UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-4563
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OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
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(Exact name of registrant as specified in charter)
6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924
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(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: SEPTEMBER 30
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Date of reporting period: 03/31/2007
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ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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TOP FIVE HOLDINGS BY ISSUER
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Federal National Mortgage Assn. 50.1%
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Federal Home Loan Mortgage Corp. 18.5
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Federal Home Loan Bank 6.2
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Government National Mortgage Assn. 1.4
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Argent Securities Trust 1.0
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2007, and are based on the total market value of investments. For more
current Fund holdings, please visit www.oppenheimerfunds.com.
CREDIT ALLOCATION
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Agency 57.5%
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AAA 35.0
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Not Rated 7.5
Portfolio holdings and allocations are subject to change. Percentages are as of
March 31, 2007, and are subject to change, and based on the total market value
of investments. While the Fund seeks to maintain an average effective maturity
of 3 years, the Fund may invest in securities of any maturity, including those
issued by federally chartered mortgage companies whose interest and principal
repayments are not guaranteed by the U.S. Government. U.S. Treasury securities
are not rated but are deemed to have the highest rating equivalency.
11 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE
FUND'S INVESTMENT OBJECTIVES, RISKS AND OTHER CHARGES AND EXPENSES CAREFULLY
BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION
ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US
AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE
PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 3/10/86. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 3.50%.
CLASS B shares of the Fund were first publicly offered on 5/3/93. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 4% (1-year) and 1% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the 10-year return for Class B uses
Class A performance for the period after conversion. Class B shares are subject
to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 2/1/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the 1-year
period. Class N shares are subject to an annual 0.25% asset-based sales charge.
12 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
13 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FUND EXPENSES
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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,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended March 31, 2007.
ACTUAL EXPENSES. The "actual" lines of the table provide information about
actual account values and actual expenses. You may use the information on this
line 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 "actual" line under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES. The "hypothetical" lines of the
table provide 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 before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing
in the Fund and other funds. To do so, compare this 5% hypothetical example for
the class of shares you hold with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front-end
or contingent deferred sales charges (loads), or a $12.00 fee imposed annually
on accounts valued at less than $500.00 (subject to exceptions described in the
Statement of Additional Information). Therefore, the "hypothetical" lines of
14 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FUND EXPENSES
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the table are 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.
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(10/1/06) (3/31/07) MARCH 31, 2007
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Class A Actual $1,000.00 $1,026.50 $3.54
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Class A Hypothetical 1,000.00 1,021.44 3.53
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Class B Actual 1,000.00 1,022.70 7.34
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Class B Hypothetical 1,000.00 1,017.70 7.32
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Class C Actual 1,000.00 1,022.70 7.34
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Class C Hypothetical 1,000.00 1,017.70 7.32
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Class N Actual 1,000.00 1,025.20 4.81
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Class N Hypothetical 1,000.00 1,020.19 4.80
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Class Y Actual 1,000.00 1,027.70 2.28
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Class Y Hypothetical 1,000.00 1,022.69 2.27
Hypothetical assumes 5% annual return before expenses.
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 the one-half year period). Those annualized expense ratios based on
the 6-month period ended March 31, 2007 are as follows:
CLASS EXPENSE RATIOS
- --------------------------------
Class A 0.70%
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Class B 1.45
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Class C 1.45
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Class N 0.95
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Class Y 0.45
The expense ratios reflect voluntary waivers or reimbursements of expenses by
the Fund's Manager that can be terminated at any time, without advance notice.
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.
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15 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS March 31, 2007 / Unaudited
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--9.1%
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Ace Securities Corp. Home Equity Loan Trust, Asset-Backed
Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.50%, 11/25/35 1 $ 4,240,000 $ 4,243,733
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Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 5.38%, 4/20/08 1 2,750,000 2,751,243
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Ameriquest Mortgage Securities, Inc., Home Equity Mtg. Obligations,
Series 2006-R1, Cl. A2B, 5.46%, 3/25/36 1 9,000,000 9,007,835
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Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates,
Series 2004-W8, Cl. A2, 5.80%, 5/25/34 1 10,300,555 10,340,241
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Argent Securities Trust 2006-W1, Asset-Backed Pass-Through Certificates,
Series 2006-W1, Cl. A2B, 5.48%, 3/25/36 1 9,860,000 9,867,054
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Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed
Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 10,070,000 9,997,670
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CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates,
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 7,550,000 7,527,534
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CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates:
Series 2005-17, Cl. 1AF1, 5.52%, 5/25/36 1 2,318,039 2,319,618
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,950,000 1,943,888
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CWABS Asset-Backed Certificates Trust 2005-6, Asset-Backed Certificates,
Series 2005-6, Cl. 2A2, 5.55%, 12/25/35 1 13,366,485 13,384,043
