[FRONT COVER]
Oppenheimer Limited-Term Government Fund
Semiannual Report March 31, 1996
[Picture of Cafe Couple]
"We need our
money to work
hard and we
need to feel
comfortable
about how
it's invested."
[Oppenheimer Logo(R)]
<PAGE>
This Fund is for people who want high return
potential without giving up the comfort of a
short-term investment.1
News
Standardized Yields
For the 30 Days Ended 3/31/96:5
Class A
5.88%
Class B
5.33%
Class C
5.30%
Beat the Average
Total Return for the 10-Year
Period Ended 3/31/96:
Oppenheimer Limited-Term
Government Fund
Class A (at NAV)3
117.59%
Lipper Short-Term U.S.
Government Funds Average6
101.49%
How Your Fund Is Managed
Oppenheimer Limited-Term Government Fund seeks high current return by
investing in a portfolio of fixed income securities, emphasizing securities
issued or guaranteed by the U.S. government, its agencies or
instrumentalities, and mortgage-backed securities. The Fund also invests in
collateralized mortgage obligations and mortgage-backed stripped securities.2
The Fund is designed to offer a greater degree of stability than longer-term
fixed income investments because it intends to maintain an average effective
portfolio duration of not more than three years.
Performance
Total returns at net asset value for the 6 months ended 3/31/96 for Class A, B
and C shares were 2.80%, 2.41% and 2.39%, respectively.3
Your Fund's average annual total returns at maximum offering price for
Class A shares for the 1- and 5-year periods ended 3/31/96 and since inception
of the Class on 3/10/86 were 3.03%, 6.37% and 7.74%, respectively. For Class B
shares, average annual total returns for the 1-year period ended 3/31/96 and
since inception of the Class on 5/3/93 were 2.02% and 3.58%, respectively.
For Class C shares, average annual total returns for the 1-year period ended
3/31/95 and since inception of the Class on 2/1/95 were 4.90% and 6.81%.4
Outlook
"Looking ahead, we're very optimistic. With the direction of interest rates
less certain, our investment strategy continues to emphasize short-term
government securities. In an effort to earn a competitive level of income,
while maintaining stability of principal--we are confident we can take advantage
of the coming market."
David Rosenberg, Portfolio Manager
March 31, 1996
Total returns include change in share price and reinvestment of dividends and
capital gains distributions. Past performance does not guarantee future
results. Investment return and principal value of an investment in the Fund
will fluctuate so that an investor's shares, when redeemed, may be worth more
or less than the original cost.
1. The Fund may be more volatile than certain short-term investments and may
not have the return potential of longer-term investments.
2. These securities involve risks from early prepayment of underlying
mortgages that can affect the Fund's income and principal value.
3. Based on the change in net asset value per share for the period shown,
without deducting any sales charges. Such performance would have been lower if
sales charges were taken into account.
4. Class A returns show hypothetical investments on 3/31/95, 3/31/91 and
3/10/86 (inception of class), after deducting the current maximum initial
sales charge of 3.50%. Prior to 2/1/94, the maximum Class A sales charge was
higher, and actual account performance would have been less. Class B returns
show hypothetical investments on 3/31/95 and 5/3/93 (inception of class) and
the deduction of the applicable contingent deferred sales charge of 4%
(1-year) and 2% (since inception). Class C return shows results of
hypothetical investments on 3/31/95 and 2/1/95 (inception), with the 1%
contingent deferred sales charge deducted for the 1-year result. The Fund's
investment policy of limiting average portfolio duration was adopted on
5/1/94, and the Fund had a different advisor prior to 4/7/90. An explanation
of the different total returns is in the Fund's prospectus.
5. Standardized yield is net investment income calculated on a
yield-to-maturity basis for the 30-day period ended 3/31/96, divided by the
maximum offering price at the end of the period, compounded semiannually and
then annualized. Falling net asset values will tend to artificially raise
yields.
6. Source: Lipper Analytical Services, 3/31/96, an independent mutual fund
monitoring service. The Lipper total return average for the 10-year period
was for 7 short-term U.S. government funds. The average is shown for
comparative purposes only. Oppenheimer Limited-Term Government Fund is
characterized by Lipper as a short-term U.S. government fund. Lipper
performance does not take sales charges into consideration.
2 Oppenheimer Limited-Term Government Fund
<PAGE>
[PHOTO OF JAMES C. SWAIN]
James C. Swain
Chairman
Oppenheimer
Limited-Term
Government Fund
[PHOTO OF BRIDGET A. MACASKILL]
Bridget A. Macaskill
President
Oppenheimer
Limited-Term
Government Fund
Dear Shareholder,
After posting double-digit returns in 1995, the bond market declined during
the first quarter of 1996 due to increased uncertainty about the strength of
the economy.
With yields on the 30-year U.S. Treasury bond trading between 6% and
6.75%, investors were able to earn substantial income over inflation. But as
interest rates became more volatile, pushing bond yields higher, bond prices
moved lower. This created a negative total return, albeit a slight one, for
the broad bond market.
