<PAGE>
[PHOTO]
Semiannual Report February 29, 2000
Oppenheimer
U.S. GOVERNMENT TRUST
[LOGO] OPPENHEIMERFUNDS-Registered Trademark-
The Right Way to Invest
<PAGE>
REPORT HIGHLIGHTS
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CONTENTS
1 President's Letter
3 An Interview with Your Fund's Managers
10 Financial Statements
31 Officers and Trustees
32 OppenheimerFunds Family
Although the period was characterized by a rising interest rate environment, WE
WERE ABLE TO KEEP THE FUND'S ACTUAL INTEREST RATE RISK LOWER THAN NORMAL TO HELP
PROTECT THE VALUE OF THE PORTFOLIO.
In anticipation of a HIGHER INTEREST-RATE ENVIRONMENT, we are MAINTAINING OUR
INCOME-ORIENTED INVESTMENT STYLE with a mix of higher-yielding mortgage products
as well as Treasuries.
MORTGAGE PRODUCTS, including mortgage backed securities (MBSs) and commercial
mortgage backed securities (CMBS), PERFORMED MARKEDLY WELL DURING THE PERIOD.
[SIDENOTE:]
- ---------------------------
CUMULATIVE
TOTAL RETURNS
For the 6-Month Period
Ended 2/29/00*
<TABLE>
<CAPTION>
CLASS A
Without With
Sales Chg. Sales Chg.
- -----------------------
<S> <C>
1.88% -2.96%
CLASS B
Without With
Sales Chg. Sales Chg.
- -----------------------
1.50% -3.44%
CLASS C
Without With
Sales Chg. Sales Chg.
- -----------------------
1.48% 0.49%
CLASS Y
Without With
Sales Chg. Sales Chg.
- -----------------------
1.98% 1.98%
- -----------------------
</TABLE>
- ------------------
NOT FDIC INSURED.
NO BANK GUARANTEE.
MAY LOSE VALUE.
- ------------------
* See page 8 for further details.
<PAGE>
PRESIDENT'S LETTER
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[PHOTO]
BRIDGET A. MACASKILL
President
Oppenheimer
U.S. Government
Trust
DEAR SHAREHOLDER,
For many years, we have encouraged investors to consider whether they could
tolerate more risk in their long-term investments by participating in the stock
market, which has historically provided higher long-term returns than any other
asset class. Today, however, we have a very different concern: some investors
may be assuming too much risk by concentrating their investments in just a
handful of stocks or sectors or by "chasing performance."
Alan Greenspan, the Chairman of the Federal Reserve Board, has stated his
view that the recent spectacular returns of some sectors of the market are
partly responsible for pushing our economy to growth rates that could lead to
higher inflation. The dramatic rise in the prices of a narrow segment of the
market has created enormous wealth for some investors. In turn, those investors
are spending at a rate that the Fed believes may threaten the healthy growth of
our economy.
That's why the Fed has been raising interest rates steadily and decisively
over the past year. By making borrowing more expensive, the Fed is attempting to
slow economic growth. It is a precarious balancing act: too much tightening
creates the risk of recession, while too little opens the door to inflation.
The implications are clear: investors must be prepared for near-term market
volatility. In the bond market, higher interest rates usually lead to lower bond
prices. In the stock market, slower economic growth could reduce corporate
earnings and put downward pressure on stock prices. Highly valued stocks may be
particularly vulnerable to a correction. The Securities and Exchange Commission
Chairman, Arthur Levitt, has cautioned investors against the expectation that
the types of returns seen in the recent bull market will last forever. We agree.
1 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
PRESIDENT'S LETTER
- --------------------------------------------------------------------------------
Because of the prospect of continued market volatility, we encourage you to
consider diversifying your investments. Indeed, diversification may help you
mitigate the effects of sharp declines in any one area. It may also help you
better position your portfolio to seek greater returns over the long run.
While "new economy" stocks have risen since our last report to you, many
"old economy" stocks are selling at unusually low prices. In the bond market,
higher interest rates over the short term may reduce inflation concerns,
which should be beneficial over the long term. By buying out-of-favor
investments, you may be able to profit when and if they return to favor in
the future. Of course, there is no assurance that value investing will return
to favor in the market, but it may be a diversification strategy to consider
for part of your portfolio.
What specific investments should you consider today so that you are
prepared for tomorrow? The answer depends on your individual investing goals,
risk tolerance and financial circumstances. We urge you to talk with your
financial advisor about ways to diversify your portfolio. This may include
considering global diversification as part of your strategy. While investing
abroad has special risks, such as the effects of foreign currency
fluctuation, it also offers opportunities to participate in global economic
growth and to hedge against the volatility in U.S. markets.
We thank you for your continued confidence in OppenheimerFunds, THE
RIGHT WAY TO INVEST.
Sincerely,
/s/ Bridget A. Macaskill
Bridget A. Macaskill
March 21, 2000
2 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
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[PHOTO]
Portfolio Management
Team (l to r)
John Kowalik
Leslie Falconio
Gina Palmieri
HOW DID OPPENHEIMER U.S. GOVERNMENT TRUST
PERFORM DURING THE SIX-MONTH PERIOD THAT ENDED FEBRUARY 29, 2000?
A. We were pleased that the Fund was able to deliver attractive income to
investors during the period. The thirty-day standardized yield ended February
29, 2000, was 6.31% for Class A shares.(1) Although the period was characterized
by a rising interest rate environment, which caused bond prices to drop, we were
able to keep the Fund's actual interest rate risk lower than normal to help
protect the value of the portfolio.
WHAT EVENTS CHARACTERIZED THE BOND MARKET?
As the domestic economy continued to expand, and foreign economies rebounded
from the global economic crisis that marked 1998, the Federal Reserve grew
increasingly uneasy about inflationary pressures.
Citing concerns about the economy's ability to sustain its growth, the
Fed raised interest rates twice in the final months of 1999--once in August
and again in November. November marked the third rate increase for the year.
The markets reacted calmly to the August increase, as it was widely
anticipated. However, November's increase was more of a surprise and caused
overall rate levels to rise. Bond prices dropped, hitting new lows in
December.
1. Standardized yield is based on net investment income for the 30-day period
ended February 29, 2000. Falling share prices will tend to artificially raise
yields.
3 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
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"TWO KEY ELEMENTS HELP US TO SEEK CONSISTENTLY GOOD RETURNS FOR SHAREHOLDERS:
IN-DEPTH PROPRIETARY RESEARCH AND EXTENSIVE RISK MANAGEMENT SYSTEMS."
At the end of January 2000, the federal government announced it would buy back
long-term Treasury debt since the federal budget was in surplus. Prior to that
announcement, the government limited 30-year bond issuance to only once a year,
which meant long-term bonds were already in short supply. These two factors
combined to create even higher demand for longer-term assets, pushing price up
and yield down. As a result, long-term bonds actually outperformed shorter-term
issues.
HOW DID YOU POSITION THE PORTFOLIO DURING THE PERIOD?
To control interest rate risk, we kept the portfolio's duration (a measure of
sensitivity to interest rate changes) fairly short. This helped protect the
portfolio from a severe drop in value. As time went on, we used different
strategies to maintain a short duration while selecting assets with both short
and long-term maturities.
Toward the end of 1999, we shifted some of the portfolio's short- and
medium-maturity Treasuries into 30-year bonds to benefit from the increase in
the long bond's value that we anticipated from the government's buy-back
program. Since then, long-term Treasury issues have performed particularly
well for the Fund.
