1.26 | 1.49 | 2.32 |
*Shows performance since inception.
STANDARDIZED YIELDS
For the 30 Days Ended 9/30/16 |
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Class A | 1.43% | |||
Class B | 0.67 | |||
Class C | 0.67 | |||
Class I | 1.78 | |||
Class R | 1.17 | |||
Class Y | 1.76 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 2.25%; for Class B shares, the contingent deferred sales charge of 4% (1-year) and 1% (5-year); and for Class C shares, the contingent deferred sales charge (“CDSC”) of 1% for the 1-year period. There
7 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
is no sales charge for Class I, Class R and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
Standardized yield is based on net investment income for the 30-day period ended 9/30/16 and the maximum offering price at the end of the period for Class A shares and the net asset value for Class B, Class C, Class I, Class R and Class Y shares. Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields.
The Fund’s performance is compared to the performance of the Bloomberg Barclays U.S. Government Bond Index and the Bloomberg Barclays U.S. 1-3 Year Government Bond Index. The Bloomberg Barclays U.S. Government Bond Index is a market-weighted index of U.S. government securities with maturities of 1 year or more. The Bloomberg Barclays U.S. 1-3 Year Government Bond Index is an index of U.S. Government securities with maturities of 1 to 3 years. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
8 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 2016.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended September 30, 2016” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
9 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Actual | Beginning Account Value April 1, 2016 | Ending Account Value September 30, 2016 | Expenses Paid During 6 Months Ended September 30, 2016 | |||||||||||
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Class A | $ | 1,000.00 | $ | 1,008.30 | $ | 4.02 | ||||||||
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Class B | 1,000.00 | 1,004.20 | 8.10 | |||||||||||
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Class C | 1,000.00 | 1,004.30 | 8.05 | |||||||||||
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Class I | 1,000.00 | 1,009.90 | 2.47 | |||||||||||
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Class R | 1,000.00 | 1,004.50 | 5.53 | |||||||||||
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Class Y | 1,000.00 | 1,009.80 | 2.52 | |||||||||||
Hypothetical | ||||||||||||||
(5% return before expenses) | ||||||||||||||
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Class A | 1,000.00 | 1,021.00 | 4.05 | |||||||||||
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Class B | 1,000.00 | 1,016.95 | 8.15 | |||||||||||
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Class C | 1,000.00 | 1,017.00 | 8.10 | |||||||||||
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Class I | 1,000.00 | 1,022.55 | 2.48 | |||||||||||
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Class R | 1,000.00 | 1,019.50 | 5.57 | |||||||||||
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Class Y | 1,000.00 | 1,022.50 | 2.53 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended September 30, 2016 are as follows:
Class | Expense Ratios | |||||
Class A | 0.80% | |||||
Class B | 1.61 | |||||
Class C | 1.60 | |||||
Class I | 0.49 | |||||
Class R | 1.10 | |||||
Class Y | 0.50 |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
10 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS September 30, 2016
Principal Amount | Value | |||||||
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Asset-Backed Securities—5.6% | ||||||||
| ||||||||
AmeriCredit Automobile Receivables Trust: | ||||||||
Series 2014-4, Cl. D, 3.07%, 11/9/20 | $ | 830,000 | $ | 845,120 | ||||
Series 2015-2, Cl. D, 3.00%, 6/8/21 | 1,175,000 | 1,196,576 | ||||||
Series 2015-3, Cl. D, 3.34%, 8/8/21 | 4,250,000 | 4,376,444 | ||||||
Series 2016-1, Cl. D, 3.59%, 2/8/22 | 4,000,000 | 4,143,492 | ||||||
| ||||||||
California Republic Auto Receivables Trust, Series 2013-2, Cl. C, 3.32%, 8/17/20 | 2,115,000 | 2,164,914 | ||||||
| ||||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2013-4, Cl. D, 3.22%, 5/20/19 | 955,000 | 971,295 | ||||||
Series 2014-3, Cl. D, 3.14%, 2/20/20 | 1,440,000 | 1,472,481 | ||||||
Series 2016-2, Cl. D, 3.16%, 11/20/23 | 505,000 | 513,818 | ||||||
Series 2016-3, Cl. D, 2.65%, 1/20/24 | 835,000 | 837,869 | ||||||
| ||||||||
CarMax Auto Owner Trust, Series 2016-3, Cl. D, 2.94%, 1/17/23 | 955,000 | 967,664 | ||||||
| ||||||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Cl. B, 2.67%, 9/15/221 | 1,445,000 | 1,454,609 | ||||||
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Drive Auto Receivables Trust: | ||||||||
Series 2016-BA, Cl. C, 3.19%, 7/15/221 | 2,260,000 | 2,301,453 | ||||||
Series 2016-BA, Cl. D, 4.53%, 8/15/231 | 3,000,000 | 3,066,034 | ||||||
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DT Auto Owner Trust: | ||||||||
Series 2013-2A, Cl. D, 4.18%, 6/15/201 | 3,016,765 | 3,051,300 | ||||||
Series 2014-1A, Cl. D, 3.98%, 1/15/211 | 3,230,000 | 3,275,181 | ||||||
Series 2014-2A, Cl. D, 3.68%, 4/15/211 | 4,660,000 | 4,728,620 | ||||||
Series 2016-2A, Cl. C, 3.67%, 1/18/221 | 3,015,000 | 3,082,218 | ||||||
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Exeter Automobile Receivables Trust, Series 2014-2A, Cl. C, 3.26%, 12/16/191 | 1,015,000 | 1,026,215 | ||||||
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First Investors Auto Owner Trust: | ||||||||
Series 2012-2A, Cl. D, 3.79%, 9/16/191 | 1,500,000 | 1,503,985 | ||||||
Series 2013-3A, Cl. D, 3.67%, 5/15/201 | 1,115,000 | 1,126,838 | ||||||
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GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/181 | 154,182 | 154,057 | ||||||
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Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Cl. D, 4.046%, 9/27/211,2,3 | 625,000 | 629,147 | ||||||
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Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.824%, 10/25/191,2 | 1,090,000 | 1,090,195 | ||||||
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Santander Drive Auto Receivables Trust: | ||||||||
Series 2013-4, Cl. E, 4.67%, 1/15/201 | 3,200,000 | 3,276,592 | ||||||
Series 2013-A, Cl. E, 4.71%, 1/15/211 | 2,415,000 | 2,492,854 | ||||||
Series 2014-4, Cl. D, 3.10%, 11/16/20 | 1,675,000 | 1,718,210 | ||||||
Series 2015-1, Cl. D, 3.24%, 4/15/21 | 3,000,000 | 3,069,734 | ||||||
Series 2015-3, Cl. D, 3.49%, 5/17/21 | 3,065,000 | 3,156,013 | ||||||
Series 2016-2, Cl. D, 3.39%, 4/15/22 | 3,000,000 | 3,102,697 | ||||||
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SNAAC Auto Receivables Trust, Series 2014-1A, Cl. D, 2.88%, 1/15/201 | 1,245,000 | 1,237,425 | ||||||
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Westlake Automobile Receivables Trust: | ||||||||
Series 2014-1A, Cl. D, 2.20%, 2/15/211 | 1,405,000 | 1,406,396 | ||||||
Series 2014-2A, Cl. D, 2.86%, 7/15/211 | 1,490,000 | 1,489,942 | ||||||
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Total Asset-Backed Securities (Cost $64,150,788) | 64,929,388 |
11 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||||
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Mortgage-Backed Obligations—70.8% | ||||||||
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Government Agency—53.6% | ||||||||
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FHLMC/FNMA/FHLB/Sponsored—50.3% | ||||||||
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Federal Home Loan Mortgage Corp. Gold Pool: | ||||||||
4.50%, 5/1/19 | $ | 27,826 | $ | 28,549 | ||||
5.50%, 4/1/18-1/1/24 | 3,143,657 | 3,367,461 | ||||||
6.00%, 5/1/18-10/1/29 | 1,757,048 | 2,003,488 | ||||||
6.50%, 4/1/18-4/1/34 | 1,218,622 | 1,398,014 | ||||||
7.00%, 10/1/31-10/1/37 | 806,147 | 948,615 | ||||||
7.50%, 1/1/32-9/1/33 | 2,710,617 | 3,324,969 | ||||||
8.50%, 3/1/31 | 30,422 | 35,539 | ||||||
9.00%, 8/1/22-5/1/25 | 40,242 | 44,040 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp. Non Gold Pool, 11%, 11/1/20 | 12,187 | 12,394 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 192, Cl. IO, 91.982%, 2/1/284 | 135,201 | 30,315 | ||||||
Series 205, Cl. IO, 34.308%, 9/1/294 | 985,572 | 217,323 | ||||||
Series 206, Cl. IO, 99.999%, 12/1/294 | 59,021 | 16,118 | ||||||
Series 243, Cl. 6, 0.00%, 12/15/324,5 | 324,902 | 55,223 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 23,670,808 | 23,993,058 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Series 216, Cl. PO, 13.652%, 12/1/316 | 198,142 | 175,594 | ||||||
