UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number811-4563
Oppenheimer Limited-Term Government Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code:(303)768-3200
Date of fiscal year end:September 30
Date of reporting period:3/31/2019
Item 1. Reports to Stockholders.
Important Updates
On October 18, 2018, Massachusetts Mutual Life Insurance Company, an indirect corporate parent of OppenheimerFunds, Inc. and its subsidiaries OFI Global Asset Management, Inc., OFI SteelPath, Inc. and OFI Advisors, LLC, announced that it has entered into an agreement whereby Invesco Ltd., a global investment management company, will acquire OppenheimerFunds, Inc. As of the date of this report, the transaction is expected to close in the second quarter of 2019, pending necessary regulatory and other third-party approvals. This is subject to change. See the Notes to Financial Statements for more information.
Update to Shareholder Report Document Delivery
Beginning January 1, 2021, OppenheimerFunds will send a notice, either by mail or email, each time your fund’s updated report is available on our website (oppenheimerfunds.com). Investors who are not enrolled in electronic delivery by January 1, 2021 will receive the notice in the mail. Enrolling in electronic delivery will enable you to receive a direct link to your full shareholder report the moment it becomes available, and limit the amount of mail you receive. All investors who prefer to receive shareholder reports in paper may, at any time, choose that option.
How do you update your delivery preferences?
If you own these shares through a financial intermediary, you may contact your financial intermediary.
If your accounts are held through OppenheimerFunds and you receive statements, confirms, and other documents directly from us, you can enroll in our eDocs DirectSM service atoppenheimerfunds.com or by calling us. Once you’re enrolled, you’ll begin to receive email notifications of updated documents when they become available. If you have any questions, feel free to call us at1.800.225.5677.
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 3/31/19
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
| |||||||
6-Month | 2.13% | -0.17% | 4.70% | 2.32% | ||||||
1-Year | 2.64 | 0.33 | 4.20 | 2.74 | ||||||
5-Year | 0.99 | 0.53 | 2.15 | 0.99 | ||||||
10-Year | 2.25 | 2.02 | 2.44 | 1.10 |
Performance data quoted represents past performance, which does not guarantee future results.The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 2.25% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recentmonth-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.
3 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PORTFOLIO ALLOCATION | ||||
Mortgage-Backed Obligations | ||||
Government Agency | 48.8% | |||
Non-Agency | 2.5 | |||
U.S. Government Obligations | 32.7 | |||
Short-Term Notes | 8.2 | |||
Asset-Backed Securities | 6.4 | |||
Investment Company | ||||
Oppenheimer Institutional | ||||
Government Money Market Fund | 1.4 |
Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2019, and are based on the total market value of investments.
For more current Fund holdings, please visit oppenheimerfunds.com.
4 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 3/31/19
Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | ||||||||||||||||
Class A (OPGVX) | 3/10/86 | 2.13 | % | 2.64 | % | 0.99 | % | 2.25% | ||||||||||||
Class C (OLTCX) | 2/1/95 | 1.72 | 1.82 | 0.19 | 1.44 | |||||||||||||||
Class I (OLTIX) | 12/28/12 | 2.29 | 2.72 | 1.29 | 1.09* | |||||||||||||||
Class R (OLTNX) | 3/1/01 | 1.98 | 2.09 | 0.67 | 1.93 | |||||||||||||||
Class Y (OLTYX) | 1/26/98 | 2.28 | 2.71 | 1.25 | 2.55 | |||||||||||||||
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 3/31/19
|
| |||||||||||||||||||
Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | ||||||||||||||||
Class A (OPGVX) | 3/10/86 | -0.17 | % | 0.33 | % | 0.53 | % | 2.02% | ||||||||||||
Class C (OLTCX) | 2/1/95 | 0.72 | 0.82 | 0.19 | 1.44 | |||||||||||||||
Class I (OLTIX) | 12/28/12 | 2.29 | 2.72 | 1.29 | 1.09* | |||||||||||||||
Class R (OLTNX) | 3/1/01 | 1.98 | 2.09 | 0.67 | 1.93 | |||||||||||||||
Class Y (OLTYX) | 1/26/98 | 2.28 | 2.71 | 1.25 | 2.55 |
*Shows performance since inception.
STANDARDIZED YIELDS
For the 30 Days Ended 3/31/19 | ||
Class A | 2.38% | |
Class C | 1.65 | |
Class I | 2.76 | |
Class R | 2.15 | |
Class Y | 2.74 |
UNSUBSIDIZED STANDARDIZED YIELDS
For the 30 Days Ended 3/31/19 | ||
Class A | 2.31% | |
Class C | 1.62 | |
Class I | 2.76 | |
Class R | 2.12 | |
Class Y | 2.61 |
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 recentmonth-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% and for Class C shares, the 1% contingent deferred sales charge for the1-year period. There is no sales charge for Class I, R and Y shares. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
Standardized yield is based on anSEC-standardized formula designed to approximate the Fund’s annualized hypothetical current income from securities less expenses for the30-day period ended March 31, 2019 and that date’s maximum offering price (for Class A shares)
5 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
or net asset value (for all other share classes). Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields. The unsubsidized standardized yield is computed under anSEC-standardized formula based on net income earned for the30-day period ended March 31, 2019. The calculation excludes any expense reimbursements and thus may result in a lower yield.
The Fund’s performance is compared to the performance of the Bloomberg Barclays U.S. Government Bond Index and the Bloomberg Barclays U.S.1-3 Year Government Bond Index. The Bloomberg Barclays U.S. Government Bond Index is a market-weighted index of U.S. government securities with maturities of 1 year or more. The Bloomberg Barclays U.S.1-3 Year Government Bond Index is an index of U.S. Government securities with maturities of 1 to 3 years.The indices areunmanaged 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 theindices. 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.
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.
6 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 entire6-month period ended March 31, 2019.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended March 31, 2019” 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 asfront-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.
7 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Actual | Beginning Account Value October 1, 2018 | Ending Account Value March 31, 2019 | Expenses Paid During 6 Months Ended March 31, 2019 | |||||||||
| ||||||||||||
Class A | $ | 1,000.00 | $ | 1,021.30 | $ | 4.04 | ||||||
| ||||||||||||
Class C | 1,000.00 | 1,017.20 | 8.08 | |||||||||
| ||||||||||||
Class I | 1,000.00 | 1,022.90 | 2.47 | |||||||||
| ||||||||||||
Class R | 1,000.00 | 1,019.80 | 5.55 | |||||||||
| ||||||||||||
Class Y | 1,000.00 | 1,022.80 | 2.52 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
| ||||||||||||
Class A | 1,000.00 | 1,020.94 | 4.04 | |||||||||
| ||||||||||||
Class C | 1,000.00 | 1,016.95 | 8.08 | |||||||||
| ||||||||||||
Class I | 1,000.00 | 1,022.49 | 2.47 | |||||||||
| ||||||||||||
Class R | 1,000.00 | 1,019.45 | 5.55 | |||||||||
| ||||||||||||
Class Y | 1,000.00 | 1,022.44 | 2.52 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the6-month period ended March 31, 2019 are as follows:
Class | Expense Ratios | |||||
Class A | 0.80% | |||||
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.
8 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSMarch 31, 2019 Unaudited
Principal Amount | Value | |||||||
| ||||||||
Asset-Backed Securities—7.2% | ||||||||
| ||||||||
American Credit Acceptance Receivables Trust: | ||||||||
Series2017-4, Cl. D, 3.57%, 1/10/241 | $ | 1,245,000 | $ | 1,246,026 | ||||
Series2018-2, Cl. C, 3.70%, 7/10/241 | 2,115,000 | 2,125,349 | ||||||
Series2019-1, Cl. C, 3.50%, 4/14/251 | 1,830,000 | 1,843,051 | ||||||
| ||||||||
AmeriCredit Automobile Receivables Trust: | ||||||||
Series2016-4, Cl. D, 2.74%, 12/8/22 | 2,500,000 | 2,489,533 | ||||||
Series2017-1, Cl. D, 3.13%, 1/18/23 | 2,850,000 | 2,857,711 | ||||||
Series2017-2, Cl. D, 3.42%, 4/18/23 | 2,405,000 | 2,418,889 | ||||||
Series2017-4, Cl. D, 3.08%, 12/18/23 | 2,140,000 | 2,142,351 | ||||||
| ||||||||
CarMax Auto Owner Trust: | ||||||||
Series2017-1, Cl. D, 3.43%, 7/17/23 | 1,870,000 | 1,876,446 | ||||||