4 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
[SIDENOTE:]
- ---------------------------------
AVERAGE ANNUAL
TOTAL RETURNS
For the Periods Ended 3/31/00(2)
<TABLE>
<CAPTION>
CLASS A
1-Year 5-Year 10-Year
- ---------------------------
<S> <C> <C>
- -2.33% 5.28% 6.71%
CLASS B Since
1-Year 5-Year Inception
- ---------------------------
- -3.05% N/A 4.92%
CLASS C Since
1-Year 5-Year Inception
- ---------------------------
0.68% 5.48% 4.83%
CLASS Y Since
1-Year 5-Year Inception
- ---------------------------
3.02% N/A 3.00%
</TABLE>
WERE THERE OTHER INVESTMENTS THAT DID WELL FOR THE PORTFOLIO?
In general, we allocate part of the portfolio to "spread products" such as
mortgage-backed securities (MBS) since they provide extra yield above Treasuries
without substantial volatility. We also invest in commercial mortgage-backed
securities (CMBS) to add to the Fund's yield and potential returns.
Up until August 1999, just before the beginning of this period, MBSs
were underperforming relative to Treasuries, so we invested more heavily in
Treasuries. Gradually, however, we noticed that MBSs were demonstrating
positive performance relative to Treasuries. Because we hoped this would
contribute to the Fund's continued success, in September we began increasing
our position in MBSs. We substantially added to our position in November and
December and were rewarded for our efforts.
HOW DID THE PORTFOLIO'S COMMERCIAL MORTGAGE-BACKED SECURITIES FARE?
In a dramatic rebound, we saw especially good performance this period from
commercial mortgage-backed securities (CMBS). We have always believed CMBS to be
good long-term investments, but when they were caught in the global market
turmoil of 1998, many investors fled to the relative safety of U.S. Treasury
issues. The difference in yields between many fixed income products became
greater and CMBS were particularly hard hit even though the underlying real
estate fundamentals were still very strong. In fact, as the global economy
stabilized, CMBS performed especially well in the final three months of the
period.
2. See page 8 for further details.
5 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
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STANDARDIZED YIELDS
For the 30-days ended 2/29/00(3)
- -------------------------------
<TABLE>
<S> <C>
CLASS A 6.31%
- --------------
CLASS B 5.88
- --------------
CLASS C 5.88
- --------------
CLASS Y 7.20
- --------------
</TABLE>
WERE THERE AREAS THAT DID NOT PERFORM AS WELL FOR THE FUND?
The Federal Reserve's decision to raise interest rates, coupled with the strong
economy, benefited long-term Treasuries, but was not as kind to short- and
intermediate-term Treasuries. Because we seek an intermediate average portfolio
maturity, we do have exposure to those areas. However, we attempted to mitigate
the impact on intermediate-term bonds by reallocating some of our assets to
longer-term Treasuries.
WHAT IS YOUR OUTLOOK FOR THE ECONOMY AND THE FUND IN THE COMING MONTHS?
The economy remained strong through the end of 1999, in spite of Y2K concerns,
and actually accelerated going into first quarter. However, there are a few
signs that inflation may creep back. In particular, the Federal Reserve seems
concerned that if world economies grow too quickly while the U.S. economy
continues to expand, it could trigger inflation. Against this backdrop, we
expect the Federal Reserve will maintain its gradual approach to raising
interest rates over the next several months.
3. See footnote 1 on page 3 for further details.
6 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
CREDIT ALLOCATION(4)
[CHART]
<TABLE>
<S> <C>
- - Gov't Agency 50.0%
- - AAA/AA 9.2
- - A 7.9
- - BBB 5.0
- - Treasury 27.9
</TABLE>
In anticipation of a higher interest-rate environment, we are maintaining our
income-oriented investment style with a mix of higher-yielding mortgage products
as well as Treasuries. Over the long term this disciplined approach, combined
with our proprietary research and risk management systems, has helped us provide
consistently good returns for our shareholders. It's what makes Oppenheimer U.S.
Government Trust an important part of THE RIGHT WAY TO INVEST.
<TABLE>
<CAPTION>
TOP FIVE HOLDINGS BY ISSUER(4)
- ----------------------------------------------------------
<S> <C>
Federal National Mortgage Assn. 34.0%
- ----------------------------------------------------------
U.S. Treasury 32.9
- ----------------------------------------------------------
Federal Home Loan Mortgage Corp. 9.2
- ----------------------------------------------------------
Government National Mortgage Assn. 6.6
- ----------------------------------------------------------
Option One Mortgage Trust 1.7
</TABLE>
4. Portfolio is subject to change. Percentages are as of February 29, 2000,
and are based on total market value of investments. Securities rated by any
rating organization are included in the equivalent Standard & Poor's rating
category. Average credit quality and allocation include rated securities and
those not rated by a national rating organization (currently .51% of total
investments) but to which the Manager in its judgment has assigned ratings as
securities comparable to those rated by a rating agency in the same category.
The Fund may invest in securities of any maturity, including those issued by
private issuers and federally chartered mortgage companies whose interest and
principal repayments are not guaranteed by the U.S. government. U.S. Treasury
securities are not rated but are deemed to have the highest rating
equivalency.
7 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES
- --------------------------------------------------------------------------------
IN REVIEWING PERFORMANCE AND RANKINGS, PLEASE REMEMBER THAT 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. THE FUND'S
PERFORMANCE MAY FROM TIME TO TIME BE SUBJECT TO SUBSTANTIAL SHORT-TERM CHANGES,
PARTICULARLY DURING PERIODS OF MARKET OR INTEREST RATE VOLATILITY. FOR UPDATES
ON THE FUND'S PERFORMANCE, PLEASE CONTACT YOUR FINANCIAL ADVISOR, CALL US AT
1.800.525.7048 OR VISIT OUR WEBSITE AT www.oppenheimerfunds.com.
Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. The Fund's total returns shown do
not show the effects of income taxes on an individual's investment. Taxes may
reduce your actual investment returns on income or gains paid by the Fund or any
gains you may realize if you sell your shares.
CLASS A The inception date of the Fund was 8/16/85. Class A returns include the
current maximum initial sales charge of 4.75%.
CLASS B shares of the Fund were first publicly offered on 7/21/95. Class B
returns include the applicable contingent deferred sales charge of 5% (1-year)
and 2% (since inception). Class B shares are subject to an annual 0.75%
asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 12/1/93. Class C
returns include the contingent deferred sales charge of 1% for the 1-year
period. Class C shares are subject to an annual 0.75% asset-based sales charge.
CLASS Y shares of the Fund were first publicly offered on 5/18/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the different performance calculations is in the Fund's
prospectus.
8 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIALS
9 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF INVESTMENTS February 29, 2000/Unaudited
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED OBLIGATIONS--79.1%
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--59.5%
- ------------------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED--51.4%
Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations,
Gtd. Multiclass Mtg. Participation Certificates:
9.50%, 12/1/02-11/1/03 $ 142,662 $ 145,088
14%, 1/1/11 181,775 203,823
Series 151, Cl. F, 9%, 5/15/21 1,265,569 1,305,118
Series 1702-A, Cl. PD, 6.50%, 4/15/22 6,259,000 6,028,168
Series 2132, Cl. GA, 6.15%, 2/15/27 3,667,875 3,455,799
Series 2149, Cl. EA, 6.50%, 9/15/26 4,307,139 4,121,394
Series 2199, Cl. PH, 7%, 12/15/28 10,000,000 9,568,700
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg.