Although the Federal Reserve Board cut short-term interest rates a
quarter of a percentage point on January 31, intermediate- and long-term bond
yields continued to move higher. This movement in the market came as a result
of recent economic data suggesting the economy might be stronger than previous
statistics had indicated. The market had expected further interest rate cuts
to stimulate what was perceived to be a slowing economy. However, the stronger
economic data--particularly the February jobs report that showed an increase of
over 700,000 new jobs--made lower interest rates less likely.
Another reason for the increased market volatility was the inability
of Congress and the President to agree on a balanced budget. Further concern
was generated by the rise of anti-business themes during the presidential
primary season, including the possibility of tariffs and tax reform.
Despite the significant decline in bond prices, the market has
already begun to stabilize. Upon closer examination of the economic
fundamentals, the market realized that it may have over-reacted to these
short-term events. As a result, we believe the demand for domestic
fixed-income securities will continue to be strong, both here and abroad.
With the general long-term trend for the U.S. economy being seen as
slow growth and low inflation, long-term interest rates should be able to
return to the 6% level with a corresponding recovery in bond prices. While
that will lower bond yields, our fixed-income managers are on the lookout for
securities that offer high coupon payments without adding undue risk.
While we still anticipate that interest rates will fluctuate and that
bond prices will continue to be volatile, patient investors should continue to
receive total returns which substantially exceed inflation over the long term.
Your portfolio manager discusses the outlook for your Fund in light
of these broad issues on the following pages. Thank you for your confidence in
OppenheimerFunds, and we look forward to helping you reach your investment
goals in the future.
/s/ James C. Swain /s/ Bridget A. Macaskill
James C. Swain Bridget A. Macaskill
April 19, 1996
3 Oppenheimer Limited-Term Government Fund
<PAGE>
Q + A
[PHOTO OF DAVID ROSENBERG]
[PHOTO OF DONNA COMPERT]
Q How did
the Fund
perform?
An interview with your Fund's managers.
How did the Fund perform over the past six months?
The Fund performed very well. By increasing our investments in shorter term
bonds, thus shortening the Fund's average maturity, we were able to perform
well in comparison to longer-term general U.S. government bonds. And, although
the market grew increasingly volatile over the period, we continued to provide
investors with a level of income that is competitive to that of longer term
government bonds while maintaining greater stability of principal.
What investments or market factors made positive contributions to performance?
As bonds became increasingly volatile over the period, it was our relatively
large position in mortgage-backed securities that contributed to the Fund's
positive performance. Mortgage-backed securities, currently 85% of the Fund,
have helped to provide higher yields and protection against the price movements
of Treasuries as interest rates fluctuated.1
Were there any factors that limited performance over the period?
Earlier in the period, the Fund's relative performance lagged slightly. This was
due in large part to the strong rally in the bond market throughout 1995 and the
Fund's focus on protecting gains by limiting price volatility.
The Fund is designed to offer a greater degree of stability than
longer-term fixed income investments because it intends to maintain an average
effective portfolio duration of not more than three years.
Thus, in a rising market, our defensive strategy tends to prevent us from
taking full advantage of the market, while in a down market, our defensive
strategy can put us ahead of our competitors.
[PHOTO OF LEN DARLING]
1. The Fund's portfolio is subject to change.
4 Oppenheimer Limited-Term Government Fund
<PAGE>
Facing page
Top left: David Rosenberg,
Portfolio Manager
Top right: Donna Compert, Member
of Fixed Income Investments Team
Bottom: Len Darling, Executive VP,
Director of Fixed Income
Investments
This page
Top: Michael Maciolek, Member of
Fixed Income Investments Team
Bottom: David Rosenberg with
Leslie Falconio and Gina Palmieri,
Members of Fixed Income
Investments Team
A Shortening
the Fund's
average maturity
aided
performance.
What areas of the market are you currently targeting?
Recently, we've been concentrating our investments at either end of the bond
maturity spectrum, also known as using a "barbell" strategy. We feel there is a
lot of value to be found in long-term bonds where prices have been discounted
due to rising interest rates, but where yields remain high. And with greater
price stability, short-term bonds offer a balance to our investments in
long-term bonds that tend to be more volatile. Beyond this, we've been adding to
our holdings in mortgage bonds--particularly adjustable rate mortgage bonds--as
they continue to offer higher yields with less price volatility than long-term
Treasuries.
[PHOTO OF MICHAEL MACIOLEK]
In light of these points, what is your outlook for the Fund?
Looking ahead, we're very optimistic. With the direction of interest rates less
certain, our investment strategy continues to emphasize short-term government
securities. In an effort to earn a competitive level of income, while
maintaining stability of principal--we are confident we can take advantage of
the coming market. [ ]
[PHOTO OF DAVID ROSENBERG WITH LESLIE FALCONIO AND GINA PALMIERI]
5 Oppenheimer Limited-Term Government Fund
<PAGE>
Statement of Investments March 31, 1996 (Unaudited)
<TABLE>
<CAPTION>
Face Market Value
Amount See Note 1
<S> <C> <C> <C>
=================================================================================================================================
Mortgage-Backed Obligations--84.7%
- ---------------------------------------------------------------------------------------------------------------------------------
Government Agency--84.7%
- ---------------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored--62.0%
Federal Home Loan Mortgage Corp., Collateralized Mtg.
