<PAGE>
OPPENHEIMER ZERO COUPON
U.S. TREASURIES TRUST
SERIES A, B, C, D, E & F
ANNUAL REPORT DATED DECEMBER 31, 1996
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series A
Independent Auditors' Report
- --------------------------------------------------------------------------------
We have audited the accompanying statement of condition, including the related
portfolios of the Oppenheimer Zero Coupon U.S. Treasuries Trust, Series A, as of
December 31, 1996 and the related statements of operations and changes in net
assets for the years ended December 31, 1996, 1995 and 1994. These financial
statements are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements 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 at December 31, 1996 by correspondence
with the custodian. 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 referred to above present fairly, in
all material respects, the net assets of Oppenheimer Zero Coupon U.S. Treasuries
Trust, Series A at December 31, 1996, and the results of its operations and
changes in its net assets, for the above stated periods, in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 20, 1997
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Statement of Condition as of December 31, 1996
- --------------------------------------------------------------------------------
2000 2005
SERIES SERIES
- --------------------------------------------------------------------------------
TRUST PROPERTY
Investment in marketable securities (see Portfolios) . . $4,145,099 $2,052,324
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . 4,461 6,709
Accrued interest receivable. . . . . . . . . . . . . . . - 981
---------- ----------
Total trust property . . . . . . . . . . . 4,149,560 2,060,014
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . 4,461 7,690
---------- ----------
NET ASSETS - NOTE 2. . . . . . . . . . . . . . . . . . . $4,145,099 $2,052,324
---------- ----------
---------- ----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . 5,152,200 3,487,041
---------- ----------
---------- ----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . $ .80453 $ .58856
---------- ----------
---------- ----------
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Statements of Operations
For the Years Ended December 31, 1996, 1995 and 1994
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------------------
2000 Series 2005 Series
---------------------------------- -------------------------------------
1996 1995 1994 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . $ - $ 1,763 $ 3,320 $ 1,561 $ 1,838 $ 1,723
Accretion of original issue discount . . . . . . . . . 317,761 355,702 391,867 144,414 150,094 138,092
Trustee's fees and expenses - Note 3 . . . . . . . . . - (1,763) (3,320) (1,561) (1,838) (1,723)
--------- --------- --------- --------- --------- ---------
Net investment income. . . . . . . . . . . . . . . . . 317,761 355,702 391,867 144,414 150,094 138,092
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . 116,592 88,501 217,516 72,024 - 88,245
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . (343,346) 433,005 (967,987) (255,826) 435,195 (424,886)
--------- --------- --------- --------- --------- ---------
Net gain (loss) on investments . . . . . . . . . . . . (226,754) 521,506 (750,471) (183,802) 435,195 (336,641)
--------- --------- --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . $ 91,007 $ 877,208 $(358,604) $ (39,388) $ 585,289 $(198,549)
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Statements of Changes in Net Assets
For the Years Ended December 31, 1996, 1995 and 1994
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------------------
2000 SERIES 2005 SERIES
-------------------------------------- --------------------------------------
1996 1995 1994 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . $ 317,761 $ 355,702 $ 391,867 $ 144,414 $ 150,094 $ 138,092
Realized gain on securities
transactions . . . . . . . . . . . . . . . . 116,592 88,501 217,516 72,024 - 88,245
Net unrealized appreciation (depreciation)
of investments. . . . . . . . . . . . . . . . (343,346) 433,005 (967,987) (255,826) 435,195 (424,886)
---------- ---------- ----------- ---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . . 91,007 877,208 (358,604) (39,388) 585,289 (198,549)
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units . . . . . . . . . . . . . . . - 201,027 - - 203,754 101,879
Redemption of Units . . . . . . . . . . . . . . (893,602) (734,385) (1,274,581) (388,586) - (559,832)
---------- ---------- ----------- ---------- ---------- ----------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . (802,595) 343,850 (1,633,185) (427,974) 789,043 (656,502)
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . $4,947,694 $4,603,844 $ 6,237,029 $2,480,298 $1,691,255 $2,347,757
---------- ---------- ----------- ---------- ---------- ----------
End of period . . . . . . . . . . . . . . . . . $4,145,099 $4,947,694 $ 4,603,844 $2,052,324 $2,480,298 $1,691,255
---------- ---------- ----------- ---------- ---------- ----------
---------- ---------- ----------- ---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance
policies. The Fund's sponsor is Oppenheimer Funds Distributor, Inc. The
following is a summary of significant accounting policies consistently
followed by the Fund. The policies are in conformity with generally accepted
accounting principles.