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CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates,
Series 2006-25, Cl. 2A2, 5.44%, 12/25/29 1 3,940,000 3,939,102
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First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates,
Series 2005-FF10, Cl. A3, 5.53%, 11/25/35 1 12,626,000 12,637,315
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First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates,
Series 2006-FF10, Cl. A3, 5.41%, 7/25/36 1 5,695,000 5,695,035
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First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates,
Series 2006-FF5, Cl. 2A1, 5.37%, 5/15/36 1 2,207,249 2,208,722
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First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates,
Series 2006-FF9, Cl. 2A2, 5.43%, 7/7/36 1 2,890,000 2,890,672
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Household Home Equity Loan Trust, Home Equity Loan Pass-Through
Certificates:
Series 2005-3, Cl. A1, 5.58%, 1/20/35 1 3,674,097 3,674,788
Series 2006-4, Cl. A2V, 5.43%, 3/20/36 1,2 1,435,000 1,434,711
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Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 3,863,594 3,840,862
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 4,194,238 4,178,843
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 3,399,082 3,386,663
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Merrill Lynch Mortgage Investors, Inc., Home Equity Asset-Backed Securities,
Series 2006-WMC1, Cl. A2B, 5.46%, 1/25/37 1 4,930,000 4,933,066
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Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates,
Series 2005-WMC6, Cl. A2B, 5.58%, 7/25/35 1 3,550,000 3,555,221
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Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through
Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 3,047,000 3,059,346
16 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-RS4, Cl. A1, 5.40%, 7/25/36 1 $ 2,544,338 $ 2,545,922
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Specialty Underwriting & Residential Finance Trust, Home Equity
Asset-Backed Obligations, Series 2006-BC1, Cl. A2B, 5.47%, 12/25/36 1 15,840,000 15,851,402
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Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates:
Series 2006-1, Cl. A2, 5.45%, 1/25/36 1 9,860,000 9,855,466
Series 2006-2, Cl. A1, 5.38%, 4/25/36 1 2,131,727 2,132,546
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Structured Asset Securities Corp., Mtg. Pass-Through Certificates:
Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 102,917 102,623
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 5,615,370 5,605,913
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Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust,
Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2,
5.42%, 7/25/36 1 5,630,000 5,628,851
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Total Asset-Backed Securities (Cost $168,725,774) 168,539,928
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MORTGAGE-BACKED OBLIGATIONS--71.7%
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GOVERNMENT AGENCY--62.1%
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FHLMC/FNMA/SPONSORED--60.7%
Fannie Mae Whole Loan, CMO Pass-Through Certificates,
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 12,204,826 12,627,925
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Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19 659,170 639,757
5%, 8/1/33 21,017,714 20,372,364
6%, 5/1/18-10/1/29 37,318,795 37,969,941
6.50%, 4/1/18-12/1/30 18,530,079 19,047,633
7%, 8/1/16-4/1/32 4,150,387 4,303,971
7.50%, 2/1/32-4/1/36 17,468,001 18,315,219
8%, 4/1/16 2,909,217 3,068,665
8.50%, 3/1/31 539,853 580,073
9%, 8/1/22-5/1/25 771,070 827,496
9.25%, 11/1/08 586 586
10%, 12/25/10-8/1/21 262,338 279,321
11%, 11/1/20 199,320 224,763
11.50%, 2/1/16-11/17/20 364,320 402,399
11.75%, 1/1/16-4/1/19 65,249 71,206
12%, 6/1/15 57,360 62,631
12.50%, 7/1/19 146,152 160,549
13%, 8/1/15 160,433 176,999
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Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass
Mtg. Participation Certificates:
Series 1095, Cl. D, 6.025%, 6/15/21 1 24,647 24,656
Series 2035, Cl. PC, 6.95%, 3/15/28 3,641,465 3,766,450
Series 2368, Cl. TG, 6%, 10/15/16 929,105 946,110
Series 2410, Cl. PF, 6.30%, 2/15/32 1 8,017,419 8,213,249
Series 2435, Cl. EQ, 6%, 5/15/31 7,908,000 7,964,132
17 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass
Mtg. Participation Certificates: Continued
Series 2641, Cl. CE, 3.50%, 9/15/25 $ 4,175,385 $ 4,078,119
Series 2727, Cl. UA, 3.50%, 10/15/22 2,348,427 2,309,753
Series 2736, Cl. DB, 3.30%, 11/15/26 18,241,548 17,703,198
Series 2777, Cl. PJ, 4%, 5/15/24 2,413,455 2,381,636
Series 2934, Cl. NA, 5%, 4/15/24 6,316,768 6,291,387
Series 3138, Cl. PA, 5.50%, 2/15/27 24,335,141 24,429,276
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Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 1695, Cl. F, 5.762%, 3/15/24 1 5,736,010 5,811,208
Series 2006-11, Cl. PS, 5.06%, 3/25/36 1 3,231,242 3,240,554
Series 2055, Cl. ZM, 6.50%, 5/15/28 4,036,439 4,115,822
Series 2080, Cl. Z, 6.50%, 8/15/28 2,619,792 2,685,471
Series 2084, Cl. ZC, 6.50%, 8/15/28 2,313,586 2,359,968
Series 2132, Cl. FN, 6.22%, 3/15/29 1 4,726,400 4,803,842
Series 2195, Cl. LH, 6.50%, 10/15/29 7,441,432 7,636,539
Series 2220, Cl. PD, 8%, 3/15/30 901,398 948,691
Series 2281, Cl. Z, 6.50%, 2/15/31 10,779,930 11,135,828
Series 2319, Cl. BZ, 6.50%, 5/15/31 16,787,403 17,334,759
Series 2326, Cl. ZP, 6.50%, 6/15/31 4,405,051 4,521,293
Series 2344, Cl. FP, 6.27%, 8/15/31 1 2,773,639 2,832,035
Series 2387, Cl. PD, 6%, 4/15/30 222,776 222,921
Series 2464, Cl. FI, 6.32%, 2/15/32 1 2,346,047 2,407,156
Series 2470, Cl. LF, 6.32%, 2/15/32 1 2,400,208 2,464,410
Series 2471, Cl. FD, 6.32%, 3/15/32 1 4,349,883 4,470,865
Series 2500, Cl. FD, 5.82%, 3/15/32 1 1,902,304 1,921,567
Series 2526, Cl. FE, 5.72%, 6/15/29 1 2,829,809 2,856,342
Series 2530, Cl. FD, 5.82%, 2/15/32 1 3,789,179 3,810,796
Series 2550, Cl. FI, 5.67%, 11/15/32 1 2,722,495 2,751,064
Series 2551, Cl. FD, 5.72%, 1/15/33 1 2,200,680 2,221,956
Series 2583, Cl. KA, 5.50%, 3/15/22 66,775 66,681
Series 2583, Cl. PA, 5.50%, 3/15/22 796,645 795,519
Series 2662, Cl. DK, 4%, 2/15/16 26,415,178 26,173,646
Series 2832, Cl. PA, 4.50%, 4/15/19 10,630,676 10,592,952
Series 3025, Cl. SJ, 5.243%, 8/15/35 1 701,077 713,553
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Federal Home Loan Mortgage Corp., CMO Pass-Through Participation
Certificates, Series 151, Cl. F, 9%, 5/15/21 90,288 90,059
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Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. IO, 12.11%, 7/1/26 3 5,220,108 1,149,112
Series 192, Cl. IO, 13.837%, 2/1/28 3 1,170,209 278,027
Series 200, Cl. IO, 12.225%, 1/1/29 3 1,372,248 306,160
Series 2003-118, Cl. S, 8.73%, 12/25/33 3 16,319,848 1,946,362
Series 2005-87, Cl. SG, 9.456%, 10/25/35 3 25,188,648 1,502,359
Series 205, Cl. IO, 9.146%, 9/1/29 3 7,040,811 1,591,180
18 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security: Continued
Series 206, Cl. IO, (8.366)%, 12/1/29 3 $ 328,973 $ 78,227
Series 2074, Cl. S, (0.522)%, 7/17/28 3 1,488,128 150,321
Series 2079, Cl. S, (1.163)%, 7/17/28 3 2,396,195 265,614
Series 216, Cl. IO, 12.223%, 12/1/31 3 1,784,279 384,688
Series 218, Cl. IO, 15.094%, 2/1/32 3 2,687,342 604,187
Series 224, Cl. IO , 7.682%, 3/1/33 3 5,088,997 1,141,579
Series 243, Cl. 6, 26.368%, 12/15/32 3 3,425,185 776,908
Series 2470, Cl. AS, 10.397%, 3/15/32 3 2,277,008 209,178
Series 2493, Cl. S, 4.512%, 9/15/29 3 1,868,234 173,411
Series 2526, Cl. SE, 1.228%, 6/15/29 3 3,909,726 190,897
Series 2796, Cl. SD, 0.718%, 7/15/26 3 746,681 63,411
Series 2819, Cl. S, (1.017)%, 6/15/34 3 32,097,123 2,494,996
Series 2920, Cl. S, (4.163)%, 1/15/35 3 17,334,811 820,973
Series 3000, Cl. SE, (3.956)%, 7/15/25 3 20,871,264 810,412