Participation Certificates:
7.50%, 9/1/12 8,416,176 8,458,678
11.50%, 6/1/20 417,901 462,040
12.50%, 7/1/19 893,128 1,008,538
13%, 8/1/15 861,032 988,035
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 164, Cl. A, 7.61%, 3/1/24(1) 9,559,680 3,262,241
Series 176, Cl. IO, 12.378%, 6/1/26(1) 4,935,002 1,583,442
Series 183, Cl. IO, 11.719%-29.119%, 4/1/27(1) 14,656,886 4,716,541
Series 192, Cl. IO, 10.64%, 2/1/28(1) 5,666,194 1,824,692
Series 197, Cl. IO, 11.248%, 4/1/28(1) 8,533,060 2,733,246
Series 199, Cl. IO, 18.28%, 8/1/28(1) 37,860,001 12,594,366
Series 202, Cl. IO, 12.325%-12.851%, 4/1/29(1) 11,816,095 3,993,471
Series 203, Cl. IO, 10.171%-10.381%, 6/15/29(1) 9,646,989 3,319,167
Series 303, 14.325%, 11/1/29(1) 21,603,311 7,331,624
Series 1991, Cl. PJ, 10.837%, 9/15/27(1) 5,000,000 2,300,000
Series 2178, Cl. PI, 10.379%, 8/15/29(1) 15,800,000 3,732,750
Series 2197, Cl. Pl., 12.114%, 6/15/24(1) 3,274,857 677,486
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.--Government National Mortgage Assn.,
Gtd. Multiclass Mtg. Participation Certificates, Series 28, Cl. PG,
6.875%, 2/25/23 5,712,000 5,474,552
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 8/1/13 14,401,584 13,524,240
6.50%, 11/1/28 12,747,253 11,919,574
6.50%, 3/1/29(2) 25,000,000 23,347,750
7%, 8/1/25-9/1/25 15,678,293 15,107,449
7.50%, 9/1/29-1/1/30 39,125,591 38,386,902
7.50%, 3/15/27(2) 39,000,000 38,244,570
8%, 3/1/27(2) 59,000,000 59,092,040
8.50%, 3/1/27(2) 25,000,000 25,582,000
11%, 7/1/16 566,017 618,770
11.50%, 11/1/15 291,547 322,614
12%, 2/15/16-4/15/19 2,512,542 2,814,295
10 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED CONTINUED
Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd.
Multiclass Mtg. Participation Certificates:
Trust 1994-56, Cl. H, 6%, 7/25/22 $ 6,900,000 $ 6,507,528
Trust 1999-19, Cl. TC, 6.50%, 11/25/11 5,000,000 4,829,650
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
8%, 12/1/22 1,123,785 1,132,787
13%, 11/1/12 22,260 24,953
Trust 1992-34, Cl. G, 8%, 3/25/22 2,520,000 2,542,831
Trust 1993-202, Cl. PH, 6.50%, 2/25/22 2,601,615 2,506,474
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 4,000,000 3,847,480
Trust 1997-63, Cl. PC, 6.50%, 3/18/26 7,500,000 7,216,350
Trust 1999-64, Cl. KH, 6.50%, 1/25/30 3,000,000 2,652,187
Trust 2000-2, Cl. C, 7.50%, 3/25/28 5,000,000 4,904,687
Trust 2000-5, Cl. B, 6.50%, 2/25/30 10,000,000 8,987,500
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 272, Cl. 2, 12.591%, 7/1/26(1) 2,518,445 799,213
Trust 294, Cl. 2, 10.828%, 2/1/28(1) 11,677,282 3,791,468
Trust 302, Cl. 2, 9.105%-10.506%, 6/1/29(1) 33,874,965 11,247,547
Trust G93-15, Cl. JA, 14.167%, 4/25/23(1) 2,904,815 782,470
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 291, Cl. 1, 3.246%, 11/1/27(3) 6,140,962 4,409,979
-----------
384,432,267
- ------------------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--8.1%
Government National Mortgage Assn.:
6.375%, 4/20/17(4) 200,624 202,943
6.50%, 11/15/23-12/15/23 1,244,819 1,172,844
7%, 1/15/28-8/15/28 12,840,171 12,317,071
7.25%, 12/15/05 16,390 16,280
7.50%, 10/15/06-11/15/26 15,557,817 15,347,991
8%, 4/15/02-8/15/28 8,423,610 8,477,851
8.25%, 4/15/08 68,900 70,578
8.50%, 6/15/01-1/15/06 20,641 20,905
9%, 9/15/08-5/15/09 179,521 188,035
9.50%, 1/15/20 442,365 468,609
10%, 6/15/16-8/15/19 1,017,321 1,092,913
10.50%, 9/15/00-5/15/21 2,466,574 2,684,151
11%, 10/20/19-7/20/20 2,018,543 2,201,713
11.50%, 2/15/13-4/15/13 70,770 78,590
12%, 12/15/12-3/15/14 9,245 10,365
12.50%, 1/15/14-6/15/19 487,688 552,373
13%, 4/15/11-12/15/14 74,931 84,753
13.50%, 4/15/11-1/15/13 68,327 78,986
14%, 6/15/11 19,025 22,151
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Collateralized Mtg.
Obligations, Series 1999-18, Cl. B, 6.25%, 7/16/26 8,832,574 8,374,385
11 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF INVESTMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED Continued
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security, Series 1999-29, Cl. PI, 11.33%, 7/16/28(1) $ 17,395,833 $ 4,957,812
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Department of Veterans Affairs, Interest-Only Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Vendee Mtg. Trust,
Series 1995-2B, Cl. 2-IO, 18.611%, 6/15/25(1) 84,497,277 1,987,006
----------
60,408,305
- ------------------------------------------------------------------------------------------------------------------------------------
PRIVATE--19.6%
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL--14.6%
Amortizing Residential Collateral Trust, Collateralized Mtg. Obligations,
Trust 2000-BC1, Cl. B, 8.146%, 1/25/30(4) 2,000,000 2,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1996-D3, Cl. A5, 8.326%, 10/13/26(4) 3,700,000 3,375,672
Series 1996-MD6, Cl. A5, 7.332%, 11/13/26(4) 5,000,000 4,715,625
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 5,000,000 4,875,000
Series 1998-MD6, Cl. A3, 7.227%, 3/17/28(4) 7,500,000 6,846,094
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate
Credit-Backed Pass-Through Certificates, Series 1997-CTL1:
9.553%, 6/22/24(1),(5) 58,721,911 2,165,371
9.574%, 6/22/24(1),(5) 4,687,002 172,833
- ------------------------------------------------------------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc., Collateralized Mtg. Obligations,
Series 1998-3, Cl. A2, 6.75%, 5/25/28 5,000,000 4,584,375
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 1996-C1, Cl. X-2, 32.811%, 12/25/20(1),(5) 24,682,402 308,530
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Asset Trust, Series 1999-C1, Cl. C, 7.35%, 8/17/13 10,000,000 9,212,500
- ------------------------------------------------------------------------------------------------------------------------------------
CRIIMI MAE Trust I, Commercial Mtg. Trust, Series 1998-C1:
Cl. A1, 7%, 11/2/06(6) 4,500,000 3,993,047
Cl. A2, 7%, 3/2/11(6) 5,000,000 4,276,563
- ------------------------------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 1998-C1, Cl. AX, 8.729%, 5/17/23(1) 24,745,121 1,531,104
- ------------------------------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates:
Series 1997-C2, Cl. F, 6.85%, 12/17/07 5,000,000 4,668,750
Series 1999-C1, Cl. C, 7.942%, 9/15/09(4) 10,000,000 9,862,500
- ------------------------------------------------------------------------------------------------------------------------------------
FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-G, 8.70%, 9/25/25 3,000,000 2,881,875
- ------------------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust,
Interest-Only Stripped Commercial Mtg. Pass-Through Certificates,
Series 1998-C2, Cl. IO, 9.781%, 5/18/28(1) 29,442,456 1,073,040
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 1997-C1, Cl. X, 8.876%, 7/15/27(1) 22,636,423 1,726,027
- ------------------------------------------------------------------------------------------------------------------------------------
Imperial CMB Trust, Collaterized Mtg. Obligations, Trust 1998-1, Cl. B,
7.25%, 11/25/29 3,599,999 3,462,750
- ------------------------------------------------------------------------------------------------------------------------------------
LB Commercial Conduit Mortgage Trust, Sub. Bonds, Series 1999-C1,
Cl. E, 7.02%, 6/15/09 6,602,000 5,787,066
- ------------------------------------------------------------------------------------------------------------------------------------
Northwest Asset Securities Corp., Collateralized Mtg. Obligations,
Series 1996-5, Cl. A17, 8%, 11/25/26 5,000,000 4,932,813
12 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates:
Series 1993-C1, Cl. D, 9.45%, 5/25/24 $ 751,268 $ 744,518
Series 1994-C1, Cl. C, 8%, 6/25/26 5,475,082 5,458,401
Series 1995-C1, Cl. D, 6.90%, 2/25/27 7,677,000 7,438,293
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Multiclass Pass-Through Certificates:
Series 1996-CFL, Cl. D, 7.034%, 2/25/28 3,700,000 3,651,438
Series 1999-C3, Cl. G, 7.33%, 10/21/13(4),(5) 9,781,434 9,796,718
-----------
109,540,903
- ------------------------------------------------------------------------------------------------------------------------------------