Series2017-4, Cl. D, 3.30%, 5/15/24 | 3,590,000 | 3,577,497 | ||||||
Series2018-1, Cl. D, 3.37%, 7/15/24 | 630,000 | 630,891 | ||||||
| ||||||||
CCG Receivables Trust, Series2018-1, Cl. C, 3.42%, 6/16/251 | 190,000 | 190,619 | ||||||
| ||||||||
Credit Acceptance Auto Loan Trust: | ||||||||
Series2016-3A, Cl. C, 3.60%, 4/15/251 | 2,010,000 | 2,011,617 | ||||||
Series2017-3A, Cl. C, 3.48%, 10/15/261 | 270,000 | 270,142 | ||||||
Series2018-1A, Cl. C, 3.77%, 6/15/271 | 1,455,000 | 1,466,343 | ||||||
Series2018-2A, Cl. C, 4.16%, 9/15/271 | 880,000 | 900,256 | ||||||
Series2018-3A, Cl. C, 4.04%, 12/15/271 | 250,000 | 253,959 | ||||||
Series2019-1A, Cl. C, 3.94%, 6/15/281 | 3,575,000 | 3,614,304 | ||||||
| ||||||||
Drive Auto Receivables Trust: | ||||||||
Series2018-1, Cl. D, 3.81%, 5/15/24 | 2,635,000 | 2,657,853 | ||||||
Series2018-2, Cl. D, 4.14%, 8/15/24 | 2,475,000 | 2,517,947 | ||||||
Series2018-3, Cl. D, 4.30%, 9/16/24 | 1,650,000 | 1,685,557 | ||||||
Series2019-1, Cl. D, 4.09%, 6/15/26 | 2,410,000 | 2,463,443 | ||||||
Series2019-2, Cl. D, 3.69%, 8/17/26 | 2,565,000 | 2,588,771 | ||||||
| ||||||||
DT Auto Owner Trust: | ||||||||
Series2016-4A, Cl. E, 6.49%, 9/15/231 | 2,600,000 | 2,662,608 | ||||||
Series2017-4A, Cl. D, 3.47%, 7/17/231 | 2,475,000 | 2,481,684 | ||||||
Series2019-1A, Cl. D, 3.87%, 11/15/241 | 1,790,000 | 1,809,695 | ||||||
| ||||||||
Exeter Automobile Receivables Trust, Series2019-1A, Cl. D, 4.13%, 12/16/241 | 1,555,000 | 1,590,533 | ||||||
| ||||||||
Flagship Credit Auto Trust, Series2016-1, Cl. C, 6.22%, 6/15/221 | 2,825,000 | 2,924,621 | ||||||
| ||||||||
GM Financial Automobile Leasing Trust, Series2019-1, Cl. D, 3.95%, 5/22/23 | 2,575,000 | 2,593,811 | ||||||
| ||||||||
Navistar Financial Dealer Note Master Owner Trust II: | ||||||||
Series2017-1, Cl. C, 4.036% [US0001M+155], 6/27/221,2 | 460,000 | 460,566 | ||||||
Series2017-1, Cl. D, 4.786% [US0001M+230], 6/27/221,2 | 535,000 | 535,270 | ||||||
| ||||||||
Santander Drive Auto Receivables Trust: | ||||||||
Series2017-1, Cl. D, 3.17%, 4/17/23 | 2,430,000 | 2,433,044 | ||||||
Series2017-2, Cl. D, 3.49%, 7/17/23 | 2,255,000 | 2,267,656 | ||||||
Series2017-3, Cl. D, 3.20%, 11/15/23 | 3,050,000 | 3,048,612 | ||||||
Series2018-1, Cl. D, 3.32%, 3/15/24 | 810,000 | 812,824 | ||||||
Series2018-2, Cl. D, 3.88%, 2/15/24 | 1,305,000 | 1,324,427 | ||||||
Series2019-1, Cl. D, 3.65%, 4/15/25 | 2,180,000 | 2,206,715 | ||||||
| ||||||||
Westlake Automobile Receivables Trust: | ||||||||
Series2017-2A, Cl. D, 3.28%, 12/15/221 | 1,118,000 | 1,118,450 |
9 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSUnaudited / Continued
Principal Amount | Value | |||||||
| ||||||||
Asset-Backed Securities (Continued) | ||||||||
| ||||||||
Westlake Automobile Receivables Trust: (Continued) | ||||||||
Series2018-1A, Cl. D, 3.41%, 5/15/231 | $ | 1,285,000 | $ | 1,288,490 | ||||
Series2018-3A, Cl. D, 4.00%, 10/16/231 | 3,000,000 | 3,051,503 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $73,884,461) | 74,439,064 | |||||||
| ||||||||
Mortgage-Backed Obligations—58.1% | ||||||||
| ||||||||
Government Agency—55.2% | ||||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored—51.0% | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp. Gold Pool: | ||||||||
4.00%, 5/1/27 | 2,119,670 | 2,189,185 | ||||||
4.50%, 5/1/19 | 620 | 631 | ||||||
5.50%,1/1/24-9/1/24 | 1,585,073 | 1,625,481 | ||||||
6.00%,10/1/22-10/1/29 | 801,619 | 874,960 | ||||||
6.50%,4/1/21-4/1/34 | 898,134 | 995,121 | ||||||
7.00%,10/1/31-10/1/37 | 450,388 | 511,627 | ||||||
7.50%,1/1/32-8/1/37 | 11,157,743 | 12,847,102 | ||||||
8.50%, 3/1/31 | 23,977 | 26,691 | ||||||
9.00%,8/1/22-5/1/25 | 15,815 | 16,945 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp. Non Gold Pool, 11.00%, 11/1/20 | 207 | 207 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 192, Cl. IO, 99.999%, 2/1/283 | 75,383 | 14,743 | ||||||
Series 205, Cl. IO, 61.788%, 9/1/293 | 539,119 | 108,543 | ||||||
Series 206, Cl. IO, 99.999%, 12/15/293 | 36,062 | 9,998 | ||||||
Series 243, Cl. 6, 0.231%, 12/15/323 | 188,164 | 35,347 | ||||||
Series 304, Cl. C31, 9.481%, 12/15/273 | 865,023 | 70,223 | ||||||
Series 304, Cl. C45, 6.833%, 12/15/273 | 402,500 | 32,458 | ||||||
Series 304, Cl. C47, 5.55%, 12/15/273 | 390,124 | 32,902 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt | ||||||||
Securities, Series2012-1, Cl. A10, 2.06%, 1/15/22 | 34,625,375 | 34,303,338 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Multiclass Mortgage Securities, Series | ||||||||
43, Cl. PH, 6.50%, 10/17/24 | 333,894 | 354,014 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates: | ||||||||
Series K010, Cl. A1, 3.32%, 7/25/20 | 231,687 | 231,373 | ||||||
Series K027, Cl. A2, 2.637%, 1/25/23 | 3,500,000 | 3,512,403 | ||||||
Series K028, Cl. A2, 3.111%, 2/25/23 | 3,400,000 | 3,469,196 | ||||||
Series K029, Cl. A2, 3.32%, 2/25/234 | 4,500,000 | 4,627,068 | ||||||
Series K030, Cl. A2, 3.25%, 4/25/234 | 3,820,000 | 3,918,836 | ||||||
Series K033, Cl. A2, 3.06%, 7/25/234 | 2,000,000 | 2,038,245 | ||||||
Series K034, Cl. A2, 3.531%, 7/25/234 | 4,550,000 | 4,718,607 | ||||||
Series K035, Cl. A1, 2.615%, 3/25/23 | 4,900,924 | 4,912,147 | ||||||
Series K040, Cl. A1, 2.768%, 4/25/24 | 12,116,680 | 12,156,333 | ||||||
Series K041, Cl. A1, 2.72%, 8/25/24 | 9,359,162 | 9,375,582 | ||||||
Series K042, Cl. A1, 2.267%, 6/25/24 | 4,781,205 | 4,730,280 | ||||||
Series K043, Cl. A1, 2.532%, 10/25/23 | 6,737,226 | 6,713,146 | ||||||
Series K044, Cl. A1, 2.321%, 3/25/24 | 11,836,010 | 11,733,625 | ||||||
Series K045, Cl. A1, 2.493%, 11/25/24 | 10,366,089 | 10,307,055 | ||||||
Series K046, Cl. A1, 2.697%, 1/25/25 | 8,621,749 | 8,624,789 | ||||||
Series K047, Cl. A1, 2.827%, 12/25/24 | 9,587,599 | 9,629,047 | ||||||
Series K048, Cl. A1, 2.689%, 12/25/24 | 8,508,241 | 8,541,340 |
10 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates: (Continued) | ||||||||
Series K053, Cl. A1, 2.548%, 2/25/25 | $ | 2,417,428 | $ | 2,413,125 | ||||
Series KI01, Cl. A, 2.65% [LIBOR01M+16], 9/25/222 | 3,094,451 | 3,087,632 | ||||||
Series KI02, Cl. A, 2.69% [LIBOR01M+20], 2/25/232 | 4,248,562 | 4,242,725 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
| |||||||
Series K051, Cl. X1, 12.231%, 9/25/253 | 63,420,152 | 1,904,964 | ||||||
Series KC02, Cl. X1, 0.00%, 3/25/243,5 | 254,400,137 | 4,439,282 | ||||||
Series KC03, Cl. X1, 0.00%, 11/25/243,5 | 22,165,000 | 562,865 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Series 216, Cl. PO, 13.652%, 12/1/316 | 114,754 | 100,550 | ||||||
Series 219, Cl. PO, 13.742%, 3/1/326 | 355,798 | 301,390 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1095, Cl. D, 3.134% [LIBOR01M+65], 6/15/212 | 150 | 151 | ||||||
Series 151, Cl. F, 9.00%, 5/15/21 | 1,184 | 1,204 | ||||||
Series 1695, Cl. F, 2.495% [D11COF+137], 3/15/242 | 339,598 | 347,653 | ||||||
Series 2035, Cl. PC, 6.95%, 3/15/28 | 319,213 | 350,034 | ||||||
Series 2084, Cl. ZC, 6.50%, 8/15/28 | 162,635 | 176,277 | ||||||
Series 2116, Cl. ZA, 6.00%, 1/15/29 | 196,649 | 214,314 | ||||||
Series 2122, Cl. FD, 2.834% [LIBOR01M+35], 2/15/292 | 255,367 | 255,247 | ||||||
Series 2132, Cl. FN, 3.389% [LIBOR01M+90], 3/15/292 | 311,044 | 316,447 | ||||||
Series 2148, Cl. ZA, 6.00%, 4/15/29 | 315,403 | 343,852 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 541,049 | 596,095 | ||||||
Series 2220, Cl. PD, 8.00%, 3/15/30 | 109,315 | 126,430 | ||||||
Series 2281, Cl. Z, 6.50%, 2/15/31 | 776,346 | 852,458 | ||||||
Series 2319, Cl. BZ, 6.50%, 5/15/31 | 1,148,204 | 1,274,169 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 222,686 | 243,421 | ||||||
Series 2344, Cl. FP, 3.434% [LIBOR01M+95], 8/15/312 | 188,656 | 193,345 | ||||||
Series 2392, Cl. FB, 3.084% [LIBOR01M+60], 1/15/292 | 49,031 | 49,494 | ||||||
Series 2396, Cl. FE, 3.084% [LIBOR01M+60], 12/15/312 | 110,583 | 111,837 | ||||||
Series 2401, Cl. FA, 3.134% [LIBOR01M+65], 7/15/292 | 72,080 | 72,877 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 62,123 | 68,455 | ||||||
Series 2464, Cl. FI, 3.484% [LIBOR01M+100], 2/15/322 | 108,437 | 111,416 | ||||||
Series 2470, Cl. LF, 3.484% [LIBOR01M+100], 2/15/322 | 110,941 | 113,989 | ||||||
Series 2471, Cl. FD, 3.484% [LIBOR01M+100], 3/15/322 | 156,205 | 160,486 | ||||||
Series 2481, Cl. AF, 3.034% [LIBOR01M+55], 3/15/322 | 91,238 | 92,106 | ||||||
Series 2500, Cl. FD, 2.984% [LIBOR01M+50], 3/15/322 | 173,115 | 173,048 | ||||||
Series 2504, Cl. FP, 2.984% [LIBOR01M+50], 3/15/322 | 177,604 | 178,941 | ||||||
Series 2526, Cl. FE, 2.884% [LIBOR01M+40], 6/15/292 | 191,589 | 192,170 | ||||||