(a) Securities are stated at value as determined by the Evaluator based on
bid side evaluations for the securities.
(b) Cost of securities have been adjusted to include the accretion of
original issue discount on the Stripped Treasury Securities.
2. NET CAPITAL
<TABLE>
DECEMBER 31,
----------------------------------------
1996 1995 1994
2000 SERIES ---- ---- ----
- -----------
<S> <C> <C> <C>
Cost of 5,152,200, 6,317,200 and 7,078,028 Units, respectively . . . $2,250,437 $2,646,690 $2,813,369
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . 7,933 14,678 19,997
---------- ---------- ----------
Net amount applicable to certificateholders. . . . . . . . . . . . . 2,242,504 2,632,012 2,793,372
Accretion of original issue discount . . . . . . . . . . . . . . . . 1,578,336 1,648,079 1,575,873
Net unrealized appreciation of investments . . . . . . . . . . . . . 324,259 667,604 234,599
---------- ---------- ----------
Net capital applicable to certificateholders . . . . . . . . . . . . $4,145,099 $4,947,694 $4,603,844
---------- ---------- ----------
---------- ---------- ----------
2005 SERIES
- -----------
Cost of 3,487,041, 4,190,859 and 3,768,568 Units, respectively . . . $1,100,352 $1,297,142 $1,090,285
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . 18,214 24,133 21,030
---------- ---------- ----------
Net amount applicable to certificateholders. . . . . . . . . . . . . 1,082,138 1,273,009 1,069,255
Accretion of original issue discount . . . . . . . . . . . . . . . . 642,196 623,473 473,379
Net unrealized appreciation of investments . . . . . . . . . . . . . 327,990 583,816 148,621
---------- ---------- ----------
Net capital applicable to certificateholders . . . . . . . . . . . . $2,052,324 $2,480,298 $1,691,255
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
3. EXPENSES
Trustee's fees and other expenses incurred by the Fund are limited to the
amount of income generated by the Interest Bearing Treasury Securities in
each Series. Any excess expenses are assumed by the Sponsor.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994 (Concluded)
- --------------------------------------------------------------------------------
4. CAPITAL SHARE TRANSACTIONS
ISSUANCE
Additional Units were issued by the Fund during the years ended December 31,
1996, 1995, and 1994 as follows:
SERIES 1996 1995 1994
- ------ ---- ---- ----
2000 . . . . . . . . . . . . . . . - 278,488 -
2005 . . . . . . . . . . . . . . . - 422,291 226,227
REDEMPTION
During 1996, 1995 and 1994, the Sponsor elected to redeem Units of the Fund
as follows:
SERIES 1996 1995 1994
- ------ ---- ---- ----
2000 . . . . . . . . . . . . . . . 1,165,000 1,039,316 1,885,075
2005 . . . . . . . . . . . . . . . 703,818 - 1,186,437
The total proceeds were remitted to the Sponsor.
5. INCOME TAXES
All income received, accretion of original issue discount, expenses paid, and
realized gains and losses on securities sold are attributable to the holder,
on a pro rata basis, for Federal income tax purposes in accordance with the
grantor trust rules of the Internal Revenue Code.
At December 31, 1996, the cost of investment securities for Federal income
tax purposes was approximately equivalent to the adjusted cost as shown in
each Series' portfolio.
6. DISTRIBUTIONS
It is anticipated that each Series will not make any distributions until the
first business day following the maturity of its holding in the Stripped
Treasury Securities which are non-interest bearing.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Portfolios as of December 31, 1996
<TABLE>
- ------------------------------------------------------------------------------------------------------
SERIES NO. AND COUPON FACE ADJUSTED
TITLE OF SECURITIES RATES MATURITIES AMOUNT COST VALUE (*)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2000 SERIES
- -----------
Stripped Treasury Securities. . . 0% 8-15-00 $5,152,200 $3,820,840 $4,145,099
---------- ---------- ----------
---------- ---------- ----------
2005 SERIES
Stripped Treasury Securities. . . 0% 5-15-05 $3,468,125 $1,707,394 $2,032,356
U.S. Treasury Notes . . . . . . . 8.25% 5-15-05 18,916 16,940 19,968
---------- ---------- ----------
Total . . . . . . . . . . . . . $3,487,041 $1,724,334 $2,052,324
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
_____________
(*) The aggregate values based on offering side evaluations at
December 31, 1996 were as follows:
SERIES AMOUNT
------ ------
2000 4,150,927
2005 2,058,936
See Notes to Financial Statements.