RESIDENTIAL--5.0%
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1993-12, Cl. B1, 6.625%, 2/25/24 2,840,242 2,541,574
- ------------------------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Collateralized Mtg. Obligations,
Series 1998-11, Cl. A2, 6.75%, 8/25/28 8,000,000 7,267,500
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through
Certificates, Series 1995-GAL1, Cl. C, 7.95%, 8/15/27(5) 5,014,988 4,975,025
- ------------------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Trust, Collateralized Mtg. Obligations:
Series 1999-2, 9.66%, 6/25/29(5) 15,189,653 14,843,140
Series 1999-4, Cl. BBB, 9.67%, 12/26/29 4,296,634 4,245,612
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust, Collateralized Mtg. Obligations,
Non-Accelerated Security, Series 1997-A2, Cl. A8, 7.75%, 4/25/27 3,000,000 2,918,438
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Funding Mortgage Securities I, Inc., Mtg.
Pass-Through Certificates:
Series 1993-S10, Cl. A9, 8.50%, 2/25/23 224,380 225,430
Series 1999-S10, Cl. A1, 6.25%, 4/25/14 74,658 70,786
-----------
37,087,505
-----------
Total Mortgage-Backed Obligations (Cost $593,852,405) 591,468,980
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--39.8%
U.S. Treasury Bonds:
6.125%, 11/15/27 28,900,000 28,150,421
6.25%, 5/15/30 27,050,000 27,447,310
8.875%, 2/15/19 9,055,000 11,397,981
11.25%, 2/15/15 1,450,000 2,087,094
STRIPS, 6.24%, 2/15/20(7) 35,800,000 25,300,755
STRIPS, 6.38%, 11/15/18(7) 68,700,000 21,219,987
STRIPS, 6.90%, 11/15/21(7) 11,000,000 2,867,997
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.25%, 5/15/04 17,000,000 16,165,946
5.625%, 5/15/08 44,000,000 41,236,272
5.875%, 8/15/09 43,960,000 42,297,784
6.25%, 8/31/02(8) 45,500,000 45,158,750
6.50%, 5/31/01 8,000,000 8,007,504
7%, 7/15/06 22,520,000 22,878,924
STRIPS, 6.88%, 5/15/09(7) 6,800,000 3,706,986
-----------
Total U.S. Government Obligations (Cost $300,109,714) 297,923,711
</TABLE>
13 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF INVESTMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET VALUE
DATE STRIKE CONTRACTS SEE NOTE 1
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPTIONS PURCHASED--0.0%
U.S. Long Bond Futures,
6/21/00 Call (Cost $95,182) 3/24/00 99% 540 $ 33,750
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $894,057,301) 118.9% 889,426,441
- -----------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (18.9) (141,389,510)
- -----------------------------------------------------------------------------------------------------
NET ASSETS 100.0% $748,036,931
------------------------
------------------------
</TABLE>
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income
securities increase in price when interest rates decline. The principal
amount of the underlying pool represents the notional amount on which current
interest is calculated. The price of these securities is typically more
sensitive to changes in prepayment rates than traditional mortgage-backed
securities (for example, GNMA pass-throughs). Interest rates disclosed
represent current yields based upon the current cost basis and estimated
timing and amount of future cash flows. These securities amount to
$78,611,447 or 10.51% of the Fund's net assets as of February 29, 2000.
2. When-issued security to be delivered and settled after February 29, 2000.
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. Represents the current interest rate for a variable or increasing rate
security.
5. Identifies issues considered to be illiquid or restricted--see Note 6 of
Notes to Financial Statements.
6. 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 $8,269,610 or 1.11% of the Fund's net
assets as of February 29, 2000.
7. For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
8. Securities with an aggregate market value of $1,200,720 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.
14 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FEBRUARY 29, 2000
- -------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments, at value (cost $894,057,301)--see accompanying statement $ 889,426,441
- -------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $116,324,971 sold on a when-issued basis) 119,442,595
Interest and principal paydowns 5,916,736
Shares of beneficial interest sold 3,503,489
Daily variation on futures contracts 23,551
Other 9,010
---------------
Total assets 1,018,321,822
- -------------------------------------------------------------------------------------------------
LIABILITIES
Bank overdraft 3,279,679
- -------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $262,418,421 purchased on a when-issued basis) 262,418,421
Shares of beneficial interest redeemed 3,041,307
Dividends 720,452
Distribution and service plan fees 322,506
Trustees' compensation 208,735
Transfer and shareholder servicing agent fees 79,374
Other 214,417
---------------
Total liabilities 270,284,891
- -------------------------------------------------------------------------------------------------
NET ASSETS $ 748,036,931
---------------
---------------
- -------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Paid-in capital $ 806,736,777
- -------------------------------------------------------------------------------------------------
Undistributed net investment income 681,385
- -------------------------------------------------------------------------------------------------
Accumulated net realized loss on investment transactions (55,075,340)
- -------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (4,305,891)
---------------
Net assets $ 748,036,931
---------------
---------------
</TABLE>
15 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES Unaudited/Continued
- --------------------------------------------------------------------------------
<TABLE>
- ------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE PER SHARE
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$526,773,587 and 58,318,171 shares of beneficial interest outstanding) $ 9.03
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) $ 9.48
- ------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $145,130,151
and 16,087,286 shares of beneficial interest outstanding) $ 9.02
- ------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $76,132,254
and 8,441,099 shares of beneficial interest outstanding) $ 9.02
- ------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on
net assets of $939 and 104 shares of beneficial interest outstanding) $ 9.03
- ------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
16 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000
- ------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Interest $ 29,185,687
- ------------------------------------------------------------------------------------
EXPENSES
Management fees 2,298,077
- ------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 671,980
Class B 825,356
Class C 367,608
- ------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 576,555
- ------------------------------------------------------------------------------------
Custodian fees and expenses 48,060
- ------------------------------------------------------------------------------------
Trustees' compensation 32,530
- ------------------------------------------------------------------------------------
Other 133,577
----------
Total expenses 4,953,743
Less expenses paid indirectly (11,893)
----------
Net expenses 4,941,850
- ------------------------------------------------------------------------------------
NET INVESTMENT INCOME 24,243,837
- ------------------------------------------------------------------------------------
REALIZED AND UNREALIZED LOSS
Net realized loss on:
Investments (20,550,760)
Closing of futures contracts (405,185)
-----------
Net realized loss (20,955,945)
- ------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments 10,438,283
-----------
Net realized and unrealized loss (10,517,662)
- ------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,726,175
===========
</TABLE>
See accompanying Notes to Financial Statements.