Series 219, Cl. PO, 13.742%, 3/1/326 | 581,918 | 515,697 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1095, Cl. D, 1.174%, 6/15/212 | 1,930 | 1,945 | ||||||
Series 151, Cl. F, 9.00%, 5/15/21 | 6,825 | 7,415 | ||||||
Series 1695, Cl. F, 2.063%, 3/15/242 | 717,457 | 738,383 | ||||||
Series 2035, Cl. PC, 6.95%, 3/15/28 | 519,503 | 593,655 | ||||||
Series 2084, Cl. ZC, 6.50%, 8/15/28 | 266,044 | 300,729 | ||||||
Series 2116, Cl. ZA, 6.00%, 1/15/29 | 341,660 | 383,708 | ||||||
Series 2122, Cl. FD, 0.874%, 2/15/292 | 399,815 | 399,648 | ||||||
Series 2132, Cl. FN, 1.423%, 3/15/292 | 557,937 | 570,456 | ||||||
Series 2148, Cl. ZA, 6.00%, 4/15/29 | 551,845 | 641,029 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 925,449 | 1,062,170 | ||||||
Series 2220, Cl. PD, 8.00%, 3/15/30 | 154,080 | 185,951 | ||||||
Series 2281, Cl. Z, 6.50%, 2/15/31 | 1,218,556 | 1,395,332 | ||||||
Series 2319, Cl. BZ, 6.50%, 5/15/31 | 1,896,835 | 2,182,394 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 453,115 | 513,542 | ||||||
Series 2344, Cl. FP, 1.474%, 8/15/312 | 296,520 | 304,382 | ||||||
Series 2392, Cl. FB, 1.124%, 1/15/292 | 87,396 | 88,765 | ||||||
Series 2396, Cl. FE, 1.124%, 12/15/312 | 175,804 | 178,639 | ||||||
Series 2401, Cl. FA, 1.174%, 7/15/292 | 120,854 | 122,828 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 95,256 | 109,782 | ||||||
Series 2464, Cl. FI, 1.524%, 2/15/322 | 177,338 | 181,404 | ||||||
Series 2470, Cl. LF, 1.524%, 2/15/322 | 181,432 | 185,592 | ||||||
Series 2471, Cl. FD, 1.524%, 3/15/322 | 255,478 | 261,415 | ||||||
Series 2481, Cl. AF, 1.074%, 3/15/322 | 149,223 | 151,265 | ||||||
Series 2500, Cl. FD, 1.024%, 3/15/322 | 271,374 | 272,939 | ||||||
Series 2504, Cl. FP, 1.024%, 3/15/322 | 290,477 | 292,001 | ||||||
Series 2526, Cl. FE, 0.924%, 6/15/292 | 321,383 | 321,872 |
12 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) | ||||||||
Series 2530, Cl. FD, 1.024%, 2/15/322 | $ | 353,582 | $ | 355,400 | ||||
Series 2538, Cl. F, 1.124%, 12/15/322 | 37,569 | 38,106 | ||||||
Series 2550, Cl. FI, 0.874%, 11/15/322 | 115,495 | 116,021 | ||||||
Series 2551, Cl. FD, 0.924%, 1/15/332 | 297,752 | 298,140 | ||||||
Series 2564, Cl. MP, 5.00%, 2/15/18 | 1,412,695 | 1,441,804 | ||||||
Series 2585, Cl. HJ, 4.50%, 3/15/18 | 740,873 | 759,006 | ||||||
Series 2627, Cl. KM, 4.50%, 6/15/18 | 253,931 | 260,155 | ||||||
Series 2630, Cl. MB, 4.50%, 6/15/18 | 321,077 | 328,977 | ||||||
Series 2635, Cl. AG, 3.50%, 5/15/32 | 1,913,580 | 2,020,174 | ||||||
Series 2668, Cl. AZ, 4.00%, 9/15/18 | 123,227 | 125,618 | ||||||
Series 2676, Cl. KY, 5.00%, 9/15/23 | 938,339 | 1,020,130 | ||||||
Series 2707, Cl. QE, 4.50%, 11/15/18 | 917,668 | 942,310 | ||||||
Series 2708, Cl. N, 4.00%, 11/15/18 | 726,024 | 740,121 | ||||||
Series 2764, Cl. OE, 4.50%, 3/15/19 | 1,269,320 | 1,302,252 | ||||||
Series 2770, Cl. TW, 4.50%, 3/15/19 | 3,141,107 | 3,234,262 | ||||||
Series 2843, Cl. BC, 5.00%, 8/15/19 | 372,936 | 384,222 | ||||||
Series 3010, Cl. WB, 4.50%, 7/15/20 | 1,557,842 | 1,613,917 | ||||||
Series 3025, Cl. SJ, 22.828%, 8/15/352 | 91,030 | 140,216 | ||||||
Series 3134, Cl. FA, 0.824%, 3/15/362 | 5,081,021 | 5,062,749 | ||||||
Series 3342, Cl. FT, 0.974%, 7/15/372 | 899,411 | 903,355 | ||||||
Series 3645, Cl. EH, 3.00%, 12/15/20 | 2,751,934 | 2,804,559 | ||||||
Series 3659, Cl. DE, 2.00%, 3/15/19 | 782,534 | 788,037 | ||||||
Series 3740, Cl. NP, 2.00%, 1/15/37 | 4,402,957 | 4,432,258 | ||||||
Series 3741, Cl. PA, 2.15%, 2/15/35 | 2,711,558 | 2,736,133 | ||||||
Series 3804, Cl. WJ, 3.50%, 3/15/39 | 2,768,442 | 2,820,193 | ||||||
Series 3805, Cl. AK, 3.50%, 4/15/24 | 257,260 | 260,155 | ||||||
Series 3815, Cl. BD, 3.00%, 10/15/20 | 294,946 | 299,135 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 | 171,518 | 180,133 | ||||||
Series 3840, Cl. CA, 2.00%, 9/15/18 | 200,308 | 201,587 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 | 2,126,736 | 2,221,198 | ||||||
Series 3857, Cl. GL, 3.00%, 5/15/40 | 2,043,070 | 2,120,742 | ||||||
Series 3887, Cl. NC, 3.00%, 7/15/26 | 783,286 | 799,763 | ||||||
Series 3917, Cl. BA, 4.00%, 6/15/38 | 1,012,691 | 1,065,724 | ||||||
Series 3935, Cl. NA, 3.50%, 10/15/26 | 5,210,892 | 5,399,596 | ||||||
Series 4016, Cl. AB, 2.00%, 9/15/25 | 10,551,964 | 10,718,900 | ||||||
Series 4109, Cl. KD, 3.00%, 5/15/32 | 1,575,773 | 1,595,662 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 | 10,367,766 | 10,441,798 | ||||||
Series 4350, Cl. CA, 2.00%, 10/15/19 | 2,063,060 | 2,081,393 | ||||||
Series 4446, Cl. PL, 2.50%, 7/15/38 | 4,482,464 | 4,606,860 | ||||||
Series 4459, Cl. ND, 5.50%, 4/15/25 | 6,181,047 | 6,290,280 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2074, Cl. S, 99.999%, 7/17/284 | 216,847 | 36,432 | ||||||
Series 2079, Cl. S, 99.999%, 7/17/284 | 373,382 | 69,213 | ||||||
Series 2493, Cl. S, 0.00%, 9/15/294,5 | 261,515 | 63,451 | ||||||
Series 2526, Cl. SE, 46.936%, 6/15/294 | 444,030 | 93,696 | ||||||
Series 2795, Cl. SH, 99.999%, 3/15/244 | 2,989,671 | 339,643 |
13 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||||
Series 2796, Cl. SD, 96.603%, 7/15/264 | $ | 106,633 | $ | 18,480 | ||||
Series 2920, Cl. S, 0.00%, 1/15/354,5 | 2,600,350 | 471,189 | ||||||
Series 2922, Cl. SE, 26.02%, 2/15/354 | 446,693 | 77,865 | ||||||
Series 2981, Cl. AS, 12.483%, 5/15/354 | 891,306 | 171,123 | ||||||
Series 3201, Cl. SG, 23.979%, 8/15/364 | 790,333 | 161,942 | ||||||
Series 3397, Cl. GS, 0.00%, 12/15/374,5 | 57,147 | 11,126 | ||||||
Series 3424, Cl. EI, 0.00%, 4/15/384,5 | 126,782 | 14,927 | ||||||
Series 3450, Cl. BI, 22.62%, 5/15/384 | 2,754,969 | 466,871 | ||||||
Series 3606, Cl. SN, 27.009%, 12/15/394 | 758,621 | 140,485 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed Security, Series 237, Cl. F16, 1.024%, 5/15/362 | 2,521,618 | 2,527,117 | ||||||
| ||||||||
Federal National Mortgage Assn.: | ||||||||
2.50%, 10/1/313 | 66,665,000 | 69,058,168 | ||||||
3.00%, 10/1/463 | 36,845,000 | 38,310,165 | ||||||
3.50%, 10/1/463 | 31,010,000 | 32,727,663 | ||||||
4.00%, 10/1/463 | 26,380,000 | 28,334,798 | ||||||
| ||||||||
Federal National Mortgage Assn. Pool: | ||||||||
3.50%, 8/1/40 | 1,436,028 | 1,516,196 | ||||||
4.50%, 9/1/18-1/1/27 | 12,046,022 | 12,424,546 | ||||||
5.00%, 2/1/18-3/1/23 | 28,470,010 | 29,485,043 | ||||||
5.50%, 9/1/19-9/1/25 | 55,134,186 | 58,877,155 | ||||||
6.00%, 3/1/17-2/1/40 | 40,677,666 | 44,340,932 | ||||||
6.50%, 6/1/17-1/1/34 | 6,437,388 | 7,490,995 | ||||||
7.00%, 11/1/17-2/1/36 | 5,243,604 | 6,251,586 | ||||||
7.50%, 2/1/27-8/1/33 | 6,868,650 | 8,191,424 | ||||||
8.00%, 6/1/17 | 28 | 28 | ||||||
8.50%, 7/1/32 | 46,992 | 51,366 | ||||||
9.00%, 8/1/19 | 2,141 | 2,276 | ||||||
9.50%, 11/1/21 | 758 | 812 | ||||||
11.00%, 5/20/19-7/20/19 | 1,619 | 1,647 | ||||||
| ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 221, Cl. 2, 30.271%, 5/25/234 | 577,239 | 101,440 | ||||||
Series 254, Cl. 2, 27.557%, 1/25/244 | 766,880 | 169,770 | ||||||
Series 294, Cl. 2, 14.258%, 2/25/284 | 940,455 | 162,765 | ||||||
Series 301, Cl. 2, 4.985%, 4/25/294 | 363,035 | 81,291 | ||||||
Series 321, Cl. 2, 10.613%, 4/25/324 | 2,162,196 | 481,941 | ||||||
Series 324, Cl. 2, 0.00%, 7/25/324,5 | 740,989 | 164,980 | ||||||
Series 331, Cl. 10, 26.872%, 2/25/334 | 1,115,342 | 224,107 | ||||||
Series 331, Cl. 4, 7.715%, 2/25/334 | 784,477 | 150,859 | ||||||
Series 331, Cl. 5, 28.452%, 2/25/334 | 1,259,255 | 239,971 | ||||||
Series 331, Cl. 6, 6.576%, 2/25/334 | 1,233,269 | 265,550 | ||||||
Series 334, Cl. 10, 0.00%, 2/25/334,5 | 482,364 | 88,205 | ||||||
Series 339, Cl. 15, 1.821%, 10/25/334 | 423,436 | 91,202 | ||||||
Series 339, Cl. 7, 0.00%, 11/25/334,5 | 808,693 | 158,840 | ||||||
Series 351, Cl. 8, 0.00%, 4/25/344,5 | 834,794 | 165,317 | ||||||
Series 356, Cl. 10, 0.00%, 6/25/354,5 | 596,037 | 108,418 | ||||||
Series 356, Cl. 12, 0.00%, 2/25/354,5 | 290,865 | 53,413 |
14 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||||
Series 362, Cl. 13, 0.00%, 8/25/354,5 | $ | 871,051 | $ | 174,782 | ||||
Series 364, Cl. 15, 0.00%, 9/25/354,5 | 452,870 | 81,357 | ||||||
| ||||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Series 327, Cl. 1, 11.35%, 9/25/326 | 159,596 | 142,382 | ||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1988-7, Cl. Z, 9.25%, 4/25/18 | 5,537 | 5,731 | ||||||
Series 1991-109, Cl. Z, 8.50%, 9/25/21 | 8,206 | 9,009 | ||||||
Series 1997-16, Cl. PD, 7.00%, 3/18/27 | 778,514 | 882,664 | ||||||
Series 1998-59, Cl. Z, 6.50%, 10/25/28 | 92,849 | 107,029 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 | 440,106 | 517,271 | ||||||
Series 2001-69, Cl. PF, 1.525%, 12/25/312 | 447,214 | 454,568 | ||||||
Series 2002-12, Cl. PG, 6.00%, 3/25/17 | 72,138 | 73,016 | ||||||
Series 2002-19, Cl. PE, 6.00%, 4/25/17 | 1,525 | 1,529 | ||||||
Series 2002-29, Cl. F, 1.525%, 4/25/322 | 200,503 | 205,242 | ||||||