Series 2530, Cl. FD, 2.984% [LIBOR01M+50], 2/15/322 | 216,205 | 217,835 | ||||||
Series 2538, Cl. F, 3.084% [LIBOR01M+60], 12/15/322 | 22,182 | 22,439 | ||||||
Series 2550, Cl. FI, 2.834% [LIBOR01M+35], 11/15/322 | 34,539 | 34,136 | ||||||
Series 2551, Cl. FD, 2.884% [LIBOR01M+40], 1/15/332 | 179,544 | 180,193 | ||||||
Series 2635, Cl. AG, 3.50%, 5/15/32 | 1,153,570 | 1,167,972 | ||||||
Series 2676, Cl. KY, 5.00%, 9/15/23 | 405,412 | 419,147 | ||||||
Series 3010, Cl. WB, 4.50%, 7/15/20 | 144,465 | 144,685 | ||||||
Series 3025, Cl. SJ, 15.643%[-3.6667 x LIBOR01M+2,475], 8/15/352 | 54,527 | 79,210 | ||||||
Series 3134, Cl. FA, 2.784% [LIBOR01M+30], 3/15/362 | 2,854,353 | 2,846,322 |
11 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSUnaudited / Continued
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series 3342, Cl. FT, 2.934% [LIBOR01M+45], 7/15/372 | $ | 230,786 | $ | 231,682 | ||||
Series 3581, Cl. B, 4.00%, 10/15/24 | 867,526 | 885,819 | ||||||
Series 3645, Cl. EH, 3.00%, 12/15/20 | 215,963 | 215,328 | ||||||
Series 3738, Cl. BP, 4.00%, 12/15/38 | 3,939,558 | 4,035,292 | ||||||
Series 3753, Cl. AS, 3.50%, 11/15/25 | 705,715 | 719,813 | ||||||
Series 3762, Cl. BH, 2.50%, 5/15/25 | 2,288,414 | 2,279,419 | ||||||
Series 3800, Cl. CD, 3.10%, 3/15/25 | 1,575,333 | 1,577,762 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 | 44,752 | 45,582 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 | 893,778 | 905,509 | ||||||
Series 3857, Cl. GL, 3.00%, 5/15/40 | 1,719,505 | 1,752,232 | ||||||
Series 3874, Cl. JW, 3.50%, 6/15/26 | 2,846,272 | 2,922,939 | ||||||
Series 3887, Cl. NC, 3.00%, 7/15/26 | 440,718 | 440,763 | ||||||
Series 3917, Cl. BA, 4.00%, 6/15/38 | 433,712 | 447,625 | ||||||
Series 3935, Cl. NA, 3.50%, 10/15/26 | 1,635,213 | 1,648,330 | ||||||
Series 3974, Cl. C, 3.00%, 1/15/26 | 10,004,254 | 10,036,309 | ||||||
Series 4016, Cl. AB, 2.00%, 9/15/25 | 4,504,868 | 4,472,860 | ||||||
Series 4109, Cl. KD, 3.00%, 5/15/32 | 183,680 | 183,187 | ||||||
Series 4113, Cl. JH, 3.00%, 7/15/39 | 1,611,633 | 1,621,243 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 | 4,777,829 | 4,690,654 | ||||||
Series 4253, Cl. TD, 2.00%, 7/15/40 | 960,479 | 957,803 | ||||||
Series 4285, Cl. BA, 2.00%, 12/15/23 | 1,099,896 | 1,086,631 | ||||||
Series 4316, Cl. FY, 2.884% [LIBOR01M+40], 11/15/392 | 733,435 | 734,287 | ||||||
Series 4399, Cl. A, 2.50%, 7/15/24 | 36,311 | 36,130 | ||||||
Series 4446, Cl. PL, 2.50%, 7/15/38 | 2,397,776 | 2,365,179 | ||||||
Series 4459, Cl. ND, 5.50%, 4/15/25 | 13,654 | 13,763 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, |
| |||||||
Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2074, Cl. S, 99.999%, 7/17/283 | 103,372 | 9,696 | ||||||
Series 2079, Cl. S, 99.999%, 7/17/283 | 190,266 | 21,616 | ||||||
Series 2493, Cl. S, 20.615%, 9/15/293 | 143,051 | 23,921 | ||||||
Series 2526, Cl. SE, 52.421%, 6/15/293 | 264,704 | 43,604 | ||||||
Series 2795, Cl. SH, 99.999%, 3/15/243 | 1,415,122 | 89,765 | ||||||
Series 2796, Cl. SD, 80.675%, 7/15/263 | 60,386 | 6,975 | ||||||
Series 2920, Cl. S, 17.17%, 1/15/353 | 1,576,134 | 253,253 | ||||||
Series 2922, Cl. SE, 16.146%, 2/15/353 | 263,042 | 43,307 | ||||||
Series 2981, Cl. AS, 0.668%, 5/15/353 | 502,360 | 69,726 | ||||||
Series 3397, Cl. GS, 0.00%, 12/15/373,5 | 36,187 | 6,326 | ||||||
Series 3424, Cl. EI, 0.00%, 4/15/383,5 | 51,979 | 5,164 | ||||||
Series 3450, Cl. BI, 8.323%, 5/15/383 | 1,676,944 | 245,763 | ||||||
Series 3606, Cl. SN, 12.371%, 12/15/393 | 449,377 | 58,388 | ||||||
Series 4057, Cl. QI, 4.56%, 6/15/273 | 2,629,362 | 198,385 | ||||||
Series 4136, Cl. MI, 3.199%, 11/15/273 | 3,114,102 | 257,337 | ||||||
Series 4146, Cl. AI, 10.738%, 12/15/273 | 1,107,020 | 86,057 | ||||||
Series 4205, Cl. AI, 8.248%, 5/15/283 | 708,300 | 52,349 | ||||||
Series 4818, Cl. BI, 0.00%, 3/15/453,5 | 1,030,274 | 172,478 | ||||||
| ||||||||
Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed Security, Series 237, Cl. F16, 2.984% [LIBOR01M+50], 5/15/362 | 1,420,415 | 1,423,720 |
12 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn.: | ||||||||
2.50%, 4/1/347 | $ | 6,910,000 | $ | 6,870,096 | ||||
3.00%,4/1/34-4/1/497 | 10,120,000 | 10,156,506 | ||||||
3.50%, 4/1/497 | 37,380,000 | 37,901,276 | ||||||
4.00%, 4/1/497 | 54,325,000 | 55,886,843 | ||||||
4.50%, 4/1/497 | 14,815,000 | 15,438,489 | ||||||
| ||||||||
Federal National Mortgage Assn. Pool: | ||||||||
3.50%, 8/1/40 | 991,967 | 1,012,148 | ||||||
4.00%,4/1/24-3/1/31 | 32,255,341 | 33,245,130 | ||||||
4.26%, 7/1/21 | 2,764,654 | 2,863,296 | ||||||
4.50%,11/1/19-1/1/27 | 2,418,784 | 2,471,506 | ||||||
4.88%, 9/1/19 | 3,434,633 | 3,454,444 | ||||||
5.00%,5/1/19-3/1/25 | 2,461,961 | 2,523,052 | ||||||
5.50%,9/1/19-9/1/25 | 15,967,276 | 16,322,773 | ||||||
6.00%,1/1/21-2/1/40 | 14,812,012 | 15,366,787 | ||||||
6.50%,10/1/19-1/1/34 | 3,729,968 | 4,154,375 | ||||||
7.00%,1/1/30-2/1/36 | 3,118,434 | 3,550,324 | ||||||
7.50%,2/1/27-8/1/33 | 4,366,579 | 5,031,537 | ||||||
8.50%, 7/1/32 | 14,512 | 14,677 | ||||||
9.00%, 8/1/19 | 103 | 102 | ||||||
9.50%, 11/1/21 | 63 | 63 | ||||||
| ||||||||
Federal National Mortgage Assn., Alternative Credit Enhancement Securities: | ||||||||
Series2016-M5, Cl. A1, 2.073%, 4/25/26 | 1,153,737 | 1,129,291 | ||||||
Series2017-M13, Cl. FA, 2.881% [LIBOR01M+40], 10/25/242 | 3,895,666 | 3,887,153 | ||||||
| ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 221, Cl. 2, 0.00%, 5/25/233,8 | 265,839 | 29,230 | ||||||
Series 254, Cl. 2, 99.999%, 1/25/243 | 373,931 | 47,557 | ||||||
Series 294, Cl. 2, 99.999%, 2/25/283 | 561,431 | 116,234 | ||||||
Series 301, Cl. 2, 23.008%, 4/25/293 | 208,110 | 41,695 | ||||||
Series 321, Cl. 2, 42.031%, 4/25/323 | 1,363,642 | 315,084 | ||||||
Series 324, Cl. 2, 19.057%, 7/25/323 | 440,447 | 100,821 | ||||||
Series 331, Cl. 10, 21.059%, 2/25/333 | 694,960 | 147,009 | ||||||
Series 331, Cl. 4, 0.00%, 2/25/333,5 | 458,173 | 98,712 | ||||||
Series 331, Cl. 5, 26.037%, 2/25/333 | 742,894 | 142,486 | ||||||
Series 331, Cl. 6, 8.168%, 2/25/333 | 721,832 | 139,100 | ||||||
Series 334, Cl. 10, 18.972%, 2/25/333 | 286,996 | 62,794 | ||||||
Series 339, Cl. 15, 12.031%, 10/25/333 | 246,809 | 52,191 | ||||||
Series 339, Cl. 7, 0.00%, 11/25/333,5 | 482,266 | 105,324 | ||||||
Series 351, Cl. 8, 0.00%, 4/25/343,5 | 509,150 | 114,289 | ||||||
Series 356, Cl. 10, 0.00%, 6/25/353,5 | 355,594 | 72,628 | ||||||
Series 356, Cl. 12, 0.00%, 2/25/353,5 | 175,139 | 36,168 | ||||||
Series 362, Cl. 13, 0.00%, 8/25/353,5 | 518,436 | 115,914 | ||||||
Series 364, Cl. 15, 0.00%, 9/25/353,5 | 277,280 | 59,034 | ||||||
| ||||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed | ||||||||
Security, Series 327, Cl. 1, 11.35%, 9/25/326 | 93,645 | 81,563 | ||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series1991-109, Cl. Z, 8.50%, 9/25/21 | 2,567 | 2,657 | ||||||
Series1997-16, Cl. PD, 7.00%, 3/18/27 | 432,701 | 468,658 |
13 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSUnaudited / Continued
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series1998-59, Cl. Z, 6.50%, 10/25/28 | $ | 49,118 | $ | 54,668 | ||||
Series1999-54, Cl. LH, 6.50%, 11/25/29 | 272,767 | 298,969 | ||||||
Series2001-69, Cl. PF, 3.486% [LIBOR01M+100], 12/25/312 | 261,469 | 268,539 | ||||||
Series2002-29, Cl. F, 3.486% [LIBOR01M+100], 4/25/322 | 119,381 | 122,679 | ||||||
Series2002-39, Cl. FD, 3.482% [LIBOR01M+100], 3/18/322 | 267,537 | 274,953 | ||||||
Series2002-52, Cl. FD, 2.986% [LIBOR01M+50], 9/25/322 | 223,036 | 224,741 | ||||||
Series2002-53, Cl. FY, 2.986% [LIBOR01M+50], 8/25/322 | 136,213 | 137,258 | ||||||
Series2002-64, Cl. FJ, 3.486% [LIBOR01M+100], 4/25/322 | 36,791 | 37,808 | ||||||
Series2002-65, Cl. FB, 3.486% [LIBOR01M+100], 7/25/322 | 207,745 | 213,474 | ||||||
Series2002-68, Cl. FH, 2.982% [LIBOR01M+50], 10/18/322 | 72,506 | 73,032 | ||||||
Series2002-77, Cl. TF, 3.482% [LIBOR01M+100], 12/18/322 | 435,830 | 438,569 | ||||||
Series2002-82, Cl. FE, 3.486% [LIBOR01M+100], 12/25/322 | 197,151 | 202,635 | ||||||
Series2002-90, Cl. FJ, 2.986% [LIBOR01M+50], 9/25/322 | 77,485 | 77,796 | ||||||
Series2002-90, Cl. FM, 2.986% [LIBOR01M+50], 9/25/322 | 74,505 | 75,075 | ||||||
Series2003-116, Cl. FA, 2.886% [LIBOR01M+40], 11/25/332 | 128,217 | 128,646 | ||||||
Series2003-130, Cl. CS, 9.129%[-2 x LIBOR01M+1,410], 12/25/332 | 46,582 | 47,878 | ||||||
Series2003-21, Cl. FK, 2.886% [LIBOR01M+40], 3/25/332 | 11,760 | 11,802 | ||||||
Series2004-72, Cl. FB, 2.986% [LIBOR01M+50], 9/25/342 | 1,229,636 | 1,226,256 | ||||||