17 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MOS. ENDED YEAR
FEBRUARY 29, 2000 ENDED
(UNAUDITED) AUGUST 31, 1999
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS
Net investment income $ 24,243,837 $ 45,688,652
- ----------------------------------------------------------------------------------------------------------------------------
Net realized loss (20,955,945) (20,494,402)
- ----------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation 10,438,283 (30,866,136)
-------------------------------
Net increase (decrease) in net assets resulting from operations 13,726,175 (5,671,886)
- ----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income:
Class A (17,561,822) (33,809,733)
Class B (4,614,515) (7,957,107)
Class C (2,065,686) (2,827,598)
Class Y (31) (62)
- ----------------------------------------------------------------------------------------------------------------------------
Tax return of capital distribution:
Class A -- (799,667)
Class B -- (217,465)
Class C -- (77,019)
Class Y -- (1)
- ----------------------------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
Net increase (decrease) in net assets resulting from beneficial interest
transactions:
Class A (45,043,704) 42,350,597
Class B (27,236,111) 66,248,916
Class C 9,454,325 31,017,430
Class Y -- 3
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) (73,341,369) 88,256,408
- ----------------------------------------------------------------------------------------------------------------------------
Beginning of period 821,378,300 733,121,892
-------------------------------------
End of period (including undistributed net investment
income of $681,385 and $679,602, respectively) $ 748,036,931 $ 821,378,300
----------------- -----------------
----------------- -----------------
</TABLE>
See accompanying Notes to Financial Statements.
18 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
FEB. 29, 2000 AUG. 31, JUNE 30,
CLASS A (UNAUDITED) 1999 1998 1997 1996(1) 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA
Net asset value, beginning of period $ 9.15 $ 9.74 $ 9.48 $ 9.23 $ 9.30 $ 9.51 $ 9.20
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .29 .56 .65 .71 .10 .67 .68
Net realized and unrealized gain (loss) (.12) (.59) .26 .23 (.07) (.21) .31
---------------------------------------------------------------------------------------
Total income (loss) from
investment operations .17 (.03) .91 .94 .03 .46 .99
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.29) (.55) (.65) (.69) (.10) (.66) (.68)
Tax return of capital distribution -- (.01) -- -- -- (.01) --
---------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.29) (.56) (.65) (.69) (.10) (.67) (.68)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.03 $ 9.15 $ 9.74 $ 9.48 $ 9.23 $ 9.30 $ 9.51
---------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 1.88% (0.40)% 9.26% 10.45% 0.42% 4.91% 11.22%
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $526,774 $579,064 $573,792 $468,809 $503,693 $504,966 $312,607
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $550,329 $591,229 $516,173 $478,410 $508,123 $452,236 $307,306
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(3)
Net investment income 6.41% 5.85% 6.17% 7.58% 6.64% 7.07% 7.32%
Expenses 1.03% 1.06% 1.03%(4) 1.06%(4) 1.09%(4) 1.08%(4) 1.09%(4)
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 107% 199% 80% 43% 6% 400% 304%
</TABLE>
1. For the two months ended August 31, 1996. The Fund changed its fiscal
year end from June 30 to August 31.
2. Assumes a $1,000 hypothetical initial investment on the business day
before the first day of the fiscal period (or inception of offering), 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.
3. Annualized for periods of less than one full year.
4. Expense ratio has not been grossed up to reflect the effect of expenses
paid indirectly.
5. 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
and purchases and sales from mortgage dollar-rolls) for the period ended
February 29, 2000 were $877,338,126 and $932,325,471, respectively. For the
periods ended June 30, 1996 and 1995, purchases and sales of investment
securities included mortgage dollar-rolls.
See accompanying Notes to Financial Statements.
19 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
FEB. 29, 2000 AUG. 31, JUNE 30,
CLASS B (UNAUDITED) 1999 1998 1997 1996(1) 1996(6)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
Net asset value, beginning of period $ 9.14 $ 9.73 $ 9.47 $ 9.22 $ 9.29 $ 9.40
- -----------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .26 .48 .56 .64 .09 .56
Net realized and unrealized gain (loss) (.12) (.59) .27 .23 (.07) (.11)
---------------------------------------------------------------------------
Total income (loss) from
investment operations .14 (.11) .83 .87 .02 .45
- -----------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.26) (.47) (.57) (.62) (.09) (.55)
Tax return of capital distribution -- (.01) -- -- -- (.01)
---------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.26) (.48) (.57) (.62) (.09) (.56)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.02 $ 9.14 $ 9.73 $ 9.47 $ 9.22 $ 9.29
----------------------------------------------------------------------------
----------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 1.50% (1.15)% 8.45% 9.63% 0.28% 4.80%
- -----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $145,130 $174,622 $118,873 $52,301 $36,504 $30,737
- -----------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $165,506 $160,782 $ 76,030 $41,420 $35,078 $19,227
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(3)
Net investment income 5.64% 5.09% 5.33% 6.77% 5.82% 6.44%
Expenses 1.79% 1.81% 1.78%(4) 1.81%(4) 1.88%(4) 1.93%(4)
- -----------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 107% 199% 80% 43% 6% 400%
</TABLE>
1. For the two months ended August 31, 1996. The Fund changed its fiscal
year end from June 30 to August 31.
2. Assumes a $1,000 hypothetical initial investment on the business day
before the first day of the fiscal period (or inception of offering), 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.
3. Annualized for periods of less than one full year.
4. Expense ratio has not been grossed up to reflect the effect of expenses
paid indirectly.
5. 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
and purchases and sales from mortgage dollar-rolls) for the period ended
February 29, 2000, were $877,338,126 and $932,325,471, respectively. For the
periods ended June 30, 1996 and 1995, purchases and sales of investment
securities included mortgage dollar-rolls.
6. For the period from July 21, 1995 (inception of offering) to June 30,
1996.
See accompanying Notes to Financial Statements.
