N-Q 1 d377976dnq.htm N-Q N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4563

 

 

Oppenheimer Limited-Term Government Fund

(Exact name of registrant as specified in charter)

 

 

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

 

 

Arthur S. Gabinet

OppenheimerFunds, Inc.

Two World Financial Center, New York, New York 10281-1008

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (303) 768-3200

Date of fiscal year end: September 30

Date of reporting period: 6/29/2012

 

 

 

Item 1. Schedule of Investments.

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

Asset-Backed Securities-1.9%

      

Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts., Series 2011-2A, Cl. A, 2.37%, 11/20/141

    $ 5,590,000       $ 5,702,010   

Citibank Omni Master Trust, Credit Card Receivables, Series 2009-A13, Cl. A13, 5.35%, 8/15/181

      8,000,000         8,741,424   

DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16

      4,000,000         4,106,748   

DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/151

      5,690,000         5,703,922   

Exeter Automobile Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.02%, 8/15/161

      2,994,070         2,996,040   

Santander Drive Auto Receivables Trust 2010-B, Automobile Receivables Nts., Series 2010-B, Cl. C, 3.02%, 10/17/161

      4,375,000         4,453,488   

Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/172

      1,472,532         1,476,420   
     

 

 

  

Total Asset-Backed Securities (Cost $33,042,460)

         33,180,052   

Mortgage-Backed Obligations-75.2%

      

Government Agency-66.8%

      

FHLMC/FNMA/FHLB/Sponsored-61.7%

      

Federal Home Loan Mortgage Corp.:

      

4.50%, 5/1/19

      184,712         196,177   

4.50%, 8/1/423

      33,870,000         36,172,102   

6%, 5/15/18-10/15/29

      9,040,001         9,910,710   

6.50%, 4/15/18-4/1/34

      4,941,794         5,477,166   

7%, 8/15/16-10/1/37

      2,838,515         3,323,759   

7.50%, 1/1/32-9/15/33

      6,316,837         7,723,067   

8%, 4/1/16

      583,310         629,433   

8.50%, 3/15/31

      155,926         196,340   

9%, 8/1/22-5/1/25

      220,784         255,845   

10%, 8/16/21

      46,078         47,679   

11%, 12/15/20

      45,453         54,733   

11.50%, 6/15/20-12/3/20

      62,748         65,175   

11.75%, 1/15/16-4/15/19

      912         918   

12%, 6/15/15

      4,542         4,663   

12.50%, 7/15/19

      11,246         12,078   

13%, 8/15/15

      19,440         20,862   

Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:

      

Series 1095, Cl. D, 0.90%, 6/15/214

      8,475         8,557   

Series 151, Cl. F, 9%, 5/15/21

      35,714         41,077   

Series 1695, Cl. F, 2.51%, 3/15/244

      2,012,127         2,109,541   

Series 2006-11, Cl. PS, 23.667%, 3/25/364

      1,472,246         2,131,900   

Series 2035, Cl. PC, 6.95%, 3/15/28

      1,299,949         1,514,433   

Series 2084, Cl. ZC, 6.50%, 8/15/28

      721,119         817,275   

Series 2116, Cl. ZA, 6%, 1/15/29

      1,070,707         1,201,119   

Series 2122, Cl. FD, 0.592%, 2/15/294

      1,004,615         1,009,057   

Series 2132, Cl. FN, 1.139%, 3/15/294

      1,625,249         1,654,236   

Series 2148, Cl. ZA, 6%, 4/15/29

      1,885,603         2,113,251   

Series 2195, Cl. LH, 6.50%, 10/15/29

      2,539,744         2,915,118   

 

1         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

FHLMC/FNMA/FHLB/Sponsored Continued

      