Series 3110, Cl. SL, 4.408%, 2/15/26 3 2,880,857 102,054
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Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 216, Cl. PO, 6.174%, 12/1/31 4 4,218,153 3,329,295
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Federal National Mortgage Assn.:
4.50%, 5/1/18-12/1/20 68,437,759 66,394,231
5%, 2/1/18-3/1/34 117,451,600 115,240,682
5%, 4/1/20 5 12,375,000 12,204,844
5.50%, 5/1/24-1/1/34 65,198,608 64,711,818
5.50%, 4/1/22 5 12,615,000 12,646,538
5.863%, 1/1/12 8,946,017 9,238,539
6%, 8/1/22-4/1/33 55,780,745 56,569,486
6%, 4/1/21 5 48,306,000 49,106,044
6.50%, 6/1/17-11/1/31 76,816,693 79,074,723
6.50%, 4/1/37 5 37,818,000 38,586,159
7%, 7/1/13-2/1/36 28,607,996 29,708,138
7%, 4/1/36 5 2,037,000 2,101,292
7.50%, 2/1/27-8/1/33 47,298,832 49,623,905
8%, 6/1/17-1/1/23 6,517 6,866
8.50%, 7/1/32 320,998 346,089
9%, 8/1/19 23,646 25,580
9.50%, 11/1/21 17,302 18,756
10.50%, 12/1/14 77,270 82,757
11%, 11/1/15-7/20/19 1,119,032 1,240,718
11.25%, 2/15/16 186,972 209,102
11.50%, 7/15/19 205,145 226,708
12%, 1/1/16-8/1/16 369,242 404,539
12.50%, 8/1/15-12/1/15 122,672 136,030
13%, 8/15/15-8/1/26 333,833 371,802
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Federal National Mortgage Assn. Grantor Trust, CMO Interest-Only
Stripped Mtg.-Backed Security, Trust 2001-T4, Cl. IO, 9.496%, 7/25/41 3 6,929,538 163,859
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Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2001-T6,
Cl. B, 6.088%, 5/25/11 10,125,000 10,564,471
19 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL VALUE
AMOUNT SEE NOTE 1
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FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1988-7, Cl. Z, 9.25%, 4/25/18 $ 114,919 $ 121,843
Trust 1991-109, Cl. Z, 8.50%, 9/25/21 101,487 109,235
Trust 1992-15, Cl. KZ, 7%, 2/25/22 336,532 339,556
Trust 1992-34, Cl. G, 8%, 3/25/22 142,023 143,727
Trust 1997-16, Cl. PD, 7%, 3/18/27 5,540,404 5,775,373
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 4,140,000 4,273,939
Trust 2001-69, Cl. PF, 6.32%, 12/25/31 1 4,781,666 4,891,905
Trust 2001-70, Cl. LR, 6%, 9/25/30 1,246,888 1,247,011
Trust 2001-72, Cl. NH, 6%, 4/25/30 139,386 139,059
Trust 2001-74, Cl. PD, 6%, 5/25/30 111,331 111,023
Trust 2002-19, Cl. PE, 6%, 4/25/17 1,392,568 1,417,615
Trust 2002-29, Cl. F, 6.32%, 4/25/32 1 2,541,655 2,622,229
Trust 2002-52, Cl. FD, 5.82%, 9/25/32 1 2,486,309 2,498,000
Trust 2002-56, Cl. KW, 6%, 4/25/23 10,499,000 10,609,436
Trust 2002-64, Cl. FJ, 6.32%, 4/25/32 1 783,294 802,473
Trust 2002-68, Cl. FH, 5.82%, 10/18/32 1 1,608,646 1,633,845
Trust 2002-74, Cl. KF, 5.67%, 3/25/17 1 2,158,467 2,167,529
Trust 2002-9, Cl. PC, 6%, 3/25/17 7,242,071 7,378,321
Trust 2003-116, Cl. FA, 5.72%, 11/25/33 1 1,625,307 1,637,396
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 3,676,000 3,614,482
Trust 2003-21, Cl. FK, 5.72%, 3/25/33 1 270,892 273,545
Trust 2003-81, Cl. PW, 4%, 3/25/25 5,014,254 4,932,953
Trust 2003-84, Cl. AJ, 3%, 4/25/13 6,320,214 6,208,418
Trust 2003-84, Cl. PW, 3%, 6/25/22 5,656,755 5,577,207
Trust 2004-101, Cl. BG, 5%, 1/25/20 8,529,000 8,393,052
Trust 2004-52, Cl. JR, 4.50%, 7/25/24 9,602,542 9,509,718
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 4,975,000 4,816,446
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 5,304,788 5,177,017
Trust 2005-85, Cl. FA, 5.67%, 10/25/35 1 10,918,513 10,924,944
Trust 2006-24, Cl. DB, 5.50%, 4/25/26 1,175,050 1,174,844
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 14,399,382 14,437,340
Trust 2006-46, Cl. SW, 4.693%, 6/25/36 1 2,613,058 2,571,414
Trust 2006-50, Cl. KS, 4.693%, 6/25/36 1 2,832,073 2,764,396
Trust 2006-50, Cl. SA, 4.693%, 6/25/36 1 6,341,151 6,188,802
Trust 2006-50, Cl. SK, 4.693%, 6/25/36 1 5,359,059 5,216,047
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2001-63, Cl. SD, 1.784%, 12/18/31 3 3,582,868 361,193
Trust 2001-68, Cl. SC, 1.169%, 11/25/31 3 3,253,733 314,630
Trust 2001-81, Cl. S, 0.036%, 1/25/32 3 2,453,060 239,008
Trust 2002-28, Cl. SA, (0.479)%, 4/25/32 3 1,984,422 183,089
Trust 2002-38, Cl. IO, (5.08)%, 4/25/32 3 2,697,485 156,415
Trust 2002-39, Cl. SD, (3.221)%, 3/18/32 3 2,894,495 249,146
Trust 2002-48, Cl. S, (0.147)%, 7/25/32 3 3,296,605 317,263
Trust 2002-52, Cl. SD, (3.404)%, 9/25/32 3 2,486,309 208,995
Trust 2002-52, Cl. SL, (0.207)%, 9/25/32 3 2,072,185 200,948
Trust 2002-53, Cl. SK, (2.824)%, 4/25/32 3 1,688,879 158,850
20 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued
Trust 2002-56, Cl. SN, 0.807%, 7/25/32 3 $ 4,477,348 $ 452,623
Trust 2002-77, Cl. IS, (0.147)%, 12/18/32 3 3,861,066 352,465
Trust 2002-77, Cl. SH, 0.593%, 12/18/32 3 2,979,226 293,191
Trust 2002-9, Cl. MS, (0.187)%, 3/25/32 3 3,670,460 359,246
Trust 2003-33, Cl. SP, 9.60%, 5/25/33 3 8,855,913 1,119,969
Trust 2003-4, Cl. S, 7.067%, 2/25/33 3 5,336,289 621,967
Trust 2005-40, Cl. SA, (4.234)%, 5/25/35 3 9,879,229 484,700
Trust 2005-63, Cl. SA, 0.989%, 10/25/31 3 11,783,037 626,722
Trust 2005-63, Cl. X, 49.281%, 10/25/31 3 139,485 4,516
Trust 2005-71, Cl. SA, 3.17%, 8/25/25 3 13,170,770 769,750
Trust 2005-83, Cl. SL, 7.325%, 10/25/35 3 13,446,224 773,085
Trust 2006-119, Cl. MS, 8.302%, 12/25/36 3 12,929,057 773,218
Trust 2006-33, Cl. SP, 12.46%, 5/25/36 3 12,909,801 1,111,956
Trust 221, Cl. 2, 11.306%, 5/1/23 3 2,504,853 592,193
Trust 240, Cl. 2, 17.779%, 9/1/23 3 4,443,951 1,031,677
Trust 254, Cl. 2, 4.934%, 1/1/24 3 3,032,092 722,583
Trust 294, Cl. 2, 7.654%, 2/1/28 3 4,325,019 1,002,573
Trust 301, Cl. 2, 4.112%, 4/1/29 3 3,680,907 836,133
Trust 321, Cl. 2, 9.811%, 4/1/32 3 9,332,042 2,198,935
Trust 324, Cl. 2, 4.503%, 7/1/32 3 12,956,697 3,032,724
Trust 329, Cl. 2, 8.788%, 1/1/33 3 2,027,733 465,420
Trust 331, Cl. 10, 8.568%, 2/1/33 3 5,447,129 1,250,093
Trust 342, Cl. 2, 8.984%, 9/1/33 3 9,365,950 2,156,979
Trust 344, Cl. 2, 7.092%, 12/1/33 3 8,795,432 2,018,564
Trust 346, Cl. 2, 11.829%, 12/1/33 3 12,821,430 2,928,106
Trust 362, Cl. 12, 5.575%, 8/1/35 3 15,054,946 3,354,261
Trust 362, Cl. 13, 5.607%, 8/1/35 3 8,432,214 1,854,967
Trust 364, Cl. 15, 9.767%, 9/1/35 3 5,925,957 1,349,373
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed
Security, Trust 327, Cl. 1, 7.167%, 9/1/32 4 1,899,518 1,492,118
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Stripped Mtg.-Backed Security, Trust G,
Cl. 2, 11.50%, 3/1/09 61,902 64,073
---------------
1,119,781,845
- ------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--1.4%
Government National Mortgage Assn.:
6.50%, 1/15/24 310,068 318,749
7%, 1/15/09-1/20/30 2,494,608 2,609,135
7.50%, 1/15/28-8/15/28 953,089 996,009
8%, 9/15/07-9/15/28 185,609 197,015
8.50%, 8/15/17-9/15/21 1,229,804 1,308,537
9.50%, 9/15/17 4,496 4,897
10.50%, 2/15/16-7/15/21 165,898 186,277
11%, 10/20/19 245,112 271,045
11.50%, 4/15/13-7/15/19 56,682 62,752
13%, 2/15/11-9/15/14 7,323 8,204
21 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED Continued
Government National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Series 1999-32,
Cl. ZB, 8%, 9/16/29 $ 16,111,859 $ 17,417,824
- ------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 1998-19, Cl. SB, (0.921)%, 7/16/28 3 4,824,207 508,901
Series 1998-6, Cl. SA, (0.41)%, 3/16/28 3 2,910,545 296,392
Series 2001-21, Cl. SB, (3.795)%, 1/16/27 3 5,295,902 376,886
Series 2006-47, Cl. SA, 14.663%, 8/16/36 3 32,578,223 1,994,181
---------------
26,556,804
- ------------------------------------------------------------------------------------------------------------------------
NON-AGENCY--9.6%
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL--8.0%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 9,170,000 9,008,119
- ------------------------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates:
Series 2005-E, Cl. 2A2, 4.972%, 6/25/35 1 297,123 296,885
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 6,138,568 6,203,790
- ------------------------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg.
Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 9,050,000 9,095,250
- ------------------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg.