20 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
FEB. 29, 2000 AUG. 31, JUNE 30,
CLASS C (UNAUDITED) 1999 1998 1997 1996(1) 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA
Net asset value, beginning of period $ 9.14 $ 9.72 $ 9.47 $ 9.22 $ 9.29 $ 9.50 $ 9.19
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .25 .48 .56 .64 .09 .60 .61
Net realized and unrealized gain (loss) (.12) (.58) .26 .23 (.07) (.21) .30
----------------------------------------------------------------------------------------
Total income (loss) from
investment operations .13 (.10) .82 .87 .02 .39 .91
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.25) (.47) (.57) (.62) (.09) (.59) (.60)
Tax return of capital distribution -- (.01) -- -- -- (.01) --
----------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.25) (.48) (.57) (.62) (.09) (.60) (.60)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 9.02 $ 9.14 $ 9.72 $ 9.47 $ 9.22 $ 9.29 $ 9.50
----------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 1.48% (1.05)% 8.34% 9.65% 0.28% 4.11% 10.31%
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $76,132 $67,691 $40,456 $21,625 $18,547 $18,531 $11,019
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $73,838 $56,943 $27,135 $19,505 $18,620 $15,766 $ 6,503
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(3)
Net investment income 5.65% 5.11% 5.36% 6.81% 5.90% 6.27% 6.44%
Expenses 1.79% 1.81% 1.78%(4) 1.80%(4) 1.84%(4) 1.85%(4) 1.89%(4)
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 107% 199% 80% 43% 6% 400% 304%
</TABLE>
1. For the two months ended August 31, 1996. The Fund changed its fiscal
year end from June 30 to August 31.
2. Assumes a $1,000 hypothetical initial investment on the business day
before the first day of the fiscal period (or inception of offering), 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.
3. Annualized for periods of less than one full year.
4. Expense ratio has not been grossed up to reflect the effect of expenses
paid indirectly.
5. 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
and purchases and sales from mortgage dollar-rolls) for the period ended
February 29, 2000, were $877,338,126 and $932,325,471, respectively. For the
periods ended June 30, 1996 and 1995, purchases and sales of investment
securities included mortgage dollar-rolls.
6. For the period from July 21, 1995 (inception of offering) to June 30,
1996.
See accompanying Notes to Financial Statements.
21 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
FEB. 29, 2000 AUG. 31,
CLASS Y (UNAUDITED) 1999 1998(7)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING DATA
Net asset value, beginning of period $9.15 $9.74 $10.00
- --------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .30 .51 .18
Net realized and unrealized gain (loss) (.12) (.59) (.26)
-----------------------------------
Total income (loss) from
investment operations .18 (.08) (.08)
- --------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.30) (.50) (.18)
Tax return of capital distribution -- (.01) --
-----------------------------------
Total dividends and/or distributions
to shareholders (.30) (.51) (.18)
- --------------------------------------------------------------------------------------------
Net asset value, end of period $9.03 $9.15 $9.74
-----------------------------------
-----------------------------------
- --------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 1.98% (0.83)% 2.83%
- --------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $1 $1 $1
- --------------------------------------------------------------------------------------------
Average net assets (in thousands) $1 $1 $1
- --------------------------------------------------------------------------------------------
Ratios to average net assets:(3)
Net investment income 6.75% 6.19% 1.77%
Expenses 0.76% 0.69% 0.73%(4)
- --------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 107% 199% 80%
</TABLE>
1. For the two months ended August 31, 1996. The Fund changed its fiscal
year end from June 30 to August 31.
2. Assumes a $1,000 hypothetical initial investment on the business day
before the first day of the fiscal period (or inception of offering), 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.
3. Annualized for periods of less than one full year.
4. Expense ratio has not been grossed up to reflect the effect of expenses
paid indirectly.
5. 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
and purchases and sales from mortgage dollar-rolls) for the period ended
February 29, 2000, were $877,338,126 and $932,325,471, respectively. For the
periods ended June 30, 1996 and 1995, purchases and sales of investment
securities included mortgage dollar-rolls.
6. For the period from July 21, 1995 (inception of offering) to June 30,
1996.
7. For the period from May 18, 1998 (inception of offering) to August 31,
1998.
See accompanying Notes to Financial Statements.
22 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer U.S. Government Trust (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income consistent with
preservation of capital. The Fund's investment advisor is OppenheimerFunds, Inc.
(the Manager).
The Fund offers Class A, Class B, Class C and Class Y shares. Class A
shares are sold at their offering price, which is normally net asset value plus
an initial sales charge. Class B and Class C shares are sold without an initial
sales charge but may be subject to a contingent deferred sales charge (CDSC).
Class Y shares are sold to certain institutional investors without either a
front-end sales charge or a CDSC. All classes of shares have identical rights to
earnings, assets and voting privileges, except that each class has its own
expenses directly attributable to that class and exclusive voting rights with
respect to matters affecting that class. Classes A, B and C shares have separate
distribution and/or service plans. No such plan has been adopted for Class Y
shares. Class B shares will automatically convert to Class A shares six years
after the date of purchase. The following is a summary of significant accounting
policies consistently followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. Securities for which quotations are readily available are
valued at the last sale price, or if in the absence of a sale, at the last sale
price on the prior trading day if it is within the spread of the closing bid and
asked prices, and if not, at the closing bid price. Securities (including
restricted securities) for which quotations are not readily available are valued
primarily using dealer-supplied valuations, a portfolio pricing service
authorized by the Board of Trustees, or at their fair value. Fair value is
determined in good faith under consistently applied procedures under the
supervision of the Board of Trustees. Foreign currency 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, dealer
or pricing service. Short-term "money market type" debt securities with
remaining maturities of sixty days or less are valued at cost (or last
determined market value) and adjusted for amortization or accretion to maturity
of any premium or discount.
23 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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. Normally the
settlement date occurs within six months after the transaction date; however,
the Fund may, from time to time, purchase securities whose settlement date
extends beyond six months and possibly as long as two years or more beyond trade
date. During this period, such securities do not earn interest, are subject to
market fluctuation and may increase or decrease in value prior to their
delivery. The Fund maintains segregated assets with a market value equal to or
greater than 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 February 29, 2000, the Fund had
entered into net outstanding when-issued or forward commitments of $146,093,450.
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.
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS. The Fund requires the custodian to take possession, to
have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is required
to be at least 102% of the resale price at the time of purchase. If the seller
of the agreement defaults and the value of the collateral declines, or if the
seller enters an insolvency proceeding, realization of the value of the
collateral by the Fund may be delayed or limited.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), 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.
24 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
- --------------------------------------------------------------------------------
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. As of August 31, 1999, the
Fund had available for federal income tax purposes an unused capital loss
carryover of approximately $19,352,000, which expires between 2003 and 2007.
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Fund has adopted an unfunded retirement plan for the
Fund's independent Board of Trustees. Benefits are based on years of service and
fees paid to each trustee during the years of service. During the six months
ended February 29, 2000, a provision of $8,358 was made for the Fund's projected
benefit obligations and payments of $4,532 were made to retired trustees,
resulting in an accumulated liability of $202,824 as of February 29, 2000.
The Board of Trustees has adopted a deferred compensation plan for
independent trustees that enables trustees to elect to defer receipt of all or a
portion of annual compensation they are entitled to receive from the Fund. Under
the plan, the compensation deferred is periodically adjusted as though an
equivalent amount had been invested for the Board of Trustees in shares of one
or more Oppenheimer funds selected by the trustee. The amount paid to the Board
of Trustees under the plan will be determined based upon the performance of the
selected funds. Deferral of trustees' fees under the plan will not affect the
net assets of the Fund, and will not materially affect the Fund's assets,
liabilities or net investment income per share.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date.
- --------------------------------------------------------------------------------
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax
purposes. The character of distributions made during the year from net
investment income or net realized gains may differ from its 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 fiscal year in which the income or realized gain was recorded by
the Fund.
- --------------------------------------------------------------------------------
EXPENSE OFFSET ARRANGEMENTS. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Fund.