Series 2220, Cl. PD, 8%, 3/15/30

    $ 335,841       $ 398,828   

Series 2281, Cl. Z, 6.50%, 2/15/31

      3,565,743         4,090,611   

Series 2319, Cl. BZ, 6.50%, 5/15/31

      5,462,677         6,272,385   

Series 2326, Cl. ZP, 6.50%, 6/15/31

      1,154,574         1,330,374   

Series 2344, Cl. FP, 1.192%, 8/15/314

      892,324         912,520   

Series 2368, Cl. TG, 6%, 10/15/16

      167,314         178,141   

Series 2392, Cl. FB, 0.842%, 1/15/294

      276,258         279,163   

Series 2396, Cl. FE, 0.842%, 12/15/314

      399,918         405,012   

Series 2401, Cl. FA, 0.892%, 7/15/294

      372,706         376,869   

Series 2427, Cl. ZM, 6.50%, 3/15/32

      269,143         310,549   

Series 2464, Cl. FI, 1.242%, 2/15/324

      615,809         627,928   

Series 2470, Cl. LF, 1.242%, 2/15/324

      630,025         642,425   

Series 2471, Cl. FD, 1.242%, 3/15/324

      920,893         939,285   

Series 2481, Cl. AF, 0.792%, 3/15/324

      537,886         543,184   

Series 2500, Cl. FD, 0.742%, 3/15/324

      706,619         713,187   

Series 2504, Cl. FP, 0.742%, 3/15/324

      1,047,049         1,055,992   

Series 2526, Cl. FE, 0.642%, 6/15/294

      918,517         923,584   

Series 2530, Cl. FD, 0.742%, 2/15/324

      1,227,817         1,237,927   

Series 2538, Cl. F, 0.842%, 12/15/324

      154,912         156,337   

Series 2550, Cl. FI, 0.592%, 11/15/324

      685,942         686,813   

Series 2551, Cl. FD, 0.642%, 1/15/334

      908,625         914,000   

Series 2627, Cl. KM, 4.50%, 6/1/18

      2,513,609         2,678,504   

Series 2668, Cl. AZ, 4%, 9/1/18

      1,090,794         1,148,853   

Series 2676, Cl. KY, 5%, 9/15/23

      3,728,684         4,097,536   

Series 2708, Cl. N, 4%, 11/1/18

      2,348,705         2,474,442   

Series 2838, Cl. EH, 4.50%, 6/1/18

      578,903         579,260   

Series 2843, Cl. A, 4.96%, 9/1/31

      9,767,187         9,886,188   

Series 3013, Cl. GA, 5%, 6/1/34

      4,610,659         4,819,582   

Series 3025, Cl. SJ, 23.864%, 8/15/354

      347,945         516,318   

Series 3134, Cl. FA, 0.542%, 3/15/364

      12,380,167         12,402,132   

Series 3342, Cl. FT, 0.692%, 7/15/374

      6,360,562         6,387,216   

Series 3465, Cl. HA, 4%, 7/1/17

      692,136         714,738   

Series 3617, Cl. DC, 4%, 7/1/27

      5,697,673         5,874,572   

Series 3647, Cl. BD, 3%, 12/1/19

      25,448,191         26,122,399   

Series 3676, Cl. DA, 4%, 4/1/22

      2,119,628         2,143,600   

Series 3803, Cl. YP, 4.50%, 2/1/41

      3,072,266         3,216,710   

Series 3804, Cl. WJ, 3%, 3/1/39

      21,250,559         21,855,426   

Series 3822, Cl. JA, 5%, 6/1/40

      1,471,481         1,566,146   

Series 3848, Cl. WL, 4%, 4/1/40

      5,434,487         5,754,011   

Series 3917, Cl. BA, 4%, 6/1/38

      8,031,690         8,471,814   

Series R013, Cl. AB, 6%, 12/1/21

      146,367         146,554   

Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:

      

Series 192, Cl. IO, 12.762%, 2/1/285

      374,635         61,411   

Series 205, Cl. IO, 14.084%, 9/1/295

      2,523,103         431,258   

Series 206, Cl. IO, 0%, 12/1/295,6

      116,771         24,134   

Series 2074, Cl. S, 56.986%, 7/17/285

      549,709         119,792   

Series 2079, Cl. S, 68.37%, 7/17/285

      950,938         213,262   

Series 243, Cl. 6, 0%, 12/15/325,6

      1,033,323         225,343   

 

2         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

FHLMC/FNMA/FHLB/Sponsored Continued

      

Series 2493, Cl. S, 62.199%, 9/15/295

    $ 669,489       $ 147,097   

Series 2526, Cl. SE, 44.013%, 6/15/295

      1,269,044         266,583   

Series 2720, Cl. SA, 63.415%, 1/15/295

      4,001,775         189,360   

Series 2795, Cl. SH, 18.498%, 3/15/245

      8,384,621         1,354,205   

Series 2796, Cl. SD, 65.066%, 7/15/265

      267,845         54,033   

Series 2819, Cl. S, 57.47%, 6/15/345

      11,946,170         2,387,765   

Series 2835, Cl. BS, 50.922%, 12/15/285

      7,081,713         564,719   

Series 2920, Cl. S, 65.834%, 1/15/355

      6,200,951         1,060,128   

Series 3110, Cl. SL, 99.999%, 2/15/265

      933,787         130,388   

Series 3450, Cl. BI, 12.377%, 5/15/385

      6,998,814         1,161,389   

Series 3662, Cl. SM, 24.883%, 10/15/325

      4,559,968         608,334   

Series 3736, Cl. SN, 6.506%, 10/15/405

      12,282,095         2,022,210   

Federal Home Loan Mortgage Corp., Mtg.-Linked Global Debt Securities, 2.06%, 1/15/22

      15,666,743         16,003,066   

Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security:

      

Series 216, Cl. PO, 10.854%, 12/1/317

      772,104         743,912   

Series 219, Cl. PO, 11.551%, 3/1/327

      2,097,573         2,022,180   

Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed Security, Series 237, Cl. F16, 0.742%, 5/15/364

      8,890,208         8,925,292   

Federal National Mortgage Assn.:

      

2.50%, 7/1/273

      85,175,000         87,783,484   

3.50%, 8/1/40

      3,458,137         3,628,241   

3.50%, 8/1/423

      59,130,000         62,012,588   

4%, 9/1/18-10/1/18

      14,203,113         15,220,441   

4%, 7/1/273

      1,155,000         1,228,631   

4.50%, 5/25/18-8/1/26

      28,511,604         30,680,513   

5%, 2/25/18-7/25/22

      32,767,685         35,489,536   

5.50%, 9/1/19-1/1/36

      9,964,795         10,934,605   

5.50%, 7/1/27-8/1/423

      10,495,000         11,410,136   

6%, 3/25/17-2/1/40

      19,124,442         21,204,239   

6%, 8/1/423

      830,000         912,092   

6.50%, 6/25/17-1/1/34

      23,485,731         26,591,758   

7%, 7/25/13-2/25/36

      14,988,713         17,668,992   

7.50%, 2/25/27-8/25/33

      17,714,493         21,500,709   

8%, 6/25/17

      566         632   

8.50%, 7/1/32

      77,137         95,898   

9%, 8/25/19

      6,370         7,469   

9.50%, 11/25/21

      5,066         5,877   

11%, 11/25/15-8/13/19

      236,041         251,238   

11.25%, 3/10/16

      34,685         35,328   

11.50%, 8/8/19

      24,123         24,295   

12%, 1/25/16-5/25/16

      28,704         29,300   

12.50%, 8/25/15-12/25/15

      15,805         16,237   

13%, 9/8/15-8/25/26

      53,521         54,969   

Federal National Mortgage Assn., 15 yr.:

