<PAGE>
[GRAPHIC]
Annual Report August 31, 2000
Oppenheimer
U.S. Government Trust
[LOGO] OppenheimerFunds(R)
The Right Way to Invest
<PAGE>
REPORT HIGHLIGHTS
High-grade mortgage-backed securities were the key
contributors to the Fund's good performance.
At various points during the reporting period, we adjusted our
allocations among Treasuries and mortgages in response to
changing market conditions.
Because mortgages continue to offer significantly more yield
than Treasuries, we continue to emphasize these securities
in the portfolio.
CONTENTS
1 President's Letter
3 An Interview with Your Fund's Managers
7 Fund Performance
12 Financial Statements
33 Independent Auditors' Report
34 Federal Income Tax Information
35 Officers and Trustees
--------------------------------
Average Annual Total Returns*
For the 1-Year Period
Ended 8/31/00
Class A
Without With
Sales Chg. Sales Chg.
--------------------------------
7.03% 1.94%
Class B
Without With
Sales Chg. Sales Chg.
--------------------------------
6.22% 1.22%
Class C
Without With
Sales Chg. Sales Chg.
--------------------------------
6.21% 5.21%
Class Y
--------------------------------
7.39%
--------------------------------
*See Notes on page 10 for further details.
<PAGE>
PRESIDENT'S LETTER
Dear Shareholder,
[PHOTO]
Bridget A. Macaskill
President
Oppenheimer
U.S. Government Trust
Over the past several decades, our investment teams have learned the
importance of avoiding complacency when it comes to navigating the financial
markets--especially when times are good. Right now, times appear particularly
good. The U.S. economy is in its tenth year of expansion. In the bond market,
U.S. Treasury issues have been performing favorably over the past year. In
addition, despite volatility in the second quarter, the stock market has been
providing attractive returns from a wide spectrum of industry sectors,
capitalization ranges and investment styles.
We have arrived at this juncture after months of monitoring the rapid pace
of global economic growth and its implications for inflation, as well as the
Federal Reserve Board's evolving monetary policy. At this point, economic
indicators suggest a dampening of short-term inflationary pressures. While
recent increases in oil prices are certainly taking their toll, we don't believe
this signals a return to 1970's-style inflation. Accordingly, if the Fed
continues in its diligence, the economy could maintain its healthy rate of
growth.
In the bond market, the achievement of a federal budget surplus has
prompted the Treasury to buy back many of its long-term securities. The
resulting supply shortage boosted these securities' returns, causing an
inversion of the yield curve--an unusual situation in which shorter term
Treasuries yield more than their longer term counterparts. Other bond sectors
are offering many opportunities in the form of attractive valuations.
Perhaps most important is that we have begun to see encouraging signs in
the stock market. Formerly high-flying Internet stocks have generally come down
to earth, and investors have begun to refocus on companies with strong business
fundamentals and justifiable valuations. Investors have also returned to
long-neglected, value-oriented companies.
1 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
PRESIDENT'S LETTER
What else do these various trends tell us? They tell us that the ability to
discriminate between long-term potential and short-lived fads has become more
critical than ever. Trying to generate good long-term performance requires
tracking the best companies through intensive research, combined with
hard-earned experience.
At OppenheimerFunds, our seasoned portfolio management teams fight
complacency by remaining constantly aware of the risks that face the economy and
financial markets. Virtually anything could affect the overall markets--a surge
in inflation, a decline in productivity, deteriorating corporate earnings, or
even the new Administration's proposals regarding tax reform, health-care and
Social Security. However, by remaining vigilant in our quest for fundamentally
sound businesses, we believe we can find good investments that can weather
market volatility.
In this environment, we encourage you to consult your financial advisor and
to stay on track with your long-term financial plan. For our part, we will
continue to monitor the opportunities and risks ever present in the financial
markets. Thank you for your confidence in OppenheimerFunds, The Right Way to
Invest.
Sincerely,
/s/ Bridget A. Macaskill
Bridget A. Macaskill
September 22, 2000
These general market views represent opinions of OppenheimerFunds, Inc. and are
not intended to predict or depict performance of the securities markets or any
particular fund. Specific discussion, as it applies to your Fund, is contained
in the pages that follow. Stocks and bonds have different types of investment
risks; stocks are subject to market volatility and bonds are subject to credit
and interest rate risks.
2 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
[GRAPHIC]
Portfolio Management
Team (l to r)
John Kowalik
Leslie Falconio
Gina Palmieri
How did the Fund perform during the past fiscal year?
A. We are pleased to report that, for the one-year period that ended August 31,
2000, Oppenheimer U.S. Government Trust delivered an average annual total
return, without sales charges, of 7.03% for Class A shares./1/ We attribute much
of the Fund's solid performance during the past year to our active management of
the portfolio's allocations among Treasury and non-Treasury securities in
response to market conditions over the past 12 months.
What key events characterized the bond market over the reporting period?
The most significant event in the fixed income markets during the past year, in
our opinion, was the Federal budget surplus. This has enabled the Treasury
Department to buy back a sizable portion of its long-term debt, namely, 30-year
Treasury bonds. In addition, the Treasury cut the number of its annual auctions
of these securities from four to two. Overall, these actions are helping to
reduce the amount of the Federal government's outstanding debt. The markets
reacted to this decrease in the supply of longer Treasuries and, as a result,
30-year Treasuries rallied. The Treasury's decisions, coupled with the Federal
Reserve's (the Fed's) numerous interest-rate hikes, contributed to a notable
occurrence: an inversion of the Treasury yield curve. This is an unusual
situation in which short- and intermediate-term, Treasuries yield more than
long-term Treasuries.
1. See page 10 for further details.
3 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
"A key factor that we believe affected the Fund's recent performance was the
wide yield spreads, or differences, between Treasury and non-Treasury
securities."
Another key event that we believe had an effect on the Fund involved the
current wide yield spreads, or differences, between Treasury and non-Treasury
securities. Because Oppenheimer U.S. Government Trust portfolio continues to
invest primarily in both Treasury and non-Treasury securities, we believe these
events were the most relevant factors affecting performance during the reporting
period.
How did you manage the portfolio in light of these conditions?
In response to these market events, we continually adjusted the portfolio's
allocations to both Treasuries and non-Treasury "spread products." This is
consistent with our strategy of appropriately adjusting our mix of Treasury and
mortgage-backed securities as the market changes. In the fourth quarter of 1999,
for example, we increased our position in mortgage-backed securities, since
these offered a considerable yield advantage over Treasuries. Traditionally,
this asset class has most positively contributed to the Fund's performance.
We maintained this position until the beginning of this year, when it
became evident that the Government surplus and Treasury buybacks were
significantly affecting longer-term Treasury bonds. At that point, we departed
from our typical mix of 60% mortgages and 40% Treasuries, and began to cut back
on spread products. This allowed us to purchase more Treasuries, which had not
yet begun to rally. In June, we became more confident about a soft landing for
the economy and moved slowly back to our traditional allocation, with a focus on
mortgages.
4 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
----------------------------------
Average Annual
Total Returns
For the Periods Ended 9/30/00(1)
Class A
1-Year 5-Year 10-Year
----------------------------------
1.42% 4.96% 6.66%
Class B Since
1-Year 5-Year Inception
----------------------------------
0.68% 4.86% 5.29%
Class C Since
1-Year 5-Year Inception
----------------------------------
4.67% 5.21% 5.01%
Class Y Since
1-Year 5-Year Inception
----------------------------------
6.72% N/A 4.12%
----------------------------------
Standardized Yields(2)
For the 30 Days Ended 8/31/00
----------------------------------
Class A 5.98%
----------------------------------
Class B 5.49
----------------------------------
Class C 5.49
----------------------------------
Class Y 6.63
----------------------------------
How did you achieve the Fund's competitive yield during the reporting period?