25 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
OTHER. Investment transactions are accounted for as of trade date and dividend
income is recorded on the ex-dividend 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 options
written and unrealized appreciation and depreciation are determined on an
identified cost basis, which is the same basis used for federal income tax
purposes. Dividends-in-kind are recognized as income on the ex-dividend date, at
the current market value of the underlying security. Interest on payment-in-kind
debt instruments is accrued as income at the coupon rate and a market adjustment
is made periodically.
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 FEBRUARY 29, 2000 YEAR ENDED AUGUST 31, 1999
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A
Sold 13,753,491 $ 124,840,463 34,020,869 $ 325,142,831
Dividends and/or distributions reinvested 1,603,399 14,581,763 3,045,596 28,908,446
Redeemed (20,312,035) (184,465,930) (32,725,221) (311,700,680)
----------------------------------------------------------------
Net increase (decrease) (4,955,145) $ (45,043,704) 4,341,244 $ 42,350,597
----------------------------------------------------------------
----------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CLASS B
Sold 4,029,841 $ 36,687,929 16,811,970 $ 160,560,159
Dividends and/or distributions reinvested 374,588 3,404,064 657,755 6,227,351
Redeemed (7,419,767) (67,328,104) (10,589,856) (100,538,594)
----------------------------------------------------------------
Net increase (decrease) (3,015,338) $ (27,236,111) 6,879,869 $ 66,248,916
----------------------------------------------------------------
----------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CLASS C
Sold 3,220,824 $ 29,275,339 6,544,899 $ 62,371,170
Dividends and/or distributions reinvested 192,369 1,746,606 251,739 2,379,583
Redeemed (2,379,979) (21,567,620) (3,550,200) (33,733,323)
----------------------------------------------------------------
Net increase 1,033,214 $ 9,454,325 3,246,438 $ 31,017,430
----------------------------------------------------------------
----------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CLASS Y
Sold -- $ -- -- $ --
Dividends and/or distributions reinvested -- -- -- --
Redeemed -- -- -- --
----------------------------------------------------------------
Net increase -- $ -- -- $ --
----------------------------------------------------------------
----------------------------------------------------------------
</TABLE>
26 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
- --------------------------------------------------------------------------------
3. UNREALIZED GAINS AND LOSSES ON SECURITIES
As of February 29, 2000, net unrealized depreciation on securities of $4,630,860
was composed of gross appreciation of $11,058,359, and gross depreciation of
$15,689,219.
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee of 0.65% of
the first $200 million of average annual net assets of the Fund, 0.60% of the
next $100 million, 0.57% of the next $100 million, 0.55% of the next $400
million, and 0.50% of average annual net assets over $800 million. The Fund's
management fee for the six months ended February 29, 2000 was 0.59% of the
average annual net assets for each class of shares, annualized for periods of
less than one full year.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
is the transfer and shareholder servicing agent for the Fund and for other
Oppenheimer funds. OFS's total costs of providing such services are allocated
ratably to these funds.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN FEES. Under its General Distributor's Agreement
with the Manager, the Distributor acts as the Fund's principal underwriter in
the continuous public offering of the different classes of shares of the Fund.
The compensation paid to (or retained by) the Distributor from the sale
of shares or on the redemption of shares is shown in the table below for the
period indicated.
<TABLE>
<CAPTION>
AGGREGATE CLASS A COMMISSIONS COMMISSIONS COMMISSIONS
FRONT-END FRONT-END ON CLASS A ON CLASS B ON CLASS C
SALES CHARGES SALES CHARGES SHARES SHARES SHARES
ON CLASS A RETAINED BY ADVANCED BY ADVANCED BY ADVANCED BY
SIX MONTHS ENDED SHARES DISTRIBUTOR DISTRIBUTOR(1) DISTRIBUTOR(1) DISTRIBUTOR(1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
February 29, 2000 $571,384 $98,646 $215,545 $1,023,409 $50,769
</TABLE>
1. The Distributor advances commission payments to dealers for certain sales of
Class A shares and for sales of Class B and Class C shares from its own
resources at the time of sale.
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS C
CONTINGENT DEFERRED CONTINGENT DEFERRED CONTINGENT DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES
SIX MONTHS ENDED RETAINED BY DISTRIBUTOR RETAINED BY DISTRIBUTOR RETAINED BY DISTRIBUTOR
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
February 29, 2000 $1,356 $326,125 $17,959
</TABLE>
The Fund has adopted a Service Plan for Class A shares and Distribution
and Service Plans for Class B and Class C shares under Rule 12b-1 of the
Investment Company Act. Under those plans the Fund pays the Distributor for all
or a portion of its costs incurred in connection with the distribution and/or
servicing of the shares of the particular class.
27 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
- --------------------------------------------------------------------------------
CLASS A SERVICE PLAN FEES. Under the Class A service plan, the Distributor
currently uses the fees it receives from the Fund to pay brokers, dealers and
other financial institutions. The Class A service plan permits reimbursements to
the Distributor at a rate of up to 0.25% of average annual net assets of Class A
shares purchased. The Distributor makes payments to plan recipients quarterly at
an annual rate not to exceed 0.25% of the average annual net assets consisting
of Class A shares of the Fund. For the six months ended February 29, 2000,
payments under the Class A plan totaled $671,980, all of which was paid by the
Distributor to recipients. That included $44,180 paid to an affiliate of the
Manager. Any unreimbursed expenses the Distributor incurs with respect to Class
A shares in any fiscal year cannot be recovered in subsequent years.
- --------------------------------------------------------------------------------
CLASS B AND CLASS C DISTRIBUTION AND SERVICE PLAN FEES. Under each plan, service
fees and distribution fees are computed on the average of the net asset value of
shares in the respective class, determined as of the close of each regular
business day during the period. The Class B and Class C plans provide for the
Distributor to be compensated at a flat rate, whether the Distributor's
distribution expenses are more or less than the amounts paid by the Fund under
the plan during the period for which the fee is paid.
The Distributor retains the asset-based sales charge on Class B shares.
The Distributor retains the asset-based sales charge on Class C shares during
the first year the shares are outstanding. The asset-based sales charges on
Class B and Class C shares allow investors to buy shares without a front-end
sales charge while allowing the Distributor to compensate dealers that sell
those shares.
The Distributor's actual expenses in selling Class B and Class C shares
may be more than the payments it receives from the contingent deferred sales
charges collected on redeemed shares and asset-based sales charges from the Fund
under the plans. If any plan is terminated by the Fund, the Board of Trustees
may allow the Fund to continue payments of the asset-based sales charge to the
Distributor for distributing shares before the plan was terminated. The plans
allow for the carry-forward of distribution expenses, to be recovered from
asset-based sales charges in subsequent fiscal periods.
Distribution fees paid to the Distributor for the six months ended February 29,
2000, were as follows:
<TABLE>
<CAPTION>
DISTRIBUTOR'S DISTRIBUTOR'S
AGGREGATE UNREIMBURSED
UNREIMBURSED EXPENSES AS %
TOTAL PAYMENTS AMOUNT RETAINED EXPENSES OF NET ASSETS
UNDER PLAN BY DISTRIBUTOR UNDER PLAN OF CLASS
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class B Plan $825,356 $715,020 $6,747,567 4.65%
Class C Plan 367,608 213,387 486,298 0.64
</TABLE>
28 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
The Fund may buy and sell futures contracts in order to gain exposure to or to
seek to 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 (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund may recognize 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
and/or payable for the daily mark to market for variation margin.