Series2005-109, Cl. AH, 5.50%, 12/25/25 | 1,863,003 | 1,917,194 | ||||||
Series2005-45, Cl. XA, 2.826% [LIBOR01M+34], 6/25/352 | 1,843,527 | 1,841,997 | ||||||
Series2005-67, Cl. BF, 2.836% [LIBOR01M+35], 8/25/352 | 667,615 | 668,759 | ||||||
Series2005-85, Cl. FA, 2.836% [LIBOR01M+35], 10/25/352 | 1,343,619 | 1,341,854 | ||||||
Series2006-11, Cl. PS, 15.453%[-3.6667 x LIBOR01M+2,456.67], 3/25/362 | 255,894 | 377,783 | ||||||
Series2006-46, Cl. SW, 15.086%[-3.6665 x LIBOR01M+2,419.92], 6/25/362 | 220,443 | 315,035 | ||||||
Series2006-50, Cl. KS, 15.087%[-3.6667 x LIBOR01M+2,420], 6/25/362 | 156,597 | 226,378 | ||||||
Series2006-50, Cl. SK, 15.087%[-3.6667 x LIBOR01M+2,420], 6/25/362 | 63,615 | 91,157 | ||||||
Series2007-113, Cl. DB, 4.50%, 12/25/22 | 719,470 | 719,849 | ||||||
Series2007-79, Cl. FA, 2.936% [LIBOR01M+45], 8/25/372 | 399,592 | 399,831 | ||||||
Series2008-14, Cl. BA, 4.25%, 3/25/23 | 9,191 | 9,207 | ||||||
Series2008-15, Cl. JN, 4.50%, 2/25/23 | 95,250 | 95,320 | ||||||
Series2008-24, Cl. DY, 5.00%, 4/25/23 | 2,893 | 2,899 | ||||||
Series2008-75, Cl. DB, 4.50%, 9/25/23 | 63 | 63 | ||||||
Series2008-77, Cl. EB, 4.50%, 9/25/23 | 236,653 | 236,872 | ||||||
Series2009-113, Cl. DB, 3.00%, 12/25/20 | 119,177 | 118,700 | ||||||
Series2009-36, Cl. FA, 3.426% [LIBOR01M+94], 6/25/372 | 1,283,715 | 1,315,865 | ||||||
Series2009-70, Cl. NL, 3.00%, 8/25/19 | 1,035 | 1,031 | ||||||
Series2009-70, Cl. NT, 4.00%, 8/25/19 | 174 | 174 | ||||||
Series2009-70, Cl. TL, 4.00%, 8/25/19 | 706 | 706 | ||||||
Series2010-110, Cl. PC, 4.00%, 1/25/38 | 747,254 | 747,018 | ||||||
Series2010-115, Cl. NA, 2.75%, 1/25/39 | 4,444,944 | 4,421,945 | ||||||
Series2010-137, Cl. CJ, 2.50%, 12/25/25 | 3,561,157 | 3,551,441 | ||||||
Series2010-43, Cl. KG, 3.00%, 1/25/21 | 34,760 | 34,718 |
14 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series2010-99, Cl. DP, 3.00%, 8/25/39 | $ | 1,124,256 | $ | 1,123,991 | ||||
Series2011-104, Cl. MA, 2.50%, 10/25/26 | 307,162 | 304,514 | ||||||
Series2011-122, Cl. EC, 1.50%, 1/25/20 | 94,781 | 94,132 | ||||||
Series2011-146, Cl. BA, 3.00%, 12/25/25 | 1,020,522 | 1,024,790 | ||||||
Series2011-15, Cl. DA, 4.00%, 3/25/41 | 582,413 | 594,383 | ||||||
Series2011-3, Cl. EL, 3.00%, 5/25/20 | 90,768 | 90,444 | ||||||
Series2011-3, Cl. KA, 5.00%, 4/25/40 | 1,109,269 | 1,161,231 | ||||||
Series2011-38, Cl. AH, 2.75%, 5/25/20 | 42 | 42 | ||||||
Series2011-44, Cl. B, 4.00%, 7/25/24 | 2,229,247 | 2,299,442 | ||||||
Series2011-45, Cl. NG, 3.00%, 3/25/25 | 108,725 | 108,609 | ||||||
Series2011-45, Cl. TE, 3.00%, 3/25/25 | 227,983 | 227,823 | ||||||
Series2011-50, Cl. PA, 4.00%, 12/25/40 | 630,372 | 640,630 | ||||||
Series2011-6, Cl. BA, 2.75%, 6/25/20 | 21,679 | 21,753 | ||||||
Series2011-82, Cl. AD, 4.00%, 8/25/26 | 217,941 | 218,034 | ||||||
Series2011-90, Cl. AL, 3.50%, 9/25/23 | 347,937 | 350,717 | ||||||
Series2012-127, Cl. DH, 4.00%, 11/25/27 | 2,291,761 | 2,319,276 | ||||||
Series2012-14, Cl. BA, 3.00%, 8/25/37 | 1,404,191 | 1,405,734 | ||||||
Series2012-20, Cl. FD, 2.886% [LIBOR01M+40], 3/25/422 | 374,973 | 375,414 | ||||||
Series2012-44, Cl. KD, 3.00%, 11/25/29 | 2,060,989 | 2,063,686 | ||||||
Series2012-96, Cl. VA, 3.50%, 2/25/22 | 2,347,560 | 2,363,498 | ||||||
Series2013-100, Cl. CA, 4.00%, 3/25/39 | 5,955,202 | 6,061,488 | ||||||
Series2013-22, Cl. JA, 3.50%, 3/25/43 | 484,217 | 484,455 | ||||||
Series2014-14, Cl. A, 3.50%, 2/25/37 | 930,850 | 937,196 | ||||||
Series2014-66, Cl. QE, 2.00%, 1/25/40 | 9,064,388 | 8,957,676 | ||||||
Series2014-85, Cl. LA, 3.00%, 5/25/31 | 2,790,578 | 2,804,573 | ||||||
Series2015-61, Cl. PA, 2.00%, 5/25/44 | 2,021,949 | 1,980,578 | ||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: |
| |||||||
Series2001-63, Cl. SD, 33.36%, 12/18/313 | 179,437 | 27,471 | ||||||
Series2001-68, Cl. SC, 27.285%, 11/25/313 | 171,935 | 31,870 | ||||||
Series2001-81, Cl. S, 12.298%, 1/25/323 | 126,076 | 22,095 | ||||||
Series2002-28, Cl. SA, 12.775%, 4/25/323 | 130,877 | 23,292 | ||||||
Series2002-38, Cl. SO, 30.704%, 4/25/323 | 241,979 | 41,177 | ||||||
Series2002-39, Cl. SD, 43.101%, 3/18/323 | 259,652 | 49,373 | ||||||
Series2002-48, Cl. S, 13.349%, 7/25/323 | 198,247 | 38,093 | ||||||
Series2002-52, Cl. SD, 45.903%, 9/25/323 | 223,036 | 43,023 | ||||||
Series2002-52, Cl. SL, 11.83%, 9/25/323 | 136,665 | 25,207 | ||||||
Series2002-53, Cl. SK, 45.519%, 4/25/323 | 151,502 | 29,457 | ||||||
Series2002-56, Cl. SN, 12.562%, 7/25/323 | 269,254 | 51,737 | ||||||
Series2002-60, Cl. SM, 17.565%, 8/25/323 | 327,586 | 48,645 | ||||||
Series2002-77, Cl. IS, 39.651%, 12/18/323 | 346,360 | 68,102 | ||||||
Series2002-77, Cl. SH, 14.36%, 12/18/323 | 168,439 | 27,907 | ||||||
Series2002-9, Cl. MS, 12.721%, 3/25/323 | 203,515 | 38,973 | ||||||
Series2003-33, Cl. IA, 15.775%, 5/25/333 | 40,390 | 8,910 | ||||||
Series2003-33, Cl. SP, 9.785%, 5/25/333 | 444,636 | 86,709 | ||||||
Series2003-4, Cl. S, 7.228%, 2/25/333 | 244,983 | 48,915 | ||||||
Series2005-12, Cl. SC, 20.758%, 3/25/353 | 121,273 | 18,239 |
15 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSUnaudited / Continued
Principal Amount | Value | |||||||
| ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
| ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued) |
| |||||||
Series2005-14, Cl. SE, 13.92%, 3/25/353 | $ | 1,920,814 | $ | 249,602 | ||||
Series2005-40, Cl. SA, 26.421%, 5/25/353 | 791,997 | 126,813 | ||||||
Series2005-52, Cl. JH, 29.409%, 5/25/353 | 403,531 | 60,626 | ||||||
Series2005-63, Cl. SA, 24.641%, 10/25/313 | 663,424 | 89,183 | ||||||
Series2005-63, Cl. X, 45.931%, 10/25/313 | 7,853 | 204 | ||||||
Series2008-55, Cl. SA, 0.00%, 7/25/383,5 | 8,338 | 1,008 | ||||||
Series2009-8, Cl. BS, 0.00%, 2/25/243,5 | 5,758 | 302 | ||||||
Series2009-85, Cl. IO, 0.00%, 10/25/243,5 | 966 | 14 | ||||||
Series2011-96, Cl. SA, 5.182%, 10/25/413 | 336,614 | 53,683 | ||||||
Series2012-121, Cl. IB, 8.076%, 11/25/273 | 1,127,701 | 91,517 | ||||||
Series2012-134, Cl. SA, 0.00%, 12/25/423,5 | 1,150,235 | 217,430 | ||||||
Series2012-40, Cl. PI, 26.764%, 4/25/413 | 168,057 | 20,892 | ||||||
Series2013-2, Cl. IA, 6.92%, 2/25/433 | 796,621 | 146,080 | ||||||
Series2015-57, Cl. LI, 5.983%, 8/25/353 | 2,406,814 | 350,142 | ||||||
Series2016-45, Cl. MI, 8.547%, 7/25/463 | 715,009 | 160,458 | ||||||
Series2017-66, Cl. AS, 0.00%, 9/25/473,5 | 5,712,948 | 836,428 | ||||||
Series2018-16, Cl. NI, 0.156%, 12/25/443 | 524,953 | 79,883 | ||||||
Series2018-69, Cl. CI, 0.00%, 10/25/463,5 | 1,167,576 | 118,343 | ||||||
| ||||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series1999-3, Cl. IO, 0.00%, 10/15/293,5 | 9,899,451 | 4,318 | ||||||
Series2001-3, Cl. IO, 0.00%, 10/15/313,5 | 4,520,650 | 11,774 | ||||||
Series2002-2, Cl. IO, 0.00%, 1/15/323,8 | 12,192,636 | 19,935 | ||||||
Series2002-3, Cl. IO, 0.00%, 8/15/323,5 | 16,747,522 | 185,097 | ||||||
Series2003-1, Cl. IO, 0.00% , 11/15/323,8 | 23,598,968 | 139,425 | ||||||
|
| |||||||
| 527,128,998
|
| ||||||
| ||||||||
GNMA/Guaranteed—4.2% | ||||||||
| ||||||||
Government National Mortgage Assn.: | ||||||||
Series2010-169, Cl. CD, 3.00%, 12/16/25 | 572,547 | 578,644 | ||||||
Series2011-61, Cl. CH, 3.50%, 11/16/40 | 15,045,379 | 15,345,745 | ||||||
| ||||||||
Government National Mortgage Assn. I Pool: | ||||||||
6.50%, 1/15/24 | 21,720 | 23,854 | ||||||
7.00%,1/15/28-9/15/29 | 239,128 | 257,597 | ||||||
7.50%,6/15/28-8/15/28 | 276,481 | 281,201 | ||||||
8.00%, 9/15/28 | 5,852 | 5,863 | ||||||
| ||||||||
Government National Mortgage Assn. II Pool: | ||||||||
3.50%, 4/1/497 | 17,375,000 | 17,759,151 | ||||||
7.00%, 1/20/30 | 20,309 | 23,319 | ||||||
11.00%, 10/20/19 | 42 | 42 | ||||||
| ||||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
| |||||||
Series2002-76, Cl. SG, 31.142%, 10/16/293 | 105,090 | 253 | ||||||
Series2011-52, Cl. HS, 18.885%, 4/16/413 | 2,723,709 | 398,670 | ||||||
Series2017-136, Cl. LI, 6.988%, 9/16/473 | 2,099,477 | 408,091 | ||||||
Series2017-149, Cl. GS, 0.00%, 10/16/473,5 | 2,363,423 | 362,721 | ||||||
| ||||||||
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series2003-92, Cl. CA, 4.771%, 7/17/33 | 525,153 | 537,704 | ||||||
Series2009-66, Cl. CD, 2.50%, 8/16/39 | 2,292 | 2,290 |
16 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Principal Amount | Value | |||||||
| ||||||||
GNMA/Guaranteed (Continued) | ||||||||
| ||||||||
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) |
| |||||||
Series2014-167, Cl. WF, 2.939% [LIBOR01M+45], 7/20/442 | $ | 1,365,334 | $ | 1,364,415 | ||||