On top of the "regular" mortgage-backed securities we normally emphasize, we
have the ability to invest up to 20% of the portfolio's assets in other assets.
At present, we choose to invest in collateralized mortgage-backed securities
(CMBSs) for this portion of the portfolio. These are bonds backed by commercial
real estate. Investors tend to favor these types of securities because they
offer higher yield than comparable mortgage-related debt. Therefore, we
attribute much of the Fund's yield to both AAA-rated mortgages and CMBSs.
What is your outlook for the months ahead?
For the economy at large, we do not expect the Fed to implement many more--if
any--increases in short-term interest rates. If we do see another rate hike, we
might react by extending the average portfolio maturity slightly or perhaps by
increasing our exposure to spread products--namely, mortgage-backed securities.
When the Fed is finished raising rates, we expect the Treasury yield curve to
steepen once again. We do expect a soft landing for the economy this year,
particularly since inflation seems to remain in check while economic growth
seems to be running at a healthy, yet moderate, pace. Based on this outlook, we
continue to favor mortgage-related securities, especially CMBSs. We may increase
our holdings of CMBSs closer to the 20% of total assets permissible for the
portfolio. We will likely continue to maintain a larger-than-usual allocation to
these non-Treasury securities, and will seek opportunities to add yield when
appropriate. This disciplined strategy, we believe, is what helps make
Oppenheimer U.S. Government Trust part of The Right Way to Invest.
1. See page 10 for further details.
2. Standardized yield is based on net investment income for the 30-day period
ended August 31, 2000 and maximum offering price as of August 31, 2000. Falling
share prices will tend to artificially raise yields.
5 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
Top Five Holdings/4/
-------------------------------------------------------
U.S. Treasury Notes 30.4%
-------------------------------------------------------
Federal National Mortgage Assn. 24.4
-------------------------------------------------------
Federal Home Loan Mortgage Corp. 17.8
-------------------------------------------------------
Government National Mortgage Assn. 6.3
-------------------------------------------------------
Treasury Repurchase 3.8
--------------------------
Credit Allocation/3/
[PIE CHART]
. Treasury 29.0%
. Gov't Agency 48.8
. AAA 5.8
. AA 0.7
. A 6.8
. BBB 5.1
. Other 3.8
--------------------------
3. Portfolio is subject to change. Percentages are as of August 31, 2000, and
are dollar-weighted 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 0.39% 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.
4. Portfolio is subject to change. Percentages are as of August 31, 2000, and
are based on total market value of investments.
6 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FUND PERFORMANCE
How Has the Fund Performed? Below is a discussion, by the Manager, of the Fund's
performance during its fiscal year ended August 31, 2000, followed by a
graphical comparison of the Fund's performance to an appropriate broad-based
market index.
Management's discussion of performance. During the first few months of the
fiscal year that ended August 31, 2000, Oppenheimer U.S. Government Trust's
portfolio emphasized mortgage-related securities, primarily to take advantage of
the attractive yields these issues offered over Treasury securities. However, in
response to key market events that directly affected the fixed income markets,
the portfolio management team actively adjusted the portfolio's allocations at
various times throughout the rest of the fiscal year. Mortgage-related
securities, particularly collateralized mortgage-backed securities, provided the
Fund with the bulk of its good performance for the fiscal year. The management
team expects to continue to emphasize these non-Treasury securities, due to the
favorable yield advantage they continue to offer over Treasuries. The Fund's
portfolio holdings, allocations and strategies are subject to change.
Comparing the Fund's performance to the market. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until its fiscal year-end of August 31, 2000. In the case of Class A
shares, performance is measured over a ten-year period. In the case of Class B
shares, performance is measured from the inception of the Class on July 21,
1995, and in the case of Class C shares, from the inception of the Class on
December 1, 1993. In the case of Class Y shares, performance is measured from
the inception of the Class on May 18, 1998. The Fund's performance reflects the
deduction of the current maximum initial sales charge on Class A shares, the
applicable contingent deferred sales charge for Class B and Class C shares, and
reinvestment of all dividends and capital gains distributions.
The Fund's performance is compared to that of the Lehman Brothers U.S.
Government Bond Index, an unmanaged index including all U.S. Treasury issues,
publicly-issued debt of U.S. Government agencies and quasi-public corporations
and U.S. Government guaranteed corporate debt, and is widely regarded as a
general measurement of the performance of the U.S. Government bond market. Index
performance reflects the reinvestment of dividends but does not consider the
effect of capital gains or transaction costs, and none of the data shows the
effect of taxes. Also, the Fund's performance reflects the effect of Fund
operating expenses. While index comparisons may be useful to provide a benchmark
for the Fund's performance, it must be noted that the Fund's investments are not
limited to the securities in any one index.
7 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FUND PERFORMANCE
Class A Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer U.S. Government Trust (Class A)
Lehman Brothers U.S. Government Bond Index
[LINE GRAPH]
Oppenheimer U.S. Lehman Brothers U.S.
Government Trust (Class A) Government Bond Index
6/30/90 9,525 10,000
9/30/90 9,661 10,083
12/31/90 10,073 10,637
3/31/91 10,309 10,867
6/30/91 10,432 11,014
9/30/91 11,005 11,642
12/31/91 11,608 12,266
3/31/92 11,380 12,051
6/30/92 11,793 12,528
9/30/92 12,127 13,146
12/31/92 12,193 13,152
3/31/93 12,591 13,746
6/30/93 12,919 14,144
9/30/93 13,182 14,603
12/31/93 13,168 14,554
3/31/94 12,897 14,116
6/30/94 12,767 13,955
9/30/94 12,904 14,014
12/31/94 13,000 14,063
3/31/95 13,703 14,724
6/30/95 14,200 15,638
9/30/95 14,455 15,915
12/31/95 14,942 16,642
3/31/96 14,808 16,266
6/30/96 14,897 16,343
8/31/96 14,959 16,347
11/30/96 15,708 17,279
2/28/97 15,742 17,145
5/31/97 16,051 17,357
8/31/97 16,522 17,872
11/30/97 17,076 18,549
2/28/98 17,439 18,972
5/31/98 17,659 19,307
8/31/98 18,051 20,066
11/30/98 18,220 20,543
2/28/99 18,112 20,216
5/31/99 18,092 20,163
8/31/99 17,980 20,093
11/30/99 18,222 20,261
2/29/2000 18,318 20,444
5/31/2000 18,594 20,759
8/31/2000 19,243 21,649
Average Annual Total Return of Class A Shares of the Fund at 8/31/00(2)
1-Year 1.94% 5-Year 5.06% 10-Year 6.68%
Class B Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer U.S. Government Trust (Class B)
Lehman Brothers U.S. Government Bond Index
[LINE GRAPH]
Oppenheimer U.S. Lehman Brothers
Government Trust (Class B) U.S. Government Bond Index
7/21/95 10,000 10,000
9/30/95 10,230 10,177
12/31/95 10,563 10,642
3/31/96 10,438 10,402
6/30/96 10,480 10,451
8/31/96 10,509 10,454
11/30/96 11,015 11,050
2/28/97 11,018 10,964
5/31/97 11,214 11,100
8/31/97 11,521 11,429
11/30/97 11,886 11,862
2/28/98 12,116 12,132
5/31/98 12,246 12,347
8/31/98 12,494 12,832
11/30/98 12,587 13,137
2/28/99 12,489 12,928
5/31/99 12,451 12,894
8/31/99 12,350 12,849
11/30/99 12,493 12,956
2/29/2000 12,535 13,074
5/31/2000 12,700 13,275
8/31/2000 13,021 13,844
Average Annual Total Return of Class B Shares of the Fund at 8/31/00(2)
1-Year 1.22% 5-Year 4.96% Life 5.30%
1. The Fund changed its fiscal year end from 6/30 to 8/31.
2. See page 10 for further details.
8 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
Class C Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
__ Oppenheimer U.S. Government Trust (Class C)
__ Lehman Brothers U.S.Government Bond Index
[LINE GRAPH]
Oppenheimer U.S. Lehman Brothers U.S.