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 February 29, 2000, the Fund had outstanding futures contracts as follows:
<TABLE>
<CAPTION>
EXPIRATION NUMBER OF VALUATION AS OF UNREALIZED
CONTRACT DESCRIPTION DATE CONTRACTS FEBRUARY 29, 2000 APPRECIATION
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CONTRACTS TO SELL
U.S. Long Bond 6/21/00 45 $ 4,260,938 $ 7,383
U.S. Treasury Nts., 5 yr 6/21/00 398 38,643,313 65,695
U.S. Treasury Nts., 10 yr 3/22/00 50 4,788,281 72,656
U.S. Treasury Nts., 10 yr 6/21/00 436 41,590,313 227,330
--------
$373,064
========
</TABLE>
29 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Unaudited/Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. ILLIQUID OR RESTRICTED SECURITIES
As of February 29, 2000, investments in securities included issues that are
illiquid or restricted. Restricted securities are often purchased in private
placement transactions, are not registered under the Securities Act of 1933, may
have contractual restrictions on resale, and are valued under methods approved
by the Board of Trustees as reflecting fair value. A security may also be
considered illiquid if it lacks a readily available market or if its valuation
has not changed for a certain period of time. The Fund intends to invest no more
than 10% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of February 29, 2000, was $32,261,617,
which represents 4.31% of the Fund's net assets.
- --------------------------------------------------------------------------------
7. BANK BORROWINGS
The Fund may borrow from a bank for temporary or emergency purposes including,
without limitation, funding of shareholder redemptions provided asset coverage
for borrowings exceeds 300%. The Fund has entered into an agreement which
enables it to participate with other Oppenheimer funds in an unsecured line of
credit with a bank, which permits borrowings up to $400 million, collectively.
Interest is charged to each fund, based on its borrowings, at a rate equal to
the Federal Funds Rate plus 0.45%. Borrowings are payable 30 days after such
loan is executed. The Fund also pays a commitment fee equal to its pro rata
share of the average unutilized amount of the credit facility at a rate of 0.08%
per annum.
The Fund had no borrowings outstanding during the six months ended
February 29, 2000.
30 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
OPPENHEIMER U.S. GOVERNMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<S><C>
- --------------------------------------------------------------------------------
OFFICERS AND TRUSTEES Leon Levy, Chairman of the Board of Trustees
Donald W. Spiro, Vice Chairman of the Board of Trustees
Bridget A. Macaskill, Trustee and President
Robert G. Galli, Trustee
Phillip A. Griffiths, Trustee
Benjamin Lipstein, Trustee
Elizabeth B. Moynihan, Trustee
Kenneth A. Randall, Trustee
Edward V. Regan, Trustee
Russell S. Reynolds, Jr., Trustee
Clayton K. Yeutter, Trustee
John S. Kowalik, Vice President
Andrew J. Donohue, Secretary
Brian W. Wixted, 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 PORTFOLIO Citibank, N.A.
SECURITIES
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS KPMG LLP
- --------------------------------------------------------------------------------
LEGAL COUNSEL Mayer, Brown & Platt
</TABLE>
The financial statements included herein have been
taken from the records of the Fund without
examination of those records by the independent
auditors.
This is a copy of a report to shareholders of
Oppenheimer U.S. Government Trust. This report must
be preceded or accompanied by a Prospectus of
Oppenheimer U.S. Government Trust. 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, ARE NOT INSURED BY THE FDIC OR ANY OTHER
AGENCY, AND INVOLVE INVESTMENT RISKS, INCLUDING THE
POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
31 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
OPPENHEIMERFUNDS FAMILY
- --------------------------------------------------------------------------------
<TABLE>
<S><C>
- -----------------------------------------------------------------------------------------------------------------------------------
GLOBAL EQUITY
Developing Markets Fund Global Fund
International Small Company Fund Quest Global Value Fund
Europe Fund Global Growth & Income Fund
International Growth Fund
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY
STOCK STOCK & BOND
Enterprise Fund(1) Main Street-Registered Trademark- Growth & Income Fund
Discovery Fund Quest Opportunity Value Fund
Main Street-Registered Trademark- Small Cap Fund Total Return Fund
Quest Small Cap Value Fund Quest Balanced Value Fund
MidCap Fund Capital Income Fund(2)
Capital Appreciation Fund Multiple Strategies Fund
Growth Fund Disciplined Allocation Fund
Disciplined Value Fund Convertible Securities Fund
Quest Value Fund
Trinity Growth Fund SPECIALTY
Trinity Core Fund Real Asset Fund
Trinity Value Fund Gold & Special Minerals Fund
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED INCOME
TAXABLE MUNICIPAL
International Bond Fund California Municipal Fund(3)
World Bond Fund Main Street-Registered Trademark- California Municipal Fund(3)
High Yield Fund Florida Municipal Fund(3)
Champion Income Fund New Jersey Municipal Fund(3)
Strategic Income Fund New York Municipal Fund(3)
Bond Fund Pennsylvania Municipal Fund(3)
Senior Floating Rate Fund Municipal Bond Fund
U.S. Government Trust Insured Municipal Fund
Limited-Term Government Fund Intermediate Municipal Fund
ROCHESTER DIVISION
Rochester Fund Municipals
Limited Term New York Municipal Fund
- -----------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET(4)
Money Market Fund Cash Reserves
</TABLE>
1. Effective July 1, 1999, this fund is closed to new investors. See
prospectus for details.
2. On 4/1/99, the Fund's name was changed from "Oppenheimer Equity Income
Fund."
3. Available to investors only in certain states.
4. An investment in money market funds is neither insured nor guaranteed by
the Federal Deposit Insurance Corporation or any other government agency.
Although these funds may seek to preserve the value of your investment at
$1.00 per share, it is possible to lose money by investing in these funds.
Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc., Two
World Trade Center, New York, NY 10048-0203.
- -C- Copyright 2000 OppenheimerFunds, Inc. All rights reserved.
32 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
INFORMATION AND SERVICES
- --------------------------------------------------------------------------------
As an Oppenheimer fund shareholder, you can benefit from special services
designed to make investing simple. Whether it's automatic investment plans,
timely market updates, or immediate account access, you can count on us whenever
you need assistance. So call us today, or visit our website--we're here to help.
- --------------------------------------------------------------------------------
INTERNET
24-hr access to account information and transactions
www.oppenheimerfunds.com
- --------------------------------------------------------------------------------
GENERAL INFORMATION
Mon-Fri 8:30am-9pm ET, Sat 10am-4pm ET
1.800.525.7048
- --------------------------------------------------------------------------------
TELEPHONE TRANSACTIONS
Mon-Fri 8:30am-9pm ET, Sat 10am-4pm ET
1.800.852.8457
- --------------------------------------------------------------------------------
PHONELINK
24-hr automated information and automated transactions
1.800.533.3310
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS DEVICE FOR THE DEAF (TDD)
Mon-Fri 8:30am-7pm ET
1.800.843.4461
- --------------------------------------------------------------------------------
OPPENHEIMERFUNDS INFORMATION HOTLINE
24 hours a day, timely and insightful messages on the economy and issues that
may affect your investments 1.800.835.3104
- --------------------------------------------------------------------------------
TRANSFER AND SHAREHOLDER SERVICING AGENT
OppenheimerFunds Services
P.O. Box 5270, Denver, CO 80217-5270
- --------------------------------------------------------------------------------
[LOGO] OPPENHEIMERFUNDS -Registered Trademark-
Distributor, Inc.
RS0220.001.0200 April 28, 2000