| ||||||||
Government National Mortgage Association: | ||||||||
Series2010-115, Cl. PX, 4.00%, 9/20/38 | 1,040,585 | 1,043,801 | ||||||
Series2011-82, Cl. PD, 3.50%, 4/20/40 | 2,571,225 | 2,590,888 | ||||||
Series2012-13, Cl. VK, 3.50%, 1/20/25 | 3,068,878 | 3,133,799 | ||||||
|
| |||||||
| 44,118,048
|
| ||||||
| ||||||||
Non-Agency—2.9% | ||||||||
| ||||||||
Commercial—2.5% | ||||||||
| ||||||||
BCAP LLC Trust: | ||||||||
Series2011-R11, Cl. 18A5, 4.69% [H15T1Y+210], 9/26/351,2 | 82,561 | 82,916 | ||||||
Series2012-RR6, Cl. RR6, 2.054%, 11/26/361 | 46,873 | 46,945 | ||||||
| ||||||||
Benchmark Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through | ||||||||
Certificates, Series2018-B1, Cl. XA, 10.646%, 1/15/513 | 17,822,212 | 653,806 | ||||||
| ||||||||
CD Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through | ||||||||
Certificates, Series2017-CD6, Cl. XA, 12.622%, 11/13/503 | 7,739,270 | 443,713 | ||||||
| ||||||||
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates: |
| |||||||
Series 2013-GC17, Cl. XA, 0.00%, 11/10/463,5 | 5,485,878 | 224,025 | ||||||
Series2017-C4, Cl. XA, 11.938%, 10/12/503 | 20,518,094 | 1,408,598 | ||||||
| ||||||||
Federal National Mortgage Assn., Alternative Credit Enhancement | ||||||||
Securities, Interest-Only Stripped Mtg.-Backed Security, Series2012-M18, | ||||||||
Cl. X, 0.00%, 12/25/223,5 | 125,850,724 | 1,118,888 | ||||||
| ||||||||
FREMF Mortgage Trust: | ||||||||
Series2013-K25, Cl. C, 3.623%, 11/25/451,4 | 805,000 | 810,183 | ||||||
Series2013-K26, Cl. C, 3.598%, 12/25/451,4 | 550,000 | 553,262 | ||||||
Series2013-K27, Cl. C, 3.496%, 1/25/461,4 | 850,000 | 852,398 | ||||||
Series2014-K36, Cl. C, 4.364%, 12/25/461,4 | 3,250,000 | 3,363,336 | ||||||
Series2014-K38, Cl. C, 4.635%, 6/25/471,4 | 5,250,000 | 5,442,682 | ||||||
Series 2014-K714, Cl. C, 3.855%, 1/25/471,4 | 2,500,000 | 2,525,148 | ||||||
Series 2014-K715, Cl. C, 4.122%, 2/25/461,4 | 2,205,000 | 2,232,471 | ||||||
| ||||||||
MASTR Adjustable Rate Mortgages Trust, Series2004-13, Cl. 2A2, 4.727%, 4/21/344 | 295,665 | 304,109 | ||||||
| ||||||||
Morgan Stanley Capital I, Inc., Interest-Only Commercial Mtg. Pass-Through | ||||||||
Certificates, Series2017-HR2, Cl. XA, 10.363%, 12/15/503 | 6,774,822 | 376,766 | ||||||
| ||||||||
Morgan Stanley Re-Remic Trust, Series2012-R3, Cl. 1A, 3.644%, 11/26/361,4 | 256,034 | 255,669 | ||||||
| ||||||||
Morgan Stanley Resecuritization Trust, Series2013-R9, Cl. 3A, 3.912%, 6/26/461,4 | 338,936 | 339,580 | ||||||
| ||||||||
NCUA Guaranteed Notes Trust, Series2010-A1, Cl. A, 2.842% | ||||||||
[US0001M+35], 12/7/202 | 2,479,094 | 2,482,451 | ||||||
| ||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series2004-10, Cl. 2A, 4.493%, 8/25/344 | 460,505 | 462,921 | ||||||
| ||||||||
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- | ||||||||
Through Certificates, Series2017-C5, Cl. XA, 12.272%, 11/15/503 | 13,073,142 | 805,326 |
17 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSUnaudited / Continued
Principal Amount | Value | |||||||
| ||||||||
Commercial (Continued) | ||||||||
| ||||||||
Wells Fargo Commercial Mortgage Trust, Interest-Only Commercial Mtg. | ||||||||
Pass-Through Certificates, Series2017-C42, Cl. XA, 10.338%, 12/15/503 | $ | 9,406,343 | $ | 596,948 | ||||
|
| |||||||
| 25,382,141
|
| ||||||
| ||||||||
Residential—0.4% | ||||||||
| ||||||||
Citigroup Mortgage Loan Trust, Inc., Series2014-8, Cl. 1A1, 2.778% [US0001M+29], 7/20/361,2 | 533,397 | 533,569 | ||||||
| ||||||||
GSR Mortgage Loan Trust, Series2005-AR4, Cl. 6A1, 4.329%, 7/25/354 | 446,230 | 450,785 | ||||||
| ||||||||
RALI Trust: | ||||||||
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 | 64,201 | 57,086 | ||||||
Series2007-QS6, Cl. A28, 5.75%, 4/25/37 | 913,652 | 843,523 | ||||||
| ||||||||
STACR Trust, Series 2018-HRP2, Cl. M2, 3.736% [US0001M+125], 2/25/471,2 | 1,770,000 | 1,778,254 | ||||||
| ||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 4.481%, 10/25/334 | 376,427 | 383,160 | ||||||
|
| |||||||
4,046,377 | ||||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $598,269,514) |
| 600,675,564
|
| |||||
| ||||||||
U.S. Government Obligations—37.0% | ||||||||
| ||||||||
Federal Home Loan Mortgage Corp.Nts: | ||||||||
1.875% Nts., 11/17/20 | 97,293,000 | 96,553,491 | ||||||
2.75% Nts., 6/19/23 | 40,000,000 | 40,738,106 | ||||||
| ||||||||
Federal National Mortgage Assn. Nts.: | ||||||||
1.875% Nts., 9/24/26 | 4,158,000 | 3,979,928 | ||||||
2.625% Nts., 1/11/22 | 88,851,000 | 89,717,277 | ||||||
2.875% Nts., 9/12/23 | 60,000,000 | 61,468,091 | ||||||
| ||||||||
United States Treasury Nts., 1.25%, 1/31/20 | 91,200,000 | 90,323,625 | ||||||
|
| |||||||
Total U.S. Government Obligations (Cost $379,895,563) |
| 382,780,518
|
| |||||
| ||||||||
Short-Term Notes—9.3% | ||||||||
| ||||||||
United States Treasury Bills: | ||||||||
2.396%, 6/20/199 | 22,000,000 | 21,884,663 | ||||||
2.484%, 9/19/199 | 40,000,000 | 39,551,089 | ||||||
2.493%, 8/29/199 | 35,000,000 | 34,656,890 | ||||||
|
| |||||||
Total Short-Term Notes (Cost $96,067,140) | 96,092,642 | |||||||
Shares | Value | |||||||
| ||||||||
Investment Company—1.6% | ||||||||
| ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 2.42%10,11(Cost $16,571,172) | 16,571,172 | $ | 16,571,172 | |||||
| ||||||||
Total Investments, at Value (Cost $1,164,687,850) | 113.2% | 1,170,558,960 | ||||||
| ||||||||
Net Other Assets (Liabilities) | (13.2) | (136,539,079) | ||||||
|
| |||||||
Net Assets | 100.0% | $ | 1,034,019,881 | |||||
|
|
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 $50,661,499 or 4.90% of the Fund’s net assets at period end.
2.Represents the current interest rate for a variable or increasing rate security, which may be fixed for a
18 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Footnotes to Statement of Investments (Continued)
predetermined period. The interest rate is, or will be as of an established date, determined as [Referenced Rate + Basis-point spread].
3.Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows.
These securities amount to $21,141,862 or 2.04% of the Fund’s net assets at period end.
4.This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.
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 $483,503 or 0.05% of the Fund’s net assets at period end.
7.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.
8.The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgagepre-payment speeds and are therefore subject to change.
9.Zero coupon bond reflects effective yield on the original acquisition date.
10.Rate shown is the7-day yield at period end.
11.Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:
Shares September 30, 2018 | Gross Additions | Gross Reductions | Shares March 31, 2019 | |||||||||||||
| ||||||||||||||||
Investment Company | ||||||||||||||||
Oppenheimer Institutional | ||||||||||||||||
Government Money Market Fund, | ||||||||||||||||
Cl. E | 1,000,000 | 100,478,564 | 84,907,392 | 16,571,172 | ||||||||||||
Value | Income | Realized Gain (Loss) | Change in | |||||||||||||
| ||||||||||||||||
Investment Company | ||||||||||||||||
Oppenheimer Institutional | ||||||||||||||||
Government Money Market Fund, | ||||||||||||||||
Cl. E | $ | 16,571,172 | $ | 191,782 | $ | — | $ | — |
19 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTSUnaudited / Continued
| ||||||||||||||||||||||
Futures Contracts as of March 31, 2019 | ||||||||||||||||||||||
Expiration | Number | Notional Amount | Unrealized Appreciation/ | |||||||||||||||||||
Description | Buy/Sell | Date | of Contracts | (000’s) | Value | (Depreciation) | ||||||||||||||||
| ||||||||||||||||||||||
United States Treasury Long Bonds | Buy | 6/19/19 | 66 | USD 9,732 | $ | 9,877,313 | $ | 144,967 | ||||||||||||||
United States Treasury Nts., 10 yr. | Sell | 6/19/19 | 661 | USD 81,077 | 82,108,594 | (1,031,607) | ||||||||||||||||
United States Treasury Nts., 2 yr. | Buy | 6/28/19 | 306 | USD 65,105 | 65,206,688 | 101,561 | ||||||||||||||||
United States Treasury Nts., 5 yr. | Sell | 6/28/19 | 283 | USD 32,480 | 32,779,359 | (299,288) | ||||||||||||||||
United States Ultra Bonds | Buy | 6/19/19 | 4 | USD 648 | 672,000 | 24,293 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (1,060,074) | |||||||||||||||||||||
|
|
Glossary:
Definitions
D11COF | Cost of Funds for the 11th District of San Francisco | |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
LIBOR01M | ICE LIBOR USD 1 Month | |
US0001M | ICE LIBOR USD 1 Month |
See accompanying Notes to Financial Statements.