Government Trust (Class C) Government Bond Index
12/1/93 10,000 10,000
12/31/93 10,081 9,929
3/31/94 9,787 9,630
6/30/94 9,678 9,520
9/30/94 9,761 9,560
12/31/94 9,815 9,593
3/31/95 10,323 10,045
6/30/95 10,676 10,668
9/30/95 10,835 10,857
12/31/95 11,190 11,353
3/31/96 11,057 11,097
6/30/96 11,114 11,149
8/31/96 11,146 11,152
11/30/96 11,684 11,788
2/28/97 11,687 11,697
5/31/97 11,896 11,841
8/31/97 12,222 12,192
11/30/97 12,610 12,654
2/28/98 12,853 12,942
5/31/98 12,991 13,171
8/31/98 13,241 13,689
11/30/98 13,353 14,015
2/28/99 13,234 13,792
5/31/99 13,209 13,755
8/31/99 13,101 13,707
11/30/99 13,237 13,822
2/29/2000 13,295 13,947
5/31/2000 13,471 14,162
8/31/2000 13,915 14,769
Average Annual Total Return of Class C Shares of the Fund at 8/31/00(2)
1-Year 5.21% 5-Year 5.29% Life 5.02%
Class Y Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
__ Oppenheimer U.S. Government Trust (Class Y)
__ Lehman Brothers U.S.Government Bond Index
[LINE GRAPH]
Oppenheimer U.S. Lehman Brothers
Government Trust (Class Y) U.S.Government Bond Index
5/18/98 10,000 10,000
5/31/98 10,062 10,103
8/31/98 10,282 10,500
11/30/98 10,316 10,750
2/28/99 10,238 10,578
5/31/99 10,235 10,551
8/31/99 10,198 10,514
11/30/99 10,342 10,601
2/29/2000 10,400 10,698
5/31/2000 10,570 10,862
8/31/2000 10,950 11,328
Average Annual Total Return of Class Y Shares of the Fund at 8/31/00(2)
1-Year 7.39% Life 4.05%
The performance information for the Lehman Brothers U.S. Government Bond Index
in the graphs begins on 6/30/90 for Class A, 7/31/95 for Class B,11/30/93 for
Class C and 5/31/98 for Class Y.
Past performance is not predictive of future performance. Graphs are not drawn
to the same scale.
9 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 quarterly
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 and the ending account values in the graphs include changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown. 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),
2% (5-year) and 1% (since inception). Class B shares are subject to an annual
0.75% asset-based sales charge. The ending account value shown in the graph is
net of the applicable 1% contingent deferred 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 calculation of performance is in the Fund's Statement of
Additional Information.
10 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
Financials
11 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF INVESTMENTS August 31, 2000
Principal Market Value
Amount See Note 1
================================================================================
Mortgage-Backed Obligations--75.3%
--------------------------------------------------------------------------------
Government Agency--55.6%
--------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored--48.3%
Federal Home Loan Mortgage Corp., Collateralized
Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates:
8%, 7/1/30(1) $ 10,000,000 $ 10,100,000
9.50%, 12/1/02-11/1/03 114,579 116,764
14%, 1/1/11 145,446 163,397
Series 151, Cl. F, 9%, 5/15/21 1,130,831 1,177,829
Series 1585, Cl. J, 6.50%, 10/15/22 12,500,000 12,324,125
Series 1673, Cl. H, 6%, 11/15/22 5,000,000 4,746,850
Series 1702-A, Cl. PD, 6.50%, 4/15/22 6,259,000 6,137,701
Series 1727, Cl. H, 6.50%, 8/15/23 10,000,000 9,640,600
Series 2040, Cl. PE, 7.50%, 3/15/28 5,100,000 5,101,581
Series 2072, Cl. PN, 5.75%, 7/15/24 5,500,000 5,156,250
Series 2130, Cl. NA, 6.25%, 3/15/29 6,185,276 5,522,276
Series 2132, Cl. GA, 6.15%, 2/15/27 3,468,708 3,315,843
Series 2149, Cl. EA, 6.50%, 9/15/26 4,118,163 4,004,914
Series 2215, Cl. PH, 6.50%, 2/15/30 6,000,000 5,555,580
Series 2219, Cl. PH, 6.50%, 12/15/23 15,000,000 14,653,050
Series 2228, Cl. PQ, 7.50%, 8/15/25 10,000,000 10,171,800
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass
Mtg. Participation Certificates:
7.50%, 9/1/12 7,698,054 7,737,314
11.50%, 6/1/20 367,440 401,888
12.50%, 7/1/19 760,895 845,888
13%, 8/1/15 743,502 835,042
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.,
Interest-Only Stripped
Mtg.-Backed Security:
Series 164, Cl. A, 7.329%, 3/1/24(2) 9,158,146 2,930,607
Series 192, Cl. IO, 10.444%, 2/1/28(2) 29,271,673 8,822,665
Series 197, Cl. IO, 11.248%, 4/1/28(2) 430,681 131,627
Series 199, Cl. IO, 18.28%, 8/1/28(2) 36,268,566 11,458,600
Series 202, Cl. IO, 9.986%, 4/1/29(2) 11,340,110 3,625,291
Series 203, Cl. IO, 9.973%, 6/15/29(2) 23,351,590 7,669,538
Series 205, Cl. IO, 11.371%, 9/15/29(2) 14,308,735 4,540,788
Series 206, Cl. IO, 15.337%, 12/15/29(2) 4,826,112 1,522,488
Series 303, Cl. IO, 14.794%, 11/1/29(2) 4,747,411 1,420,514
Series 1991, Cl. PJ, 10.948%, 9/15/27(2) 5,000,000 2,140,625
Series 2030, Cl. PE, 11.01%, 2/15/28(2) 2,000,000 734,375
Series 2052, Cl. IB, 10.719%, 4/15/28(2) 4,000,000 1,997,500
Series 2197, Cl. PL, 12.114%, 6/15/24(2) 3,274,857 606,872
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 1688,
Cl.PO, 8.395%, 3/15/14(3) 2,923,596 1,783,394
--------------------------------------------------------------------------------
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 5,594,161
12 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
Principal Market Value
Amount See Note 1
--------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6.50%, 11/1/28 $ 12,097,931 $ 11,570,703
6.50%, 7/25/12(1) 13,800,000 13,437,750
7%, 8/25/29-4/1/30 16,781,047 16,361,208
7%, 9/25/27(1) 45,000,000 43,861,050
7.50%, 9/1/29-1/1/30 37,899,646 37,654,771
7.50%, 9/1/29(1) 15,000,000 14,896,950
8%, 9/1/29(1) 30,000,000 30,262,500
11%, 7/1/16 479,265 518,810
11.50%, 11/1/15 260,177 284,570
12%, 2/15/16-4/15/19 2,209,797 2,453,560
--------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized
Mtg. Obligations, Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1992-34, Cl. G, 8%, 3/25/22 2,520,000 2,577,481
Trust 1993-202, Cl. PH, 6.50%, 2/25/22 2,601,615 2,551,196
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 4,000,000 3,913,720
Trust 1997-63, Cl. PC, 6.50%, 3/18/26 7,500,000 7,340,625
--------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Mtg.