Obligations, Gtd. Multiclass Mtg. Participation Certificates:
10%, 11/15/19--6/15/20 $12,959,214 $13,765,068
6.65%, 4/15/21 12,500,000 12,144,500
8.20%, 7/15/19 695,539 703,579
8.50%, 10/15/19 11,204,596 11,439,109
9%, 12/15/20 10,719,783 10,893,980
9.25%, 11/1/08 439,538 465,392
Series 1092, Cl. K, 8.50%, 6/15/21 15,000,000 15,932,700
Series 1097, Cl. L, 8.60%, 2/15/06 3,000,000 3,087,180
Series F, 9.50%, 12/15/18 904,130 910,623
-------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Collateralized Mtg.
Obligations, Series 1548, Cl. C, 7%, 4/15/21 3,000,000 2,881,860
-------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg.
Participation Certificates:
10%, 8/1/21 2,278,972 2,486,216
10%, 8/1/21 1,497,934 1,636,025
11.50%, 6/1/20 2,563,213 2,926,869
11.75%, 1/1/16--4/1/19 3,653,204 4,169,070
13%, 8/1/15 4,880,003 5,831,604
Series 1360, Cl. PK, 10%, 12/15/20 15,030,000 17,416,012
Series 1455, Cl. J, 7.50%, 12/15/22 15,000,000 15,173,400
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
11%, 11/1/15--5/1/19 20,550,883 23,117,188
11.50%, 8/1/13 2,349,372 2,693,703
11.75%, 9/1/03--11/1/15 811,838 912,741
12%, 8/1/16 3,450,664 4,001,692
13%, 12/1/15 4,262,607 5,072,503
6.50%, 4/15/11(1) 30,000,000 29,343,600
7%, 12/1/25 14,512,067 14,140,125
7%, 4/15/11--4/15/26(1) 47,200,000 46,159,032
7.50%, 6/1/25--8/1/25 12,520,456 12,489,156
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
10.50%, 11/25/20 10,000,000 11,325,000
8.75%, 12/25/20 7,500,000 7,889,025
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Mtg. Pass-Through Certificates:
12%, 4/1/19 4,057,440 4,729,454
13%, 8/1/15 2,831,781 3,397,253
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
12.50%, 12/1/15 4,167,531 4,907,269
13%, 8/1/10--6/1/15 103,842 121,171
8%, 7/25/19--1/1/23 8,331,146 8,630,233
9%, 8/1/19 926,010 983,793
Series 1991-169, Cl. PK, 8%, 10/25/21 595,000 614,522
Series 1991-170, Cl. E, 8%, 12/25/06 2,500,000 2,598,425
Series 1992-169, Cl. L, 7%, 9/25/22 5,500,000 5,126,990
</TABLE>
6 Oppenheimer Limited-Term Government Fund
<PAGE>
<TABLE>
<CAPTION>
Face Market Value
Amount See Note 1
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored
(continued) Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 222, Cl. 2, 11.145%--14.686%, 6/1/23(2) $ 82,676,198 $ 26,456,385
Trust 240, Cl. 2, 14.507%--18.506%, 9/1/23(2) 29,580,140 9,664,388
Trust 257, Cl. 2, 11.822%, 2/1/24(2) 12,534,074 4,124,494
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only
Stripped Mtg.-Backed Security:
Trust 148, Cl. G, Zero Coupon, 3.102%, 8/25/23(3) 8,891,258 5,090,246
Trust 4, Cl. J, Zero Coupon, .531%, 9/25/22(3) 3,400,000 2,201,500
-------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., STRIPS, Series G, Cl. 2, 11.50%, 3/25/09 2,691,730 2,977,726
-----------
360,630,801
- ---------------------------------------------------------------------------------------------------------------------------------
GNMA/Guaranteed--22.7%
Government National Mortgage Assn.:
6%, 5/15/26(1) 30,000,000 29,943,750
10.50%, 1/15/16--3/15/21 3,889,383 4,272,261
11%, 8/15/98--2/15/01 1,388,912 1,468,797
11.50%, 1/15/13--5/15/13 828,556 949,666
13%, 2/15/11--9/15/14 85,613 100,544
7%, 10/15/25 10,200,000 9,935,412
7%, 4/15/26(1) 15,000,000 14,610,900
7.50%, 4/15/23--10/15/25 25,865,054 25,826,073
7.50%, 4/15/26(1) 41,750,000 41,658,567
8%, 9/15/07 183,038 189,674
8.50%, 9/15/21 72,472 75,722
9.50%, 9/15/17 182,837 198,750
-------------------------------------------------------------------------------------------------------------
U.S. Department of Veterans Affairs, Interest-Only Gtd.