20 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF ASSETS AND LIABILITIESMarch 31, 2019 Unaudited
|
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,148,116,678) | $ | 1,153,987,788 | ||
Affiliated companies (cost $16,571,172) | 16,571,172 | |||
|
| |||
1,170,558,960 | ||||
| ||||
Cash | 799,000 | |||
| ||||
Cash used for collateral on futures | 1,980,000 | |||
| ||||
Receivables and other assets: | ||||
Investments sold on a when-issued or delayed delivery basis | 98,666,642 | |||
Interest, dividends and principal paydowns | 3,695,956 | |||
Shares of beneficial interest sold | 2,392,713 | |||
Variation margin receivable | 260,060 | |||
Other | 285,876 | |||
|
| |||
Total assets
|
| 1,278,639,207
|
| |
| ||||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased (including $241,116,449 purchased on a when-issued or delayed delivery basis) | 243,182,118 | |||
Shares of beneficial interest redeemed | 889,293 | |||
Trustees’ compensation | 168,029 | |||
Distribution and service plan fees | 115,995 | |||
Dividends | 82,167 | |||
Variation margin payable | 78,669 | |||
Shareholder communications | 4,597 | |||
Other | 98,458 | |||
|
| |||
Total liabilities
|
| 244,619,326
|
| |
| ||||
Net Assets | $ | 1,034,019,881 | ||
|
| |||
| ||||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 237,926 | ||
| ||||
Additionalpaid-in capital | 1,080,370,115 | |||
| ||||
Total accumulated loss | (46,588,160) | |||
|
| |||
Net Assets | $ | 1,034,019,881 | ||
|
|
21 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF ASSETS AND LIABILITIESUnaudited / Continued
| ||||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $423,444,722 and 97,412,265 shares of beneficial interest outstanding) | $ | 4.35 | ||
Maximum offering price per share (net asset value plus sales charge of 2.25% of offering price)
| $
| 4.45
|
| |
| ||||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $102,225,608 and 23,564,827 shares of beneficial interest outstanding) | $ | 4.34 | ||
| ||||
Class I Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $354,332,691 and 81,558,709 shares of beneficial interest outstanding) | $ | 4.34 | ||
| ||||
Class R Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $26,355,556 and 6,068,124 shares of beneficial interest outstanding) | $ | 4.34 | ||
| ||||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $127,661,304 and 29,322,307 shares of beneficial interest outstanding) | $ | 4.35 |
See accompanying Notes to Financial Statements.
22 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
OF OPERATIONSFor Six Months Ended March 31, 2019 Unaudited
| ||||
Investment Income | ||||
Interest | $ | 12,911,192 | ||
| ||||
Fee income on when-issued securities | 1,110,857 | |||
| ||||
Dividends — affiliated companies | 191,782 | |||
|
| |||
Total investment income |
| 14,213,831
|
| |
| ||||
Expenses | ||||
Management fees | 2,135,006 | |||
| ||||
Distribution and service plan fees: | ||||
Class A | 486,579 | |||
Class C | 508,873 | |||
Class R | 63,677 | |||
| ||||
Transfer and shareholder servicing agent fees: | ||||
Class A | 349,037 | |||
Class C | 86,948 | |||
Class I | 53,999 | |||
Class R | 21,907 | |||
Class Y | 93,158 | |||
| ||||
Shareholder communications: | ||||
Class A | 8,353 | |||
Class C | 2,112 | |||
Class I | 57 | |||
Class R | 508 | |||
Class Y | 857 | |||
| ||||
Trustees’ compensation | 24,796 | |||
| ||||
Borrowing fees | 13,651 | |||
| ||||
Custodian fees and expenses | 3,222 | |||
| ||||
Other | 132,854 | |||
|
| |||
Total expenses | 3,985,594 | |||
Less waivers and reimbursements of expenses | (224,852) | |||
|
| |||
Net expenses
|
| 3,760,742
|
| |
| ||||
Net Investment Income
|
|
10,453,089
|
| |
| ||||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions in unaffiliated companies | 849,551 | |||
Futures contracts | (2,720,363) | |||
|
| |||
Net realized loss
|
| (1,870,812)
|
| |
| ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investment transactions in unaffiliated companies | 17,367,606 | |||
Futures contracts | (4,103,872) | |||
|
| |||
Net change in unrealized appreciation/(depreciation)
|
| 13,263,734
|
| |
| ||||
Net Increase in Net Assets Resulting from Operations | $ | 21,846,011 | ||
|
|
See accompanying Notes to Financial Statements.
23 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended March 31, 2019 (Unaudited) | Year Ended September 30, 20181 | |||||||
| ||||||||
Operations | ||||||||
Net investment income | $ | 10,453,089 | $ | 19,054,607 | ||||
| ||||||||
Net realized loss | (1,870,812) | (4,956,032) | ||||||
| ||||||||
Net change in unrealized appreciation/(depreciation) | 13,263,734 | (15,127,145) | ||||||
|
| |||||||
Net increase (decrease) in net assets resulting from operations |
| 21,846,011
|
|
| (1,028,570)
|
| ||
| ||||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends and distributions declared: | ||||||||
Class A | (5,810,262) | (9,450,444) | ||||||
Class B2 | — | (9,187) | ||||||
Class C | (1,047,423) | (1,591,868) | ||||||
Class I | (5,587,918) | (9,548,606) | ||||||
Class R | (325,597) | (467,260) | ||||||
Class Y | (1,678,057) | (1,953,364) | ||||||
|
| |||||||
Total dividends and distributions declared |
| (14,449,257)
|
|
| (23,020,729)
|
| ||
| ||||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | 9,106,837 | (44,357,119) | ||||||
Class B2 | — | (1,754,192) | ||||||
Class C | (1,744,469) | (22,765,538) | ||||||
Class I | (40,775,095) | 39,836,395 | ||||||
Class R | 714,313 | 769,277 | ||||||
Class Y | 36,116,149 | 26,128,930 | ||||||
|
| |||||||
Total beneficial interest transactions |
| 3,417,735
|
|
| (2,142,247)
|
| ||
| ||||||||
Net Assets | ||||||||
Total increase (decrease) | 10,814,489 | (26,191,546) | ||||||
| ||||||||
Beginning of period | 1,023,205,392 | 1,049,396,938 | ||||||
|
| |||||||
End of period | $ | 1,034,019,881 | $ | 1,023,205,392 | ||||
|
|
1. Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 2– New Accounting Pronouncements for further details.
2. Effective June 1, 2018, all Class B shares converted to Class A shares.
See accompanying Notes to Financial Statements.
24 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class A | Six Months Ended March 31, 2019 (Unaudited) | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $4.32 | $4.42 | $4.49 | $4.52 | $4.55 | $4.59 | ||||||||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.08 | 0.06 | 0.06 | 0.06 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | (0.09) | (0.05) | (0.02) | (0.00)3 | (0.02) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | 0.09 | (0.01) | 0.01 | 0.04 | 0.06 | 0.05 | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.06) | (0.09) | (0.08) | (0.07) | (0.09) | (0.09) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $4.35 | $4.32 | $4.42 | $4.49 | $4.52 | $4.55 | ||||||||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value4 | 2.13% | (0.12)% | 0.21% | 0.96% | 1.26% | 1.04% | ||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $423,445 | $411,340 | $465,903 | $545,793 | $563,832 | $596,274 | ||||||||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $411,818 | $433,988 | $497,770 | $556,423 | $576,463 | $646,216 | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||||||
Net investment income | 2.02% | 1.79% | 1.41% | 1.28% | 1.42% | 1.41% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 0.87% | 0.88% | 0.92% | 0.92% | 0.91% | 0.91% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total expenses | 0.87%7 | 0.88%7 | 0.92%7 | 0.92% | 0.91% | 0.91% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate8 | 30% | 75% | 150% | 211% | 155% | 229% |
25 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTSContinued
1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Less than $0.005 per share.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended March 31, 2019 | 0.87 | % | ||||
Year Ended September 30, 2018 | 0.88 | % | ||||
Year Ended September 30, 2017 | 0.92 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Six Months Ended March 31, 2019 | $1,913,873,337 | $1,935,836,450 | ||||||
Year Ended September 30, 2018 | $3,795,892,034 | $3,836,202,231 | ||||||
Year Ended September 30, 2017 | $3,808,381,196 | $3,786,725,701 | ||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 |
See accompanying Notes to Financial Statements.
26 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class C | Six Months Ended March 31, 2019 (Unaudited) | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $4.31 | $4.41 | $4.48 | $4.51 | $4.54 | $4.58 | ||||||||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.04 | 0.03 | 0.02 | 0.03 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | (0.08) | (0.06) | (0.01) | (0.01) | (0.02) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | 0.07 | (0.04) | (0.03) | 0.01 | 0.02 | 0.01 | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.04) | (0.06) | (0.04) | (0.04) | (0.05) | (0.05) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $4.34 | $4.31 | $4.41 | $4.48 | $4.51 | $4.54 | ||||||||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | 1.72% | (0.92)% | (0.60)% | 0.15% | 0.46% | 0.24% | ||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $102,226 | $103,237 | $128,748 | $170,883 | $177,216 | $190,398 | ||||||||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $102,565 | $114,838 | $147,398 | $177,471 | $181,572 | $208,333 | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 1.22% | 0.99% | 0.61% | 0.48% | 0.62% | 0.61% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 1.63% | 1.64% | 1.68% | 1.67% | 1.66% | 1.66% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%5 | 0.00%5 | 0.00%5 | 0.00%5 | 0.00%5 | 0.00% | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total expenses | 1.63%6 | 1.64%6 | 1.68%6 | 1.67% | 1.66% | 1.66% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate7 | 30% | 75% | 150% | 211% | 155% | 229% |
27 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTSContinued
1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Less than 0.005%.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| ||||||
Six Months Ended March 31, 2019 | 1.63 | % | ||||
Year Ended September 30, 2018 | 1.64 | % | ||||
Year Ended September 30, 2017 | 1.68 | % |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Six Months Ended March 31, 2019 | $1,913,873,337 | $1,935,836,450 | ||||||
Year Ended September 30, 2018 | $3,795,892,034 | $3,836,202,231 | ||||||
Year Ended September 30, 2017 | $3,808,381,196 | $3,786,725,701 | ||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 |
See accompanying Notes to Financial Statements.
28 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class I | Six Months Ended March 31, 2019 (Unaudited) | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $4.31 | $4.41 | $4.49 | $4.52 | $4.55 | $4.59 | ||||||||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.09 | 0.08 | 0.07 | 0.08 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | (0.08) | (0.07) | (0.01) | (0.01) | (0.02) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | 0.10 | 0.01 | 0.01 | 0.06 | 0.07 | 0.06 | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.07) | (0.11) | (0.09) | (0.09) | (0.10) | (0.10) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $4.34 | $4.31 | $4.41 | $4.49 | $4.52 | $4.55 | ||||||||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | 2.29% | 0.19% | 0.30% | 1.28% | 1.71% | 1.38% | ||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $354,333 | $392,581 | $361,508 | $363,973 | $358,985 | $445,363 | ||||||||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $360,789 | $384,400 | $363,396 | $360,944 | $447,250 | $391,818 | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 2.33% | 2.11% | 1.74% | 1.59% | 1.75% | 1.73% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 0.49% | 0.49% | 0.48% | 0.48% | 0.47% | 0.47% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%5 | 0.00%5 | 0.00%5 | 0.00%5 | 0.00%5 | 0.00% | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total expenses | 0.49%6 | 0.49%6 | 0.48%6 | 0.48% | 0.47% | 0.47% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.49%7 | 0.49%7 | 0.48%7 | 0.48% | 0.47% | 0.47% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate8 | 30% | 75% | 150% | 211% | 155% | 229% |
29 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTSContinued
1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Less than 0.005%.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| ||||||
Six Months Ended March 31, 2019 | 0.49 | % | ||||
Year Ended September 30, 2018 | 0.49 | % | ||||
Year Ended September 30, 2017 | 0.48 | % |
7. Waiver was less than 0.005%.
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Six Months Ended March 31, 2019 | $1,913,873,337 | $1,935,836,450 | ||||||
Year Ended September 30, 2018 | $3,795,892,034 | $3,836,202,231 | ||||||
Year Ended September 30, 2017 | $3,808,381,196 | $3,786,725,701 | ||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 |
See accompanying Notes to Financial Statements.