Pass-Through Certificates:
8%, 12/1/22 1,043,636 1,058,759
13%, 11/1/12 19,768 21,937
--------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd.
Real Estate Mtg. Investment
Conduit Pass-Through Certificates,
Trust 1994-56, Cl. H, 6%, 7/25/22 6,900,000 6,626,139
--------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 294, Cl. 2, 10.282%, 2/1/28(2) 4,618,638 1,407,963
Trust 302, Cl. 2, 9.243%-9.998%, 6/1/29(2) 37,458,307 11,893,014
Trust G93-15, Cl. JA, 14.167%, 4/25/23(2) 2,657,412 709,184
--------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security:
Trust 303, Cl. PO, 5.032%, 11/1/29(1,3) 11,868,528 8,256,045
Trust 1999-51, Cl. M, 4.572%, 10/25/29(3) 4,731,382 2,395,262
-----------
382,740,934
--------------------------------------------------------------------------------
GNMA/Guaranteed--7.3%
Government National Mortgage Assn.:
6.50%, 11/15/23-2/20/29 12,153,865 11,628,438
7%, 1/15/28-8/15/28 12,119,007 11,895,660
7.25%, 12/15/05 13,756 13,854
7.375%, 4/20/17(4) 173,774 174,807
7.50%, 10/15/06-11/15/26 14,491,080 14,512,887
8%, 4/15/02-8/15/28 7,799,672 7,917,652
8.25%, 4/15/08 63,279 64,983
8.50%, 6/15/01-1/15/06 13,901 13,962
9%, 9/15/08-5/15/09 167,220 173,487
9.50%, 4/15/01(5) 920 925
9.50%, 7/15/18-1/15/20 422,729 443,163
10%, 6/15/16-8/15/19 867,037 927,186
10.50%, 11/15/00(5( 1,139 1,145
10.50%, 2/15/13-5/15/21 2,254,174 2,437,801
11%, 10/20/19-7/20/20 1,756,183 1,884,718
11.50%, 2/15/13-4/15/13 69,564 76,381
13 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF INVESTMENTS Continued
<TABLE>
<CAPTION>
Principal Market Value
Amount See Note 1
------------------------------------------------------------------------------------------------
GNMA/Guaranteed Continued
Government National Mortgage Assn.: continued
<S> <C> <C>
12%, 12/15/12-3/15/14 $ 9,094 $ 10,091
12.50%, 1/15/14-6/15/19 393,064 439,230
13%, 4/15/11-12/15/14 72,007 80,620
13.50%, 4/15/11-8/15/14 67,276 76,761
14%, 6/15/11 18,667 21,492
------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security, Series 1999-29,
Cl. PI, 10.806%, 7/16/28(2) 17,225,167 4,607,732
----------
57,402,975
------------------------------------------------------------------------------------------------
Private--19.7%
------------------------------------------------------------------------------------------------
Commercial--13.2%
Asset Backed Securities Corp. Long Beach Home Equity Loan Trust,
Home Equity Loan Pass-Through Certificates,
Series 2000-LB1, Cl. M2F, 8.70%, 3/21/29 5,000,000 4,998,438
------------------------------------------------------------------------------------------------
Asset Securitization Corp./Nomura Asset Capital Corp., Commercial
Mtg. Pass-Through Certificates,
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 5,000,000 4,939,063
------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate
Credit-Backed Pass-Through Certificates,
Series 1997-CTL1, 9.459%-9.479%, 6/22/24(2,5) 62,235,388 2,275,481
------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Interest-Only Stripped
Mtg.-Backed Security,
Series 1996-C1, Cl. X-2, 18.309%, 12/25/20(2,5) 19,820,146 247,752
------------------------------------------------------------------------------------------------
CRIIMI MAE Trust I, Commercial Mtg. Trust:
Series 1998-C1, Cl. A1, 7%, 11/2/06(6) 4,500,000 4,147,383
Series 1998-C1, Cl. A2, 7%, 3/2/11(6) 5,000,000 4,500,000
------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Interest-Only Stripped
Mtg.-Backed Security,
Series 1998-C1, Cl. AX, 8.511%, 4/11/30(2) 24,527,663 1,525,314
------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Mtg. Pass-Through
Certificates,
Series 1999-C1, Cl. C, 7.942%, 9/15/09(4) 10,000,000 10,029,688
------------------------------------------------------------------------------------------------
Embarcadero Aircraft Securitization Trust Bonds, Series 2000-A,
Cl. B, 7.72%, 8/15/25(4,5) 5,000,000 5,000,000
------------------------------------------------------------------------------------------------
FDIC Real Estate Mortgage Investment Conduit Trust, Commercial
Mtg. Pass-Through Certificates,
Series 1994-C1, Cl. 2G, 8.70%, 9/25/25 3,000,000 2,880,000
------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust,
Interest-Only Stripped Mtg.-Backed Security, Series 1998-C2,
Cl. IO, 9.669%, 5/18/28(2) 29,171,607 1,028,983
------------------------------------------------------------------------------------------------
GMAC Commercial Mtg. Securities, Inc., Mtg. Pass-Through
Certificates, Interest-Only Stripped Mtg.-Backed Security,
Series 1997-C1, Cl. X, 8.375%, 7/15/27(2) 22,003,174 1,650,238
------------------------------------------------------------------------------------------------
Goldman Sachs Group LP, Commercial Mtg. Pass-Through Certificates,
Series 2000-CCT, Cl. E, 8.15%, 12/15/04(5) 1,000,000 1,000,000
------------------------------------------------------------------------------------------------
LB Commercial Conduit Mortgage Trust, Sub. Bonds,
Series 1999-C1,
Cl. E, 7.02%, 10/15/30 6,602,000 6,044,956
------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg.