Real Estate Mtg. Investment Conduit Pass-Through Certificates,
Vendee Mtg. Trust, Series 1993-2, Cl. IO, 13.708%, 6/15/23(2) 102,542,338 2,435,381
-----------
131,665,497
-----------
Total Mortgage-Backed Obligations (Cost $495,366,742) 492,296,298
=================================================================================================================================
U.S. Government Obligations--41.0%
- ---------------------------------------------------------------------------------------------------------------------------------
Treasury--41.0% U.S. Treasury Bonds, 10.75%, 2/15/03 5,000,000 6,223,434
-------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
6%, 8/31/97(4) 133,595,000 134,179,478
8%, 10/15/96--5/15/01 94,790,000 96,338,325
8.75%, 8/15/00(4) 1,420,000 1,563,330
-----------
Total U.S. Government Obligations (Cost $240,221,750) 238,304,567
</TABLE>
7 Oppenheimer Limited-Term Government Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
<TABLE>
<CAPTION>
Face Market Value
Amount See Note 1
<S> <C> <C> <C>
=================================================================================================================================
Repurchase Agreement--1.6%
- ---------------------------------------------------------------------------------------------------------------------------------
Repurchase agreement with First Chicago Capital Markets, 5.375%, dated
3/29/96, to be repurchased at $9,304,166 on 4/1/96, collateralized by U.S.
Treasury Bills maturing 6/20/96, with a value of $9,493,661 (Cost $9,300,000) $9,300,000 $ 9,300,000
- ---------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $744,888,492) 127.3% 739,900,865
- ---------------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (27.3) (158,492,851)
---------- -------------
Net Assets 100.0% $ 581,408,014
========== =============
</TABLE>
1. When-issued security to be delivered and settled after March 31, 1996.
2. 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.
3. 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.
4. Securities with an aggregate market value of $2,571,304 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 5 of Notes to Financial Statements.
See accompanying Notes to Financial Statements.
8 Oppenheimer Limited-Term Government Fund
<PAGE>
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
<TABLE>
<S> <C> <C>
================================================================================================================================
Assets Investments, at value (cost $744,888,492)--see accompanying statement $739,900,865
------------------------------------------------------------------------------------------------------------
Cash 70,005
------------------------------------------------------------------------------------------------------------
Receivables:
Investments sold 38,357,146
Interest and principal paydowns 6,603,650
Shares of beneficial interest sold 1,707,466
------------------------------------------------------------------------------------------------------------
Other 7,562
------------
Total assets 786,646,694
================================================================================================================================
Liabilities Payables and other liabilities:
Investments purchased (including $161,715,849 purchased on a when-issued basis)--Note 1 201,508,435
Shares of beneficial interest redeemed 2,179,865
Dividends 790,591
Distribution and service plan fees 338,090
Payable for daily variation on futures contracts--Note 5 261,812
Shareholder reports 41,508
Transfer and shareholder servicing agent fees 7,467
Other 110,912
------------
Total liabilities 205,238,680
================================================================================================================================
Net Assets $581,408,014
============
================================================================================================================================
Composition of Paid-in capital $597,588,001
Net Assets ------------------------------------------------------------------------------------------------------------
Undistributed net investment income 1,255,823
------------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investment transactions (13,443,026)
------------------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments--Note 3 (3,992,784)
------------
Net assets $581,408,014
============
================================================================================================================================
Net Asset Value Class A Shares:
Per Share Net asset value and redemption price per share (based on net assets of $392,987,170 $10.34
and 37,988,336 shares of beneficial interest outstanding)
Maximum offering price per share (net asset value plus sales charge of 3.50% of offering price) $10.72
------------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price and offering price per share (based on
net assets of $153,660,577 and 14,856,712 shares of beneficial interest outstanding) $10.34
------------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price and offering price per share (based on
net assets of $34,760,267 and 3,363,916 shares of beneficial interest
outstanding) $10.33
</TABLE>
See accompanying Notes to Financial Statements.
9 Oppenheimer Limited-Term Government Fund
<PAGE>
Statement of Operations For the Six Months Ended March 31, 1996 (Unaudited)
<TABLE>
<S> <C> <C>
================================================================================================================================
Investment Income Interest $22,508,606
================================================================================================================================
Expenses Management fees--Note 4 1,189,639
------------------------------------------------------------------------------------------------------------
Distribution and service plan fees--Note 4:
Class A 451,256
Class B 689,165
Class C 127,996
------------------------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4 297,263
------------------------------------------------------------------------------------------------------------
Shareholder reports 64,251
------------------------------------------------------------------------------------------------------------
Custodian fees and expenses 38,375
------------------------------------------------------------------------------------------------------------
Registration and filing fees:
Class A 13,920
Class B 11,224
Class C 6,939
------------------------------------------------------------------------------------------------------------
Legal and auditing fees 11,340
------------------------------------------------------------------------------------------------------------
Trustees' fees and expenses 2,778
------------------------------------------------------------------------------------------------------------
Other 36,457
-----------
Total expenses 2,940,603
================================================================================================================================
Net Investment Income 19,568,003
================================================================================================================================
Realized and Net realized loss on:
Unrealized Loss Investments and options written (including premiums on options exercised) (4,892,539)
Closing of futures contracts--Note 5 (29,283)
-----------
Net realized loss (4,921,822)
------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments (707,814)
-----------
Net realized and unrealized loss (5,629,636)
================================================================================================================================
Net Increase in Net Assets Resulting From Operations $13,938,367
===========
</TABLE>
See accompanying Notes to Financial Statements.