<PAGE>
INVESTMENT SUMMARY OF SERIES A+
as of December 31, 1996
- --------------------------------------------------------------------------------
Series A is a series unit investment trust consisting of nine separate
series, each with its own portfolio. At December 31, 1996 there are two
series which are still outstanding; these are the 2000 Series and the 2005
Series, designated for the maturities of their underlying Portfolios (see
Portfolios herein).
<TABLE>
2000 2005
SERIES SERIES
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . . $ 5,152,200 $ 3,487,041
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,152,200 3,487,041
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . . 1/5,152,200 th 1/3,487,041 st
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . . . . $ 4,150,927 $ 2,058,936
------------ ------------
Divided by number of Units times 1,000. . . . . . . . . . . . . . . $ 805.66 $ 590.45
Plus the applicable transaction charge**. . . . . . . . . . . . . . 6.04 8.86
------------ ------------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . . . . $ 811.70 $ 599.31
------------ ------------
------------ ------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering
side evaluation of underlying Securities) . . . . . . . . . . . . . $ 805.66 $ 590.45
REDEMPTION PRICE PER 1,000 UNITS (based on bid side evaluation
of underlying Securities)****. . . . . . . . . . . . . . . . . . . $ 804.53 $ 588.56
CALCULATION OF ESTIMATED NET ANNUAL INTEREST INCOME PER 1,000
UNITS RECEIVED IN CASH BY THE FUND
Gross annual income per 1,000 Units . . . . . . . . . . . . . . . . $ 0.45 $ 0.45
Less estimated annual expense per 1,000 Units . . . . . . . . . . . 0.45 0.45
------------ ------------
Net annual income per 1,000 Units . . . . . . . . . . . . . . . . . $ 0.00 $ 0.00
------------ ------------
------------ ------------
DISTRIBUTIONS
Distributions will be made on the first business day
following the maturity of each Security in a Series
to holders of record on the business day immediately
preceding the date of such distribution.
TRUSTEE'S ANNUAL FEE
Per $1,000 face amount of underlying Securities (see
Expenses and Charges) . . . . . . . . . . . . . . . . . . . . . . . $ 0.35 $ 0.35
EVALUATOR'S FEE FOR EACH EVALUATION
$.35 for each issue of underlying Securities.
Treating separate maturities as separate issues.
EVALUATION TIME
3:30 P.M. New York Time
MANDATORY TERMINATION DATE
January 1, 2035
MINIMUM VALUE OF FUND
Trust Indenture may be terminated with respect to any
Series if the value of that Series is less than 40% of
the face amount of Securities.
</TABLE>
______________
+ The Indenture was signed and the initial deposit was made as of
March 20, 1985.
* The aggregate offering side evaluation of the obligations is determined
by the Evaluator on the basis of current offering prices for the
obligations.
** The transaction charges currently applicable to the 2000 Series and the
2005 Series are .75% and 1.50% of their respective offering prices per
1,000 Units (.756% and 1.523%, respectively, of the net amount invested
in Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series (the
price at which they could be purchased directly by the public if they
were available) by the number of Units of the Series outstanding,
multiplying the result times 1,000 and adding the applicable transaction
charge as described in the preceding footnote. These figures assume a
purchase of 1,000 Units. The price of a single Unit, or any multiple
thereof, is calculated by dividing the Offering Price per 1,000 Units
above by 1,000 and multiplying by the number of Units.