Series 2002-39, Cl. FD, 1.531%, 3/18/322 | 410,201 | 422,623 | ||||||
Series 2002-52, Cl. FD, 1.025%, 9/25/322 | 341,969 | 343,855 | ||||||
Series 2002-53, Cl. FY, 1.025%, 8/25/322 | 243,130 | 243,902 | ||||||
Series 2002-64, Cl. FJ, 1.525%, 4/25/322 | 61,791 | 63,252 | ||||||
Series 2002-65, Cl. FB, 1.525%, 7/25/322 | 370,810 | 379,432 | ||||||
Series 2002-68, Cl. FH, 1.031%, 10/18/322 | 121,525 | 122,105 | ||||||
Series 2002-77, Cl. TF, 1.531%, 12/18/322 | 753,019 | 770,226 | ||||||
Series 2002-82, Cl. FE, 1.525%, 12/25/322 | 336,295 | 344,292 | ||||||
Series 2002-9, Cl. PC, 6.00%, 3/25/17 | 39,765 | 40,350 | ||||||
Series 2002-90, Cl. FJ, 1.025%, 9/25/322 | 132,055 | 132,611 | ||||||
Series 2002-90, Cl. FM, 1.025%, 9/25/322 | 126,976 | 127,511 | ||||||
Series 2003-100, Cl. PA, 5.00%, 10/25/18 | 2,280,017 | 2,342,490 | ||||||
Series 2003-112, Cl. AN, 4.00%, 11/25/18 | 481,209 | 490,521 | ||||||
Series 2003-116, Cl. FA, 0.925%, 11/25/332 | 214,319 | 214,626 | ||||||
Series 2003-119, Cl. FK, 1.025%, 5/25/182 | 546,434 | 547,560 | ||||||
Series 2003-130, Cl. CS, 13.049%, 12/25/332 | 385,232 | 431,895 | ||||||
Series 2003-21, Cl. FK, 0.925%, 3/25/332 | 20,269 | 20,302 | ||||||
Series 2003-26, Cl. XF, 0.975%, 3/25/232 | 500,106 | 501,418 | ||||||
Series 2003-44, Cl. CB, 4.25%, 3/25/33 | 116,508 | 117,942 | ||||||
Series 2003-84, Cl. GE, 4.50%, 9/25/18 | 475,699 | 486,769 | ||||||
Series 2004-101, Cl. BG, 5.00%, 1/25/20 | 83,820 | 84,140 | ||||||
Series 2004-25, Cl. PC, 5.50%, 1/25/34 | 431,903 | 447,972 | ||||||
Series 2004-72, Cl. FB, 1.025%, 9/25/342 | 2,009,679 | 2,018,913 | ||||||
Series 2005-109, Cl. AH, 5.50%, 12/25/25 | 4,006,841 | 4,353,200 | ||||||
Series 2005-45, Cl. XA, 0.865%, 6/25/352 | 2,813,698 | 2,809,426 | ||||||
Series 2005-67, Cl. BF, 0.875%, 8/25/352 | 1,149,290 | 1,148,571 | ||||||
Series 2005-85, Cl. FA, 0.875%, 10/25/352 | 2,419,031 | 2,415,421 | ||||||
Series 2006-11, Cl. PS, 22.641%, 3/25/362 | 385,144 | 599,347 | ||||||
Series 2006-46, Cl. SW, 22.273%, 6/25/362 | 348,440 | 518,916 | ||||||
Series 2006-50, Cl. KS, 22.274%, 6/25/362 | 267,784 | 399,417 | ||||||
Series 2006-50, Cl. SK, 22.274%, 6/25/362 | 96,206 | 148,391 | ||||||
Series 2007-113, Cl. DB, 4.50%, 12/25/22 | 6,619,780 | 6,886,373 | ||||||
Series 2007-79, Cl. FA, 0.975%, 8/25/372 | 737,445 | 738,596 | ||||||
Series 2008-14, Cl. BA, 4.25%, 3/25/23 | 568,125 | 581,991 |
15 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) | ||||||||
Series 2008-15, Cl. JN, 4.50%, 2/25/23 | $ | 2,977,925 | $ | 3,073,137 | ||||
Series 2008-24, Cl. DY, 5.00%, 4/25/23 | 366,293 | 376,506 | ||||||
Series 2008-75, Cl. DB, 4.50%, 9/25/23 | 1,302,548 | 1,333,523 | ||||||
Series 2008-77, Cl. EB, 4.50%, 9/25/23 | 1,526,934 | 1,590,187 | ||||||
Series 2009-113, Cl. DB, 3.00%, 12/25/20 | 4,987,714 | 5,064,846 | ||||||
Series 2009-114, Cl. AC, 2.50%, 12/25/23 | 165,101 | 165,697 | ||||||
Series 2009-36, Cl. FA, 1.465%, 6/25/372 | 4,259,300 | 4,347,380 | ||||||
Series 2009-37, Cl. HA, 4.00%, 4/25/19 | 3,349,480 | 3,407,971 | ||||||
Series 2009-70, Cl. NL, 3.00%, 8/25/19 | 2,894,512 | 2,933,562 | ||||||
Series 2009-70, Cl. NT, 4.00%, 8/25/19 | 487,416 | 497,291 | ||||||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 | 1,974,232 | 2,006,580 | ||||||
Series 2010-43, Cl. KG, 3.00%, 1/25/21 | 604,111 | 615,711 | ||||||
Series 2010-99, Cl. DP, 3.00%, 8/25/39 | 5,705,529 | 5,838,830 | ||||||
Series 2011-104, Cl. MA, 2.50%, 10/25/26 | 541,541 | 548,004 | ||||||
Series 2011-122, Cl. EC, 1.50%, 1/25/20 | 3,049,221 | 3,057,267 | ||||||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 | 1,450,923 | 1,527,942 | ||||||
Series 2011-3, Cl. EL, 3.00%, 5/25/20 | 7,660,100 | 7,777,159 | ||||||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 | 2,142,906 | 2,341,159 | ||||||
Series 2011-38, Cl. AH, 2.75%, 5/25/20 | 216,192 | 218,820 | ||||||
Series 2011-44, Cl. EA, 3.00%, 6/25/24 | 527,781 | 538,083 | ||||||
Series 2011-45, Cl. NG, 3.00%, 3/25/25 | 431,583 | 441,559 | ||||||
Series 2011-45, Cl. TE, 3.00%, 3/25/25 | 783,314 | 805,606 | ||||||
Series 2011-58, Cl. AC, 2.50%, 6/25/24 | 1,985,077 | 2,010,333 | ||||||
Series 2011-6, Cl. BA, 2.75%, 6/25/20 | 908,493 | 918,802 | ||||||
Series 2011-69, Cl. EA, 3.00%, 11/25/29 | 728,625 | 733,643 | ||||||
Series 2011-82, Cl. AD, 4.00%, 8/25/26 | 1,760,402 | 1,804,673 | ||||||
Series 2011-88, Cl. AB, 2.50%, 9/25/26 | 459,943 | 465,005 | ||||||
Series 2011-90, Cl. AL, 3.50%, 9/25/23 | 1,678,358 | 1,740,365 | ||||||
Series 2012-20, Cl. FD, 0.925%, 3/25/422 | 661,581 | 660,286 | ||||||
Series 2013-100, Cl. CA, 4.00%, 3/25/39 | 12,276,313 | 12,937,768 | ||||||
Series 2013-22, Cl. JA, 3.50%, 3/25/43 | 2,112,520 | 2,156,196 | ||||||
Series 2015-95, Cl. CD, 3.00%, 12/25/22 | 3,709,099 | 3,710,368 | ||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-63, Cl. SD, 37.238%, 12/18/314 | 320,451 | 65,012 | ||||||
Series 2001-68, Cl. SC, 20.743%, 11/25/314 | 282,282 | 56,587 | ||||||
Series 2001-81, Cl. S, 7.031%, 1/25/324 | 216,364 | 60,578 | ||||||
Series 2002-28, Cl. SA, 5.784%, 4/25/324 | 207,519 | 42,374 | ||||||
Series 2002-38, Cl. SO, 11.099%, 4/25/324 | 371,014 | 74,591 | ||||||
Series 2002-39, Cl. SD, 29.612%, 3/18/324 | 398,111 | 86,835 | ||||||
Series 2002-48, Cl. S, 10.708%, 7/25/324 | 333,523 | 71,324 | ||||||
Series 2002-52, Cl. SD, 33.785%, 9/25/324 | 341,969 | 76,626 | ||||||
Series 2002-52, Cl. SL, 6.699%, 9/25/324 | 216,697 | 44,806 | ||||||
Series 2002-53, Cl. SK, 33.07%, 4/25/324 | 232,290 | 52,887 | ||||||
Series 2002-56, Cl. SN, 10.47%, 7/25/324 | 452,981 | 95,379 | ||||||
Series 2002-60, Cl. SM, 3.574%, 8/25/324 | 584,718 | 97,345 | ||||||
Series 2002-77, Cl. IS, 29.048%, 12/18/324 | 531,054 | 114,292 |
16 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||||
Series 2002-77, Cl. SH, 13.264%, 12/18/324 | $ | 293,831 | $ | 64,966 | ||||
Series 2002-9, Cl. MS, 7.294%, 3/25/324 | 344,132 | 73,499 | ||||||
Series 2003-33, Cl. IA, 0.157%, 5/25/334 | 66,572 | 12,256 | ||||||
Series 2003-33, Cl. SP, 12.47%, 5/25/334 | 746,168 | 154,638 | ||||||
Series 2003-38, Cl. SA, 99.999%, 3/25/234 | 138,377 | 2,223 | ||||||
Series 2003-4, Cl. S, 3.607%, 2/25/334 | 417,886 | 85,841 | ||||||
Series 2005-12, Cl. SC, 34.57%, 3/25/354 | 208,916 | 35,918 | ||||||
Series 2005-14, Cl. SE, 31.304%, 3/25/354 | 3,214,844 | 559,824 | ||||||
Series 2005-40, Cl. SA, 43.509%, 5/25/354 | 1,303,548 | 267,365 | ||||||
Series 2005-52, Cl. JH, 49.726%, 5/25/354 | 672,662 | 124,080 | ||||||
Series 2005-63, Cl. SA, 10.541%, 10/25/314 | 1,089,550 | 205,604 | ||||||
Series 2005-63, Cl. X, 32.992%, 10/25/314 | 12,898 | 356 | ||||||
Series 2008-55, Cl. SA, 0.00%, 7/25/384,5 | 17,654 | 2,149 | ||||||
Series 2009-8, Cl. BS, 99.999%, 2/25/244 | 182,516 | 5,832 | ||||||
Series 2009-85, Cl. IO, 20.548%, 10/25/244 | 433,138 | 9,347 | ||||||
Series 2011-96, Cl. SA, 14.629%, 10/25/414 | 463,952 | 95,403 | ||||||
Series 2012-134, Cl. SA, 10.531%, 12/25/424 | 1,613,105 | 368,958 | ||||||
Series 2012-40, Cl. PI, 2.858%, 4/25/414 | 262,659 | 31,477 | ||||||
Series 2013-2, Cl. IA, 8.619%, 2/25/434 | 1,211,061 | 237,718 | ||||||
| ||||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1999-3, Cl. IO, 0.00%, 10/15/294,5 | 16,083,492 | 87,645 | ||||||
Series 2001-3, Cl. IO, 5.879%, 10/15/314 | 7,435,981 | 46,523 | ||||||
Series 2002-2, Cl. IO, 12.777%, 1/15/324 | 19,318,390 | 43,515 | ||||||
Series 2002-3, Cl. IO, 8.426%, 8/15/324 | 25,782,069 | 162,912 | ||||||
Series 2003-1, Cl. IO, 11.331%, 11/15/324 | 39,384,236 | 208,799 | ||||||
|
| |||||||
| 588,419,787
|
| ||||||
| ||||||||
GNMA/Guaranteed—3.1% | ||||||||
| ||||||||
Government National Mortgage Assn. I Pool: | ||||||||
6.50%, 1/15/24 | 45,153 | 52,107 | ||||||
7.00%, 1/15/28-9/15/29 | 331,040 | 369,094 | ||||||
7.50%, 6/15/28-8/15/28 | 356,501 | 368,214 | ||||||
8.00%, 9/15/28 | 8,192 | 8,224 | ||||||
8.50%, 8/15/17-12/15/17 | 12,506 | 12,559 | ||||||
9.50%, 9/15/17 | 395 | 399 | ||||||
10.50%, 12/15/17-1/15/21 | 9,794 | 9,860 | ||||||
| ||||||||
Government National Mortgage Assn. II Pool: | ||||||||
3.50%, 10/1/463 | 17,565,000 | 18,658,696 | ||||||
4.00%, 10/1/463 | 8,405,000 | 9,008,781 | ||||||
7.00%, 1/20/30 | 33,871 | 40,237 | ||||||
11.00%, 10/20/19 | 8,200 | 8,249 | ||||||
| ||||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2002-76, Cl. SG, 31.977%, 10/16/294 | 173,942 | 38,666 | ||||||
Series 2011-52, Cl. HS, 35.118%, 4/16/414 | 3,990,889 | 740,609 | ||||||
| ||||||||
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2003-92, Cl. CA, 4.771%, 7/17/33 | 1,371,382 | 1,468,509 | ||||||
Series 2009-66, Cl. CD, 2.50%, 8/16/39 | 61,101 | 61,879 | ||||||
Series 2010-55, Cl. QN, 3.00%, 10/20/37 | 1,919,720 | 1,932,413 |
17 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||||
| ||||||||