Pass-Through Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 5,253,729 5,239,693
Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 2,386,455 2,388,535
- ------------------------------------------------------------------------------------------------------------------------
First Union National Bank/Lehman Brothers/Bank of America Commercial
Mtg. Trust, Pass-Through Certificates,
Series 1998-C2, Cl. A2, 6.56%, 11/18/35 3,086,465 3,113,176
- ------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 6,670,000 6,576,583
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 5,240,000 5,203,548
- ------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,263,350 1,263,360
- ------------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 6,190,000 6,074,487
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 5,760,000 5,765,417
Series 2007-GG9, Cl. A2, 5.381%, 7/10/12 2 6,750,000 6,805,402
- ------------------------------------------------------------------------------------------------------------------------
HSI Asset Securitization Corp. Trust, CMO Pass-Through Certificates,
Series 2006-OPT1, Cl. 2A2, 5.46%, 12/25/35 1 4,930,000 4,933,596
- ------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 2,240,000 2,205,686
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 7,550,000 7,474,190
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 7,830,000 7,845,895
22 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
LB-UBS Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates:
Series 2005-C5, Cl. A2, 4.885%, 9/15/30 $ 6,340,000 $ 6,310,486
Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,520,000 7,577,869
- ------------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates:
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 2,758,839 2,735,811
Series 2004-6, Cl. 10A1, 6%, 7/25/34 8,153,196 8,151,898
- ------------------------------------------------------------------------------------------------------------------------
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates,
Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 2,094,323 2,113,482
- ------------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 8,510,258 8,492,880
- ------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through
Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 10,837,178 10,809,344
- ------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg.
Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 10,760,000 10,663,755
- ------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial
Asset-Backed Securities, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,115,000 2,123,699
---------------
148,472,836
- ------------------------------------------------------------------------------------------------------------------------
MULTIFAMILY--0.0%
WAMU Mortgage Pass-Through Certificates, Series 2005-AR8 Trust,
Series 2005-AR8, Cl. 2AB1, 5.57%, 7/25/45 1 722,338 722,766
- ------------------------------------------------------------------------------------------------------------------------
OTHER--0.2%
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 2002-2, Cl. IO, 16.035%, 1/15/32 3 62,405,096 656,558
Series 1999-3, Cl. IO, 9.885%, 10/15/29 3 51,563,283 576,606
Series 2001-3, Cl. IO, 6.168%, 5/15/31 2,3 24,199,514 264,682
Series 2003-1, Cl. IO, 5.972%, 11/15/32 3 123,708,576 1,609,919
Series 2002-3, Cl. IO, 12.577%, 8/15/32 3 3,806,505 93,027
---------------
3,200,792
- ------------------------------------------------------------------------------------------------------------------------
RESIDENTIAL--1.4%
Countrywide Alternative Loan Trust, CMO:
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 12,328,542 12,498,059
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 10,801,109 11,028,674
- ------------------------------------------------------------------------------------------------------------------------
WAMU Mortgage Pass-Through Certificates, Series 2005-AR5 Trust,
Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 1 2,236,758 2,234,944
---------------
25,761,677
---------------
Total Mortgage-Backed Obligations (Cost $1,323,190,369) 1,324,496,720
23 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--18.5%
- ------------------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.69%, 10/5/07 6 $ 30,815,000 $ 30,007,555
- ------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, Series 2, 5%, 2/20/09 121,200,000 121,491,365
- ------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
4.125%, 7/12/10 7,986,000 7,828,380
4.75%, 3/5/12 12,370,000 12,329,575
6.625%, 9/15/09 15,130,000 15,751,646
- ------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4.625%, 1/15/08 57,000,000 56,781,975
4.75%, 12/15/10 7,590,000 7,577,325
5%, 10/15/11 48,230,000 48,567,514
6%, 5/15/11 15,970,000 16,666,995
6%, 5/15/08 7 15,060,000 15,222,753
7.25%, 1/15/10 8,280,000 8,804,710
---------------
Total U.S. Government Obligations (Cost $341,569,719) 341,029,793
- ------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--6.5%
- ------------------------------------------------------------------------------------------------------------------------
Undivided interest of 65.40% in joint repurchase agreement
(Principal Amount/Value $184,153,000, with a maturity value of
$184,234,948) with UBS Warburg LLC, 5.34%, dated 3/30/07, to be
repurchased at $120,490,594 on 4/2/07, collateralized by Federal
Home Loan Mortgage Corp., 5.50%, 6/1/36, with a value of
$188,217,810 (Cost $120,437,000) 120,437,000 120,437,000
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $1,953,922,862) 105.8% 1,954,503,441
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (5.8) (107,895,857)
---------------------------------
NET ASSETS 100.0% $1,846,607,584
=================================
24 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Represents the current interest rate for a variable or increasing rate
security.
2. Illiquid security. The aggregate value of illiquid securities as of March 31,
2007 was $8,504,795, which represents 0.46% of the Fund's net assets. See Note 7
of accompanying Notes.
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 $56,508,593 or 3.06% of the Fund's net assets
as of March 31, 2007.
4. 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 $4,821,413 or 0.26% of the Fund's net assets as of
March 31, 2007.
5. When-issued security or forward commitment to be delivered and settled after
March 31, 2007. See Note 1 of accompanying Notes.
6. Zero coupon bond reflects effective yield on the date of purchase.
7. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures contracts. The aggregate market
value of such securities is $2,527,000. See Note 5 of accompanying Notes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
25 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
March 31, 2007
- ---------------------------------------------------------------------------------------------------------
ASSETS
- ---------------------------------------------------------------------------------------------------------
Investments, at value (cost $1,953,922,862)--see accompanying statement of investments $1,954,503,441
---------------
Cash 1,024,738
- ---------------------------------------------------------------------------------------------------------
Swaps, at value 7,937
- ---------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest and principal paydowns 9,202,742
Shares of beneficial interest sold 2,412,490
Other 97,210
- ---------------------------------------------------------------------------------------------------------
Total assets 1,967,248,558
- ---------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased on a when-issued basis or forward commitment 114,680,432
Shares of beneficial interest redeemed 3,875,818
Distribution and service plan fees 992,627
Dividends 570,986
Transfer and shareholder servicing agent fees 277,233
Shareholder communications 178,858
Trustees' compensation 30,279
Futures margins 1,975
Other 32,766
- ---------------------------------------------------------------------------------------------------------
Total liabilities 120,640,974
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $1,846,607,584
===============
- ---------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 185,511
- ---------------------------------------------------------------------------------------------------------
Additional paid-in capital 1,928,774,321
- ---------------------------------------------------------------------------------------------------------
Accumulated net investment income 16,483,671
- ---------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (98,061,675)
- ---------------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (774,244)
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $1,846,607,584
===============
26 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
- -------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- -------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$1,078,343,372 and 108,279,210 shares of beneficial interest outstanding) $ 9.96
Maximum offering price per share (net asset value plus sales charge of
3.50% of offering price) $10.32
- -------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $217,976,256
and 21,895,265 shares of beneficial interest outstanding) $ 9.96
- -------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $289,309,389
and 29,109,241 shares of beneficial interest outstanding) $ 9.94
- -------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $51,434,361
and 5,169,795 shares of beneficial interest outstanding) $ 9.95
- -------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net
assets of $209,544,206 and 21,057,426 shares of beneficial interest outstanding) $ 9.95
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
27 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2007
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $ 46,781,270
- --------------------------------------------------------------------------------
Fee income 177,130
- --------------------------------------------------------------------------------
Portfolio lending fees 8,012
-------------
Total investment income 46,966,412
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 3,760,713
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 1,294,929
Class B 1,163,138
Class C 1,500,872
Class N 123,194
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 1,014,175
Class B 293,410
Class C 260,118
Class N 81,505
Class Y 118,494
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 80,964
Class B 37,645
Class C 26,445
Class N 3,263
Class Y 5
- --------------------------------------------------------------------------------
Trustees' compensation 23,279
- --------------------------------------------------------------------------------
Accounting service fees 6,000
- --------------------------------------------------------------------------------
Custodian fees and expenses 5,344
- --------------------------------------------------------------------------------
Administration service fees 750
- --------------------------------------------------------------------------------
Other 89,030
-------------
Total expenses 9,883,273
Less reduction to custodian expenses (615)
Less waivers and reimbursements of expenses (1,678,508)
-------------
Net expenses 8,204,150
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 38,762,262
28 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $ 1,427,993
Closing and expiration of futures contracts (3,669,125)
Swap contracts 22,400
------------
Net realized loss (2,218,732)
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments 9,270,022
Futures contracts (446,268)
Swap contracts (20,693)
------------
Net change in unrealized depreciation 8,803,061
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $45,346,591
============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPTEMBER 30,
(UNAUDITED) 2006
- --------------------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------------------
Net investment income $ 38,762,262 $ 74,400,556
- --------------------------------------------------------------------------------------------
Net realized loss (2,218,732) (18,546,945)
- --------------------------------------------------------------------------------------------
Net change in unrealized depreciation 8,803,061 9,314,724
-----------------------------------
Net increase in net assets resulting from operations 45,346,591 65,168,335
- --------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (27,627,443) (45,709,189)
Class B (5,231,764) (9,810,331)
Class C (6,751,097) (11,615,600)
Class N (1,234,110) (1,868,113)
Class Y (5,049,349) (5,395,808)
-----------------------------------
(45,893,763) (74,399,041)
-----------------------------------
- --------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- --------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 19,045,133 (84,153,951)
Class B (33,678,897) (91,495,296)
Class C (27,653,658) (67,485,498)
Class N 3,586,428 (2,503,838)
Class Y 46,286,671 79,584,189
-----------------------------------
7,585,677 (166,054,394)
- --------------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------------
Total increase (decrease) 7,038,505 (175,285,100)
- --------------------------------------------------------------------------------------------
Beginning of period 1,839,569,079 2,014,854,179
-----------------------------------
End of period (including accumulated net investment
income of $16,483,671 and $23,615,172, respectively) $1,846,607,584 $1,839,569,079
===================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
30 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS A (UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.96 $ 10.00 $ 10.17 $ 10.33 $ 10.35 $ 10.22
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .22 1 .41 1 .31 1 .29 .22 .44
Net realized and unrealized gain (loss) .04 (.04) (.16) (.17) (.01) .13
--------------------------------------------------------------------------------------
Total from investment operations .26 .37 .15 .12 .21 .57
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.26) (.41) (.32) (.28) (.23) (.44)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.96 $ 9.96 $ 10.00 $ 10.17 $ 10.33 $ 10.35
======================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 2.65% 3.78% 1.45% 1.22% 2.01% 5.72%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $1,078,343 $1,059,629 $1,149,202 $1,201,379 $1,369,364 $1,355,382
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $1,057,807 $1,110,174 $1,171,442 $1,257,178 $1,476,397 $ 968,852
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.46% 4.12% 3.11% 2.77% 2.14% 4.27%
Total expenses 0.88% 0.89% 0.88% 0.88% 0.88% 0.88%
Expenses after payments and waivers and
reduction to custodian expenses 0.70% 0.70% 0.70% 0.79% 0.88% 0.88%
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 39% 4 109% 4 101% 4 75% 4 82% 161%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an 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 of 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.