10 Oppenheimer Limited-Term Government Fund
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended Year Ended
March 31, 1996 September 30,
(Unaudited) 1995
<S> <C> <C>
=================================================================================================================================
Operations Net investment income $ 19,568,003 $ 26,134,113
-------------------------------------------------------------------------------------------------------------
Net realized loss (4,921,822) (1,750,174)
-------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (707,814) 2,574,769
------------ ------------
Net increase in net assets resulting from operations 13,938,367 26,958,708
=================================================================================================================================
Dividends and Distributions
To Shareholders
Dividends from net investment income:
Class A (13,901,865) (20,166,681)
Class B (4,641,301) (4,762,585)
Class C (845,872) (253,856)
=================================================================================================================================
Beneficial Interest
Transactions
Net increase in net assets resulting from beneficial interest
transactions--Note 2:
Class A 50,616,783 116,780,567
Class B 33,935,781 81,900,018
Class C 20,544,358 14,569,935
=================================================================================================================================
Net Assets Total increase 99,646,251 215,026,106
-------------------------------------------------------------------------------------------------------------
Beginning of period 481,761,763 266,735,657
------------ ------------
End of period (including undistributed net investment income
of $1,255,823 and $1,076,858, respectively) $581,408,014 $481,761,763
============ ============
</TABLE>
See accompanying Notes to Financial Statements.
11 Oppenheimer Limited-Term Government Fund
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Class A
--------------------------------------------------------
Six Months
Ended
March 31, 1996 Year Ended September 30,
(Unaudited) 1995 1994 1993
<S> <C> <C> <C> <C>
=========================================================================================================
Per Share Operating Data:
Net asset value, beginning of period $10.44 $10.40 $11.04 $10.97
- ---------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .39 .79 .72 .73
Net realized and unrealized gain (loss) (.10) .01 (.64) .07
-------- -------- -------- --------
Total income (loss) from investment
operations .29 .80 .08 .80
- ---------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.39) (.76) (.71) (.73)
Dividends in excess of net investment income -- -- --(3) --
Tax return of capital distribution -- -- (.01) --
Distributions from net realized gain -- -- -- --
-------- -------- -------- --------
Total dividends and distributions
to shareholders (.39) (.76) (.72) (.73)
- ------------------------------------------------------------------------------------------------------------
Net asset value, end of period $10.34 $10.44 $10.40 $11.04
======== ======== ======== ========
=========================================================================================================
Total Return, at Net Asset Value(4) 2.80% 8.03% 0.74% 7.61%
=========================================================================================================
Ratios/Supplemental Data:
Net assets, end of period (in thousands) $392,987 $346,015 $227,858 $178,944
- ---------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $371,141 $274,313 $190,829 $161,318
- ---------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 7.54%(5) 7.64% 6.74% 6.70%
Expenses 0.86%(5) 0.91% 0.99% 1.02%
- ---------------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 420% 261% 226% 74%
</TABLE>
1. For the period from February 1, 1995 (inception of offering) to September
30, 1995.
2. For the period from May 3, 1993 (inception of offering) to September 30,
1993.
3. Less than $.001 per share.
4. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Sales charges
are not reflected in the total returns. Total returns are not annualized for
periods of less than one full year.
12 Oppenheimer Limited-Term Government Fund
<PAGE>
<TABLE>
<CAPTION>
Class B Class C
- ----------------------- -------------------------------------------------------- --------------------------
Six Months Six Months Year
Ended Ended Ended
March 31, 1996 Year Ended September 30, March 31, 1996 Sept. 30,
1992 1991 (Unaudited) 1995 1994 1993(2) (Unaudited) 1995(1)
<C> <C> <C> <C> <C> <C> <C> <C>
==========================================================================================================================
$10.75 $10.18 $10.44 $10.41 $11.06 $10.96 $10.43 $10.32
- --------------------------------------------------------------------------------------------------------------------------
.81 .87 .35 .71 .62 .23 .36 .45
.22 .57 (.10) .01 (.64) .10 (.11) .10
- -------- -------- -------- -------- -------- -------- -------- --------
1.03 1.44 .25 .72 (.02) .33 .25 .55
- --------------------------------------------------------------------------------------------------------------------------
(.81) (.87) (.35) (.69) (.62) (.23) (.35) (.44)
-- -- -- -- --(3) -- -- --
-- -- -- -- (.01) -- -- --
-- -- -- -- -- -- -- --
- -------- -------- -------- -------- -------- -------- -------- -----------
(.81) (.87) (.35) (.69) (.63) (.23) (.35) (.44)
- --------------------------------------------------------------------------------------------------------------------------
$10.97 $10.75 $10.34 $10.44 $10.41 $11.06 $10.33 $10.43
======== ======== ======== ======== ======== ======== ======== ========
==========================================================================================================================
9.88% 14.69% 2.41% 7.18% (0.17)% 3.02% 2.39% 5.47%
==========================================================================================================================
$158,068 $167,974 $153,661 $121,178 $38,877 $5,077 $34,760 $14,569
- --------------------------------------------------------------------------------------------------------------------------
$160,830 $192,404 $138,410 $ 72,131 $15,801 $2,561 $25,724 $ 6,112
- --------------------------------------------------------------------------------------------------------------------------
7.44% 8.27% 6.76%(5) 6.80% 5.91% 4.81%(5) 6.61%(5) 6.51%(5)
0.97% 0.98% 1.62%(5) 1.71% 1.79% 1.87%(5) 1.65%(5) 1.80%(5)
- --------------------------------------------------------------------------------------------------------------------------
154% 112% 420% 261% 226% 74% 420% 261%
</TABLE>
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended March 31, 1996 were $321,961,722 and $289,100,632,
respectively.