GNMA/Guaranteed (Continued) | ||||||||
| ||||||||
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) | ||||||||
Series 2014-167, Cl. WF, 0.973%, 7/20/442 | $ | 3,186,400 | $ | 3,187,456 | ||||
|
| |||||||
| 35,965,952
|
| ||||||
| ||||||||
Other Agency—0.2% | ||||||||
| ||||||||
Federal Home Loan Bank, Series 00-1372, Cl. 1, 4.75%, 5/18/18 |
| 3,053,814
|
|
| 3,201,332
|
| ||
| ||||||||
Non-Agency—17.2% | ||||||||
| ||||||||
Commercial—4.9% | ||||||||
| ||||||||
BCAP LLC Trust: | ||||||||
Series 2011-R11, Cl. 18A5, 2.43%, 9/26/351,2 | 835,378 | 837,404 | ||||||
Series 2012-RR2, Cl. 6A3, 3.226%, 9/26/351,2 | 1,334,396 | 1,332,632 | ||||||
Series 2012-RR6, Cl. RR6, 2.054%, 11/26/361 | 2,661,221 | 2,641,252 | ||||||
| ||||||||
CHL Mortgage Pass-Through Trust, Series 2003-J5, Cl. 2A1, 5%, 7/25/18 | 282,217 | 284,281 | ||||||
| ||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2014-8, Cl. 1A1, 0.822%, 7/20/361,2 | 3,955,075 | 3,830,225 | ||||||
| ||||||||
COMM Mortgage Trust, Series 2013-CR7, Cl. D, 4.491%, 3/10/461,2 | 2,025,000 | 1,909,219 | ||||||
| ||||||||
Federal National Mortgage Assn., Alternative Credit Enhancement Securities: | ||||||||
Series 2015-M11, Cl. A2, 2.921%, 4/25/252 | 6,950,000 | 7,390,308 | ||||||
Series 2015-M13, Cl. A2, 2.801%, 6/25/252 | 4,000,000 | 4,212,629 | ||||||
Series 2016-M5, Cl. A1, 2.073%, 4/25/26 | 1,349,229 | 1,369,903 | ||||||
| ||||||||
FREMF Mortgage Trust: | ||||||||
Series 2013-K25, Cl. C, 3.743%, 11/25/451,2 | 805,000 | 802,221 | ||||||
Series 2013-K26, Cl. C, 3.722%, 12/25/451,2 | 550,000 | 541,591 | ||||||
Series 2013-K27, Cl. C, 3.616%, 1/25/461,2 | 850,000 | 834,678 | ||||||
Series 2014-K36, Cl. C, 4.499%, 12/25/461,2 | 3,250,000 | 3,275,588 | ||||||
Series 2014-K38, Cl. C, 4.79%, 6/25/471,2 | 5,250,000 | 5,446,899 | ||||||
Series 2014-K714, Cl. C, 3.981%, 1/25/471,2 | 2,500,000 | 2,470,192 | ||||||
Series 2014-K715, Cl. C, 4.268%, 2/25/461,2 | 2,205,000 | 2,226,726 | ||||||
| ||||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.202%, 7/25/352 | 1,021,439 | 1,007,781 | ||||||
| ||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.97%, 4/21/342 | 704,073 | 716,270 | ||||||
| ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Cl. D, 4.56%, 8/15/461,2 | 1,700,000 | 1,447,502 | ||||||
| ||||||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1A, 2.237%, 11/26/361,2 | 3,695,424 | 3,626,376 | ||||||
| ||||||||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.598%, 6/26/461,2 | 1,728,063 | 1,728,387 | ||||||
| ||||||||
NCUA Guaranteed Notes Trust, Series 2010-A1, Cl. A, 0.863%, 12/7/202 | 4,134,763 | 4,130,504 | ||||||
| ||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.935%, 8/25/342 | 897,165 | 898,724 | ||||||
| ||||||||
Structured Agency Credit Risk Debt Nts.: | ||||||||
Series 2015-HQA1, Cl. M1, 1.775%, 3/25/282 | 804,003 | 805,146 | ||||||
Series 2016-HQA1, Cl. M1, 2.275%, 9/25/282 | 3,105,343 | 3,119,908 | ||||||
|
| |||||||
| 56,886,346
|
| ||||||
| ||||||||
Multi-Family—11.7% | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates: | ||||||||
Series K010, Cl. A1, 3.32%, 7/25/20 | 7,665,720 | 7,820,323 | ||||||
Series K035, Cl. A1, 2.615%, 3/25/23 | 8,010,259 | 8,294,482 |
18 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
Multi-Family (Continued) | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates: (Continued) | ||||||||
Series K040, Cl. A1, 2.768%, 4/25/24 | $ | 14,032,379 | $ | 14,781,901 | ||||
Series K041, Cl. A1, 2.72%, 8/25/24 | 11,241,158 | 11,796,017 | ||||||
Series K042, Cl. A1, 2.267%, 6/25/24 | 5,786,875 | 5,962,017 | ||||||
Series K043, Cl. A1, 2.532%, 10/25/23 | 7,388,586 | 7,694,951 | ||||||
Series K044, Cl. A1, 2.321%, 3/25/24 | 14,434,409 | 14,904,757 | ||||||
Series K045, Cl. A1, 2.493%, 11/25/24 | 11,513,890 | 11,994,616 | ||||||
Series K046, Cl. A1, 2.697%, 1/25/25 | 9,770,882 | 10,293,251 | ||||||
Series K047, Cl. A1, 2.827%, 12/25/24 | 11,717,953 | 12,417,681 | ||||||
Series K048, Cl. A1, 2.689%, 12/25/24 | 9,706,733 | 10,138,048 | ||||||
Series K050, Cl. A2, 3.334%, 8/25/252 | 5,600,000 | 6,183,783 | ||||||
Series K053, Cl. A1, 2.548%, 2/25/25 | 2,796,850 | 2,894,702 | ||||||
Series K054, Cl. A2, 2.745%, 1/25/26 | 6,620,000 | 6,994,879 | ||||||
Series K701, Cl. A2, 3.882%, 11/25/172 | 4,402,500 | 4,497,363 | ||||||
|
| |||||||
| 136,668,771
|
| ||||||
| ||||||||
Residential—0.6% | ||||||||
| ||||||||
Bear Stearns ARM Trust, Series 2005-2, Cl. A1, 2.92%, 3/25/352 | 1,754,592 | 1,765,612 | ||||||
| ||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2012-8, Cl. 1A1, 3.04%, 10/25/351,2 | 2,630,422 | 2,628,630 | ||||||
| ||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.852%, 12/25/342 | 740,031 | 739,911 | ||||||
| ||||||||
RALI Trust: | ||||||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 | 100,175 | 82,256 | ||||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 1,438,222 | 1,212,648 | ||||||
| ||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.669%, 10/25/332 | 732,862 | 748,319 | ||||||
|
| |||||||
7,177,376 | ||||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $814,089,221) |
| 828,319,564
|
| |||||
| ||||||||
U.S. Government Obligations—38.6% | ||||||||
| ||||||||
Federal Home Loan Bank Nts., 0.875%, 8/5/19 | 133,035,000 | 132,557,138 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp. Nts., 1.125%, 8/12/21 | 60,000,000 | 59,427,360 | ||||||
| ||||||||
Federal National Mortgage Assn. Nts.: | ||||||||
0.875%, 8/2/19 | 79,154,000 | 78,845,062 | ||||||
1.00%, 8/28/19 | 55,408,000 | 55,378,579 | ||||||
1.875%, 9/24/26 | 4,158,000 | 4,132,753 | ||||||
| ||||||||
United States Treasury Nts.: | ||||||||
1.375%, 3/31/207 | 10,650,000 | 10,791,027 | ||||||
1.625%, 4/30/19 | 62,411,000 | 63,627,515 | ||||||
1.75%, 10/31/208 | 39,215,000 | 40,252,825 | ||||||
2.25%, 11/30/178 | 6,000,000 | 6,107,928 | ||||||
|
| |||||||
Total U.S. Government Obligations (Cost $450,391,167) | 451,120,187 |
19 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Continued
Counterparty | Exercise Price | Expiration Date | Contracts | Value | ||||||||||||||||||||||
| ||||||||||||||||||||||||||
Over-the-Counter Option Purchased—0.0% | ||||||||||||||||||||||||||
| ||||||||||||||||||||||||||
U.S. Treasury Bonds, 1.50% Put9 ($560,700)
|
| BOA
|
|
| USD
|
|
| 98.184
|
|
| 3/23/17
|
|
| USD
|
|
| 32,040,000
|
| 448,063
| |||||||
| ||||||||||||||||||||||||||
Total Investments, at Value (Cost $1,329,191,876) | 115.0% | 1,344,817,202 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||
Net Other Assets (Liabilities) | (15.0) | (175,304,817) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
Net Assets | 100.0% | $ 1,169,512,385 | ||||||||||||||||||||||||
|
|
Footnotes to Statement of Investments
1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $71,972,583 or 6.15% of the Fund’s net assets at period end.
2. Represents the current interest rate for a variable or increasing rate security.
3. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.
4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $10,024,389 or 0.86% of the Fund’s net assets at period end.
5. Interest rate is less than 0.0005%.
6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $833,673 or 0.07% of the Fund’s net assets at period end.
7. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 4 of the accompanying Notes.
8. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $3,271,149. See Note 6 of the accompanying Notes.
9. Non-income producing security.
| ||||||||||||||||||||||||
Futures Contracts as of September 30, 2016 | ||||||||||||||||||||||||
Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
United States Treasury Long Bonds | CBT | Buy | 12/20/16 | 29 | $ | 4,876,531 | $ | (56,580) | ||||||||||||||||
United States Treasury Nts., 10 yr. | CBT | Sell | 12/20/16 | 1,517 | 198,916,625 | 70,992 | ||||||||||||||||||
United States Treasury Nts., 2 yr. | CBT | Sell | 12/30/16 | 296 | 64,666,750 | (57,541) | ||||||||||||||||||
United States Ultra Bonds | CBT | Buy | 12/20/16 | 4 | 735,500 | (14,801) | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (57,930) | |||||||||||||||||||||||
|
|
20 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
| ||||||||||||||||||||||||||
Over-the-Counter Options Written at September 30, 2016 | ||||||||||||||||||||||||||
Exercise | Expiration | Premiums | ||||||||||||||||||||||||
Description | Counterparty | Price | Date | Number of Contracts | Received | Value | ||||||||||||||||||||
| ||||||||||||||||||||||||||
U.S. Treasury Bonds, 1.50% Put | BOA USD | 95.734 | 3/23/17 | USD | (32,040,000) | $240,300 | $ | (199,681) |
Glossary:
Counterparty Abbreviations | ||
BOA | Bank of America NA |
Exchange Abbreviations | ||
CBT | Chicago Board of Trade |
See accompanying Notes to Financial Statements.