3. Annualized for periods of less than one full year.
4. 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, 2007 $ 816,664,437 $ 839,199,819
Year Ended September 30, 2006 3,361,653,474 3,577,036,177
Year Ended September 30, 2005 6,727,092,497 6,985,663,762
Year Ended September 30, 2004 9,662,274,960 10,097,758,478
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
31 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS B (UNAUDITED) 2006 2005 2004 2003 2002
- ---------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.96 $ 10.00 $ 10.17 $ 10.32 $ 10.35 $ 10.22
- ---------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .18 1 .33 1 .24 1 .22 .14 .37
Net realized and unrealized gain (loss) .04 (.04) (.17) (.16) (.02) .12
-------------------------------------------------------------------------------
Total from investment operations .22 .29 .07 .06 .12 .49
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.22) (.33) (.24) (.21) (.15) (.36)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.96 $ 9.96 $ 10.00 $ 10.17 $ 10.32 $ 10.35
===============================================================================
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 2.27% 3.01% 0.69% 0.56% 1.14% 4.93%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $217,976 $251,726 $344,928 $495,417 $723,564 $759,144
- ---------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $233,237 $292,613 $412,054 $586,747 $800,685 $523,711
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.71% 3.35% 2.34% 1.99% 1.39% 3.50%
Total expenses 1.71% 1.72% 1.69% 1.66% 1.62% 1.63%
Expenses after payments and waivers and
reduction to custodian expenses 1.45% 1.45% 1.45% 1.55% 1.62% 1.63%
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 39% 4 109% 4 101% 4 75% 4 82% 161%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an 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 of 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.
3. Annualized for periods of less than one full year.
4. 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, 2007 $ 816,664,437 $ 839,199,819
Year Ended September 30, 2006 3,361,653,474 3,577,036,177
Year Ended September 30, 2005 6,727,092,497 6,985,663,762
Year Ended September 30, 2004 9,662,274,960 10,097,758,478
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
32 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS C (UNAUDITED) 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.94 $ 9.98 $ 10.15 $ 10.30 $ 10.33 $ 10.20
- --------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .18 1 .33 1 .24 1 .22 .15 .36
Net realized and unrealized gain (loss) .04 (.04) (.17) (.16) (.03) .13
------------------------------------------------------------------------------
Total from investment operations .22 .29 .07 .06 .12 .49
- --------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.22) (.33) (.24) (.21) (.15) (.36)
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.94 $ 9.94 $ 9.98 $ 10.15 $ 10.30 $ 10.33
==============================================================================
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 2.27% 3.01% 0.69% 0.58% 1.21% 4.95%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $289,310 $317,063 $386,310 $484,575 $685,735 $656,959
- --------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $301,091 $345,520 $432,392 $565,671 $733,037 $407,864
- --------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.71% 3.36% 2.35% 2.03% 1.45% 3.43%
Total expenses 1.62% 1.62% 1.60% 1.58% 1.56% 1.62%
Expenses after payments and waivers and
reduction to custodian expenses 1.45% 1.45% 1.45% 1.52% 1.56% 1.62%
- --------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 39% 4 109% 4 101% 4 75% 4 82% 161%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an 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 of 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.
3. Annualized for periods of less than one full year.
4. 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, 2007 $ 816,664,437 $ 839,199,819
Year Ended September 30, 2006 3,361,653,474 3,577,036,177
Year Ended September 30, 2005 6,727,092,497 6,985,663,762
Year Ended September 30, 2004 9,662,274,960 10,097,758,478
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
33 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS N (UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.95 $ 9.99 $ 10.16 $ 10.32 $ 10.35 $ 10.21
- ------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 1 .38 1 .29 1 .25 .19 .37
Net realized and unrealized gain (loss) .04 (.04) (.17) (.16) (.03) .19
--------------------------------------------------------------------------
Total from investment operations .25 .34 .12 .09 .16 .56
- ------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.25) (.38) (.29) (.25) (.19) (.42)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.95 $ 9.95 $ 9.99 $ 10.16 $ 10.32 $ 10.35
==========================================================================
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 2.52% 3.52% 1.20% 0.91% 1.58% 5.60%
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $51,435 $47,868 $50,592 $47,472 $43,645 $24,101
- ------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $49,548 $48,350 $50,758 $44,515 $35,965 $ 8,750
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.21% 3.86% 2.86% 2.48% 1.75% 3.62%
Total expenses 1.27% 1.27% 1.29% 1.26% 1.20% 1.11%
Expenses after payments and waivers and
reduction to custodian expenses 0.95% 0.95% 0.95% 1.08% 1.20% 1.11%
- ------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 39% 4 109% 4 101% 4 75% 4 82% 161%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an 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 of 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.
3. Annualized for periods of less than one full year.
4. 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, 2007 $ 816,664,437 $ 839,199,819
Year Ended September 30, 2006 3,361,653,474 3,577,036,177
Year Ended September 30, 2005 6,727,092,497 6,985,663,762
Year Ended September 30, 2004 9,662,274,960 10,097,758,478
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
34 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
SIX MONTHS YEAR
ENDED ENDED
MARCH 31, 2007 SEPT. 30,
CLASS Y (UNAUDITED) 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.95 $ 10.00 $ 10.17 $ 10.32 $ 10.34 $ 10.21
- --------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .23 1 .44 1 .34 1 .32 .26 .47
Net realized and unrealized gain (loss) .04 (.06) (.17) (.15) (.01) .14
------------------------------------------------------------------------------
Total from investment operations .27 .38 .17 .17 .25 .61
- --------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment income (.27) (.43) (.34) (.32) (.27) (.48)
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.95 $ 9.95 $ 10.00 $ 10.17 $ 10.32 $ 10.34
==============================================================================
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 2.77% 3.93% 1.69% 1.68% 2.41% 6.13%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $209,544 $163,283 $ 83,822 $258,937 $241,856 $141,508
- --------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $184,504 $121,899 $ 84,227 $248,689 $201,564 $ 86,883
- --------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.71% 4.43% 3.35% 3.13% 2.53% 4.54%
Total expenses 0.56% 0.59% 0.57% 0.42% 0.44% 0.49%
Expenses after payments and waivers and
reduction to custodian expenses 0.45% 0.44% 0.45% 0.42% 0.44% 0.49%
- --------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 39% 4 109% 4 101% 4 75% 4 82% 161%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an 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 of 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.