30 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class R | Six Months Ended March 31, 2019 (Unaudited) | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $4.31 | $4.41 | $4.48 | $4.51 | $4.55 | $4.59 | ||||||||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.06 | 0.05 | 0.04 | 0.05 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | (0.08) | (0.05) | (0.01) | (0.01) | (0.01) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | 0.08 | (0.02) | 0.00 | 0.03 | 0.04 | 0.04 | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.05) | (0.08) | (0.07) | (0.06) | (0.08) | (0.08) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $4.34 | $4.31 | $4.41 | $4.48 | $4.51 | $4.55 | ||||||||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value3 | 1.98% | (0.43)% | (0.10)% | 0.65% | 0.85% | 0.74% | ||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $26,355 | $25,453 | $25,258 | $31,529 | $30,218 | $33,413 | ||||||||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $25,853 | $24,956 | $27,649 | $30,885 | $31,657 | $36,387 | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 1.72% | 1.49% | 1.11% | 0.97% | 1.12% | 1.11% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 1.13% | 1.13% | 1.17% | 1.17% | 1.16% | 1.15% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%5 | 0.00%5 | 0.00%5 | 0.00%5 | 0.00%5 | 0.00% | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total expenses | 1.13%6 | 1.13%6 | 1.17%6 | 1.17% | 1.16% | 1.15% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate7 | 30% | 75% | 150% | 211% | 155% | 229% |
31 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTSContinued
1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Less than 0.005%.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| ||||||
Six Months Ended March 31, 2019 | 1.13 | % | ||||
Year Ended September 30, 2018 | 1.13 | % | ||||
Year Ended September 30, 2017 | 1.17 | % |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Six Months Ended March 31, 2019 | $1,913,873,337 | $1,935,836,450 | ||||||
Year Ended September 30, 2018 | $3,795,892,034 | $3,836,202,231 | ||||||
Year Ended September 30, 2017 | $3,808,381,196 | $3,786,725,701 | ||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 |
See accompanying Notes to Financial Statements.
32 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Class Y | Six Months Ended March 31, 2019 (Unaudited) | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 20151 | Year Ended September 30, 20141 | ||||||||||||||||||
| ||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $4.32 | $4.42 | $4.50 | $4.53 | $4.56 | $4.58 | ||||||||||||||||||
| ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.09 | 0.08 | 0.07 | 0.08 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | (0.08) | (0.07) | (0.01) | (0.01) | 0.003 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from investment operations | 0.10 | 0.01 | 0.01 | 0.06 | 0.07 | 0.08 | ||||||||||||||||||
| ||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.07) | (0.11) | (0.09) | (0.09) | (0.10) | (0.10) | ||||||||||||||||||
| ||||||||||||||||||||||||
Net asset value, end of period | $4.35 | $4.32 | $4.42 | $4.50 | $4.53 | $4.56 | ||||||||||||||||||
|
| |||||||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Total Return, at Net Asset Value4 | 2.28% | 0.18% | 0.29% | 1.26% | 1.57% | 1.78% | ||||||||||||||||||
| ||||||||||||||||||||||||
| ||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $127,661 | $90,594 | $66,206 | $51,914 | $48,028 | $35,442 | ||||||||||||||||||
| ||||||||||||||||||||||||
Average net assets (in thousands) | $110,266 | $80,120 | $58,767 | $57,294 | $40,668 | $60,953 | ||||||||||||||||||
| ||||||||||||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||||||
Net investment income | 2.32% | 2.09% | 1.73% | 1.58% | 1.72% | 1.77% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 0.63% | 0.64% | 0.68% | 0.68% | 0.66% | 0.66% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total expenses | 0.63%7 | 0.64%7 | 0.68%7 | 0.68% | 0.66% | 0.66% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | ||||||||||||||||||
| ||||||||||||||||||||||||
Portfolio turnover rate8 | 30% | 75% | 150% | 211% | 155% | 229% |
33 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTSContinued
1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Less than $0.005 per share.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| ||||||
Six Months Ended March 31, 2019 | 0.63 | % | ||||
Year Ended September 30, 2018 | 0.64 | % | ||||
Year Ended September 30, 2017 | 0.68 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
| ||||||||
Six Months Ended March 31, 2019 | $1,913,873,337 | $1,935,836,450 | ||||||
Year Ended September 30, 2018 | $3,795,892,034 | $3,836,202,231 | ||||||
Year Ended September 30, 2017 | $3,808,381,196 | $3,786,725,701 | ||||||
Year Ended September 30, 2016 | $2,885,579,349 | $2,865,270,817 | ||||||
Year Ended September 30, 2015 | $4,772,687,222 | $4,772,841,445 | ||||||
Year Ended September 30, 2014 | $3,062,315,364 | $3,194,025,891 |
See accompanying Notes to Financial Statements.
34 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSMarch 31, 2019 Unaudited
1. Organization
Oppenheimer Limited-Term Government Fund (the “Fund”) is a diversifiedopen-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 asub-advisory agreement with OFI.
The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares were permitted. Reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds were permitted through May 31, 2018. Effective June 1, 2018 (the “Conversion Date”), all Class B shares converted to Class A shares. Class A shares are sold at their offering price, which is normally net asset value plus afront-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without afront-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either afront-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, C and R shares have, and Class B shares had, separate distribution and/or service plans under which they pay, and Class B shares paid, fees. Class I and Class Y shares do not pay such fees. Previously issued Class B shares automatically converted to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
2. Significant Accounting Policies
Security Valuation.All investments in securities are recorded at their estimated fair value, as described in Note 3.
Allocation of Income, Expenses, Gains and Losses.Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
35 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
2. Significant Accounting Policies (Continued)
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 theex-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 determined necessary by the Manager.
The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income.Dividend income is recorded on theex-dividend date or uponex-dividend notification in the case of certain foreign dividends where theex-dividend date may have passed.Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations. Interest income, if any, is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdraft at a rate equal to the Prime Rate plus 0.35%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications.The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes.The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open
36 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
2. Significant Accounting Policies (Continued)
for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions for the fiscal year ended September 30, 2018, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.
During the fiscal year ended September 30, 2018, the Fund did not utilize anycapital loss carryforwards to offset capital gains realized in that fiscal year.Capital losses will be carried forward to future years if not offset by gains.
At period end, it is estimated that the capital loss carryforwards would be $51,352,543, which will not expire.The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 1,164,687,850 | ||
Federal tax cost of other investments | (38,071,878) | |||
|
| |||
Total federal tax cost | $ | 1,126,615,972 | ||
|
| |||
Gross unrealized appreciation | $ | 12,298,063 | ||
Gross unrealized depreciation | (7,487,027) | |||
|
| |||
Net unrealized appreciation | $ | 4,811,036 | ||
|
|
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.
New Accounting Pronouncements. In March 2017, Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”), ASU2017-08. This provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2018, and
37 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
2. Significant Accounting Policies (Continued)
interim periods within those annual periods. The Manager has evaluated the impacts of these changes on the financial statements and there are no material impacts.
During August 2018, the Securities and Exchange Commission (the “SEC”) issued Final Rule ReleaseNo. 33-10532 (the “Rule”), Disclosure Update and Simplification. The rule amends certain financial statement disclosure requirements to conform to U.S. GAAP. The amendments to Rule6-04.17 of RegulationS-X (balance sheet) remove the requirement to separately state the book basis components of net assets: undistributed (over-distribution of) net investment income (“UNII”), accumulated undistributed net realized gains (losses), and net unrealized appreciation (depreciation) at the balance sheet date. Instead, consistent with U.S. GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule6-09 of RegulationS-X (statement of changes in net assets) remove the requirement to separately state the sources of distributions paid. Instead, consistent with U.S. GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed. The amendments also remove the requirement to parenthetically state the book basis amount of UNII on the statement of changes in net assets. The requirements of the Rule were effective November 5, 2018, and the Fund’s Statement of Assets and Liabilities and Statement of Changes in Net Assets for the current reporting period have been modified accordingly. In addition, certain amounts within the Fund’s Statement of Changes in Net Assets for the prior fiscal period have been modified to conform to the Rule.
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” or “NYSE”) 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 theday-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 least quarterly or more frequently, if necessary.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt
38 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
3. Securities Valuation (Continued)
securities, short-term notes, 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. Pricing services generally price debt securities assuming orderly transactions of an institutional “round lot” size, but some trades may occur in smaller, “odd lot” sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of the security, are fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Those standardized fair valuation methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs may be used in determining the value of each of the Fund’s investments as of the reporting period end.
These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level2-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.)
39 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
3. Securities Valuation (Continued)
3) Level3-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 Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:
Level 1— Unadjusted Quoted Prices | Level 2— Other Significant | Level 3— Significant Unobservable Inputs | Value | |||||||||||||
| ||||||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 74,439,064 | $ | — | $ | 74,439,064 | ||||||||
Mortgage-Backed Obligations | — | 600,675,564 | — | 600,675,564 | ||||||||||||
U.S. Government Obligations | — | 382,780,518 | — | 382,780,518 | ||||||||||||
Short-Term Notes | — | 96,092,642 | — | 96,092,642 | ||||||||||||
Investment Company | 16,571,172 | — | — | 16,571,172 | ||||||||||||
|
| |||||||||||||||
Total Investments, at Value | 16,571,172 | 1,153,987,788 | — | 1,170,558,960 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures contracts | 270,821 | — | — | 270,821 | ||||||||||||
|
| |||||||||||||||
Total Assets | $ | 16,841,993 | $ | 1,153,987,788 | $ | — | $ | 1,170,829,781 | ||||||||
|
| |||||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures contracts | $ | (1,330,895) | $ | — | $ | — | $ | (1,330,895) | ||||||||
|
| |||||||||||||||
Total Liabilities | $ | (1,330,895) | $ | — | $ | — | $ | (1,330,895) | ||||||||
|
|
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.
For the reporting period, there were no transfers between levels.
4. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager or an affiliate of the Manager (“Affiliated Funds”). Affiliated Funds are management investment companies registered under the 1940 Act, as amended. Unless otherwise stated, the Manager is the investment adviser of, and theSub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Statement of Investments. Shares of
40 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
4. Investments and Risks (Continued)
Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Investments in Money Market Instruments.The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (“IGMMF”), which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.
Securities on a When-Issued or Delayed Delivery Basis.The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
When-Issued or Delayed Delivery Basis Transactions | ||||
| ||||
Purchased securities | $241,116,449 | |||
Sold securities | 98,666,642 |
The Fund may enter into “forward roll” transactions with respect to mortgage-related
41 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
4. Investments and Risks (Continued)
securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
At period end, the counterparty pledged $1,003,000 of collateral to the Fund for forward roll transactions.