21 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2016
| ||||
Assets | ||||
Investments, at value (cost $1,329,191,876)—see accompanying statement of investments | $ | 1,344,817,202 | ||
| ||||
Cash | 7,354,583 | |||
| ||||
Cash used for collateral on futures | 7,000 | |||
| ||||
Receivables and other assets: | ||||
Investments sold (including $63,346,180 sold on a when-issued or delayed delivery basis) | 74,713,987 | |||
Interest and principal paydowns | 3,363,353 | |||
Shares of beneficial interest sold | 796,525 | |||
Variation margin receivable | 666,540 | |||
Other | 151,279 | |||
|
| |||
Total assets |
| 1,431,870,469
|
| |
| ||||
Liabilities | ||||
Options written, at value (premiums received $240,300) | 199,681 | |||
| ||||
Payables and other liabilities: | ||||
Investments purchased (including $259,515,405 purchased on a when-issued or delayed delivery basis) | 260,076,105 | |||
Shares of beneficial interest redeemed | 1,367,830 | |||
Distribution and service plan fees | 155,085 | |||
Trustees’ compensation | 107,302 | |||
Variation margin payable | 51,219 | |||
Dividends | 45,060 | |||
Shareholder communications | 12,331 | |||
Other | 343,471 | |||
|
| |||
Total liabilities |
| 262,358,084
|
| |
| ||||
Net Assets | $ | 1,169,512,385 | ||
|
| |||
| ||||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 260,727 | ||
| ||||
Additional paid-in capital | 1,275,990,330 | |||
| ||||
Accumulated net investment income | 7,877,194 | |||
| ||||
Accumulated net realized loss on investments | (130,223,881) | |||
| ||||
Net unrealized appreciation on investments | 15,608,015 | |||
|
| |||
Net Assets | $ | 1,169,512,385 | ||
|
|
22 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
| ||||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $545,792,747 and 121,629,114 shares of beneficial interest outstanding) | $ | 4.49 | ||
Maximum offering price per share (net asset value plus sales charge of 2.25% of offering price) | $ | 4.59 | ||
| ||||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $5,419,547 and 1,208,030 shares of beneficial interest outstanding) | $ | 4.49 | ||
| ||||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $170,883,485 and 38,158,691 shares of beneficial interest outstanding) | $ | 4.48 | ||
| ||||
Class I Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $363,972,744 and 81,152,270 shares of beneficial interest outstanding) | $ | 4.49 | ||
| ||||
Class R Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $31,529,408 and 7,032,637 shares of beneficial interest outstanding) | $ | 4.48 | ||
| ||||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $51,914,454 and 11,545,949 shares of beneficial interest outstanding) | $ | 4.50 |
See accompanying Notes to Financial Statements.
23 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2016
| ||||
Investment Income | ||||
Interest | $ | 21,874,423 | ||
| ||||
Fee income on when-issued securities | 2,880,713 | |||
|
| |||
Total investment income |
| 24,755,136
|
| |
| ||||
Expenses | ||||
Management fees | 5,000,078 | |||
| ||||
Distribution and service plan fees: | ||||
Class A | 1,343,095 | |||
Class B | 75,513 | |||
Class C | 1,769,994 | |||
Class R | 151,716 | |||
| ||||
Transfer and shareholder servicing agent fees: | ||||
Class A | 1,224,219 | |||
Class B | 16,667 | |||
Class C | 390,460 | |||
Class I | 108,284 | |||
Class R | 67,935 | |||
Class Y | 126,052 | |||
| ||||
Shareholder communications: | ||||
Class A | 25,686 | |||
Class B | 1,316 | |||
Class C | 6,877 | |||
Class I | 12 | |||
Class R | 1,072 | |||
Class Y | 1,322 | |||
| ||||
Trustees’ compensation | 73,974 | |||
| ||||
Custodian fees and expenses | 46,685 | |||
| ||||
Borrowing fees | 20,943 | |||
| ||||
Other | 258,682 | |||
|
| |||
Total expenses | 10,710,582 | |||
Less waivers and reimbursements of expenses | (912,154) | |||
|
| |||
Net expenses |
| 9,798,428
|
| |
| ||||
Net Investment Income | 14,956,708 |
24 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
| ||||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | $ | 8,197,077 | ||
Closing and expiration of futures contracts | (8,563,612) | |||
|
| |||
Net realized loss | (366,535) | |||
| ||||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (4,130,639) | |||
Futures contracts | 570,727 | |||
Option contracts written | 40,619 | |||
|
| |||
Net change in unrealized appreciation/depreciation |
| (3,519,293)
|
| |
| ||||
Net Increase in Net Assets Resulting from Operations | $ | 11,070,880 | ||
|
| |||
See accompanying Notes to Financial Statements. |
25 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||
| ||||||||
Operations | ||||||||
Net investment income | $ | 14,956,708 | $ | 18,252,874 | ||||
| ||||||||
Net realized loss | (366,535) | (4,875,478) | ||||||
| ||||||||
Net change in unrealized appreciation/depreciation | (3,519,293) | 2,455,994 | ||||||
|
| |||||||
Net increase in net assets resulting from operations |
| 11,070,880
|
|
| 15,833,390
|
| ||
| ||||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (8,971,873) | (11,102,551) | ||||||
Class B | (67,887) | (151,041) | ||||||
Class C | (1,447,860) | (2,058,571) | ||||||
Class I | (6,964,221) | (10,029,918) | ||||||
Class R | (401,817) | (513,965) | ||||||
Class Y | (1,096,858) | (884,551) | ||||||
|
| |||||||
| (18,950,516)
|
|
| (24,740,597)
|
| |||
| ||||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (14,299,790) | (28,570,446) | ||||||
Class B | (5,230,551) | (5,580,333) | ||||||
Class C | (5,145,435) | (11,978,869) | ||||||
Class I | 7,367,661 | (83,106,090) | ||||||
Class R | 1,505,354 | (2,985,288) | ||||||
Class Y | 4,193,888 | 12,854,040 | ||||||
|
| |||||||
| (11,608,873)
|
|
| (119,366,986)
|
| |||
| ||||||||
Net Assets | ||||||||
Total decrease | (19,488,509) | (128,274,193) | ||||||
| ||||||||
Beginning of period | 1,189,000,894 | 1,317,275,087 | ||||||
|
| |||||||
End of period (including accumulated net investment income of $7,877,194 and $7,869,256, respectively) | $ | 1,169,512,385 | $ | 1,189,000,894 | ||||
|
| |||||||
See accompanying Notes to Financial Statements. |
26 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class A | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | Year Ended September 30, 20131 | Year Ended September 28, 20121,2 | |||||||||||||||
| ||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $4.52 | $4.55 | $4.59 | $4.71 | $4.67 | |||||||||||||||
| ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income3 | 0.06 | 0.06 | 0.07 | 0.07 | 0.10 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.02) | 0.004 | (0.02) | (0.10) | 0.04 | |||||||||||||||
|
| |||||||||||||||||||
Total from investment operations | 0.04 | 0.06 | 0.05 | (0.03) | 0.14 | |||||||||||||||
| ||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.07) | (0.09) | (0.09) | (0.09) | (0.10) | |||||||||||||||
| ||||||||||||||||||||
Net asset value, end of period | $4.49 | $4.52 | $4.55 | $4.59 | $4.71 | |||||||||||||||
|
| |||||||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Total Return, at Net Asset Value5 | 0.96% | 1.26% | 1.04% | (0.63)% | 3.00% | |||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $545,793 | $563,832 | $596,274 | $703,706 | $835,353 | |||||||||||||||
| ||||||||||||||||||||
Average net assets (in thousands) | $556,423 | $576,463 | $646,216 | $771,385 | $856,033 | |||||||||||||||
| ||||||||||||||||||||
Ratios to average net assets:6 | ||||||||||||||||||||
Net investment income | 1.28% | 1.42% | 1.41% | 1.43% | 2.01% | |||||||||||||||
Expenses excluding specific expenses listed below | 0.92% | 0.91% | 0.91% | 0.87% | 0.86% | |||||||||||||||
Interest and fees from borrowings | 0.00%7 | 0.00%7 | 0.00% | 0.00% | 0.00% | |||||||||||||||
|
| |||||||||||||||||||
Total expenses | 0.92% | 0.91% | 0.91% | 0.87% | 0.86% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | |||||||||||||||
| ||||||||||||||||||||
Portfolio turnover rate8 | 211% | 155% | 229% | 154% | 152% |
1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.
2. September 28, 2012 represents the last business day of the Fund’s reporting period.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Less than $0.005 per share.
5. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
6. Annualized for periods less than one full year.
7. Less than 0.005%.
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 | ||||||
Year Ended September 30, 2013 | $5,770,708,418 | $6,001,196,249 | ||||||
Year Ended September 28, 2012 | $5,578,800,491 | $5,394,779,917 |
See accompanying Notes to Financial Statements.
27 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTS Continued
Class B | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
September 30, 2016 | September 30, 20151 | September 30, 20141 | September 30, 20131 | September 28, 20121,2 | ||||||||||||||||
| ||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $4.52 | $4.55 | $4.59 | $4.71 | $4.66 | |||||||||||||||
| ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income3 | 0.02 | 0.03 | 0.03 | 0.03 | 0.06 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.01) | (0.01) | (0.02) | (0.09) | 0.04 | |||||||||||||||
|
| |||||||||||||||||||
Total from investment operations | 0.01 | 0.02 | 0.01 | (0.06) | 0.10 | |||||||||||||||
| ||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.04) | (0.05) | (0.05) | (0.06) | (0.05) | |||||||||||||||
| ||||||||||||||||||||
Net asset value, end of period | $4.49 | $4.52 | $4.55 | $4.59 | $4.71 | |||||||||||||||
|
| |||||||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Total Return, at Net Asset Value4 | 0.15% | 0.57% | 0.24% | (1.41)% | 2.18% | |||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $5,420 | $10,722 | $16,385 | $27,893 | $43,860 | |||||||||||||||
| ||||||||||||||||||||
Average net assets (in thousands) | $7,558 | $12,904 | $21,830 | $35,494 | $49,094 | |||||||||||||||
| ||||||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income | 0.49% | 0.61% | 0.62% | 0.65% | 1.22% | |||||||||||||||
Expenses excluding specific expenses listed below | 1.69% | 1.68% | 1.67% | 1.81% | 1.83% | |||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | |||||||||||||||
|
| |||||||||||||||||||
Total expenses | 1.69% | 1.68% | 1.67% | 1.81% | 1.83% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.61% | 1.60% | 1.60% | 1.60% | 1.60% | |||||||||||||||
| ||||||||||||||||||||
Portfolio turnover rate7 | 211% | 155% | 229% | 154% | 152% |
1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.
2. September 28, 2012 represents the last business day of the Fund’s reporting period.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Less than 0.005%.
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 | ||||||
Year Ended September 30, 2013 | $5,770,708,418 | $6,001,196,249 | ||||||
Year Ended September 28, 2012 | $5,578,800,491 | $5,394,779,917 | ||||||
See accompanying Notes to Financial Statements. |
28 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class C | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | Year Ended September 30, 20131 | Year Ended September 28, 20121,2 | |||||||||||||||
| ||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $4.51 | $4.54 | $4.58 | $4.70 | $4.66 | |||||||||||||||
| ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income3 | 0.02 | 0.03 | 0.03 | 0.03 | 0.05 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.01) | (0.01) | (0.02) | (0.10) | 0.05 | |||||||||||||||
|
| |||||||||||||||||||
Total from investment operations | 0.01 | 0.02 | 0.01 | (0.07) | 0.10 | |||||||||||||||
| ||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.04) | (0.05) | (0.05) | (0.05) | (0.06) | |||||||||||||||
| ||||||||||||||||||||
Net asset value, end of period | $4.48 | $4.51 | $4.54 | $4.58 | $4.70 | |||||||||||||||
|
| |||||||||||||||||||
| ||||||||||||||||||||
Total Return, at Net Asset Value4 | 0.15% | 0.46% | 0.24% | (1.42)% | 2.19% | |||||||||||||||
| ||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $170,883 | $177,216 | $190,398 | $233,776 | $290,157 | |||||||||||||||
| ||||||||||||||||||||
Average net assets (in thousands) | $177,471 | $181,572 | $208,333 | $265,441 | $306,251 | |||||||||||||||
| ||||||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income | 0.48% | 0.62% | 0.61% | 0.64% | 1.22% | |||||||||||||||
Expenses excluding specific expenses listed below | 1.67% | 1.66% | 1.66% | 1.61% | 1.59% | |||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | |||||||||||||||
|
| |||||||||||||||||||
Total expenses | 1.67% | 1.66% | 1.66% | 1.61% | 1.59% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.60% | 1.60% | 1.60% | 1.60% | 1.59% | |||||||||||||||
| ||||||||||||||||||||
Portfolio turnover rate7 | 211% | 155% | 229% | 154% | 152% |
1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.
2. September 28, 2012 represents the last business day of the Fund’s reporting period.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Less than 0.005%.
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 | ||||||
Year Ended September 30, 2013 | $5,770,708,418 | $6,001,196,249 | ||||||
Year Ended September 28, 2012 | $5,578,800,491 | $5,394,779,917 |
See accompanying Notes to Financial Statements.