**** Figures shown are $7.17 and $10.75 less than the Offering Price per
1,000 Units and $1.13 and $1.89 less than the Sponsor's Repurchase Price
per 1,000 Units with respect to the 2000 Series and the 2005 Series,
respectively.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Independent Auditors' Report
- -------------------------------------------------------------------------------
We have audited the accompanying statement of condition, including the related
portfolios of the Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B, as of
December 31, 1996 and the related statements of operations and changes in net
assets for the years ended December 31, 1996, 1995 and 1994. These financial
statements are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements 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 at December 31, 1996 by correspondence
with the custodian. 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 referred to above present fairly, in
all material respects, the net assets of Oppenheimer Zero Coupon U.S. Treasuries
Trust, Series B at December 31, 1996 and the results of its operations and
changes in its net assets for the above stated periods, in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 20, 1997
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Statement of Condition as of December 31, 1996
- -------------------------------------------------------------------------------
2006
SERIES
- -------------------------------------------------------------------------------
TRUST PROPERTY
Investment in marketable securities (see Portfolios). . . . . . . $1,478,973
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,744
Accrued interest receivable . . . . . . . . . . . . . . . . . . . 447
----------
Total trust property. . . . . . . . . . . . . . . . . . . . . 1,484,164
LESS LIABILITIES. . . . . . . . . . . . . . . . . . . . . . . . . 5,191
----------
NET ASSETS - Note 2 . . . . . . . . . . . . . . . . . . . . . . . $1,478,973
----------
----------
UNITS OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . 2,643,020
----------
----------
UNIT VALUE. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .55958
----------
----------
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Statements of Operations
For the Years Ended December 31, 1996, 1995 and 1994
- -------------------------------------------------------------------------------
1996 SERIES
------------------------------
1996 1995 1994
- -------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . $ - $ 783 $ 896
Accretion of original issue discount . . . . . . 19,535 148,374 137,229
Trustee's fees and expenses - Note 3 . . . . . . - (783) (896)
------- -------- ---------
Net investment income. . . . . . . . . . . . . . 19,535 148,374 137,229
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Realized gain on securities transactions . . . . 7,297 - -
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . (7,297) (1,121) (120,896)
------- -------- ---------
Net gain (loss) on investments . . . . . . . . . 0 (1,121) (120,896)
------- -------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . $19,535 $147,253 $ 16,333
------- -------- ---------
------- -------- ---------
2006 SERIES
------------------------------
1996 1995 1994
- -------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . $ 1,185 $ 1,181 $ 1,254
Accretion of original issue discount . . . . . . 98,763 90,865 90,387
Trustee's fees and expenses - Note 3 . . . . . . (1,185) (1,181) (1,254)
------- -------- ---------
Net investment income. . . . . . . . . . . . . . 98,763 90,865 90,387
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Realized gain on securities transactions . . . . - 1,973 41,479
et change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . (91,757) 281,043 (253,202)
------- -------- ---------
Net gain (loss) on investments . . . . . . . . . (91,757) 283,016 (211,723)
------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . $ 7,006 $373,881 $(121,336)
------- -------- ---------
------- -------- ---------
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Statements of Changes in Net Assets
For the Years Ended December 31, 1996, 1995 and 1994
- -------------------------------------------------------------------------------
1996 SERIES
-------------------------------------
1996 1995 1994
- -------------------------------------------------------------------------------
OPERATIONS:
Net investment income . . . . . . . . . $ 19,535 $ 148,374 $ 137,229
Realized gain on securities
transactions . . . . . . . . . . . . . 7,297 - -
Net unrealized appreciation
(depreciation) of investments. . . . . (7,297) (1,121) (120,896)
----------- ---------- ----------
Net increase in net assets resulting
from operations. . . . . . . . . . . . 19,535 147,253 16,333
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . (2,003,580) (8,970) -
----------- ---------- ----------
Net increase (decrease) in
net assets . . . . . . . . . . . . . . (1,984,045) 138,283 16,333
NET ASSETS:
Beginning of period . . . . . . . . . . 1,984,045 1,845,762 1,829,429
----------- ---------- ----------
End of period . . . . . . . . . . . . . $ 0 $1,984,045 $1,845,762
----------- ---------- ----------
----------- ---------- ----------
2006 SERIES
-----------------------------------
1996 1995 1994
- -----------------------------------------------------------------------------
OPERATIONS:
Net investment income . . . . . . . . . $ 98,763 $ 90,865 $ 90,387
Realized gain on securities
transactions . . . . . . . . . . . . . - 1,973 41,479
Net unrealized appreciation
(depreciation) of investments. . . . . (91,757) 281,043 (253,202)
----------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . 7,006 373,881 (121,336)
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . - (16,208) (244,993)
----------- ---------- ----------
Net increase (decrease) in net
assets . . . . . . . . . . . . . . . . 7,006 357,673 (366,329)
NET ASSETS:
Beginning of period . . . . . . . . . . 1,471,967 1,114,294 1,480,623
----------- ---------- ----------
End of period . . . . . . . . . . . . . $1,478,973 $1,471,967 $1,114,294
----------- ---------- ----------
----------- ---------- ----------
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994
- -------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance
policies. The Fund's sponsor is Oppenheimer Funds Distributor, Inc. The
following is a summary of significant accounting policies consistently
followed by the Fund. The policies are in conformity with generally accepted
accounting principles.