      

3%, 7/1/273

      122,085,000         127,941,259   

3.50%, 7/1/273

      5,555,000         5,870,941   

 

3         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

FHLMC/FNMA/FHLB/Sponsored Continued

      

Federal National Mortgage Assn., 30 yr.:

      

4%, 8/1/423

    $ 72,480,000       $ 77,021,329   

4.50%, 8/1/423

      20,558,000         22,042,030   

Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:

      

Trust 1988-7, Cl. Z, 9.25%, 4/25/18

      39,902         44,334   

Trust 1991-109, Cl. Z, 8.50%, 9/25/21

      24,208         28,253   

Trust 1992-34, Cl. G, 8%, 3/25/22

      5,609         5,635   

Trust 1997-16, Cl. PD, 7%, 3/18/27

      2,338,830         2,725,146   

Trust 1998-59, Cl. Z, 6.50%, 10/25/28

      224,399         257,086   

Trust 1999-54, Cl. LH, 6.50%, 11/25/29

      1,382,503         1,583,528   

Trust 2001-69, Cl. PF, 1.245%, 12/25/314

      1,376,687         1,404,746   

Trust 2002-12, Cl. PG, 6%, 3/25/17

      4,507,892         4,881,612   

Trust 2002-19, Cl. PE, 6%, 4/25/17

      367,980         392,788   

Trust 2002-29, Cl. F, 1.245%, 4/25/324

      660,814         674,373   

Trust 2002-39, Cl. FD, 1.243%, 3/18/324

      1,063,104         1,085,826   

Trust 2002-52, Cl. FD, 0.745%, 9/25/324

      886,270         894,590   

Trust 2002-53, Cl. FY, 0.745%, 8/25/324

      850,419         857,505   

Trust 2002-64, Cl. FJ, 1.245%, 4/25/324

      203,651         207,830   

Trust 2002-65, Cl. FB, 1.245%, 7/25/324

      1,297,017         1,322,842   

Trust 2002-68, Cl. FH, 0.743%, 10/18/324

      411,000         414,620   

Trust 2002-77, Cl. TF, 1.243%, 12/18/324

      2,616,283         2,668,556   

Trust 2002-82, Cl. FE, 1.245%, 12/25/324

      1,178,704         1,201,924   

Trust 2002-9, Cl. PC, 6%, 3/25/17

      2,574,390         2,784,953   

Trust 2002-90, Cl. FJ, 0.745%, 9/25/324

      434,143         437,766   

Trust 2002-90, Cl. FM, 0.745%, 9/25/324

      417,445         420,929   

Trust 2003-111, Cl. HF, 0.645%, 5/25/304

      1,161,099         1,161,881   

Trust 2003-112, Cl. AN, 4%, 11/1/18

      3,930,268         4,140,168   

Trust 2003-116, Cl. FA, 0.645%, 11/25/334

      577,241         580,646   

Trust 2003-119, Cl. FK, 0.745%, 5/25/183,4

      7,458,015         7,500,533   

Trust 2003-130, Cl. CS, 13.61%, 12/25/334

      1,475,277         1,767,928   

Trust 2003-21, Cl. FK, 0.645%, 3/25/334

      68,843         69,252   

Trust 2003-26, Cl. XF, 0.695%, 3/25/234

      3,174,055         3,190,762   

Trust 2003-33, Cl. LF, 0.595%, 7/25/174

      135,592         135,642   

Trust 2003-44, Cl. CB, 4.25%, 3/1/33

      1,490,380         1,565,041   

Trust 2003-45, Cl. AB, 3.75%, 5/1/33

      371,663         380,684   

Trust 2004-101, Cl. BG, 5%, 1/25/20

      4,925,411         5,277,448   

Trust 2004-29, Cl. QG, 4.50%, 12/1/32

      5,000,000         5,284,257   

Trust 2004-7, Cl. J, 4%, 7/1/17

      1,027,499         1,032,434   

Trust 2004-72, Cl. FB, 0.745%, 9/25/344

      3,272,589         3,287,939   

Trust 2004-9, Cl. AB, 4%, 7/1/17

      71,319         71,405   

Trust 2004-W9, Cl. 2A2, 7%, 2/25/44

      5,668,778         6,571,715   

Trust 2005-109, Cl. AH, 5.50%, 12/25/25

      8,786,788         10,053,270   

Trust 2005-45, Cl. XA, 0.585%, 6/25/354

      3,870,110         3,878,779   

Trust 2005-5, Cl. AB, 5%, 4/1/32

      4,104,624         4,276,581   

Trust 2005-67, Cl. BF, 0.595%, 8/25/354

      3,244,535         3,254,807   

Trust 2005-69, Cl. LE, 5.50%, 11/1/33

      4,409,990         4,562,287   

Trust 2005-85, Cl. FA, 0.595%, 10/25/354

      7,609,490         7,629,614   

 

4         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

FHLMC/FNMA/FHLB/Sponsored Continued

      