29 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTS Continued
Class I | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | Period Ended | ||||||||||||
| ||||||||||||||||
Per Share Operating Data | ||||||||||||||||
Net asset value, beginning of period | $4.52 | $4.55 | $4.59 | $4.66 | ||||||||||||
| ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income3 | 0.07 | 0.08 | 0.08 | 0.05 | ||||||||||||
Net realized and unrealized loss | (0.01) | (0.01) | (0.02) | (0.06) | ||||||||||||
|
| |||||||||||||||
Total from investment operations | 0.06 | 0.07 | 0.06 | (0.01) | ||||||||||||
| ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||
Dividends from net investment income | (0.09) | (0.10) | (0.10) | (0.06) | ||||||||||||
| ||||||||||||||||
Net asset value, end of period | $4.49 | $4.52 | $4.55 | $4.59 | ||||||||||||
|
| |||||||||||||||
| ||||||||||||||||
Total Return, at Net Asset Value4 | 1.28% | 1.71% | 1.38% | (0.28)% | ||||||||||||
| ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $363,973 | $358,985 | $445,363 | $229,314 | ||||||||||||
| ||||||||||||||||
Average net assets (in thousands) | $360,944 | $447,250 | $391,818 | $78,761 | ||||||||||||
| ||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||
Net investment income | 1.59% | 1.75% | 1.73% | 1.48% | ||||||||||||
Expenses excluding specific expenses listed below | 0.48% | 0.47% | 0.47% | 0.46% | ||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00% | 0.00% | ||||||||||||
|
| |||||||||||||||
Total expenses | 0.48% | 0.47% | 0.47% | 0.46% | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.48% | 0.47% | 0.47% | 0.46% | ||||||||||||
| ||||||||||||||||
Portfolio turnover rate7 | 211% | 155% | 229% | 154% |
1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.
2. For the period from December 28, 2012 (inception of offering) to September 30, 2013.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and
distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Less than 0.005%.
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 | ||||||
Year Ended September 30, 2013 | $5,770,708,418 | $6,001,196,249 |
See accompanying Notes to Financial Statements.
30 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class R | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | Year Ended September 30, 20131 | Year Ended September 28, 20121,2 | |||||||||||||||
| ||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $4.51 | $4.55 | $4.59 | $4.71 | $4.66 | |||||||||||||||
| ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income3 | 0.04 | 0.05 | 0.05 | 0.05 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.01) | (0.01) | (0.01) | (0.09) | 0.05 | |||||||||||||||
|
| |||||||||||||||||||
Total from investment operations | 0.03 | 0.04 | 0.04 | (0.04) | 0.13 | |||||||||||||||
| ||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.06) | (0.08) | (0.08) | (0.08) | (0.08) | |||||||||||||||
| ||||||||||||||||||||
Net asset value, end of period | $4.48 | $4.51 | $4.55 | $4.59 | $4.71 | |||||||||||||||
|
| |||||||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Total Return, at Net Asset Value4 | 0.65% | 0.85% | 0.74% | (0.92)% | 2.69% | |||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $31,529 | $30,218 | $33,413 | $39,598 | $43,962 | |||||||||||||||
| ||||||||||||||||||||
Average net assets (in thousands) | $30,885 | $31,657 | $36,387 | $42,032 | $44,441 | |||||||||||||||
| ||||||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income | 0.97% | 1.12% | 1.11% | 1.13% | 1.71% | |||||||||||||||
Expenses excluding specific expenses listed below | 1.17% | 1.16% | 1.15% | 1.17% | 1.17% | |||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | |||||||||||||||
|
| |||||||||||||||||||
Total expenses | 1.17% | 1.16% | 1.15% | 1.17% | 1.17% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% | |||||||||||||||
| ||||||||||||||||||||
Portfolio turnover rate7 | 211% | 155% | 229% | 154% | 152% |
1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.
2. September 28, 2012 represents the last business day of the Fund’s reporting period.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Less than 0.005%.
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 | ||||||
Year Ended September 30, 2013 | $5,770,708,418 | $6,001,196,249 | ||||||
Year Ended September 28, 2012 | $5,578,800,491 | $5,394,779,917 |
See accompanying Notes to Financial Statements.
31 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTS Continued
Class Y | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | Year Ended September 30, 20131 | Year Ended September 28, 20121,2 | |||||||||||||||
| ||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $4.53 | $4.56 | $4.58 | $4.71 | $4.66 | |||||||||||||||
| ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income3 | 0.07 | 0.08 | 0.08 | 0.08 | 0.11 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.01) | (0.01) | 0.004 | (0.10) | 0.04 | |||||||||||||||
|
| |||||||||||||||||||
Total from investment operations | 0.06 | 0.07 | 0.08 | (0.02) | 0.15 | |||||||||||||||
| ||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.09) | (0.10) | (0.10) | (0.11) | (0.10) | |||||||||||||||
| ||||||||||||||||||||
Net asset value, end of period | $4.50 | $4.53 | $4.56 | $4.58 | $4.71 | |||||||||||||||
|
| |||||||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Total Return, at Net Asset Value5 | 1.26% | 1.57% | 1.78% | (0.44)% | 3.30% | |||||||||||||||
| ||||||||||||||||||||
| ||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $51,914 | $48,028 | $35,442 | $192,989 | $532,594 | |||||||||||||||
| ||||||||||||||||||||
Average net assets (in thousands) | $57,294 | $40,668 | $60,953 | $393,408 | $512,755 | |||||||||||||||
| ||||||||||||||||||||
Ratios to average net assets:6 | ||||||||||||||||||||
Net investment income | 1.58% | 1.72% | 1.77% | 1.76% | 2.30% | |||||||||||||||
Expenses excluding specific expenses listed below | 0.68% | 0.66% | 0.66% | 0.54% | 0.51% | |||||||||||||||
Interest and fees from borrowings | 0.00%7 | 0.00%7 | 0.00% | 0.00% | 0.00% | |||||||||||||||
|
| |||||||||||||||||||
Total expenses | 0.68% | 0.66% | 0.66% | 0.54% | 0.51% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | |||||||||||||||
| ||||||||||||||||||||
Portfolio turnover rate8 | 211% | 155% | 229% | 154% | 152% |
1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.
2. September 28, 2012 represents the last business day of the Fund’s reporting period.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Less than $0.005 per share.
5. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
6. Annualized for periods less than one full year.
7. Less than 0.005%.
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 | ||||||
Year Ended September 30, 2013 | $5,770,708,418 | $6,001,196,249 | ||||||
Year Ended September 28, 2012 | $5,578,800,491 | $5,394,779,917 |
See accompanying Notes to Financial Statements.
32 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS September 30, 2016
1. Organization
Oppenheimer Limited-Term Government Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek income. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI. At period end, approximately 31% of the shares of the Fund were owned by the Manager, other funds advised or subadvised by the Manager or an affiliate of the Manager.
The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. As of July 1, 2014, Class N shares were renamed Class R shares. Class N shares subject to a contingent deferred sales charge (“CDSC”) on July 1, 2014, continue to be subject to a CDSC after the shares were renamed. Purchases of Class R shares occurring on or after July 1, 2014, are not subject to a CDSC upon redemption. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a CDSC. Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and R shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating
33 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdraft at a rate equal to the Prime Rate plus 0.35%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions
34 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
2. Significant Accounting Policies (Continued)
for the fiscal year ended September 30, 2016, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
Undistributed Net Investment Income | Undistributed Long-Term Gain | Accumulated Loss | Net Unrealized Appreciation Based on cost of Securities and Other Investments for Federal Income Tax Purposes | |||||||||
| ||||||||||||
$8,107,855 | $— | $130,405,139 | $15,665,919 |
1. At period end, the Fund had $129,203,412 of net capital loss carryforward available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.
Expiring | ||||
| ||||
2017 | $ | 21,325,466 | ||
2018 | 73,585,342 | |||
No expiration | 34,292,604 | |||
|
| |||
Total | $ | 129,203,412 | ||
|
|
2. The Fund had $1,201,727 of straddle losses which were deferred.
3. During the reporting period, the Fund did not utilize any capital loss carryforward.
4. During the previous reporting period, the Fund did not utilize any capital loss carryforward.
5. During the reporting period, $12,640,219 of unused capital loss carryforward expired.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
Accordingly, the following amounts have been reclassified for the reporting period. Net assets of the Fund were unaffected by the reclassifications.
35 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
Reduction to Paid-in Capital | Increase to Accumulated Net Investment Income | Reduction to Accumulated Net Realized Loss on Investments | ||||||
| ||||||||
$12,542,597 | $4,001,746 | $8,540,851 |
The tax character of distributions paid during the reporting periods:
Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||
| ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 18,950,516 | $ | 24,740,597 |
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 1,329,191,902 | ||
Federal tax cost of other investments | (258,211,644) | |||
|
| |||
Total federal tax cost | $ | 1,070,980,258 | ||
|
| |||
Gross unrealized appreciation | $ | 19,903,005 | ||
Gross unrealized depreciation | (4,237,086) | |||
|
| |||
Net unrealized appreciation | $ | 15,665,919 | ||
|
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering
36 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
3. Securities Valuation (Continued)
the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from the principal exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
37 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
3. Securities Valuation (Continued)
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
Security Type | Standard inputs generally considered by third-party pricing vendors | |
| ||
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
| ||
Loans | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| ||
Event-linked bonds | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| ||
Structured securities | Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. | |
| ||
Swaps | Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
38 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
3. Securities Valuation (Continued)
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:
Level 1— Unadjusted Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Value | |||||||||||||
| ||||||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 64,929,388 | $ | — | $ | 64,929,388 | ||||||||
Mortgage-Backed Obligations | — | 828,319,564 | — | 828,319,564 | ||||||||||||
U.S. Government Obligations | — | 451,120,187 | — | 451,120,187 | ||||||||||||
Over-the-Counter Option Purchased | — | 448,063 | — | 448,063 | ||||||||||||
|
| |||||||||||||||
Total Investments, at Value | — | 1,344,817,202 | — | 1,344,817,202 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures contracts | $ | 70,992 | $ | — | $ | — | $ | 70,992 | ||||||||
|
| |||||||||||||||
Total Assets | $ | 70,992 | $ | 1,344,817,202 | $ | — | $ | 1,344,888,194 | ||||||||
|
|
39 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
3. Securities Valuation (Continued)
Level 1— Unadjusted Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Value | |||||||||||
| ||||||||||||||
Liabilities Table | ||||||||||||||
Other Financial Instruments: | ||||||||||||||
Options written, at value | $ | — | $ | (199,681 | ) | $ | — | $ (199,681) | ||||||
Futures contracts | (128,922 | ) | — | — | (128,922) | |||||||||
|
| |||||||||||||
Total Liabilities | $ | (128,922 | ) | $ | (199,681 | ) | $ | — | $ (328,603) | |||||
|
|
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
4. Investments and Risks
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
When-Issued or Delayed Delivery Basis Transactions | ||||
| ||||
Purchased securities | $259,515,405 | |||
Sold securities | 63,346,180 |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at
40 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
4. Investments and Risks (Continued)
a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
At period end, the counterparty pledged $42,000 of collateral to the Fund for forward roll transactions.
At period end, the Fund pledged $26,344 of collateral to the counterparty for forward roll transactions.
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market.
Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an
41 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
5. Market Risk Factors (Continued)
increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
42 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
6. Use of Derivatives (Continued)
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the reporting period, the Fund had an ending monthly average market value of $125,705,325 and $312,579,846 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as
43 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $34,466 on purchased put options.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $15,360 on written put options.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the reporting period was as follows:
Number of Contracts | Amount of Premiums | |||||||
| ||||||||
Options outstanding as of September 30, 2015 | — | $ | — | |||||
Options written | 32,040,000 | 240,300 | ||||||
|
| |||||||
Options outstanding as of September 30, 2016 | 32,040,000 | $ | 240,300 | |||||
|
|
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC
44 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
6. Use of Derivatives (Continued)
options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction.
45 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents by counterparty the Fund’s OTC derivative assets net of the related collateral pledged by the Fund at period end.
Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||||||
Counterparty | Gross Amounts the Statement of Assets & | Financial Instruments Available for Offset | Financial Instruments Collateral Received** | Cash Collateral Received** | Net Amount | |||||||||
| ||||||||||||||
Bank of America NA | $ | 448,063 | $ (199,681) | $ – | $ – | $ | 248,382 |
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures are excluded from these reported amounts.
**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at period end.
46 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
6. Use of Derivatives (Continued)
Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||||||
Counterparty | Gross Amounts the Statement of Assets & Liabilities* | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged** | Cash Collateral Pledged** | Net Amount | |||||||||
| ||||||||||||||
Bank of America NA | $ | (199,681) | $ 199,681 | $ – | $ – | $ | – |
*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures are excluded from these reported amounts.
**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Statements of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:
Asset Derivatives | Liability Derivatives | |||||||||||
|
| |||||||||||
Derivatives Not Accounted for as Hedging Instruments | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | ||||||||
| ||||||||||||
Interest rate contracts | Variation margin receivable | $ | 666,540* | Variation margin payable | $ | 51,219* | ||||||
Interest rate contracts | Options written, at value | 199,681 | ||||||||||
Interest rate contracts | Investments, at value | 448,063** | ||||||||||
|
|
|
| |||||||||
Total | $ | 1,114,603 | $ | 250,900 | ||||||||
|
|
|
|
*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
**Amounts relate to purchased option contracts and purchased swaption contracts, if any.
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as Hedging Instruments | Closing and expiration of futures contracts | |||
| ||||
Interest rate contracts | $ (8,563,612) |
��
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Investments* | Option contracts written | Futures contracts | Total | ||||||||||||
| ||||||||||||||||
Interest rate contracts | $ | 448,063 | $ | 40,619 | $ | 570,727 | $ | 1,059,409 |
*Includes purchased option contracts and purchased swaption contracts, if any.
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest
47 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
7. Shares of Beneficial Interest (Continued)
of each class. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| ||||||||||||||||
Class A | ||||||||||||||||
Sold | 24,235,662 | $ | 108,709,662 | 10,606,342 | $ | 91,748,735 | ||||||||||
Dividends and/or distributions reinvested | 1,875,728 | 8,400,360 | 1,220,521 | 10,370,156 | ||||||||||||
Redeemed | (29,287,917 | ) | (131,409,812 | ) | (14,892,969 | ) | (130,689,337) | |||||||||
Shares tendered from share split | — | — | 62,317,6501 | — | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | (3,176,527 | ) | $ | (14,299,790 | ) | 59,251,544 | $ | (28,570,446) | ||||||||
|
| |||||||||||||||
| ||||||||||||||||
Class B | ||||||||||||||||
Sold | 233,969 | $ | 1,049,951 | 101,990 | $ | 887,010 | ||||||||||
Dividends and/or distributions reinvested | 14,767 | 66,045 | 17,000 | 147,075 | ||||||||||||
Redeemed | (1,414,933 | ) | (6,346,547 | ) | (741,937 | ) | (6,614,418) | |||||||||
Shares tendered from share split | — | — | 1,195,1521 | — | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | (1,166,197 | ) | $ | (5,230,551 | ) | 572,205 | $ | (5,580,333) | ||||||||
|
| |||||||||||||||
| ||||||||||||||||
Class C | ||||||||||||||||
Sold | 8,168,453 | $ | 36,556,950 | 3,998,170 | $ | 32,676,164 | ||||||||||
Dividends and/or distributions reinvested | 302,202 | 1,349,364 | 223,206 | 1,910,836 | ||||||||||||
Redeemed | (9,619,209 | ) | (43,051,749 | ) | (5,367,953 | ) | (46,565,869) | |||||||||
Shares tendered from share split | — | — | 19,479,5841 | — | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | (1,148,554 | ) | $ | (5,145,435 | ) | 18,333,007 | $ | (11,978,869) | ||||||||
|
| |||||||||||||||
| ||||||||||||||||
Class I | ||||||||||||||||
Sold | 10,369,126 | $ | 46,508,181 | 6,710,710 | $ | 58,749,585 | ||||||||||
Dividends and/or distributions reinvested | 1,554,983 | 6,964,031 | 1,169,947 | 10,029,704 | ||||||||||||
Redeemed | (10,274,266 | ) | (46,104,551 | ) | (16,987,818 | ) | (151,885,379) | |||||||||
Shares tendered from share split | — | — | 39,621,6921 | — | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | 1,649,843 | $ | 7,367,661 | 30,514,531 | $ | (83,106,090) | ||||||||||
|
| |||||||||||||||
| ||||||||||||||||
Class R | ||||||||||||||||
Sold | 2,220,429 | $ | 9,948,798 | 676,425 | $ | 5,491,369 | ||||||||||
Dividends and/or distributions reinvested | 83,772 | 374,932 | 56,170 | 478,328 | ||||||||||||
Redeemed | (1,966,859 | ) | (8,818,376 | ) | (1,100,071 | ) | (8,954,985) | |||||||||
Shares tendered from share split | — | — | 3,385,8991 | — | ||||||||||||
|
| |||||||||||||||
Net increase (decrease) | 337,342 | $ | 1,505,354 | 3,018,423 | $ | (2,985,288) | ||||||||||
|
|
48 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
7. Shares of Beneficial Interest (Continued)
Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| ||||||||||||||||
Class Y | ||||||||||||||||
Sold | 12,213,341 | $ | 54,859,078 | 3,288,939 | $ | 28,623,728 | ||||||||||
Dividends and/or distributions reinvested | 182,791 | 820,530 | 79,727 | 674,916 | ||||||||||||
Redeemed | (11,458,637) | (51,485,720) | (1,848,448 | ) | (16,444,604) | |||||||||||
Shares tendered from share split | — | — | 5,200,4651 | — | ||||||||||||
|
| |||||||||||||||
Net increase | 937,495 | $ | 4,193,888 | 6,720,683 | $ | 12,854,040 | ||||||||||
|
|
1. As of the close of September 11, 2015, the Fund implemented a share split which resulted in an addition of shares. See Note 11.
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the reporting period were as follows:
Purchases | Sales | |||||||
| ||||||||
Investment securities | $195,341,129 | $248,872,036 | ||||||
U.S. government and government agency obligations
| 2,281,383,929 | 2,259,271,129 | ||||||
To Be Announced (TBA) mortgage-related securities
| 2,885,579,349 | 2,865,270,817 |
9. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
| ||||
Up to $100 million | 0.500% | |||
Next $150 million | 0.450 | |||
Next $250 million | 0.425 | |||
Next $4.5 billion | 0.400 | |||
Over $5 billion | 0.380 |
The Fund’s effective management fee for the reporting period was 0.42% of average annual net assets before any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on
49 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
9. Fees and Other Transactions with Affiliates (Continued)
annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees’ Compensation. The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees’ fees under the plan will not affect the net assets of the Fund and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class R Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class R shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing
50 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
9. Fees and Other Transactions with Affiliates (Continued)
those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares’ daily net assets and 0.25% on Class R shares’ daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.25% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
Class A | Class B | Class C | Class R | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
| ||||||||||||||||||||
September 30, 2016 | $63,469 | $7,663 | $4,066 | $12,611 | $1 |
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to limit the “Total expenses” for all share classes so that “Expenses after payments, waivers and/ or reimbursements and reduction to custodian expenses”, as a percentage of average annual net assets, will not exceed the following annual rates: 0.80% for Class A shares, 1.60% for Class B and Class C shares, 1.10% for Class R shares and 0.50% for Class Y shares, as calculated on the daily net assets of the Fund. The expense limitations do not include extraordinary expenses, interest and fees from borrowing, and other expenses not incurred in the ordinary course of the Fund’s business. During the reporting period, the Manager reimbursed the Fund $655,512, $6,400, $129,678, $20,567 and $99,997 for Class A, Class B, Class C, Class R and Class Y shares, respectively.
Waivers and/or reimbursements may be modified or terminated as set forth according to the terms in the prospectus.
10. Borrowings and Other Financing
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.3 billion revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.
51 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Continued
11. Share Split
As of the close of business on September 11, 2015, the Fund implemented a 2 for 1 share split. This share split effectively increased the number of outstanding shares for the Fund. As a result, shareholders’ accounts reflect additional shares with a lower net asset value per share. While the number of shares increased, neither the Fund’s holdings nor the total value of shareholders’ investments was affected. Per share data in the financial highlights prior to September 11, 2015, has been adjusted to give effect to this share split.
12. Pending Litigation
In 2009, several putative class action lawsuits were filed and later consolidated before the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc. (“OFDI”), and Oppenheimer Rochester California Municipal Fund, a fund advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “California Fund”), in connection with the California Fund’s investment performance. The plaintiffs asserted claims against OFI, OFDI and certain present and former trustees and officers of the California Fund under the federal securities laws, alleging, among other things, that the disclosure documents of the California Fund contained misrepresentations and omissions and the investment policies of the California Fund were not followed. Plaintiffs in the suit filed an amended complaint and defendants filed a motion to dismiss. In 2011, the court issued an order which granted in part and denied in part the defendants’ motion to dismiss. In 2012, plaintiffs filed a motion, which defendants opposed, to certify a class and appoint class representatives and class counsel. In March 2015, the court granted plaintiffs’ motion for class certification. In May 2015, the U.S. Court of Appeals for the Tenth Circuit vacated the class certification order and remanded the matter to the district court for further proceedings. In October 2015, the district court reaffirmed its order and determined that the suit will proceed as a class action. In December 2015, the Tenth Circuit denied defendants’ petition to appeal the district court’s reaffirmed class certification order.
OFI and OFDI believe the suit is without merit; that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them in the suit; and that no estimate can yet be made as to the amount or range of any potential loss. Furthermore, OFI believes that the suit should not impair the ability of OFI or OFDI to perform their respective duties to the Fund and that the outcome of the suit should not have any material effect on the operations of any of the Oppenheimer funds.
52 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Oppenheimer Limited-Term Government Fund:
We have audited the accompanying statement of assets and liabilities of Oppenheimer Limited-Term Government Fund, including the statement of investments, as of September 30, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Limited-Term Government Fund as of September 30, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Denver, Colorado
November 22, 2016
53 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FEDERAL INCOME TAX INFORMATION
In early 2016, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2015.
None of the dividends paid by the Fund during the reporting period are eligible for the corporate dividend-received deduction.
Dividends, if any, paid by the Fund during the reporting period which are not designated as capital gain distributions, may be eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. In early 2016, shareholders of record received information regarding the percentage of distributions that are eligible for lower individual income tax rates. The amount will be the maximum amount allowed.
Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the reporting period, the maximum amount allowable but not less than $18,760,943 of the ordinary distributions to be paid by the Fund qualifies as an interest related dividend
The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.
54 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Managers and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio manager and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.
55 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance and risk management services, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Peter Strzalkowski, the portfolio manager for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.
Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board reviewed information, prepared by the Managers and the independent consultant, comparing the Fund’s historical performance to its benchmarks and to the performance of other retail short government funds. The Board considered that the Fund outperformed its category median for the one-, three- and five-year periods, and performed in line with the category median for the ten-year period.
Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board noted that the Adviser, not the Fund, pays the Sub-Adviser’s fee under the sub-advisory agreement. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail short government funds with comparable asset levels and distribution features. The Board also noted that the Fund’s contractual management fee was lower than its peer group median and category median and its total expenses, net of waivers, were lower than its peer group median and equal to its category median. The Board also considered that the Adviser has contractually agreed to waive fees and/or reimburse certain expenses so that the total annual fund operating expenses as a percentage of average daily net assets will not exceed the following annual rates: 0.80% for Class A shares, 1.60% for Class B shares and Class C shares, 1.10% for Class R shares, and 0.50% for Class Y shares, and that the expense limitations may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.
Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their
56 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through August 31, 2017. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
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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.