See accompanying Notes to Financial Statements.
13 Oppenheimer Limited-Term Government Fund
<PAGE>
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 a diversified, 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 and
Class C shares. Class A shares are sold with a front-end sales charge. Class B
and Class C shares may be subject to a contingent deferred sales charge. All
three classes of shares have identical rights to earnings, assets and voting
privileges, except that each class has its own distribution and/or service
plan, expenses directly attributable to a particular class and exclusive
voting rights with respect to matters affecting a single class. 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.
- ------------------------------------------------------------------------------
Investment Valuation. Portfolio securities are valued at the close of the New
York Stock Exchange on each trading day. Listed and unlisted securities for
which such information is regularly reported are valued at the last sale price
of the day or, in the absence of sales, at values based on the closing bid or
asked price or the last sale price on the prior trading day. Long-term and
short-term "non-money market" debt securities are valued by a portfolio
pricing service approved by the Board of Trustees. Such securities which
cannot be valued by the approved portfolio pricing service are valued using
dealer-supplied valuations provided the Manager is satisfied that the firm
rendering the quotes is reliable and that the quotes reflect current market
value, or are valued under consistently applied procedures established by the
Board of Trustees to determine fair value in good faith. Short-term "money
market type" debt securities having a remaining maturity of 60 days or less
are valued at cost (or last determined market value) adjusted for amortization
to maturity of any premium or discount. Forward contracts are valued based on
the closing prices of the forward currency contract rates in the London
foreign exchange markets on a daily basis as provided by a reliable bank or
dealer. Options are valued based upon the last sale price on the principal
exchange on which the option is traded or, in the absence of any transactions
that day, the value is based upon the last sale price on the prior trading
date if it is within the spread between the closing bid and asked prices. If
the last sale price is outside the spread, the closing bid or asked price
closest to the last reported sale price is used.
- ------------------------------------------------------------------------------
Securities Purchased on a When-Issued Basis. Delivery and payment for
securities that have been purchased by the Fund on a forward commitment or
when-issued basis can take place a month or more after the transaction date.
During the 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, in a segregated account with its custodian, assets with a
market value equal to the amount of its purchase commitments. The purchase of
securities on a when-issued or forward commitment basis may increase the
volatility of the Fund's net asset value to the extent the Fund makes such
purchases while remaining substantially fully invested. As of March 31, 1996,
the Fund had entered into outstanding when-issued or forward commitments of
$161,715,849.
In connection with its ability to purchase securities on a
when-issued or forward commitment basis, the Fund may enter into mortgage
"dollar-rolls" in which the Fund sells securities for delivery in the current
month and simultaneously contracts with the same counterparty to repurchase
similar (same type, coupon and maturity) but not identical securities on a
specified future date. The Fund records each dollar-roll as a sale and a new
purchase transaction.
- ------------------------------------------------------------------------------
Allocation of Income, Expenses, and Gains and Losses. Income, expenses (other
than those attributable to a specific class) and gains and losses are
allocated daily 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 continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
- ------------------------------------------------------------------------------
Distributions to Shareholders. The Fund intends to declare dividends
separately for Class A, Class B and Class C shares from net investment income
each day the New York Stock Exchange is open for business and pay such
dividends monthly. Distributions from net realized gains on investments, if
any, will be declared at least once each year.
14 Oppenheimer Limited-Term Government Fund
<PAGE>
==============================================================================
1. Significant
Accounting Policies
(continued)
Classification of Distributions to Shareholders. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax
purposes primarily because of paydown gains and losses. The character of the
distributions made during the 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 dividend distributions, the fiscal year in
which amounts are distributed may differ from the year that the income or
realized gain (loss) was recorded by the Fund.