Trust 2006-46, Cl. SW, 23.30%, 6/25/364

    $ 1,349,480       $ 1,941,233   

Trust 2006-50, Cl. KS, 23.301%, 6/25/364

      1,109,782         1,612,416   

Trust 2006-50, Cl. SK, 23.301%, 6/25/364

      267,309         399,520   

Trust 2007-42, Cl. A, 6%, 2/1/33

      5,447,174         5,667,581   

Trust 2007-79, Cl. FA, 0.695%, 8/25/374

      3,969,180         3,985,436   

Trust 2008-14, Cl. BA, 4.25%, 3/1/23

      1,069,605         1,133,432   

Trust 2009-114, Cl. AC, 2.50%, 12/1/23

      2,316,448         2,390,593   

Trust 2009-36, Cl. FA, 1.185%, 6/25/374

      23,882,721         24,253,340   

Trust 2009-37, Cl. HA, 4%, 4/1/19

      6,064,110         6,420,618   

Trust 2009-70, Cl. PA, 5%, 8/1/35

      12,564,129         12,774,324   

Trust 2010-37, Cl. NG, 4%, 1/1/28

      13,126,715         13,560,777   

Trust 2011-122, Cl. EA, 3%, 11/1/29

      7,010,770         7,197,235   

Trust 2011-122, Cl. EC, 1.50%, 1/1/20

      14,135,136         14,338,043   

Trust 2011-15, Cl. DA, 4%, 3/1/41

      11,028,368         11,787,567   

Trust 2011-3, Cl. KA, 5%, 4/1/40

      5,266,249         5,736,667   

Trust 2011-6, Cl. BA, 2.75%, 6/1/20

      2,419,308         2,513,022   

Trust 2011-88, Cl. AB, 2.50%, 9/1/26

      3,556,369         3,683,093   

Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:

      

Trust 2001-63, Cl. SD, 33.231%, 12/18/315

      1,024,286         186,306   

Trust 2001-68, Cl. SC, 24.415%, 11/25/315

      877,674         167,615   

Trust 2001-81, Cl. S, 26.323%, 1/25/325

      678,664         143,251   

Trust 2002-28, Cl. SA, 37.684%, 4/25/325

      627,317         121,740   

Trust 2002-38, Cl. SO, 52.225%, 4/25/325

      961,545         177,317   

Trust 2002-39, Cl. SD, 42.013%, 3/18/325

      1,031,772         222,325   

Trust 2002-48, Cl. S, 32.894%, 7/25/325

      1,003,466         200,018   

Trust 2002-52, Cl. SD, 40.474%, 9/25/325

      886,270         195,960   

Trust 2002-52, Cl. SL, 35.522%, 9/25/325

      655,060         130,913   

Trust 2002-53, Cl. SK, 40.599%, 4/25/325

      602,018         134,684   

Trust 2002-56, Cl. SN, 34.747%, 7/25/325

      1,362,877         272,119   

Trust 2002-60, Cl. SM, 32.218%, 8/25/325

      2,045,220         356,216   

Trust 2002-77, Cl. IS, 47.213%, 12/18/325

      1,376,316         300,790   

Trust 2002-77, Cl. SH, 42.018%, 12/18/325

      955,463         198,378   

Trust 2002-9, Cl. MS, 30.983%, 3/25/325

      1,098,360         215,870   

Trust 2003-33, Cl. IA, 7.569%, 5/25/335

      203,775         33,727   

Trust 2003-33, Cl. SP, 99.999%, 5/25/335

      2,549,343         401,046   

Trust 2003-38, Cl. SA, 31.337%, 3/25/235

      2,673,075         275,676   

Trust 2003-4, Cl. S, 32.244%, 2/25/335

      1,464,679         265,849   

Trust 2005-122, Cl. SD, 56.378%, 6/25/355

      8,305,192         1,143,993   

Trust 2005-14, Cl. SE, 45.023%, 3/25/355

      8,458,722         1,392,169   

Trust 2005-40, Cl. SA, 60.939%, 5/25/355

      3,365,716         659,296   

Trust 2005-5, Cl. SD, 11.403%, 1/25/355

      2,292,701         360,798   

Trust 2005-63, Cl. SA, 52.097%, 10/25/315

      3,345,662         682,366   

Trust 2005-63, Cl. X, 35.658%, 10/25/315

      39,605         826   

Trust 2005-71, Cl. SA, 63.187%, 8/25/255

      3,939,277         564,390   

Trust 2006-51, Cl. SA, 41.35%, 6/25/365

      9,566,259         1,303,772   

Trust 2006-60, Cl. DI, 41.528%, 4/25/355

      7,088,144         965,320   

 

5         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

FHLMC/FNMA/FHLB/Sponsored Continued

      