Pass-Through Certificates,
Series 1995-GAL1, Cl. C, 7.95%, 8/15/27(5) 5,014,988 5,087,078
------------------------------------------------------------------------------------------------
MSF Funding LLC, Collateralized Mtg. Obligations,
Series 2000-1, Cl. A, 9.12%, 7/25/07(4,5) 5,000,000 5,000,000
</TABLE>
14 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
Principal Market Value
Amount See Note 1
--------------------------------------------------------------------------------
Nomura Asset Securitization Corp., Commercial
Mtg. Pass-Through Certificates, Series 1998-D6,
Cl. A3, 7.239%, 3/17/28(4) $ 7,500,000 $ 7,119,141
--------------------------------------------------------------------------------
Providian Master Trust Sub. Bonds,
Series 2000-2, Cl. C, 7.98%, 4/15/09(5) 3,000,000 2,995,313
--------------------------------------------------------------------------------
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1993-C1, Cl. D, 9.45%, 5/25/24 211,145 209,991
Series 1994-C1, Cl. C, 8%, 6/25/26 1,235,330 1,229,540
Series 1995-C1, Cl. D, 6.90%, 2/25/27 7,677,000 7,510,865
--------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII,
Commercial Mtg. Pass-Through Certificates,
Series 2000-NL1, Cl. A2, 6.905%, 9/15/08(5) 10,000,000 9,618,750
--------------------------------------------------------------------------------
Structured Asset Securities Corp.,
Multiclass Pass-Through Certificates:
Series 1996-CFL, Cl. D, 7.034%, 2/25/28 3,700,000 3,668,781
Series 1999-C3, Cl. G, 8.07%, 3/20/02(4) 9,492,345 9,524,975
--------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only
Stripped Mtg.-Backed Security, Series
1995-2B, Cl. IO, 16.879%, 6/15/25(2) 78,783,762 2,486,612
-----------
104,718,342
--------------------------------------------------------------------------------
Manufactured Housing--0.6%
Conseco Finance Securitizations Corp., Home
Equity Loan Pass-Through Certificates,
Series 2000-4, Cl. M1, 8.73%, 5/1/32 5,000,000 5,032,813
--------------------------------------------------------------------------------
Residential--5.9%
Amortizing Residential Collateral Trust,
Collateralized Mtg. Obligations,
Trust 2000-BC1, Cl. B, 8.901%, 1/25/30(4,5) 2,000,000 1,998,125
--------------------------------------------------------------------------------
Block Mortgage Finance, Inc., Asset
Backed Certificates, Series 1999-1,
Cl. A2, 6%, 4/27/20 5,000,000 4,900,000
--------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg.
Pass-Through Certificates, Series
1993-12, Cl. B1, 6.625%, 2/25/24 2,767,841 2,515,276
--------------------------------------------------------------------------------
Imperial CMB Trust, Collaterized Mtg.
Obligations, Trust 1998-1,
Cl. B, 7.25%, 11/25/29 3,208,016 3,121,801
--------------------------------------------------------------------------------
Northwest Asset Securities Corp.,
Collateralized Mtg. Obligations,
Series 1996-5, Cl. A17, 8%, 11/25/26 5,000,000 5,015,600
--------------------------------------------------------------------------------
Option One Mortgage Trust,
Collateralized Mtg. Obligations:
Series 1999-2, 9.66%, 6/25/29(5) 12,085,309 11,862,486
Series 1999-4, Cl. BBB, 9.67%, 12/26/29 3,339,133 3,323,482
--------------------------------------------------------------------------------
Residential Funding Mortgage Securities I, Inc.,
Mtg. Pass-Through Certificates:
Series 1993-S10, Cl. A9, 8.50%, 2/25/23 194,048 195,019
Series 1993-S47, Cl. A18, 6.50%, 12/25/23 3,761,107 3,676,482
Series 1998-S31, Cl. A1, 6.50%, 12/25/28 5,075,456 4,835,946
--------------------------------------------------------------------------------
Washington Mutual Finance Corp.,
Collateralized Mtg. Obligations,
Series 2000-1, Cl. M3, 8.37%, 1/25/40(5) 5,000,000 4,956,250
----------
46,400,467
----------
Total Mortgage-Backed Obligations (Cost $593,607,533) 596,295,531
15 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF INVESTMENTS Continued
<TABLE>
<CAPTION>
Principal Market Value
Amount See Note 1
=================================================================================
U.S. Government Obligations--34.9%
U.S. Treasury Bonds:
<S> <C> <C>
6.125%, 11/15/27 $ 28,900,000 $ 29,893,437
6.25%, 5/15/30 34,530,000 37,367,952
8.875%, 2/15/19 9,055,000 11,975,238
11.25%, 2/15/15 1,450,000 2,182,704
STRIPS, 6.44%, 11/15/18(7) 38,700,000 13,309,975
---------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.25%, 5/15/04 17,000,000 16,553,750
5.25%, 5/31/01 10,000,000 9,921,880
5.625%, 2/15/06 8,000,000 7,857,504
5.625%, 5/15/08(8) 44,000,000 43,147,500
5.875%, 11/15/04 14,000,000 13,921,250
6%, 8/15/09 460,000 462,875
6.25%, 8/31/02(8) 45,500,000 45,542,679
6.375%, 6/30/02 6,000,000 6,016,878
6.50%, 2/15/10 15,000,000 15,660,945
6.50%, 5/31/01 8,000,000 8,010,000
6.75%, 5/15/05 10,000,000 10,312,500
STRIPS, 6.88%, 5/15/09(7) 6,800,000 4,068,270
--------------
Total U.S. Government
Obligations (Cost $270,214,481) 276,205,337
Date Strike Contracts
=================================================================================
Options Purchased--0.0%
U.S. Treasury Nts. Futures,
10 yr., 9/20/00
(Cost $82,350) 9/22/00 100% 720 45,000
Principal
Amount
=================================================================================
Repurchase Agreements--4.4%
Repurchase agreement with Banc One
Capital Markets, Inc., 6.57%,
dated 8/31/00, to be repurchased
at $34,734,338 on 9/1/00,
collateralized by U.S. Treasury
Bonds, 11.875%, 11/15/03, with
a value of $12,532,816 and
U.S. Treasury Nts., 4.625%-7.875%,
12/31/00-11/15/04, with a value of
$22,914,972 (Cost $34,728,000 $34,728,000 34,728,000
---------------------------------------------------------------------------------
Total Investments, at Value (Cost
$898,632,364) 114.6% 907,273,868
---------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (14.6) (115,737,732)
----------------------------
Net Assets 100.0% $791,536,136
============================
</TABLE>
16 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
Footnotes to Statement of Investments
1. When-issued security to be delivered and settled after August 31, 2000.
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. These securities amount to $75,433,763 or 9.53% of the Fund's net assets
as of August 31, 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 $8,647,383 or 1.09% of the Fund's net
assets as of August 31, 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 $2,094,939 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.
17 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES August 31, 2000
<TABLE>
<CAPTION>
===========================================================================================
<S> <C>
Assets
Investments, at value (cost $898,632,364)--see accompanying statement $ 907,273,868
-------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold on a when-issued basis 102,542,069
Interest and principal paydowns 6,956,995
Shares of beneficial interest sold 1,964,047
Daily variation on futures contracts 267,249
----------------
Total assets 1,019,004,228
===========================================================================================
Liabilities
Bank overdraft 23,421
-------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased on a when-issued basis 223,436,759
Shares of beneficial interest redeemed 1,868,474
Dividends 660,169
Transfer and shareholder servicing agent fees 497,022
Distribution and service plan fees 319,644
Trustees' compensation 256,845
Daily variation on futures contract 107,625
Other 298,133
----------------
Total liabilities 227,468,092
===========================================================================================
Net Assets $ 791,536,136
================
Composition of Net Assets
Paid-in capital $ 836,453,665
-------------------------------------------------------------------------------------------
Undistributed net investment income 651,260
-------------------------------------------------------------------------------------------
Accumulated net realized loss on investment transactions (54,390,729)
-------------------------------------------------------------------------------------------
Net unrealized appreciation on investments 8,821,940
----------------
Net Assets $ 791,536,136
================
===========================================================================================
Net Asset Value Per Share
Class A Shares:
Net asset value and redempton price per share (based on net assets
of $559,194,207 and 60,830,834 shares of beneficial interest
outstanding) $9.19
Maximum offering price per share (net asset value plus sales charge
of 4.75% of offering price) $9.65
-------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent
deferred sales charge) and offering price per share (based on net
assets of $140,512,399 and 15,304,480 shares of beneficial
interest outstanding) $9.18
-------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $91,496,210
and 9,968,753 shares of beneficial interest outstanding) $9.18
------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share
(based on net assets of $333,320 and 36,270 shares of
beneficial interest outstanding) $9.19
</TABLE>
See accompanying Notes to Financial Statements.