(a) Securities are stated at value as determined by the Evaluator based on
bid side evaluations for the securities.
(b) Cost of securities have been adjusted to include the accretion of
original issue discount on the Stripped Treasury Securities.
2. NET CAPITAL
DECEMBER 31,
--------------------------------
1996 1995 1994
---- ---- ----
1996 SERIES
Cost of 1,996,283 and 2,004,095 Units,
respectively. . . . . . . . . . . . . $ 982,265 $ 991,255
Less sales charge. . . . . . . . . . . 15,989 16,008
---------- ----------
Net amount applicable to
certificateholders. . . . . . . . . . 966,276 975,247
Accretion of original issue
discount. . . . . . . . . . . . . . . 1,010,472 862,097
Net unrealized appreciation of
investments . . . . . . . . . . . . . 7,297 8,418
---------- ----------
Net capital applicable to
certificateholders. . . . . . . . . . $1,984,045 $1,845,762
---------- ----------
---------- ----------
2006 SERIES
Cost of 2,643,020, 2,643,019 and
2,678,166 Units, respectively . . . . $ 764,716 $ 764,716 $ 775,044
Less sales charge. . . . . . . . . . . 7,419 7,419 7,664
---------- ---------- ----------
Net amount applicable to
certificateholders. . . . . . . . . . 757,297 757,297 767,380
Accretion of original issue discount . 476,710 377,947 291,234
Net unrealized appreciation of
investments . . . . . . . . . . . . . 244,966 336,723 55,680
---------- ---------- ----------
Net capital applicable to
certificateholders. . . . . . . . . . $1,478,973 $1,471,967 $1,114,294
---------- ---------- ----------
---------- ---------- ----------
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994 (Concluded)
- -------------------------------------------------------------------------------
3. EXPENSES
Trustee's fees and other expenses incurred by the Fund are limited to the
amount of income generated by the Interest Bearing Treasury Securities in
each Series. Any excess expenses are assumed by the Sponsor.
4. CAPITAL SHARE TRANSACTIONS
REDEMPTION
During 1996, 1995 and 1994, the Sponsor elected to redeem units of the Fund
as follows:
1996 1995 1994
---- ---- ----
1996. . . . . . . . . . . . . . . . . . - 7,812 -
2006. . . . . . . . . . . . . . . . . . - 35,147 542,260
The total proceeds were remitted to the Sponsor.
5. INCOME TAXES
All income received, accretion of original issue discount, expenses paid, and
realized gains and losses on securities sold are attributable to the holder,
on a pro rata basis, for Federal income tax purposes in accordance with the
grantor trust rules of the Internal Revenue Code.
At December 31, 1996, the cost of investment securities for Federal income
tax purposes was approximately equivalent to the adjusted cost as shown in
each Series' portfolio.
6. DISTRIBUTIONS
It is anticipated that each Series will not make any distributions until the
first business day following the maturity of its holding in the Stripped
Treasury Securities which are non-interest bearing. In February of 1996,
Series 1996 matured and distributions of $1,996,283 were made.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Portfolios as of December 31, 1996
<TABLE>
- ------------------------------------------------------------------------------------------------
SERIES NO. AND COUPON FACE ADJUSTED
TITLE OF SECURITIES RATES MATURITIES AMOUNT COST VALUE (*)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2006 SERIES
Stripped Treasury Securities. . . . . 0% 2-15-06 $2,632,000 $1,220,804 $1,464,840
U.S. Treasury Notes . . . . . . . . . 10.75% 8-15-05 11,020 13,203 14,133
---------- ---------- ----------
Total . . . . . . . . . . . . . . . $2,643,020 $1,234,007 $1,478,973
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
_________________________
(*) The aggregate values based on offering side evaluations at
December 31, 1996 were as follows:
SERIES AMOUNT
------ ------
2006. . . . . . . . . . . . . . . . . 1,484,165
See Notes to Financial Statements.