Trust 2007-77, Cl. SB, 40.042%, 12/25/315

    $ 1,637,296       $ 56,741   

Trust 2007-84, Cl. DS, 12.147%, 8/25/375

      3,007,191         529,860   

Trust 2008-46, Cl. EI, 12.818%, 6/25/385

      7,164,389         1,276,232   

Trust 2008-55, Cl. SA, 18.452%, 7/25/385

      166,009         26,706   

Trust 2009-8, Cl. BS, 18.395%, 2/25/245

      3,673,274         364,709   

Trust 2009-85, Cl. IO, 13.462%, 10/1/245

      7,997,212         706,327   

Trust 2011-48, Cl. IC, 30.646%, 5/1/135

      18,833,777         248,602   

Trust 2011-84, Cl. IG, 5.016%, 8/1/135

      25,122,615         441,221   

Trust 221, Cl. 2, 36.406%, 5/1/235

      1,691,903         362,707   

Trust 254, Cl. 2, 32.432%, 1/1/245

      2,149,258         458,381   

Trust 294, Cl. 2, 17.152%, 2/1/285

      2,395,181         380,559   

Trust 301, Cl. 2, 2.412%, 4/1/295

      1,180,498         189,520   

Trust 321, Cl. 2, 16.313%, 4/1/325

      6,536,160         1,008,173   

Trust 324, Cl. 2, 0.138%, 7/1/325

      2,229,404         346,516   

Trust 331, Cl. 10, 20.475%, 2/1/335

      3,043,545         485,110   

Trust 331, Cl. 4, 9.149%, 2/1/335

      2,636,838         552,367   

Trust 331, Cl. 5, 11.572%, 2/1/335

      3,725,526         785,345   

Trust 331, Cl. 6, 4.56%, 2/1/335

      3,715,682         763,880   

Trust 334, Cl. 10, 6.029%, 2/1/335

      1,505,044         296,733   

Trust 339, Cl. 15, 11.668%, 7/1/335

      1,378,268         262,835   

Trust 339, Cl. 7, 0%, 7/1/335,6

      2,847,614         393,144   

Trust 351, Cl. 8, 0%, 4/1/345,6

      2,701,470         384,885   

Trust 356, Cl. 10, 0%, 6/1/355,6

      2,174,242         303,691   

Trust 356, Cl. 12, 0%, 2/1/355,6

      1,083,051         151,914   

Trust 362, Cl. 13, 0%, 8/1/355,6

      2,944,676         485,018   

Trust 364, Cl. 15, 0%, 9/1/355,6

      1,745,824         275,524   

Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 327, Cl. 1, 10.647%, 9/1/327

      524,685         507,758   

Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1999-3, Cl. IO, 20.61%, 10/15/295

      29,424,445         249,990   

Series 2001-3, Cl. IO, 21.602%, 5/15/315

      12,995,448         111,423   

Series 2002-2, Cl. IO, 22.38%, 1/15/325

      34,862,890         148,833   

Series 2002-3, Cl. IO, 21.554%, 8/15/325

      48,626,120         444,307   

Series 2003-1, Cl. IO, 15.284%, 11/15/325

      71,000,060         481,714   
     

 

 

  
        1,085,752,281   

GNMA/Guaranteed-1.0%

      

Government National Mortgage Assn.:

      

6.50%, 1/29/24

      127,196         146,300   

7%, 1/29/28-2/8/30

      799,339         960,331   

7.50%, 6/29/28-8/29/28

      493,501         525,914   

8%, 9/29/28

      35,997         37,911   

8.50%, 8/1/17-12/15/17

      340,146         365,169   

9.50%, 9/29/17

      1,845         1,940   

10.50%, 12/29/17-1/29/21

      75,547         76,976   

11%, 11/8/19

      53,269         57,893   

11.50%, 5/29/13-7/29/15

      5,721         5,759   

 

6         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

GNMA/Guaranteed Continued

      

13%, 9/29/14

    $ 380       $ 384   

Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:

      

Series 1999-32, Cl. ZB, 8%, 9/16/29

      7,616,907         9,294,240   

Series 2009-66, Cl. CD, 2.50%, 8/1/39

      958,311         986,204   

Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:

      

Series 1998-19, Cl. SB, 67.93%, 7/16/285

      2,000,153         442,292   

Series 1998-6, Cl. SA, 82.35%, 3/16/285

      1,209,304         274,867   

Series 2001-21, Cl. SB, 88.033%, 1/16/275

      2,062,120         382,142   

Series 2010-111, Cl. GI, 28.396%, 9/1/135

      74,854,248         1,350,401   

Series 2010-147, Cl. LI, 25.307%, 11/1/135

      41,770,191         841,314   

Series 2011-52, Cl. HS, 9.436%, 4/16/415

      8,099,841         2,075,776   

Series 2011-82, Cl. IG, 8.043%, 6/1/135

      17,166,344         238,303   
     

 

 

  
        18,064,116   

Other Agency-4.1%

      

NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.:

      

Series 2010-C1, Cl. A1, 1.60%, 10/29/20

      3,974,796         4,028,059   

Series 2010-C1, Cl. A2, 2.90%, 10/29/20

      8,560,000         9,127,100   

Series 2010-C1, Cl. APT, 2.65%, 10/29/20

      9,262,179         9,688,239   

NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.689%, 10/7/204

      7,513,883         7,529,136   

NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts.:

      

Series 2010-R3, Cl. 2A, 0.799%, 12/8/204

      23,067,670         23,165,016   

Series 2010-R3, Cl. 3A, 2.40%, 12/8/20

      5,884,563         6,027,088   

NCUA Guaranteed Notes Trust, Asset-Backed Nts., Series 2010-A1, Cl. A, 0.589%, 12/7/204

      11,863,628         11,906,099   
     

 

 

  
        71,470,737   

Non-Agency-8.4%

      

Commercial-6.5%

      

Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.805%, 6/1/494

      3,837,723         4,355,367   

BCAP LLC Trust, Mtg. Pass-Through Certificates:

      

Series 2012-RR6, Cl. 1A5, 2.243%, 11/1/362,4

      7,221,000         7,121,711   

Series 2012-RR2, Cl. 6A3, 2.762%, 9/1/351,4

      7,045,291         6,968,089   

CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441

      1,198,435         1,205,172   

CHL Mortgage Pass-Through Trust 2003-J5, Mtg. Pass-Through Certificates, Series 2003-J5, Cl. 2A1, 5%, 7/1/18

      2,228,257         2,292,779   

Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/461

      5,819,366         6,114,594   

Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.885%, 9/1/201,5

      43,939,978         2,984,535   

FDIC Trust, Commerical Mtg. Pass-Through Certificates, Series 2012-C1, Cl. A, 0.841%, 5/1/352

      11,880,000         11,878,574   

 

7         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

Commercial Continued

      

Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49

    $ 3,445,000       $ 3,832,221   

GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4, 5.56%, 11/1/39

      6,505,000         7,427,978   

GS Mortgage Securities Trust 2007-GG10, Commercial Mtg. Pass-Through Certificates, Series 2007-GG10, Cl. A2, 5.778%, 8/1/45

      3,546,838         3,578,174   

GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35

      3,245,776         3,181,734   

JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates:

      

Series 2010-C2, Cl. A2, 3.616%, 11/1/431

      7,185,000         7,674,079   

Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/491

      5,696,589         5,758,346   

Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49

      4,036,045         4,069,581   

Series 2007-LD12, Cl. A2, 5.827%, 2/15/51

      3,460,267         3,490,835   

JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. A2, 5.815%, 2/1/494

      823,102         822,987   

JPMorgan Chase Commercial Mortgage Securities Trust 2007-LD11, Commercial Mtg. Pass-Through Certificates, Series 2007-LD11, Cl. A4, 6.009%, 6/1/494

      2,500,000         2,754,376   

JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 6.009%, 6/1/494

      4,454,451         4,809,814   

LB-UBS Commercial Mortgage Trust 2006-C4, Commercial Mtg. Pass-Through Certificates, Series 2006-C4, Cl. A2, 5.868%, 6/11/32

      1,583,911         1,585,815   

LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40

      8,745,000         10,031,529   

Merrill Lynch Mortgage Trust 2005-MCP1, Commercial Mtg. Pass-Through Certificates, Series 2005-MCP1, Cl. A2, 4.556%, 6/1/43

      714,954         716,619   

Sequoia Mortgage Trust, Mtg. Pass-Through Certificates, Series 2012-2, Cl. A2, 3.50%, 3/1/42

      4,005,834         4,122,606   

STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.815%, 2/1/374

      4,225,965         3,058,830   

WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 8.956%, 3/1/445

      50,804,174         4,352,648   
     

 

 

  
        114,188,993   

Other-0.4%

      

Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39

      6,000,000         6,680,226   

Residential-1.5%

      

Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.205%, 5/25/344

      6,798,286         5,845,979   

 

8         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

Residential Continued

      

Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.331%, 5/1/364

    $ 3,970,672       $ 3,087,035   

CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.365%, 6/25/474

      2,488,581         2,452,137   

Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.563%, 10/25/364

      3,381,893         3,111,294   

Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.551%, 12/25/344

      2,182,349         2,183,637   

Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.284%, 1/1/364

      1,387,929         941,111   

RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates:

      

Series 2006-QS13, Cl. 1A8, 6%, 9/25/36

      190,965         125,837   

Series 2006-QS13, Cl. 1A5, 6%, 9/25/36

      5,848,338         3,853,762   

RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37

      2,754,839         1,701,829   

Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35

      4,129,168         4,178,018   
     

 

 

  
        27,480,639   
     

 

 

  

Total Mortgage-Backed Obligations (Cost $1,286,372,938)

         1,323,636,992   

U.S. Government Obligations-32.5%

      

Federal Home Loan Mortgage Corp. Nts.:

      

0.50%, 4/17/15

      129,313,000         129,410,761   

1%, 7/28/17

      12,330,000         12,344,895   

1.25%, 5/12/17

      10,695,000         10,854,227   

1.75%, 5/30/19

      22,355,000         22,917,228   

2.375%, 1/13/22

      8,707,000         8,962,263   

5.25%, 4/18/16

      22,385,000         26,227,273   

Federal National Mortgage Assn. Nts.:

      

0.50%, 5/27/15-7/2/15

      117,540,000         117,498,178   

1.125%, 4/27/17

      43,231,000         43,708,357   

4.375%, 10/15/15

      26,912,000         30,230,115   

5.375%, 6/12/17

      20,521,000         24,901,659   

U.S. Treasury Bills:

      

0.04%, 7/12/12

      22,700,000         22,699,564   

0.041%, 7/19/12

      20,000,000         19,999,590   

0.05%, 7/26/12

      5,000,000         4,999,826   

0.069%, 7/5/12

      29,850,000         29,849,877   

0.103%, 9/20/128

      17,500,000         17,497,270   

U.S. Treasury Nts., 1.50%, 7/15/12

      49,500,000         49,530,938   
     

 

 

  

Total U.S. Government Obligations (Cost $564,975,252)

         571,632,021   

Corporate Bonds and Notes-0.5%

      

Petroleos Mexicanos:

      

1.95% Sr. Unsec. Nts., 12/20/223

      1,360,000         1,360,000   

2% Sr. Unsec. Nts., 12/20/223

      6,825,000         6,825,000   
     

 

 

  

Total Corporate Bonds and Notes (Cost $8,185,000)

         8,185,000   

 

9         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Principal
Amount		      Value  

Short-Term Notes-14.7%

      

Federal Home Loan Bank:

      

0.01%, 7/5/12

    $ 58,000,000       $ 57,999,549   

0.01%, 7/6/12

      53,225,000         53,224,483   

0.06%, 7/18/12

      4,400,000         4,399,834   

0.08%, 7/11/12

      42,600,000         42,599,154   

0.08%, 7/20/12

      40,000,000         39,998,549   

0.10%, 8/1/12

      7,000,000         6,999,458   

Federal Home Loan Mortgage Corp., 0.07%, 7/11/12

      30,000,000         29,999,417   

Federal National Mortgage Assn., 0.06%, 7/25/12

      24,000,000         23,999,040   
     

 

 

  

Total Short-Term Notes (Cost $259,219,484)

         259,219,484   

 

     Expiration
Date		      Strike Price      Contracts         

Options Purchased-0.0%

            