18 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENT OF OPERATIONS For the Year Ended August 31, 2000
================================================================================
Investment Income
Interest $ 57,742,277
================================================================================
Expenses
Management fee 4,522,725
--------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 1,309,481
Class B 1,520,179
Class C 778,765
--------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 1,075,977
Class B 293,467
Class C 157,749
Class Y 35
--------------------------------------------------------------------------------
Custodian fees and expenses 201,635
--------------------------------------------------------------------------------
Trustees' compensation 88,221
--------------------------------------------------------------------------------
Other 414,250
--------------
Total expenses 10,362,484
Less expenses paid indirectly (54,444)
--------------
Net expenses 10,308,040
================================================================================
Net Investment Income 47,434,237
================================================================================
Realized and Unrealized Gain (Loss)
Net realized loss on:
Investments (16,368,551)
Closing of futures contracts (4,494,569)
--------------
Net realized loss (20,863,120)
--------------------------------------------------------------------------------
Net change in unrealized appreciation on investments 23,566,114
--------------
Net realized and unrealized gain 2,702,994
================================================================================
Net Increase in Net Assets Resulting from Operations $50,137,231
==============
See accompanying Notes to Financial Statements.
19 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended August 31, 2000 1999
==========================================================================================
Operations
<S> <C> <C>
Net investment income $ 47,434,237 $ 45,688,652
------------------------------------------------------------------------------------------
Net realized loss (20,863,120) (20,494,402)
------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) 23,566,114 (30,866,136)
-----------------------------
Net increase (decrease) in net assets resulting from
operations 50,137,231 (5,671,886)
==========================================================================================
Dividends and/or Distributions to Shareholders
Dividends from net investment
income:
Class A (34,181,276) (33,809,733)
Class B (8,382,464) (7,957,107)
Class C (4,305,333) (2,827,598)
Class Y (1,720) (62)
------------------------------------------------------------------------------------------
Tax return of capital distribution:
Class A (410,863) (799,667)
Class B (100,744) (217,465)
Class C (51,781) (77,019)
Class Y (56) (1)
==========================================================================================
Beneficial Interest Transactions
Net increase (decrease) in net assets resulting
from beneficial interest transactions:
Class A (21,962,697) 42,350,597
Class B (34,285,804) 66,248,916
Class C 23,372,786 31,017,430
Class Y 330,557 3
==========================================================================================
Net Assets
Total increase (decrease) (29,842,164) 88,256,408
------------------------------------------------------------------------------------------
Beginning of period 821,378,300 733,121,892
-------------------------------
End of period (including undistributed net investment
income of $651,260 and $679,602, respectively) $791,536,136 $821,378,300
===============================
</TABLE>
See accompanying Notes to Financial Statements.
20 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Year Year
Ended Ended
Aug. 31, June 30,
Class A 2000 1999 1998 1997 1996/1/ 1996
==================================================================================================================================
Per Share Operating Data
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $9.15 $9.74 $9.48 $9.23 $9.30 $9.51
----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .58 .56 .65 .71 .10 .67
Net realized and unrealized gain
(loss) .04 (.59) .26 .23 (.07) (.21)
-----------------------------------------------------------------------------------------
Total income (loss) from
investment operations .62 (.03) .91 .94 .03 .46
----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.57) (.55) (.65) (.69) (.10) (.66)
Tax return of capital distribution (.01) (.01) -- -- -- (.01)
-----------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.58) (.56) (.65) (.69) (.10) (.67)
----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.19 $9.15 $9.74 $9.48 $9.23 $9.30
=========================================================================================
==================================================================================================================================
Total Return, at Net Asset Value/2/ 7.03% (0.40)% 9.26% 10.45% 0.42% 4.91%
==================================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in
thousands) $559,194 $579,064 $573,792 $468,809 $503,693 $504,966
----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $542,931 $591,229 $516,173 $478,410 $508,123 $452,236
----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:/3/
Net investment income 6.37% 5.85% 6.17% 7.58% 6.64% 7.07%
Expenses 1.12% 1.06% 1.03%/4/ 1.06%/4/ 1.09%/4/ 1.08%/4/
----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 181% 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.
See accompanying Notes to Financial Statements.
21 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIAL HIGHLIGHTS Continued
<TABLE>
<CAPTION>
Year Year
Ended Ended
Aug. 31, June 30,
Class B 2000 1999 1998 1997 1996(1) 1996(2)
===================================================================================================================================
Per Share Operating Data
<S> <C> <C> <C> <C> <C> <C>
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 .51 .48 .56 .64 .09 .56
Net realized and unrealized gain (loss) .04 (.59) .27 .23 (.07) (.11)
-----------------------------------------------------------------------------------------
Total income (loss) from
investment operations .55 (.11) .83 .87 .02 .45
-----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.50) (.47) (.57) (.62) (.09) (.55)
Tax return of capital distribution (.01) (.01) -- -- -- (.01)
-----------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.51) (.48) (.57) (.62) (.09) (.56)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.18 $9.14 $9.73 $9.47 $9.22 $9.29
=========================================================================================
===================================================================================================================================
Total Return, at Net Asset Value/3/ 6.22% (1.15)% 8.45% 9.63% 0.28% 4.80%
===================================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in
thousands) $140,512 $174,622 $118,873 $52,301 $36,504 $30,737
-----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $151,770 $160,782 $76,030 $41,420 $35,078 $19,227
-----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:/4/
Net investment income 5.60% 5.09% 5.33% 6.77% 5.82% 6.44%
Expenses 1.87% 1.81% 1.78%(5) 1.81%(5) 1.88%(5) 1.93%(5)
-----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 181% 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. For the period from July 21, 1995 (inception of offering) to June 30, 1996.
3. 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.
4. Annualized for periods of less than one full year.
5. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
See accompanying Notes to Financial Statements.
22 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
<TABLE>
<CAPTION>
Year Year
Ended Ended
Aug. 31, June 30,
Class C 2000 1999 1998 1997 1996/1/ 1996
===============================================================================================
Per Share Operating Data
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $9.14 $9.72 $9.47 $9.22 $9.29 $9.50
-----------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .51 .48 .56 .64 .09 .60
Net realized and unrealized gain (loss) .04 (.58) .26 .23 (.07) (.21)
--------------------------------------------------------
Total income (loss) from
investment operations .55 (.10) .82 .87 .02 .39
-----------------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.50) (.47) (.57) (.62) (.09) (.59)
Tax return of capital distribution (.01) (.01) -- -- -- (.01)
--------------------------------------------------------
Total dividends and/or distributions
to shareholders (.51) (.48) (.57) (.62) (.09) (.60)
-----------------------------------------------------------------------------------------------
Net asset value, end of period $9.18 $9.14 $9.72 $9.47 $9.22 $9.29
========================================================
===============================================================================================
Total Return, at Net Asset Value/2/ 6.21% (1.05)% 8.34% 9.65% 0.28% 4.11%
===============================================================================================
Ratios/Supplemental Data
Net assets, end of period
(in thousands) $91,496 $67,691 $40,456 $21,625 $18,547 $18,531
-----------------------------------------------------------------------------------------------
Average net assets (in thousands) $77,875 $56,943 $27,135 $19,505 $18,620 $15,766
-----------------------------------------------------------------------------------------------
Ratios to average net assets:/3/
Net investment income 5.61% 5.11% 5.36% 6.81% 5.90% 6.27%
Expenses 1.88% 1.81% 1.78%/4/ 1.80%/4/ 1.84%/4/ 1.85%/4/
-----------------------------------------------------------------------------------------------
Portfolio turnover rate 181% 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.