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TRUSTEES AND OFFICERS Unaudited
Name, Position(s) Held with the Fund, Length of Service, Year of Birth | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/ Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
Robert J. Malone, Chairman of the Board of Trustees (since 2016), Trustee (since 2002) Year of Birth: 1944 | Chairman - Colorado Market of MidFirst Bank (since January 2015); Chairman of the Board (2012-2016) and Director (August 2005-March 2016) of Jones International University (educational organization); Trustee of the Gallagher Family Foundation (non-profit organization) (2000-2015); Chairman, Chief Executive Officer and Director of Steele Street Bank Trust (commercial banking) (August 2003-January 2015); Board of Directors of Opera Colorado Foundation (non-profit organization) (2008-2012); Director of Colorado UpLIFT (charitable organization) (1986-2010); Director of Jones Knowledge, Inc. (2006-2010); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004); Chairman of the Board (1991-1994) and Trustee (1985-1994) of Regis University; and Chairman of the Board (1990-1991) and Trustee (1984-1999) of Young Presidents Organization. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Year of Birth: 1942 | Chairman of the Board of Jack Creek Preserve Foundation (non-profit organization) (since March 2005); Director of Jack Creek Preserve Foundation (non-profit organization) (March 2005-December 2014); Chairman of the Board (2006-December 2011) and Director (June 2002-December 2011) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (November 2004-December 2009); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Sub-Adviser; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Sub-Adviser), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
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TRUSTEES AND OFFICERS Unaudited / Continued
Richard Grabish, Trustee (since 2008) Year of Birth: 1948 | Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Year of Birth: 1946 | Trustee of Monterey Institute for International Studies (educational organization) (2000-2014); Board Member of Middlebury College (educational organization) (December 2005-June 2011); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002- 2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Victoria J. Herget, Trustee (since 2012) Year of Birth: 1951 | Board Chair (2008-2015) and Director (2004-Present), United Educators (insurance company); Trustee (since 2000) and Chair (since 2010), Newberry Library (independent research library); Trustee, Mather LifeWays (senior living organization) (since 2001); Independent Director of the First American Funds (mutual fund family) (2003-2011); former Managing Director (1993-2001), Principal (1985-1993), Vice President (1978-1985) and Assistant Vice President (1973-1978) of Zurich Scudder Investments (investment adviser) (and its predecessor firms); Trustee (1992-2007), Chair of the Board of Trustees (1999-2007), Investment Committee Chair (1994-1999) and Investment Committee member (2007-2010) of Wellesley College; Trustee, BoardSource (non-profit organization) (2006-2009) and Chicago City Day School (K-8 School) (1994-2005). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Herget has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
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F. William Marshall, Jr., Trustee (since 2001) Year of Birth: 1942 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (1996-2015), MML Series Investment Fund (investment company) (1996-2015) and Mass Mutual Premier Funds (investment company) (January 2012-December 2015); President and Treasurer of the SIS Fund (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Karen L. Stuckey, Trustee (since 2012) Year of Birth: 1953 | Member (since May 2015) of Desert Mountain Community Foundation Advisory Board (non-profit organization); Partner (1990-2012) of PricewaterhouseCoopers LLP (professional services firm) (held various positions 1975-1990); Trustee (1992-2006), member of Executive, Nominating and Audit Committees and Chair of Finance Committee (1992-2006, and Emeritus Trustee (since 2006) of Lehigh University; and member, Women’s Investment Management Forum (professional organization) since inception. Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Stuckey has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
James D. Vaughn, Trustee (since 2012) Year of Birth: 1945 | Retired; former managing partner (1994-2001) of Denver office of Deloitte & Touche LLP, (held various positions 1969-1993); Trustee and Chairman of the Audit Committee of Schroder Funds (2003-2012); Board member and Chairman of Audit Committee of AMG National Trust Bank (since 2005); Trustee and Investment Committee member, University of South Dakota Foundation (since 1996); Board member, Audit Committee Member and past Board Chair, Junior Achievement (since 1993); former Board member, Mile High United Way, Boys and Girls Clubs, Boy Scouts, Colorado Business Committee for the Arts, Economic Club of Colorado and Metro Denver Network. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Vaughn has served on the Boards of certain Oppenheimer funds since 2012, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.
| |
INTERESTED TRUSTEE AND OFFICER |
Mr. Steinmetz is an “Interested Trustee” because he is affiliated with the Manager and the Sub-Adviser by virtue of his positions as Chairman of the Sub-Adviser and officer and director of the Manager. Both as a Trustee and as an officer, Mr. Steinmetz serves for an indefinite term, or until his resignation, retirement, death or removal. Mr. Steinmetz’s address is 225 Liberty Street, New York, New York 10281-1008. |
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TRUSTEES AND OFFICERS Unaudited / Continued
Arthur P. Steinmetz, Trustee (since 2015), President and Principal Executive Officer (since 2014) Year of Birth: 1958 | Chairman of the Sub-Adviser (since January 2015); CEO and Chairman of the Manager (since July 2014), President of the Manager (since May 2013), a Director of the Manager (since January 2013), Director of the Sub-Adviser (since July 2014), President, Management Director and CEO of Oppenheimer Acquisition Corp. (the Sub-Adviser’s parent holding company) (since July 2014), and President and Director of OFI SteelPath, Inc. (since January 2013). Chief Investment Officer of the OppenheimerFunds advisory entities from (January 2013-December 2013); Executive Vice President of the Manager (January 2013-May 2013); Chief Investment Officer of the Sub-Adviser (October 2010-December 2012); Chief Investment Officer, Fixed-Income, of the Sub-Adviser (April 2009-October 2010); Executive Vice President of the Sub-Adviser (October 2009-December 2012); Director of Fixed Income of the Sub-Adviser (January 2009-April 2009); and a Senior Vice President of the Sub-Adviser (March 1993-September 2009). An officer of 100 portfolios in the OppenheimerFunds complex.
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OTHER OFFICERS OF THE FUND |
The addresses of the Officers in the chart below are as follows: for Mr. Strzalkowski, Mss. Lo Bessette, Foxson and Picciotto, 225 Liberty Street, New York, New York 10281-1008, for Mr. Petersen, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Peter A. Strzalkowski, Vice President (since 2009) Year of Birth: 1965 | Vice President and Senior Portfolio Manager of the Sub-Adviser (since August 2007) and co-Team Leader for the Sub-Adviser’s Investment Grade Fixed Income Team (since January 2014). A member of the Sub-Adviser’s Investment Grade Fixed Income Team (April 2009-January 2014). Managing Partner and Chief Investment Officer of Vector Capital Management, LLC, a structured products money management firm he founded, (July 2006-August 2007). Senior Portfolio Manager at Highland Capital Management, L.P. (June 2005-July 2006) and a Senior Fixed Income Portfolio Manager at Microsoft Corp. (June 2003-June 2005). Vice President and Senior Fixed Income Portfolio Manager at First Citizens Bank Trust, Capital Management Group (April 2000-June 2003) and a Vice President and Fixed Income Portfolio Manager at Centura Banks (November 1998-April 2000). | |
Cynthia Lo Bessette, Secretary and Chief Legal Officer (since 2016) Year of Birth: 1969 | Senior Vice President and Deputy General Counsel (March 2015-February 2016) and Executive Vice President, General Counsel and Secretary of the Manager (since February 2016); Chief Legal Officer of the Sub-Adviser and the Distributor (since February 2016); Vice President, General Counsel and Secretary of Oppenheimer Acquisition Corp. (since February 2016); General Counsel of OFI SteelPath, Inc., VTL Associates, LLC and Index Management Solutions, LLC (since February 2016); Chief Legal Officer of OFI Global Institutional, Inc., HarbourView Asset Management Corporation, OFI Global Trust Company, Oppenheimer Real Asset Management, Inc., OFI Private Investments Inc., Shareholder Services, Inc. and Trinity Investment Management Corporation (since February 2016); Vice President, Corporate Counsel (February 2012-March 2015) and Deputy Chief Legal Officer (April 2013-March 2015) of Jennison Associates LLC; Assistant General Counsel (April 2008-September 2009) and Deputy General Counsel (October 2009-February 2012) of Lord Abbett & Co. LLC. An officer of 100 portfolios in the OppenheimerFunds complex. | |
Jennifer Foxson, Vice President and Chief Business Officer (since 2014) Year of Birth: 1969 | Senior Vice President of OppenheimerFunds Distributor, Inc. (since June 2014); Vice President of OppenheimerFunds Distributor, Inc. (April 2006-June 2014); Vice President of the Sub-Adviser (January 1998-March 2006); Assistant Vice President of the Sub-Adviser (October 1991-December 1998). An officer of 100 portfolios in the OppenheimerFunds complex. |
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Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer (since 2014) Year of Birth: 1973 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2014); Chief Compliance Officer of the Sub-Adviser, OFI SteelPath, Inc., OFI Global Trust Company, OFI Global Institutional, Inc., Oppenheimer Real Asset Management, Inc., OFI Private Investments, Inc., Harborview Asset Management Corporation, Trinity Investment Management Corporation, and Shareholder Services, Inc. (since March 2014); Managing Director of Morgan Stanley Investment Management Inc. and certain of its various affiliated entities; Chief Compliance Officer of various Morgan Stanley Funds (May 2010-January 2014); Chief Compliance Officer of Morgan Stanley Investment Management Inc. (April 2007-January 2014). An officer of 100 portfolios in the OppenheimerFunds complex. | |
Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer (since 2016) Year of Birth: 1970 | Vice President of the Manager (since January 2013); Vice President of the Sub-Adviser (February 2007-December 2012); Assistant Vice President of the Sub-Adviser (August 2002-2007). An officer of 100 portfolios in the OppenheimerFunds complex. |
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers and is available without charge upon request by calling 1.800.CALL OPP (225.5677).
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OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Manager | OFI Global Asset Management, Inc. | |
Sub-Adviser | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder | OFI Global Asset Management, Inc. | |
Servicing Agent | ||
Sub-Transfer Agent | Shareholder Services, Inc. | |
DBA OppenheimerFunds Services | ||
Independent Registered | KPMG LLP | |
Public Accounting Firm | ||
Legal Counsel | Ropes & Gray LLP |
© 2016 OppenheimerFunds, Inc. All rights reserved.
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As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
● Applications or other forms
● When you create a user ID and password for online account access
● When you enroll in eDocs Direct, our electronic document delivery service
● Your transactions with us, our affiliates or others
● A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited
● When you set up challenge questions to reset your password online
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
65 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PRIVACY POLICY NOTICE Continued
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
● | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. | |
● | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. | |
● | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated March 2015. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for 24-hr automated information and automated transactions. Representatives also available Mon–Fri 8am-8pm ET.
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![]() | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2016 OppenheimerFunds Distributor, Inc. All rights reserved.
RA0855.001.0916 November 22, 2016 |
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that F. William Marshall, Jr., the Chairman of the Board’s Audit Committee, is the audit committee financial expert and that Mr. Marshall is “independent” for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $53,900 in fiscal 2016 and $44,200 in fiscal 2015.
(b) | Audit-Related Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $7,629 in fiscal 2016 and no such fees in fiscal 2015.
The principal accountant for the audit of the registrant’s annual financial statements billed $598,285 in fiscal 2016 and $185,479 in fiscal 2015 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: Internal control reviews, GIPS attestation procedures, system conversion testing, custody audits, and additional audit services.
(c) | Tax Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2016 and no such fees in fiscal 2015.
The principal accountant for the audit of the registrant’s annual financial statements billed $45,432 in fiscal 2016 and $628,126 in fiscal 2015 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d) | All Other Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2016 and no such fees in fiscal 2015.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2016 and no such fees in fiscal 2015 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such fees would include the cost to the principal accountant of attending audit committee meetings and consultations regarding the registrant’s retirement plan with respect to its Trustees.
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting.
Under applicable laws, pre-approval of non-audit services may be waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to its principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit.
(2) 0%
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $651,346 in fiscal 2016 and $813,605 in fiscal 2015 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
(h) | The registrant’s audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 9/30/2016, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) Exhibit attached hereto. |
(2) Exhibits attached hereto.
(3) Not applicable.
(b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Limited-Term Government Fund
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 11/21/2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 11/21/2016 |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: | 11/21/2016 |