Euro$ 1 yr. MID-CRV Futures, 9/16/13 Put9

      7/16/12       $ 99.250         189         2,363   

Euro$ 1 yr. MID-CRV Futures, 9/16/13 Put9

      9/17/12         99.250         95         4,750   

U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put9

      7/30/12         131.500         98         16,844   

U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put9

      7/30/12         132.500         77         28,875   

U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put9

      8/27/12         128.000         33         2,063   

U.S. Treasury Nts., 10 yr. Futures, 9/19/12 Put9

      8/27/12         130.000         33         5,672   
           

 

 

  

Total Options Purchased (Cost $85,179)

               60,567   

 

10         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

     Swaption
Expiration Date		     Notional
Amount		         

Swaptions Purchased-0.0%

        

Goldman Sachs International, Interest Rate Swaption (European); Swap Terms: Paid: 1.945%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/2/199 (Cost $62,916)

      10/1/12      $ 3,920,000         4,382   

Total Investments, at Value (Cost $2,151,943,229)

      124.8 %         2,195,918,498   

Liabilities in Excess of Other Assets

      (24.8 )         (437,006,073 ) 
  

 

 

    

 

 

     

 

 

  

Net Assets

      100.0 %       $ 1,758,912,425   
  

 

 

    

 

 

     

 

 

  

Footnotes to Statement of Investments

 

* June 29, 2012 represents the last business day of the Fund’s quartelry period. See accompanying Notes.
1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $58,301,699 or 3.31% of the Fund’s net assets as of June 29, 2012.

 

11         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

2. Restricted security. The aggregate value of restricted securities as of June 29, 2012 was $20,476,705, which represents 1.16% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:

 

Security

    Acquisition
Dates		    Cost      Value      Unrealized
Appreciation
(Depreciation)		  

BCAP LLC Trust, Mtg. Pass-Through Certificates, Series 2012-RR6, Cl. 1A5, 2.243%, 11/1/36

    6/14/12    $ 7,121,711       $ 7,121,711       $ —     

FDIC Trust, Commerical Mtg. Pass-Through Certificates, Series 2012-C1, Cl. A, 0.841%, 5/1/35

    5/10/12      11,880,000         11,878,574         (1,426 ) 

Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17

    2/4/11-10/4/11      1,472,671         1,476,420         3,749   
     

 

 

     

 

 

     

 

 

  
      $ 20,474,382       $ 20,476,705       $ 2,323   
     

 

 

     

 

 

     

 

 

  

 

3. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after June 29, 2012. See accompanying Notes.
4. Represents the current interest rate for a variable or increasing rate security.
5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. 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 or asset-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 $48,009,386 or 2.73% of the Fund’s net assets as of June 29, 2012.
6. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
7. 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 $3,273,850 or 0.19% of the Fund’s net assets as of June 29, 2012.
8. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,699,735. See accompanying Notes.
9. Non-income producing security.

 

12         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

Futures Contracts as of June 29, 2012 are as follows:

 

Contract Description

    Buy/Sell      Number of
Contracts		      Expiration
Date		      Value      Unrealized
Appreciation
(Depreciation)		  

U.S. Treasury Long Bonds

      Buy         242         9/19/12       $ 35,808,438       $ (176,652 ) 

U.S. Treasury Nts., 2 yr.

      Buy         1,472         9/28/12         324,116,000         (187,484 ) 

U.S. Treasury Nts., 5 yr.

      Sell         954         9/28/12         118,266,188         (242,103 ) 

U.S. Treasury Nts., 10 yr.

      Buy         40         9/19/12         5,335,000         (2,819 ) 

U.S. Treasury Nts., 10 yr.

      Sell         1,393         9/19/12         185,791,375         357,524   

U.S. Treasury Ultra Bonds

      Buy         4         9/19/12         667,375         10,145   
              

 

 

  
               $ (241,389 ) 
              

 

 

  

Written Options as of June 29, 2012 are as follows:

 

Description

   

Type

    Number of
Contracts		      Exercise
Price		      Expiration
Date		      Premiums
Received		      Value     Unrealized
Appreciation		  

U.S. Treasury Nts., 10 yr. Futures, 9/19/12

    Put      66       $ 129.000         8/27/12       $ 11,253       $ (6,188 )    $ 5,065   

As of June 29, 2012, the Fund had entered into the following written swaption contracts:

 

Reference Entity / Swaption
Counterparty

   

Swaption Description

   

Underlying Swap
Type

from Fund
Perspective

    Notional
Amount
(000’s)		      Swaption
Expiration
Date		      Premium
Received		      Value     Unrealized
Appreciation		  

Three-Month USD BBA LIBOR

                    

Goldman Sachs Bank USA

    Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.115%; Termination Date: 10/1/12    Interest Rate Pay Floating    $ 11,530         10/1/12       $ 41,796       $ (1,245 )    $ 40,551   

Abbreviation is as follows:

 

BBA LIBOR

    British Bankers’ Association London-Interbank Offered Rate

 

13         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

Notes to Statement of Investments

Quarterly Period. The last day of the Fund’s quarterly period was the last day the New York Stock Exchange was open for trading. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

As of June 29, 2012, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:

 

     When-Issued or
Delayed Delivery
Basis Transactions		  

Purchased securities

    $ 675,511,362   

Sold securities

      228,383,678   

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.

Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather

 

14         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.

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 trading.

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

Valuation Methods and Inputs

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

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

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

 

15         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

(listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

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

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

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

Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

 

Security Type

   

Standard inputs generally considered by third-party pricing vendors

Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities    Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
Loans    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Event-linked bonds    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Structured securities    Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events.
Swaps    Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates.