- ------------------------------------------------------------------------------
Other. Investment transactions are accounted for on the date the investments
are purchased or sold (trade date). Discount on securities purchased is
amortized over the life of the respective securities, in accordance with
federal income tax requirements. Realized gains and losses on investments and
unrealized appreciation and depreciation are determined on an identified cost
basis, which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with 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 no par value shares of
beneficial interest of each class. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
Six Months Ended March 31, 1996 Year Ended September 30, 1995(1)
------------------------------- -------------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Class A:
Sold 10,282,866 $107,285,090 18,462,358 $ 191,899,002
Dividends reinvested 963,590 10,118,003 1,399,150 14,547,766
Issued in connection with the
acquisition of Oppenheimer Strategic
Short-Term Income Fund--Note 7 -- -- 1,615,189 16,862,577
Redeemed (6,393,622) (66,786,310) (10,247,223) (106,528,778)
---------- ------------ ----------- -------------
Net increase 4,852,834 $ 50,616,783 11,229,474 $ 116,780,567
========== ============ =========== =============
- ------------------------------------------------------------------------------------------------------------
Class B:
Sold 4,480,023 $ 46,772,108 8,638,202 $ 89,826,104
Dividends reinvested 296,882 3,117,057 310,362 3,231,003
Issued in connection with the
acquisition of Oppenheimer Strategic
Short-Term Income Fund--Note 7 -- -- 810,988 8,466,715
Redeemed (1,527,121) (15,953,384) (1,886,739) (19,623,804)
---------- ------------ ----------- -------------
Net increase 3,249,784 $ 33,935,781 7,872,813 $ 81,900,018
========== ============ =========== =============
- ------------------------------------------------------------------------------------------------------------
Class C:
Sold 2,178,134 $ 22,738,401 1,483,730 $ 15,478,180
Dividends reinvested 61,526 643,629 20,278 211,531
Redeemed (272,389) (2,837,672) (107,363) (1,119,776)
---------- ------------ ----------- -------------
Net increase 1,967,271 $ 20,544,358 1,396,645 $ 14,569,935
========== ============ =========== =============
</TABLE>
1. For the year ended September 30, 1995 for Class A and Class B shares and
for the period from February 1, 1995 (inception of offering) to September 30,
1995 for Class C shares.
==============================================================================
3. Unrealized Gains and
Losses on Investments
At March 31, 1996, net unrealized depreciation on investments of $3,992,784
was composed of gross appreciation of $7,812,280, and gross depreciation of
$11,805,064.
==============================================================================
4. Management Fees and
Other Transactions
With Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund which provides for a fee of .50% on the first
$100 million of average annual net assets, .45% on the next $150 million,
.425% on the next $250 million and .40% on net assets in excess of $500
million. The Manager has agreed to reimburse the Fund if aggregate expenses
(with specified exceptions) exceed the most stringent applicable regulatory
limit on Fund expenses.
15 Oppenheimer Limited-Term Government Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
==============================================================================
4. Management Fees and
Other Transactions
With Affiliates
(continued)
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.
For the six months ended March 31, 1996, commissions (sales charges
paid by investors) on sales of Class A shares totaled $1,378,163, of which
$356,988 was retained by OppenheimerFunds Distributor, Inc. (OFDI), a
subsidiary of the Manager, as general distributor, and by an affiliated
broker/dealer. Sales charges advanced to broker/dealers by OFDI on sales of
the Fund's Class B and Class C shares totaled $1,238,656 and $224,687, of
which $70,356 and $5,816, respectively, was paid to an affiliated
broker/dealer. During the six months ended March 31, 1996, OFDI received
contingent deferred sales charges of $162,188 and $15,074, respectively, upon
redemption of Class B and Class C shares as compensation for sales commissions
advanced by OFDI at the time of sale of such shares.
OppenheimerFunds Services (OFS), a division of the Manager, is the
transfer and shareholder servicing agent for the Fund, and for other
registered investment companies. OFS's total costs of providing such services
are allocated ratably to these companies.
The Fund has adopted a Service Plan for Class A shares to reimburse
OFDI for a portion of its costs incurred in connection with the personal
service and maintenance of accounts that hold Class A shares. Reimbursement is
made quarterly at an annual rate that may not exceed .25% of the average
annual net assets of Class A shares of the Fund. OFDI uses the service fee to
reimburse brokers, dealers, banks and other financial institutions quarterly
for providing personal service and maintenance of accounts of their customers
that hold Class A shares. During the six months ended March 31, 1996, OFDI
paid $24,055 to an affiliated broker/dealer as reimbursement for Class A
personal service and maintenance expenses.
The Fund has adopted compensation type Distribution and Service Plans
for Class B and Class C shares to compensate OFDI for its services and costs
in distributing Class B and Class C shares and servicing accounts. Under the
Plans, the Fund pays OFDI an annual asset-based sales charge of .75% per year
on Class B shares that are outstanding for 6 years or less and on Class C
shares, as compensation for sales commissions paid from its own resources at
the time of sale and associated financing costs. If the Plans are terminated
by the Fund, the Board of Trustees may allow the Fund to continue payments of
the asset-based sales charge to OFDI for certain expenses it incurred before
the Plans were terminated. OFDI also receives a service fee of .25% per year
as compensation for costs incurred in connection with the personal service and
maintenance of accounts that hold shares of the Fund, including amounts paid
to brokers, dealers, banks and other financial institutions. Both fees are
computed on the average annual net assets of Class B and Class C shares,
determined as of the close of each regular business day. During the six months
ended March 31, 1996, OFDI paid $5,841 and $46, respectively, to an affiliated
broker/dealer as compensation for Class B and Class C personal service and
maintenance expenses and retained $619,403 and $127,996, respectively, as
compensation for Class B and Class C sales commissions and service fee
advances, as well as financing costs. At March 31, 1996, OFDI had incurred
unreimbursed expenses of $4,669,586 for Class B and $537,725 for Class C.