3. Annualized for periods of less than one full year.
4. 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, 2007 $ 816,664,437 $ 839,199,819
Year Ended September 30, 2006 3,361,653,474 3,577,036,177
Year Ended September 30, 2005 6,727,092,497 6,985,663,762
Year Ended September 30, 2004 9,662,274,960 10,097,758,478
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
35 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Limited-Term Government Fund (the Fund) is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. The Fund's investment objective is to seek high current return and
safety of principal. The Fund's investment advisor is OppenheimerFunds, Inc.
(the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities listed or traded on National
Stock Exchanges or other domestic exchanges are valued based on the last sale
price of the security traded on that exchange prior to the time when the Fund's
assets are valued. Securities traded on NASDAQ(R) are valued based on the
closing price provided by NASDAQ prior to the time when the Fund's assets are
valued. In the absence of a sale, the security is valued at the last sale price
on the prior trading day, if it is within the spread of the closing "bid" and
"asked" prices, and if not, at the closing bid price. Securities traded on
foreign exchanges are valued based on the last sale price on the principal
exchange on which the security is traded, as identified by the portfolio pricing
service, prior to the time when the Fund's assets are valued. In the absence of
a sale, the security is valued at the official closing price on the principal
exchange. Corporate, government and municipal debt instruments having a
remaining maturity in excess of sixty days and all mortgage-backed securities
will be valued at the mean between the "bid" and "asked" prices. Futures
contracts 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
36 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
assets are valued. Options are valued daily based upon the last sale price on
the principal exchange on which the option is traded. Securities (including
restricted securities) for which market quotations are not readily available are
valued at their fair value. Foreign and domestic securities whose values have
been materially affected by what the Manager identifies as a significant event
occurring before the Fund's assets are valued but after the close of their
respective exchanges will be fair valued. Fair value is determined in good faith
using consistently applied procedures under the supervision of the Board of
Trustees. Investments in open-end registered investment companies (including
affiliated funds) are valued at that fund's net asset value. Short-term "money
market type" debt securities with remaining maturities of sixty days or less are
valued at amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment take place generally at least ten days or more after the
trade date. Normally the settlement date occurs within six months after the
trade date; however, the Fund may, from time to time, purchase securities whose
settlement date extends six months or more beyond 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 Fund
maintains internally designated assets with a market value equal to or greater
than the amount of its purchase commitments. The purchase of securities on a
when-issued basis or forward commitment may increase the volatility of the
Fund's net asset value to the extent the Fund executes such transactions while
remaining substantially fully invested. The Fund may also sell securities that
it purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of March 31, 2007, the Fund had purchased $114,680,432
of securities issued on a when-issued basis or forward commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. 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.
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; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the
37 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
Manager, may transfer uninvested cash balances into joint trading accounts on a
daily basis. These balances are invested in one or more repurchase agreements.
Securities pledged as collateral for repurchase agreements are held by a
custodian bank until the agreements mature. Each agreement requires that the
market value of the collateral be sufficient to cover payments of interest and
principal. In the event of default by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial
instrument transactions (such as swaps, futures, options and other derivatives)
that may have off-balance sheet market risk. Off-balance sheet market risk
exists when the maximum potential loss on a particular financial instrument is
greater than the value of such financial instrument, as reflected in the Fund's
Statement of Assets and Liabilities.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
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 may differ from their ultimate characterization for federal
income tax purposes. 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.
As of March 31, 2007, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of $98,890,803 expiring by 2015.
This estimated capital loss carryforward represents carryforward as of the end
of the last fiscal year, increased for losses deferred under tax accounting
rules to the current fiscal year and is increased or decreased by capital losses
or gains realized in the first six months of the current fiscal year. As of
March 31, 2007, it is estimated that the Fund will not utilize any capital loss
carryforward to offset realized capital gains. During the fiscal year ended
September 30, 2006, the Fund did not utilize any capital loss carryforward to
offset capital gains realized in that fiscal year.
38 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
As of September 30, 2006, the Fund had available for federal income tax purposes
post-October losses of $23,947,523, straddle losses of $18,628 and unused
capital loss carryforwards as follows:
EXPIRING
-----------------------------
2011 $16,833,987
2013 37,778,579
2014 18,093,354
-----------
Total $72,705,920
===========
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees 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
Trustee 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 Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee 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 to the compensation deferral plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income distributions, if any, are declared
daily and paid monthly. Capital gain distributions, if any, are declared and
paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income, which includes accretion of discount and amortization
of premium, is accrued as earned.
- --------------------------------------------------------------------------------
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 overdrafts, to the extent they are not
offset by positive cash balances maintained by the Fund, at a rate equal to the
Federal Funds Rate plus 0.50%. 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.
39 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
OTHER. The preparation of financial statements in conformity with U.S. generally
accepted accounting principles 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 income and expenses during the reporting
period. Actual results could differ from those estimates.
- --------------------------------------------------------------------------------
2. 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, 2007 YEAR ENDED SEPTEMBER 30, 2006
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------
CLASS A
Sold 15,531,027 $ 154,649,862 33,124,392 $ 329,037,847
Dividends and/or
distributions reinvested 2,417,245 24,061,020 3,925,132 38,977,275
Redeemed (16,037,136) (159,665,749) (45,556,976) (452,169,073)
-------------------------------------------------------------------
Net increase (decrease) 1,911,136 $ 19,045,133 (8,507,452) $ (84,153,951)
===================================================================
- ---------------------------------------------------------------------------------------------------
CLASS B
Sold 1,246,138 $ 12,397,955 3,960,483 $ 39,344,791
Dividends and/or
distributions reinvested 464,559 4,622,088 850,631 8,447,005
Redeemed (5,092,222) (50,698,940) (14,025,634) (139,287,092)
-------------------------------------------------------------------
Net decrease (3,381,525) $ (33,678,897) (9,214,520) $ (91,495,296)
===================================================================
- ---------------------------------------------------------------------------------------------------
CLASS C
Sold 2,205,379 $ 21,913,271 5,604,078 $ 55,538,235
Dividends and/or
distributions reinvested 569,749 5,659,500 953,864 9,453,018
Redeemed (5,557,967) (55,226,429) (13,360,074) (132,476,751)
-------------------------------------------------------------------
Net decrease (2,782,839) $ (27,653,658) (6,802,132) $ (67,485,498)
===================================================================
40 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
SIX MONTHS ENDED MARCH 31, 2007 YEAR ENDED SEPTEMBER 30, 2006
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------
CLASS N
Sold 957,475 $ 9,527,808 1,672,193 $ 16,589,167
Dividends and/or
distributions reinvested 109,428 1,088,075 166,846 1,655,135
Redeemed (706,928) (7,029,455) (2,091,346) (20,748,140)
-------------------------------------------------------------------
Net increase (decrease) 359,975 $ 3,586,428 (252,307) $ (2,503,838)
===================================================================
- ---------------------------------------------------------------------------------------------------
CLASS Y
Sold 4,808,104 $ 47,825,103 8,771,418 $ 87,052,881
Dividends and/or
distributions reinvested 505,643 5,027,840 544,310 5,395,808
Redeemed (659,796) (6,566,272) (1,297,451) (12,864,500)
-------------------------------------------------------------------
Net increase 4,653,951 $ 46,286,671 8,018,277 $ 79,584,189
===================================================================
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations and investments in affiliated companies, for the six
months ended March 31, 2007, were as follows:
PURCHASES SALES
- ------------------------------------------------------------------------------------------
Investment securities $389,271,333 $252,999,660
U.S. government and government agency obligations 195,609,742 331,559,724
To Be Announced (TBA) mortgage-related securities 816,664,437 839,199,819
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee at an
annual rate of average net assets as shown in the following table:
FEE SCHEDULE
----------------------------------------
Up to $100 million 0.500%
Next $150 million 0.450
Next $250 million 0.425
Over $500 million 0.400
- --------------------------------------------------------------------------------
ACCOUNTING FEES. The Manager acts as the accounting agent for the Fund at an
annual fee of $12,000, plus out-of-pocket costs and expenses reasonably
incurred.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS or the Transfer Agent), a
division of the Manager, acts as the transfer and shareholder servicing agent
for the Fund. The Fund pays OFS a per account fee. For the six months ended
March 31, 2007, the Fund paid $1,825,174 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 per
annum for assets of $10 million or more. The Class Y shares are subject to the
minimum fees in the
41 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
event that the per account fee does not equal or exceed the applicable minimum
fees. OFS may voluntarily waive the minimum fees.