See accompanying Notes to Financial Statements.
23 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FINANCIAL HIGHLIGHTS Continued
<TABLE>
<CAPTION>
Class Y Year Ended August 31, 2000 1999 1998/1/
======================================================================================
Per Share Operating Data
<S> <C> <C> <C>
Net asset value, beginning of period $ 9.15 $9.74 $10.00
--------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .62 .51 .18
Net realized and unrealized gain (loss) .03 (.59) (.26)
----------------------------
Total income (loss) from investment operations .65 (.08) (.08)
--------------------------------------------------------------------------------------
Dividends and/or distributions to
shareholders:
Dividends from net investment income (.61) (.50) (.18)
Tax return of capital distribution --/2/ (.01) --
----------------------------
Total dividends and/or distributions to shareholders (.61) (.51) (.18)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 9.19 $9.15 $ 9.74
============================
======================================================================================
Total Return, at Net Asset Value3 7.39% (0.83)% 2.83%
======================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $ 333 $ 1 $ 1
--------------------------------------------------------------------------------------
Average net assets (in thousands) $ 27 $ 1 $ 1
--------------------------------------------------------------------------------------
Ratios to average net assets:4
Net investment income 6.51% 6.19% 1.77%
Expenses 0.83% 0.69% 0.73%
--------------------------------------------------------------------------------------
Portfolio turnover rate 181% 199% 80%
</TABLE>
1. For the period from May 18, 1998 (inception of offering) to August 31, 1998.
2. Less than $0.005 per share.
3. Assumes a 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.
4. Annualized for periods of less than one full year.
5. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
See accompanying Notes to Financial Statements.
24 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
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
a front-end sales charge. Class B and Class C shares are sold without a
front-end 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 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 listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the last sale price of
the security traded on that exchange prior to the time when the Fund's assets
are valued. In the absence of a sale, the security is valued at the last sale
price on the prior trading day, if it is within the spread of the closing bid
and asked prices, and if not, at the closing bid price. Securities (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. Short-term "money market type" debt
securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
--------------------------------------------------------------------------------
Securities Purchased on a When-Issued Basis. Delivery and payment for securities
that have been purchased by the Fund on a when-issued basis can take place a
month or more after the trade date. Normally the settlement date occurs within
six months after the trade date; however, the Fund may, from time to time,
purchase securities whose settlement date extends 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 August 31, 2000, the Fund had entered into net outstanding
when-issued or forward commitments of $120,894,690.
25 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Continued
================================================================================
1. Significant Accounting Policies Continued
In connection with its ability to purchase securities on a when-issued
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.
--------------------------------------------------------------------------------
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, 2000, the Fund had available for federal income tax purposes an
unused capital loss carryover as follows:
Expiring
----------------------------
2003 $ 12,403,111
2004 1,512,508
2007 5,436,079
2008 29,716,276
--------------------------------------------------------------------------------
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 year ended
August 31, 2000, a provision of $32,875 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 $227,341 as of August 31, 2000.
26 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
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 Dividends and Distributions to Shareholders. Net investment
income (loss) and net realized gain (loss) may differ for financial statement
and tax purposes. The character of dividends and distributions made during the
fiscal year from net investment income or net realized gains may differ from its
ultimate characterization for federal income tax purposes. Also, due to timing
of dividends and distributions, the fiscal year in which amounts are distributed
may differ from the fiscal year in which the income or realized gain was
recorded by the Fund.
The Fund adjusts the classification of distributions to shareholders to
reflect the differences between financial statement amounts and distributions
determined in accordance with income tax regulations. Accordingly, during the
year ended August 31, 2000, amounts have been reclassified to reflect a decrease
in paid-in capital of $563,444, a decrease in undistributed net investment
income of $28,342, and a decrease in accumulated net realized loss on
investments of $591,786. Net assets of the Fund were unaffected by the
reclassifications.
--------------------------------------------------------------------------------
Expense Offset Arrangements. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Fund.
--------------------------------------------------------------------------------
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
accreted 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.
27 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Continued
================================================================================
1. Significant Accounting Policies Continued
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>
Year Ended August 31, 2000 Year Ended August 31, 1999
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------
Class A
<S> <C> <C> <C> <C>
Sold 39,549,509 $359,390,902 34,020,869 $325,142,831
Dividends and/or
distributions reinvested 3,161,014 28,764,971 3,045,596 28,908,446
Redeemed (45,153,005) (410,118,570) (32,725,221) (311,700,680)
------------------------------------------------------------
Net increase (decrease) (2,442,482) $(21,962,697) 4,341,244 $ 42,350,597
============================================================
---------------------------------------------------------------------------------------------
Class B
Sold 7,182,939 $ 65,338,670 16,811,970 $160,560,159
Dividends and/or
distributions reinvested 677,015 6,154,669 657,755 6,227,351
Redeemed (11,658,098) (105,779,143) (10,589,856) (100,538,594)
------------------------------------------------------------
Net increase (decrease) (3,798,144) $(34,285,804) 6,879,869 $ 66,248,916
============================================================
---------------------------------------------------------------------------------------------
Class C
Sold 6,380,006 $ 57,982,184 6,544,899 $ 62,371,170
Dividends and/or
distributions reinvested 406,764 3,695,541 251,739 2,379,583
Redeemed (4,225,902) (38,304,939) (3,550,200) (33,733,323)
------------------------------------------------------------
Net increase 2,560,868 $$23,372,786 3,246,438 $ 31,017,430
============================================================
---------------------------------------------------------------------------------------------
Class Y
Sold 36,265 $ 331,466 -- $ --
Dividends and/or
distributions reinvested 186 1,712 -- --
Redeemed (285) (2,621) -- --
------------------------------------------------------------
Net increase 36,166 $ 330,557 -- $ --
============================================================
</TABLE>
28 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
================================================================================
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the year ended August 31, 2000, were
$1,502,301,284 and $1,624,789,039, respectively.
As of August 31, 2000, unrealized appreciation (depreciation) based on cost of
securities for federal income tax purposes of $908,113,084 was:
Gross unrealized appreciation $ 16,330,379
Gross unrealized depreciation (16,989,159)
------------
Net unrealized depreciation $ (658,780)
============
================================================================================
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 year ended August 31, 2000, was an annualized rate of
0.59%, before any waiver by the Manager if applicable.
--------------------------------------------------------------------------------
Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund on an
"at-cost" basis. OFS also acts as the transfer and shareholder servicing agent
for the other Oppenheimer 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
Year Ended Shares Distributor Distributor/1/ Distributor/1/ Distributor/1/
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
August 31, 2000 $1,385,828 $173,433 $743,110 $1,783,698 $93,959
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.
Class A Class B Class C
Contingent Deferred Contingent Deferred Contingent Deferred
Sales Charges Sales Charges Sales Charges
Year Ended Retained by Distributor Retained by Distributor Retained by Distributor
------------------------------------------------------------------------------------------------------------
August 31, 2000 $109,429 $600,698 $25,434
</TABLE>
29 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Continued
================================================================================
4. Fees and Other Transactions with Affiliates Continued
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.