 

16         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

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

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

 

17         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

Classifications

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

 

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

 

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

 

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

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

The table below categorizes amounts as of June 29, 2012 based on valuation input level:

 

     Level 1-
Unadjusted
Quoted
Prices		     Level 2-
Other
Significant
Observable
Inputs		     Level 3-
Significant
Unobservable
Inputs		      Value  

Assets Table

          

Investments, at Value:

          

Asset-Backed Securities

    $ —        $ 33,180,052      $ —         $ 33,180,052   

Mortgage-Backed Obligations

      —          1,323,636,992        —           1,323,636,992   

U.S. Government Obligations

      —          571,632,021        —           571,632,021   

Corporate Bonds and Notes

      —          8,185,000        —           8,185,000   

Short-Term Notes

      —          259,219,484        —           259,219,484   

Options Purchased

      60,567        —          —           60,567   

Swaptions Purchased

      —          4,382        —           4,382   
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Investments, at Value

      60,567        2,195,857,931        —           2,195,918,498   

Other Financial Instruments:

          

Futures margins

      938,213        —          —           938,213   
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Assets

    $ 998,780      $ 2,195,857,931      $ —         $ 2,196,856,711   
  

 

 

    

 

 

    

 

 

     

 

 

  

Liabilities Table

          

Other Financial Instruments:

          

Futures margins

    $ (512,451 )    $ —        $ —         $ (512,451 ) 

Appreciated options written, at value

      (6,188 )      —          —           (6,188 ) 

Appreciated swaptions written, at value

      —          (1,245 )      —           (1,245 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Liabilities

    $ (518,639 )    $ (1,245 )    $ —         $ (519,884 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

18         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

There have been no significant changes to the fair valuation methodologies of the Fund during the period.

Risk Exposures and the Use of Derivative Instruments

The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors.

Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:

Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

 

19         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.

Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.

Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may

 

20         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 29, 2012, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $4,382, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. master agreements, which allow the Fund to net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $3,137 as of June 29, 2012. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.

Credit Related Contingent Features. The Fund’s agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.

Futures Contracts

A futures contract is a commitment to buy or sell a specific amount of a financial instrument, or currency, at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts.

Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

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

 

21         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

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.

Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the period ended June 29, 2012, the Fund had an ending monthly average market value of $397,562,856 and $303,806,271 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

Option Activity

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

Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.

 

22         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

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

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

During the period ended June 29, 2012, the Fund had an ending monthly average market value of $22,089 and $85,203 on purchased call options and purchased put options, respectively.

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

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

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

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

During the period ended June 29, 2012, the Fund had an ending monthly average market value of $17,758 and $56,700 on written call options and written put options, respectively.

Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.

 

23         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

Written option activity for the period ended June 29, 2012 was as follows:

 

     Call Options     Put Options  
     Number of
Contracts		     Amount of
Premiums		     Number of
Contracts		     Amount of
Premiums		  

Options outstanding as of September 30, 2011

      —        $ —          130      $ 22,164   

Options written

      6,493        711,110        21,550        2,113,343   

Options closed or expired

      (6,493 )      (711,110 )      (21,602 )      (2,116,501 ) 

Options exercised

      —          —          (12 )      (7,753 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Options outstanding as of June 29, 2012

      —        $ —          66      $ 11,253   
  

 

 

    

 

 

    

 

 

    

 

 

  

Swaption Transactions

The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.

Swaptions are marked to market daily using primarily portfolio pricing services or quotations from counterparties and brokers. Purchased swaptions are reported as a component of investments in the Statement of Investments, the Statement of Assets and Liabilities in the annual and semiannual reports and the Statement of Operations in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.

The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.

The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating

 

24         Oppenheimer Limited-Term Government Fund

Oppenheimer Limited-Term Government Fund

STATEMENT OF INVESTMENTS June 29, 2012* (Unaudited)

 

interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate appreciates relative to the preset interest rate.

The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate.

During the period ended June 29, 2012, the Fund had an ending monthly average market value of $11,047 and $6,409 on purchased and written swaptions, respectively.

Written swaption activity for the period ended June 29, 2012 was as follows:

 

     Call Swaptions  
     Notional
Amount		      Amount of
Premiums		  

Swaptions outstanding as of September 30, 2011

      —         $ —     

Swaptions written

      11,530,000         41,796   
  

 

 

     

 

 

  

Swaptions outstanding as of June 29, 2012

      11,530,000       $ 41,796   
  

 

 

     

 

 

  

Restricted Securities

As of June 29, 2012, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.

Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 29, 2012 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.

 

Federal tax cost of securities

    $ 2,152,394,033   

Federal tax cost of other investments

      62,057,590   
  

 

 

  

Total federal tax cost

    $ 2,214,451,623   
  

 

 

  

Gross unrealized appreciation

    $ 55,889,732   

Gross unrealized depreciation

      (12,561,040 ) 
  

 

 

  

Net unrealized appreciation

    $ 43,328,692   
  

 

 

  

 

25         Oppenheimer Limited-Term Government Fund

Item 2. Controls and Procedures.

 

  (a) 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 6/29/2012, 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 the 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.

 

  (b) There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

Exhibits attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Oppenheimer Limited-Term Government Fund

 

By:

  

/s/ William F. Glavin, Jr.

  William F. Glavin, Jr.
  Principal Executive Officer

Date:

   8/9/2012

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/ William F. Glavin, Jr.

  William F. Glavin, Jr.
  Principal Executive Officer

Date:

   8/9/2012

 

By:

  

/s/ Brian W. Wixted

  Brian W. Wixted
  Principal Financial Officer

Date:

   8/9/2012