- --------------------------------------------------------------------------------
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 for Class A
shares. It 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 average annual 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 services and maintenance of accounts of their customers that
hold Class A shares. Any unreimbursed expenses the Distributor incurs with
respect to Class A shares in any fiscal year cannot be recovered in subsequent
periods. Fees incurred by the Fund under the plan are detailed in the Statement
of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
shares to compensate the Distributor for its services in connection with the
distribution of those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% on Class B and
Class C shares and 0.25% on Class N shares. The Distributor also receives a
service fee of 0.25% per year under each plan. If either the Class B, Class C or
Class N plan is terminated by the Fund or by the shareholders of a class, the
Board of Trustees and its independent trustees must determine whether the
Distributor shall be entitled to payment from the Fund of all or a portion of
the service fee and/or asset-based sales charge in respect to shares sold prior
to the effective date of such termination. The Distributor determines its
uncompensated expenses under the plan at calendar quarter ends. The
Distributor's aggregate uncompensated expenses under the plan at March 31, 2007
for Class C and Class N shares were $16,203,890 and $1,524,370, respectively.
Fees incurred by the Fund under the plans are detailed in the Statement of
Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
(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.
42 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- ------------------------------------------------------------------------------------------------------------
March 31, 2007 $153,173 $5,585 $142,084 $16,776 $2,812
- ------------------------------------------------------------------------------------------------------------
WAIVERS AND REIMBURSEMENTS OF EXPENSES. The Manager has voluntarily undertaken
to limit the "Expenses after payments and waivers and reduction to custodian
expenses" for all classes of shares so that "Expenses after payments and waivers
and reduction to custodian expenses," as percentages of average daily net
assets, will not exceed the following annual rates: 0.70% for the Class A
shares; 1.45% for the Class B and Class C shares, respectively; 0.95% for the
Class N shares and 0.45% for the Class Y shares. During the six months ended
March 31, 2007, the Manager reimbursed the Fund $947,315, $304,288, $251,580,
$78,584 and $96,741 for Class A, Class B, Class C, Class N and Class Y shares,
respectively. The Manager may amend or terminate this voluntary expense
limitation arrangement at any time without notice to shareholders.
OFS has voluntarily agreed to limit transfer and shareholder servicing
agent fees for all classes to 0.35% of average annual net assets per class. This
undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
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. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the
43 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS Continued
Statement of Investments. The Statement of Assets and Liabilities reflects a
receivable and/or payable for the daily mark to market for variation margin.
Realized gains and losses are reported in the Statement of Operations at the
closing and expiration of futures contracts. The net change in unrealized
appreciation and depreciation is reported in the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of March 31, 2007, the Fund had outstanding futures contracts as follows:
EXPIRATION NUMBER OF VALUATION AS OF UNREALIZED
CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2007 DEPRECIATION
- --------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
U.S. Treasury Nts., 2 yr. 6/29/07 1,007 $206,324,859 $ 142,115
U.S. Treasury Nts., 30 yr. 6/20/07 864 96,120,000 447,667
----------
589,782
----------
CONTRACTS TO SELL
U.S. Treasury Nts., 5 yr. 6/29/07 827 87,494,016 374,602
U.S. Treasury Nts., 10 yr. 6/20/07 1,936 209,330,000 398,376
----------
772,978
----------
$1,362,760
==========
- --------------------------------------------------------------------------------
6. TOTAL RETURN SWAP CONTRACTS
A total return swap is an agreement under which a set of future cash flows is
exchanged between two counterparties. One cash flow stream will typically be
based on a reference interest rate or index and the other on the total return of
a reference asset such as a security, a basket of securities, or an index. The
total return includes appreciation or depreciation on the reference asset, plus
any interest or dividend payments. Payments under the swap are based on an
agreed upon principal amount but since this principal amount is not exchanged,
it represents neither an asset nor a liability to either counterparty, and is
referred to as notional. Total return swaps are marked to market daily using
primarily quotations from counterparties and brokers. The value of the contracts
is separately disclosed on the Statement of Assets and Liabilities. The
unrealized appreciation (depreciation) related to the change in the valuation of
the notional amount of the swap is combined with the amount due to (owed by) the
Fund at termination or settlement. The net change in this amount during the
period is included on the Statement of Operations. The Fund also records any
periodic payments received from (paid to) the counterparty, including at
termination, under such contracts as realized gain (loss) on the Statement of
Operations. The primary risks associated with total return swaps are credit
risks (if the counterparty fails to meet its obligations) and market risk (if
there is no liquid market for the agreement or unfavorable changes occur in the
reference asset).
44 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
As of March 31, 2007, the Fund had entered into the following total return swap
agreements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- ------------------------------------------------------------------------------------------------------------------------------
If positive, the
absolute value of
If negative, the Lehman Brothers
absolute value of U.S. CMBS Index:
Lehman Brothers Aggregate AAA
Goldman Sachs U.S. CMBS Index: plus 15
Capital Markets $17,770,000 Aggregate AAA. basis points. 9/1/07 $7,937
Abbreviation is as follows:
CMBS Commercial Mortgage Backed Securities
- --------------------------------------------------------------------------------
7. ILLIQUID SECURITIES
As of March 31, 2007, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Fund will not invest more than 10% of its net assets (determined at the time of
purchase and reviewed periodically) in illiquid securities. Securities that are
illiquid are marked with the applicable footnote on the Statement of
Investments.
- --------------------------------------------------------------------------------
8. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of
securities, letters of credit or cash, against the loaned securities and
maintains collateral in an amount not less than 100% of the market value of the
loaned securities during the period of the loan. The market value of the loaned
securities is determined at the close of business each day. If the Fund is
undercollateralized at the close of business due to an increase in market value
of securities on loan, additional collateral is requested from the borrowing
counterparty and is delivered to the Fund on the next business day. Cash
collateral may be invested in approved investments and the Fund bears the risk
of any loss in value of these investments. The Fund retains a portion of the
interest earned from the collateral. If the borrower defaults on its obligation
to return the securities loaned because of insolvency or other reasons, the Fund
could experience delays and cost in recovering the securities loaned or in
gaining access to the collateral. The Fund continues to receive the economic
benefit of interest or dividends paid on the securities loaned in the form of a
substitute payment received from the borrower. As of March 31, 2007, the Fund
had no securities on loan.
- --------------------------------------------------------------------------------
9. RECENT ACCOUNTING PRONOUNCEMENTS
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
Interpretation No. 48 ("FIN 48"), ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES.
FIN 48 clarifies the accounting
45 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. RECENT ACCOUNTING PRONOUNCEMENTS Continued
for uncertainty in income taxes recognized in an enterprise's financial
statements in accordance with FASB Statement No. 109, ACCOUNTING FOR INCOME
TAXES. FIN 48 requires the evaluation of tax positions taken in the course of
preparing the Fund's tax returns to determine whether it is
"more-likely-than-not" that tax positions taken in the Fund's tax return will be
ultimately sustained. A tax liability and expense must be recorded in respect of
any tax position that, in Management's judgment, will not be fully realized. FIN
48 is effective for fiscal years beginning after December 15, 2006. As of March
31, 2007, the Manager has evaluated the implications of FIN 48 and does not
currently anticipate a material impact to the Fund's financial statements. The
Manager will continue to monitor the Fund's tax positions prospectively for
potential future impacts.
In September 2006, the FASB issued Statement of Financial Accounting
Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a
single authoritative definition of fair value, sets out a framework for
measuring fair value and expands disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007, and interim periods within
those fiscal years. As of March 31, 2007, the Manager does not believe the
adoption of SFAS No. 157 will materially impact the financial statement amounts;
however, additional disclosures may be required about the inputs used to develop
the measurements and the effect of certain of the measurements on changes in net
assets for the period.