--------------------------------------------------------------------------------
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 year ended August 31, 2000, payments
under the Class A plan totaled $1,309,481, all of which were paid by the
Distributor to recipients, and included $78,939 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 year ended August 31, 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 $1,520,179 $1,290,369 $6,820,619 4.85%
Class C Plan 778,765 190,936 812,680 0.89
</TABLE>
30 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
================================================================================
5. Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a particular price on a stipulated future
date at a negotiated price. Futures contracts are traded on a commodity
exchange. The Fund may buy and sell futures contracts that relate to
broadly-based securities indices "financial futures" or debt securities
"interest rate futures" in order to gain exposure to or to seek to protect
against changes in market value of stock and bonds or interest rates. The Fund
may also buy or write put or call options on these futures contracts.
The Fund generally sells futures contracts to hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to 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 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
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.
As of August 31, 2000, the Fund had outstanding futures contracts as follows:
<TABLE>
<CAPTION>
Unrealized
Expiration Number of Valuation as of Appreciation
Contract Description Date Contracts August 31, 2000 (Depreciation)
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Contracts to Purchase
U.S. Treasury Nts., 10 yr. 12/19/00 44 $4,403,438 $16,624
U.S. Treasury Nts., 10 yr. 9/20/00 80 8,012,500 43,125
U.S. Long Bond 12/19/00 254 25,511,125 140,687
U.S. Long Bond 9/20/00 40 4,015,000 31,250
-----------
231,686
-----------
Contracts to Sell
U.S. Treasury Nts., 5 yr. 12/19/00 328 32,820,500 (51,250)
-----------
$180,436
===========
</TABLE>
31 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
NOTES TO FINANCIAL STATEMENTS Continued
================================================================================
6. Illiquid or Restricted Securities
As of August 31, 2000, investments in securities included issues that are
illiquid. A security may be considered illiquid if it lacks a readily available
market or if its valuation has not changed for a certain period of time. The
Fund intends to invest no more than 10% of its net assets (determined at the
time of purchase and reviewed periodically) in illiquid securities. The
aggregate value of illiquid securities subject to this limitation as of August
31, 2000 was $50,043,305, which represents 6.32% of the Fund's net assets.
Certain restricted securities, eligible for resale to qualified institutional
investors, are not subject to that limit.
================================================================================
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 year ended August 31, 2000.
32 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
INDEPENDENT AUDITORS' REPORT
================================================================================
The Board of Trustees and Shareholders of
Oppenheimer U.S. Government Trust:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of Oppenheimer U.S. Government Trust as of August
31, 2000, and the related statement of operations for the year then ended, the
statements of changes in net assets for each of the years in the two-year period
then ended and the financial highlights for each of the years in the four-year
period then ended, the two-month period ended August 31, 1996, and the year
ended June 30, 1996. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of August 31, 2000, by correspondence with the custodian and
brokers; and where confirmations were not received from brokers, we performed
other auditing procedures. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Oppenheimer U.S. Government Trust as of August 31, 2000, the results of its
operations for the year then ended, the changes in its net assets for each of
the years in the two-year period then ended, and the financial highlights for
each of the years in the four-year period then ended, the two-month period ended
August 31, 1996, and the year ended June 30, 1996, in conformity with accounting
principles generally accepted in the United States of America.
KPMG LLP
Denver, Colorado
September 22, 2000
33 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
FEDERAL INCOME TAX INFORMATION Unaudited
================================================================================
In early 2001 shareholders will receive information regarding all dividends and
distributions paid to them by the Fund during calendar year 2000. Regulations of
the U.S. Treasury Department require the Fund to report this information to the
Internal Revenue Service.
None of the dividends paid by the Fund during the year ended August 31,
2000, are eligible for the corporate dividend-received deduction.
The foregoing information is presented to assist shareholders in reporting
distributions received from the Fund to the Internal Revenue Service. Because of
the complexity of the federal regulations which may affect your individual tax
return and the many variations in state and local tax regulations, we recommend
that you consult your tax advisor for specific guidance.
34 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
OPPENHEIMER U.S. GOVERNMENT TRUST
================================================================================
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 Citibank, N.A.
Portfolio Securities
================================================================================
Independent Auditors KPMG LLP
================================================================================
Legal Counsel Mayer, Brown & Platt
For more complete information about Oppenheimer U.S.
Government Trust Fund, please refer to the Prospectus.
To obtain a copy, call your financial advisor, or call
OppenheimerFunds Distributor, Inc. at 1.800.525.7048, or
visit the OppenheimerFunds Internet website, at
www.oppenheimerfunds.com.
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 the possible loss of
the principal amount invested.
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.
35 OPPENHEIMER U.S. GOVERNMENT TRUST
<PAGE>
<TABLE>
<CAPTION>
OPPENHEIMERFUNDS FAMILY
=================================================================================================================
<S> <C> <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
Emerging Technologies Fund Main Street(R) Growth & Income Fund
Enterprise Fund Quest Opportunity Value Fund
Discovery Fund Total Return Fund
Main Street(R) Small Cap Fund Quest Balanced Value Fund
Quest Small Cap Fund/1/ Capital Income Fund MidCap Fund
Multiple Strategies Fund Main Street(R) Opportunity Fund
Disciplined Allocation Fund/2/ Growth Fund Convertible Securities Fund
Capital Appreciation Fund Large Cap Growth Fund
Specialty Disciplined Value Fund/2/ Real Asset Fund(R) Quest Capital Value Fund
Gold & Special Minerals Fund Quest Value Fund
Trinity Growth Fund
Trinity Core Fund
Trinity Value Fund
=================================================================================================================
Fixed Income
Taxable Municipal
International Bond Fund California Municipal Fund/3/
World Bond Fund2 Main Street(R) California Municipal Fund2,3
High Yield Fund Florida Municipal Fund3
Champion Income Fund New Jersey Municipal Fund3
Strategic Income Fund New York Municipal Fund3
Bond Fund Pennsylvania Municipal Fund3
Senior Floating Rate Fund Municipal Bond Fund
U.S. Government Trust Insured Municipal Fund2
Limited-Term Government Fund Intermediate Municipal Fund
Rochester Division
Rochester Fund Municipals
Limited Term New York Municipal Fund
=================================================================================================================
Money Market*
Money Market Fund Cash Reserves
</TABLE>
1. The Fund's name changed from "Oppenheimer Quest Small Cap Value Fund" on
5/19/00.
2. The Fund's Board has proposed to reorganize the Fund into another Oppenheimer
fund subject to shareholder approval.
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.
36 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.
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Internet
24-hr access to account information and transactions1
www.oppenheimerfunds.com
--------------------------------------------------------------------------------
General Information
Mon-Fri 8am-9pm ET, Sat 10am-4pm ET
1.800.525.7048
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Telephone Transactions
Mon-Fri 8am-9pm ET, Sat 10am-4pm ET
1.800.852.8457
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PhoneLink
24-hr automated information and automated transactions
1.800.533.3310
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Telecommunications Device for the Deaf (TDD)
Mon-Fri 9am-6:30pm ET
1.800.843.4461
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OppenheimerFunds Market Hotline
24 hours a day, timely and insightful messages on the
economy and issues that may affect your investments
1.800.835.3104
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Transfer and Shareholder Servicing Agent
OppenheimerFunds Services
P.O. Box 5270, Denver, CO 80217-5270
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Ticker Symbols Class A: OUSGX Class B: UGTBX
Class C: OUSCX
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1. At times this website may be inaccessible or its
transaction feature may be unavailable.
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