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or 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
42 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
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 bilateralover-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
43 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
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 may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
During the reporting period, the Fund had an ending monthly average market value of $19,803,294 and $317,531,345 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Counterparty Credit Risk.Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than
44 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
6. Use of Derivatives (Continued)
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 apro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral.Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:
45 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
6. Use of Derivatives (Continued)
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 | $ | 260,060 | * | Variation margin payable | $ | 78,669 | * |
*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Change in Realized Gain or (Loss) Recognized on Derivatives | ||||
| ||||
Derivatives Not Accounted for as Hedging Instruments | Futures contracts | |||
| ||||
Interest rate contracts | $ | (2,720,363) | ||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
| ||||
Derivatives Not Accounted for as Hedging Instruments | Futures contracts | |||
| ||||
Interest rate contracts | $ | (4,103,872) |
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2019 | Year Ended September 30, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold1 | 11,538,611 | $ | 49,859,641 | 11,504,396 | $ | 50,072,031 | ||||||||||
Dividends and/or distributions reinvested | 1,264,831 | 5,467,225 | 2,043,616 | 8,886,513 | ||||||||||||
Redeemed | (10,702,116 | ) | (46,220,029 | ) | (23,730,946 | ) | (103,315,663 | ) | ||||||||
Net increase (decrease) | 2,101,326 | $ | 9,106,837 | (10,182,934 | ) | $ | (44,357,119 | ) | ||||||||
Class B | ||||||||||||||||
Sold | — | $ | — | 4,765 | $ | 20,911 | ||||||||||
Dividends and/or distributions reinvested | — | — | 2,088 | 9,124 | ||||||||||||
Redeemed1 | — | — | (408,498 | ) | (1,784,227 | ) | ||||||||||
Net decrease | — | $ | — | (401,645 | ) | $ | (1,754,192 | ) | ||||||||
46 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
7. Shares of Beneficial Interest (Continued)
Six Months Ended March 31, 2019 | Year Ended September 30, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C | ||||||||||||||||
Sold | 3,069,062 | $ | 13,226,373 | 2,683,679 | $ | 11,683,153 | ||||||||||
Dividends and/or distributions reinvested | 235,588 | 1,016,367 | 353,749 | 1,537,106 | ||||||||||||
Redeemed | (3,709,653 | ) | (15,987,209 | ) | (8,279,259 | ) | (35,985,797 | ) | ||||||||
Net decrease | (405,003 | ) | $ | (1,744,469 | ) | (5,241,831 | ) | $ | (22,765,538 | ) | ||||||
Class I | ||||||||||||||||
Sold | 9,211,991 | $ | 39,773,543 | 38,786,612 | $ | 168,929,671 | ||||||||||
Dividends and/or distributions reinvested | 1,286,509 | 5,558,819 | 2,196,750 | 9,546,461 | ||||||||||||
Redeemed | (19,946,737 | ) | (86,107,457 | ) | (31,873,908 | ) | (138,639,737 | ) | ||||||||
Net increase (decrease) | (9,448,237 | ) | $ | (40,775,095 | ) | 9,109,454 | $ | 39,836,395 | ||||||||
Class R | ||||||||||||||||
Sold | 868,272 | $ | 3,748,398 | 1,567,357 | $ | 6,826,192 | ||||||||||
Dividends and/or distributions reinvested | 70,689 | 305,310 | 99,866 | 433,941 | ||||||||||||
Redeemed | (773,477 | ) | (3,339,395 | ) | (1,488,809 | ) | (6,490,856 | ) | ||||||||
Net increase | 165,484 | $ | 714,313 | 178,414 | $ | 769,277 | ||||||||||
Class Y | ||||||||||||||||
Sold | 20,563,808 | $ | 88,886,227 | 14,977,654 | $ | 65,250,590 | ||||||||||
Dividends and/or distributions reinvested | 357,845 | 1,549,382 | 421,629 | 1,835,038 | ||||||||||||
Redeemed | (12,559,108 | ) | (54,319,460 | ) | (9,407,797 | ) | (40,956,698 | ) | ||||||||
Net increase | 8,362,545 | $ | 36,116,149 | 5,991,486 | $ | 26,128,930 | ||||||||||
1.All outstanding Class B shares converted to Class A shares on June 1, 2018.
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:
Purchases | Sales | |||||||
Investment securities | $81,545,113 | $70,285,971 | ||||||
U.S. government and government agency obligations | 180,488,169 | 287,873,275 | ||||||
To Be Announced (TBA) mortgage-related securities | 1,913,873,337 | 1,935,836,450 |
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:
47 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
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 theSub-Adviser to provide theday-to-day portfolio management of the Fund. Under theSub-Advisory Agreement, the Manager pays theSub-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 theSub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees.OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets, which shall be calculated after any applicable fee waivers. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees.The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the“Sub-Transfer Agent”), to provide theday-to-day transfer agent and shareholder servicing of the Fund. Under theSub-Transfer Agency Agreement, the Transfer Agent pays theSub-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 theSub-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.
48 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
9. Fees and Other Transactions with Affiliates (Continued)
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 Rule12b-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 C and Class R Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class C and Class R shares, pursuant to Rule12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class 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 C | Class R | ||||||||||||||
Class A | Contingent | Contingent | Contingent | |||||||||||||
Front-End | Deferred | Deferred | Deferred | |||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | |||||||||||||
Retained by | Retained by | Retained by | Retained by | |||||||||||||
Six Months Ended | Distributor | Distributor | Distributor | Distributor | ||||||||||||
| ||||||||||||||||
March 31, 2019 | $16,680 | $454 | $2,175 | $— |
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
49 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTSUnaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
Class C shares, 1.10% for Class R shares and 0.50% for Class Y shares, as calculated on the daily net assets of the Fund. The expense limitations do not include extraordinary expenses, interest and fees from borrowing, and other expenses not incurred in the ordinary course of the Fund’s business.
During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:
Class A | $ | 133,363 | ||
Class C | 11,752 | |||
Class R | 2,841 | |||
Class Y | 69,194 |
This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $7,702 for IGMMF management fees.
10. Borrowings and Other Financing
Joint Credit Facility.A number of mutual funds managed by the Manager participate in a $1.95 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.
11. Pending Acquisition
On October 18, 2018, Massachusetts Mutual Life Insurance Company, an indirect corporate parent of theSub-Adviser and the Manager, announced that it has entered into an agreement whereby Invesco Ltd. (“Invesco”), a global investment management company, will acquire theSub-Adviser (the “Transaction”). In connection with the Transaction, on January 11, 2019, the Fund’s Board unanimously approved an Agreement and Plan of Reorganization (the “Agreement”), which provides for the transfer of the assets and liabilities of the Fund to a corresponding, newly formed fund (the “Acquiring Fund”) in the Invesco family of funds (the “Reorganization”) in exchange for shares of the corresponding Acquiring Fund of equal value to the value of the shares of the Fund as of the close of business on the closing date. Although the Acquiring Fund will be managed by Invesco Advisers, Inc., the Acquiring Fund will, as of the closing date, have the same investment objective and substantially similar principal investment strategies and risks as the Fund. After the Reorganization, Invesco Advisers, Inc. will be the investment adviser to the Acquiring Fund, and the Fund will be liquidated and dissolved under applicable law and terminate its registration under the Investment Company
50 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
11. Pending Acquisition (Continued)
Act of 1940, as amended. The Reorganization is expected to be atax-free reorganization for U.S. federal income tax purposes.
As of 5 p.m. Eastern Standard Time on April 12, 2019, the Reorganization has been approved by shareholders of record of the Fund as of January 14, 2019. Accordingly, if certain other closing conditions are satisfied or waived, the Reorganization is currently expected to close on or about May 24, 2019, or as soon as practicable thereafter. This is subject to change.
51 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES;
UPDATES TO STATEMENT OF INVESTMENTSUnaudited
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 FormN-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 FormN-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 FormN-Q. The Fund’s FormN-Q filings are available on the SEC’s website at www.sec.gov. Beginning in April 2019, the Fund will no longer file FormN-Qs and will instead disclose its portfolio holdings monthly on FormN-PORT, which will also be available on the SEC’s website at www.sec.gov.
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 at1.800.CALL-OPP(225-5677).You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
52 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
For any distribution that took place over the last six months of the Fund’s reporting period, the table below details on aper-share basis the percentage of the Fund’s total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. Other capital sources represent a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.” You should not draw any conclusions about the Fund’s investment performance from the amounts of these distributions. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. If the Fund (or an underlying fund in which the Fund invests) invests in real estate investment trusts (REITs) and/or master limited partnerships (MLPs), the percentages attributed to each category are estimated using historical information because the character of the amounts received from the REITs and/or MLPs in which the Fund (or underlying fund) invests is unknown until after the end of the calendar year. Because the Fund is actively managed, the relative amount of the Fund’s total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive IRS tax forms in the first quarter of each calendar year detailing the actual amount of the taxable andnon-taxable portion of distributions paid to you during the tax year.
For the most current information, please go to oppenheimerfunds.com. Select your Fund, and scroll down to the ‘Dividends’ table under ‘Analytics’.
Other | ||||||||||||||||
Pay | Net Profit | Capital | ||||||||||||||
Fund Name | Date | Net Income | from Sale | Sources | ||||||||||||
| ||||||||||||||||
Oppenheimer Limited-Term Government Fund | 12/31/18 | 29.8% | 0.0% | 70.2% | ||||||||||||
|
53 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
Trustees and Officers | Robert J. Malone, Chairman of the Board of Trustees and Trustee | |
Andrew J. Donohue, Trustee | ||
Richard F. Grabish, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Victoria J. Herget, Trustee | ||
Karen L. Stuckey, Trustee | ||
James D. Vaughn, Trustee | ||
Arthur P. Steinmetz, Trustee, President and Principal Executive Officer | ||
Peter Strzalkowski, Vice President | ||
Cynthia Lo Bessette, Secretary and Chief Legal Officer | ||
Jennifer Foxson, Vice President and Chief Business Officer | ||
Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money | ||
Laundering Officer | ||
Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer | ||
Manager | OFI Global Asset Management, Inc. | |
Sub-Adviser | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder | OFI Global Asset Management, Inc. | |
Servicing Agent | ||
Sub-Transfer Agent | Shareholder Services, Inc. | |
DBA OppenheimerFunds Services | ||
Independent Registered | KPMG LLP | |
Public Accounting Firm | ||
Legal Counsel | Ropes & Gray LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2019 OppenheimerFunds, Inc. All rights reserved.
54 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
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 obtainnon-public personal information about our shareholders from the following sources:
● Applications or other forms.
● When you create a user ID and password for online account access.
● When you enroll in eDocs Direct,SM our electronic document delivery service.
● Your transactions with us, our affiliates or others.
● Technologies on our website, including: “cookies” and web beacons, which are used to collect data on the pages you visit and the features you use.
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide better service for our website visitors.
Protection of Information
We do not disclose anynon-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
55 OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PRIVACY NOTICEContinued
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 innon-secure emails, and we advise you not to send such information to us innon-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
● All transactions conducted via our websites, including redemptions, exchanges and purchases, are secured by the highest encryption standards available. 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 closing your browser or, for added security, you can use the Log Out button before you close your browser.
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Strengthening your online credentials–your online security profile–typically your user name, password, and security questions and answers, can be one of your most important lines of defense on the Internet. For additional information on how you can help prevent identity theft, visit https://www.oppenheimerfunds.com/security.
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 as of November 2017. 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, email us by clicking on theContact Us section of our website at oppenheimerfunds.com, write to us at P.O. Box 5270, Denver, CO 80217-5270, or call us at800 CALL OPP (225 5677).
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Visit us at oppenheimerfunds.com for24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for24-hr automated information and automated transactions. Representatives also available Mon–Fri8am-8pm ET.
| ||||
Visit Us oppenheimerfunds.com
Call Us 800 225 5677
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![]() | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2019 OppenheimerFunds Distributor, Inc. All rights reserved.
RS0855.001.0319 May 15, 2019 |
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this FormN-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-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 rule30a-3(c) under the Investment Company Act of 1940 (17 CFR270.30a-3(c)) as of 3/31/2019, 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 most recent fiscal half-year 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. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) (1) Exhibit attached hereto.
(2) Exhibits attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Limited-Term Government Fund
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 5/17/2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Arthur P. Steinmetz | |
Arthur P. Steinmetz | ||
Principal Executive Officer | ||
Date: | 5/17/2019 |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: | 5/17/2019 |