46 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Fund has adopted Portfolio Proxy Voting Policies and Procedures 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 Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
47 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Each year, the Board of Trustees (the "Board"), including a majority of the
independent Trustees, is required to determine whether to renew the Fund's
investment advisory agreement (the "Agreement"). The Investment Company Act of
1940, as amended, requires that the Board request and evaluate, and that the
Manager provide, such information as may be reasonably necessary to evaluate the
terms of the Agreement. The Board employs an independent consultant to prepare a
report that provides information, including comparative information, that the
Board requests for that purpose. In addition, the Board receives information
throughout the year regarding Fund services, fees, expenses and performance.
The Manager and the independent consultant provided information to the
Board on the following factors: (i) the nature, quality and extent of the
Manager's services, (ii) the investment performance of the Fund and the Manager,
(iii) the fees and expenses of the Fund, including comparative expense
information, (iv) the profitability of the Manager and its affiliates, including
an analysis of the cost of providing services, (v) whether economies of scale
are realized as the Fund grows and whether fee levels reflect these economies of
scale for Fund investors and (vi) other benefits to the Manager from its
relationship with the Fund. Outlined below is a summary of the principal
information considered by the Board as well as the Board's conclusions.
The Board was aware that there are alternatives to retaining the Manager.
NATURE, QUALITY AND EXTENT OF SERVICES. The Board considered information
about the nature and extent of the services provided to the Fund and information
regarding the Manager's key personnel who provide such services. The Manager's
duties include providing the Fund with the services of the portfolio manager and
the Manager's investment team, who provide research, analysis and other advisory
services in regard to the Fund's investments; securities trading services;
oversight of third party service providers; monitoring compliance with
applicable Fund policies and procedures and adherence to the Fund's investment
restrictions. The Manager is responsible for providing certain administrative
services to the Fund as well. Those services include providing and supervising
all administrative and clerical personnel who are necessary in order to provide
effective corporate administration for the Fund; compiling and maintaining
records with respect to the Fund's operations; preparing and filing reports
required by the Securities and Exchange Commission; preparing periodic reports
regarding the operations of the Fund for its shareholders; preparing proxy
materials for shareholder meetings; and preparing the registration statements
required by Federal and state securities laws for the sale of the Fund's shares.
The Manager also provides the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the
quality of the Manager's resources that are available to the Fund. The Board
took account of the fact
48 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
that the Manager has had over forty years of experience as an investment adviser
and that its assets under management rank it among the top mutual fund managers
in the United States. The Board evaluated the Manager's administrative,
accounting, legal and compliance services, and information the Board has
received regarding the experience and professional qualifications of the
Manager's key personnel and the size and functions of its staff providing
investment management services to the Fund. In its evaluation of the quality of
the portfolio management services provided, the Board considered the experience
of Angelo Manioudakis and the Manager's Core-Plus investment team and analysts.
Mr. Manioudakis has been a portfolio manager of the Fund since April 2002. The
Board members also considered the totality of their experiences with the Manager
as directors or trustees of the Fund and other funds advised by the Manager. In
light of the foregoing, the Board concluded that the Fund benefits from the
services provided under the Agreement as a result of the Manager's experience,
reputation, personnel, operations, and resources.
INVESTMENT PERFORMANCE OF THE MANAGER AND THE FUND. During the year, the
Manager provided information on the investment performance of the Fund and the
Manager at each Board meeting, including comparative performance information.
The Board also reviewed information, prepared by the Manager and by the
independent consultant, comparing the Fund's historical performance to relevant
market indices and to the performance of other retail front-end load and no-load
short U.S. government funds. The Board noted that the Fund's three-year,
five-year and ten-year performance were better than its peer group median.
However its one-year performance was below its peer group median.
COSTS OF SERVICES AND PROFITS REALIZED BY THE MANAGER. The Board
considered information regarding the Manager's costs in serving as the Fund's
investment adviser, including the costs associated with the personnel and
systems necessary to manage the Fund, and information regarding the Manager's
profitability from its relationship with the Fund. The Board reviewed the fees
paid to the Manager and the other expenses borne by the Fund. The Board also
evaluated the comparability of the fees charged and the services provided to the
Fund to the fees and services for other clients or accounts advised by the
Manager. The independent consultant provided comparative data in regard to the
fees and expenses of the Fund, other short U.S. government funds and other funds
with comparable asset levels and distribution features. The Board noted that the
Manager has agreed to voluntarily cap expenses at 0.70% of the average daily net
assets of Class A shares, 1.45% of the average daily net assets of Class B and C
shares, 0.95% of the average daily net assets of Class N shares, and 0.45% of
the average daily net assets of Class Y shares. The Board noted that the Fund's
contractual and actual management fees are lower than its peer group median.
49 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
BOARD APPROVAL OF THE FUND'S INVESTMENT
ADVISORY AGREEMENT Unaudited / Continued
- --------------------------------------------------------------------------------
ECONOMIES OF SCALE. The Board reviewed whether the Manager may realize
economies of scale in managing and supporting the Fund and whether any economies
of scale would benefit the Fund's shareholders. The Board noted that the Fund
currently has management fee breakpoints, which are intended to share with
shareholders any economies of scale that may exist as the Fund grows.
OTHER BENEFITS TO THE MANAGER. In addition to considering the profits
realized by the Manager, the Board considered information that was provided
regarding the direct and indirect benefits the Manager receives as a result of
its relationship with the Fund, including compensation paid to the Manager's
affiliates. The Board also considered that the Manager must be able to pay and
retain experienced professional personnel at competitive rates to provide
services to the Fund and that maintaining the financial viability of the Manager
is important in order for the Manager to continue to provide quality services to
the Fund and its shareholders.
CONCLUSIONS. These factors were also considered by the independent
Trustees meeting separately from the full Board, assisted by experienced counsel
to the Fund and to the independent Trustees. Fund counsel and the independent
Trustees' counsel are both independent of the Manager within the meaning and
intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations
described above, the Board, including a majority of the independent Trustees,
decided to continue the Agreement for another year. In arriving at this
decision, the Board did not single out any factor or factors as being more
important than others, but considered all of the factors together. The Board
considered the Agreement, including the management fee, in light of all of the
surrounding circumstances.
50 | OPPENHEIMER LIMITED-TERM GOVERNMENT FUND
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.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations by
business and personal contacts of current Board members and by executive
search firms which the Committee may engage from time to time and may also
consider shareholder recommendations. The Committee may consider the advice
and recommendation of the Funds' investment manager and its affiliates in
making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met by
a trustee nominee. In evaluating trustee nominees, the Committee considers,
among other things, an individual's background, skills, and experience;
whether the individual is an "interested person" as defined in the
Investment Company Act of 1940; and
whether the individual would be deemed an "audit committee financial expert"
within the meaning of applicable SEC rules. The Committee also considers
whether the individual's background, skills, and experience will complement
the background, skills, and experience of other nominees and will contribute
to the Board. There are no differences in the manner in which the Committee
evaluates nominees for trustees based on whether the nominee is recommended
by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates to
present to the Board and, in such cases where required, to shareholders.
Recommendations for trustee nominees should, at a minimum, be accompanied by
the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person" as
defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in a
proxy statement concerning the person if he or she was nominated; and
o the name and address of the person submitting the recommendation and, if
that person is a shareholder, the period for which that person held Fund
shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating
the recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under the
Investment Company Act of 1940. In addition, certain other relationships
with Massachusetts Mutual Life Insurance Company or its subsidiaries, with
registered broker-dealers, or with the Funds' outside legal counsel may
cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must be
disclosed under SEC and stock exchange rules and to determine whether the
individual is subject to any statutory disqualification from serving as a
trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of 03/31/2007, the registrant's principal executive officer and
principal financial officer found the registrant's disclosure controls and
procedures to provide reasonable assurances that information required to be
disclosed by the registrant in the reports that it files under the Securities
Exchange Act of 1934 (a) is accumulated and communicated to registrant's
management, including its principal executive officer and principal financial
officer, to allow timely decisions regarding required disclosure, and (b) is
recorded, processed, summarized and reported, within the time periods specified
in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant's internal controls over financial
reporting that occurred during the registrant's second fiscal quarter of the
period covered by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a) (1) Not applicable to semiannual reports.
(2) Exhibits attached hereto.
(3) Not applicable.
(b) Exhibit attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Limited-Term Government Fund
By: /s/ John V. Murphy
------------------
John V. Murphy
Principal Executive Officer
Date: 05/14/2007
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/ John V. Murphy
------------------
John V. Murphy
Principal Executive Officer
Date: 05/14/2007
By: /s/ Brian W. Wixted
-------------------
Brian W. Wixted
Principal Financial Officer
Date: 05/14/2007