==============================================================================
5. Futures Contracts
The Fund may buy and sell interest rate futures contracts in order to gain
exposure to or protect against changes in interest rates. The Fund may also
buy or write put or call options on these futures contracts.
The Fund generally sells futures contracts to hedge against increases
in interest rates and the resulting negative effect on the value of fixed rate
portfolio securities. The Fund may also purchase futures contracts to gain
exposure to changes in interest rates as it may be more efficient or cost
effective than actually buying fixed income securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities in an amount (initial margin) 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 expires.
Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. The Statement of Assets and Liabilities reflects a receivable or
payable for the daily mark to market for variation margin.
16 Oppenheimer Limited-Term Government Fund
<PAGE>
===============================================================================
5. Futures Contracts (continued)
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.
At March 31, 1996, the Fund had outstanding futures contracts to sell debt
securities as follows:
Expiration Number of Valuation as of Unrealized
Security Date Futures Contracts March 31, 1996 Appreciation
- -------------------------------------------------------------------------------
U.S. Treasury Nts. 6/96 652 $84,973,813 $994,843
===============================================================================
6. Option Activity
The Fund may buy and sell put and call options, or write covered put and call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call
options to hedge against adverse movements in the value of portfolio holdings.
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 and unrealized appreciation
or depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a
written put option, or the cost of the security for a purchased put or call
option is adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call options are noted in
the Statement of Investments where applicable. Shares subject to call,
expiration date, exercise price, premium received and market value are
detailed in a footnote to the Statement of Investments. Options written are
reported as a liability in the Statement of Assets and Liabilities. Gains and
losses are reported in the Statement of Operations.
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
of not being able to enter into a closing transaction if a liquid secondary
market does not exist.
Option activity for the six months ended March 31, 1996 was as follows:
<TABLE>
<CAPTION>
Call Options Put Options
------------------------- -------------------------
Number of Amount of Number of Amount of
Options Premiums Options Premiums
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Options outstanding at September 30, 1995 -- $ -- -- $ --
- ------------------------------------------------------------------------------------------------------------
Options written 37,500 294,921 40,000 224,218
- ------------------------------------------------------------------------------------------------------------
Options exercised (37,500) (294,921) (40,000) (224,218)
------- --------- ------- ---------
Options outstanding at March 31, 1996 -- $ -- -- $ --
======= ========= ======= =========
</TABLE>
- -------------------------------------------------------------------------------
7. Acquisition of Oppenheimer
Strategic Short-Term
Income Fund
On September 22, 1995, the Fund acquired all of the net assets of Oppenheimer
Strategic Short-Term Income Fund, pursuant to an Agreement and Plan of
Reorganization approved by the Oppenheimer Strategic Short-Term Income Fund
shareholders on February 28, 1995. The Fund issued 1,615,189 and $810,988
shares of beneficial interest for Class A and Class B, respectively, valued at
$16,862,577 and $8,466,715 in exchange for the net assets, resulting in
combined Class A net assets of $342,039,434 and Class B net assets of
$118,635,825 on September 22, 1995. The net assets acquired included net
unrealized depreciation of $114,214. The exchange qualifies as a tax- free
reorganization for federal income tax purposes.
17 Oppenheimer Limited-Term Government Fund
<PAGE>
Oppenheimer Limited-Term Government Fund
==============================================================================
Officers and Trustees James C. Swain, Chairman and Chief Executive Officer
Robert G. Avis, Trustee
William A. Baker, Trustee
Charles Conrad, Jr., Trustee
Jon S. Fossel, Trustee
Raymond J. Kalinowski, Trustee
C. Howard Kast, Trustee
Robert M. Kirchner, Trustee
Bridget A. Macaskill, Trustee and President
Ned M. Steel, Trustee
Andrew J. Donohue, Vice President and Secretary
David A. Rosenberg, Vice President
George C. Bowen, Vice President and Treasurer
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
Robert G. Zack, Assistant Secretary
==============================================================================
Investment Advisor OppenheimerFunds, Inc.
==============================================================================
Distributor OppenheimerFunds Distributor, Inc.
==============================================================================
Transfer and Shareholder OppenheimerFunds Services
Servicing Agent
==============================================================================
Custodian of Citibank, N.A.
Portfolio Securities
==============================================================================
Independent Auditors Deloitte & Touche LLP
==============================================================================
Legal Counsel Myer, Swanson, Adams & Wolf, P.C.
The financial statements included herein have been
taken from the records of the Fund without examination
by the independent auditors.
This is a copy of a report to shareholders of
Oppenheimer Limited-Term Government Fund. This report
must be preceded or accompanied by a Prospectus of
Oppenheimer Limited-Term Government Fund. For material
information concerning the Fund, see the Prospectus.
Shares of Oppenheimer funds are not deposits or
obligations of any bank, are not guaranteed by any
bank, and are not insured by the FDIC or any other
agency, and involve investment risks, including
possible loss of the principal amount invested.
18 Oppenheimer Limited-Term Government Fund
<PAGE>
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OppenheimerFunds Services
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So call us today--we're here to help.
- ------------------------------------------------------------------------------
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