<PAGE>
INVESTMENT SUMMARY OF SERIES B+
as of December 31, 1996
- ------------------------------------------------------------------------------
Series B is a series unit investment trust consisting of three separate
series, each with its own portfolio. As of December 31, 1996, there is one
series which is still outstanding; this is the 2006 Series designated for the
maturities of its underlying Portfolios. (See Portfolios herein).
- ------------------------------------------------------------------------------
2006
SERIES
- ------------------------------------------------------------------------------
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . $ 2,643,020
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . 2,643,020
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH
UNIT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1/2,643,020 th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . $ 1,484,165
-----------
Divided by number of Units times 1,000. . . . . . . . . . . $ 561.54
Plus the applicable transaction charge**. . . . . . . . . . 8.42
-----------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . $ 569.96
-----------
-----------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on
offering side evaluation of underlying Securities). . . . . . $ 561.54
REDEMPTION PRICE PER 1,000 UNITS (based on bid side
evaluation of underlying Securities)****. . . . . . . . . . . $ 559.58
CALCULATION OF ESTIMATED NET ANNUAL INTEREST INCOME PER 1,000
UNITS RECEIVED IN CASH BY THE FUND
Gross annual income per 1,000 Units . . . . . . . . . . . $ 0.45
Less estimated annual expense per 1,000 Units . . . . . . 0.45
-----------
Net annual income per 1,000 Units . . . . . . . . . . . . $ 0.00
-----------
-----------
DISTRIBUTIONS
Distributions will be made on the first business day
following the maturity of each Security in a Series to
holders of record on the business day immediately
preceding the date of such distribution.
TRUSTEE'S ANNUAL FEE
Per $1,000 face amount of underlying Securities (see
Expenses and Charges) $ 0.35
EVALUATOR'S FEE FOR EACH EVALUATION
$.35 for each issue of underlying Securities.
Treating separate maturities as separate issues.
EVALUATION TIME
3:30 P.M. New York Time
MANDATORY TERMINATION DATE
January 1, 2036
MINIMUM VALUE OF FUND
Trust Indenture may be terminated with respect to any
Series if the value of that Series is less than 40%
of the face amount of Securities.
________________
+ The Indenture was signed and the initial deposit was made as of
January 27, 1986.
* The aggregate offering side evaluation of the obligations is
determined by the Evaluator on the basis of current offering prices
for the obligations.
** The transaction charge currently applicable to the 2006 Series is
1.50% of its respective Offering Price per 1,000 Units (1.523% of the
net amount invested in Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series
(the price at which they could be purchased directly by the
public if they were available) by the number of Units of the Series
outstanding, multiplying the result times 1,000 and adding the
applicable transaction charges described in the preceding
footnote. These figures assume a purchase of 1,000 Units. The price
of a single Unit, or any multiple thereof, is calculated by dividing
the Offering Price per 1,000 Units above by 1,000 and multiplying by
the number of Units.
**** Figure shown is $10.38 less than the Offering Price per 1,000 Units
and $1.96 less than the Sponsor's Repurchase Price per 1,000 Units,
with respect to the 2006 Series.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Independent Auditors' Report
- -------------------------------------------------------------------------------
We have audited the accompanying statement of condition, including the
related portfolios of the Oppenheimer Zero Coupon U.S. Treasuries Trust,
Series C, as of December 31, 1996 and the related statements of operations
and changes in net assets for the years ended December 31, 1996, 1995 and
1994. These financial statements are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements 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 at December 31, 1996
by correspondence with the custodian. 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 referred to above present fairly, in
all material respects, the net assets of Oppenheimer Zero Coupon U.S.
Treasuries Trust, Series C at December 31, 1996 and the results of its
operations and changes in its net assets, for the above stated periods, in
conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 20, 1997
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Statement of Condition as of December 31, 1996
<TABLE>
- -----------------------------------------------------------------------------------------------------------------
1997 2007
SERIES SERIES
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TRUST PROPERTY
Investment in marketable securities (see Portfolios) . . . . . . . . . . . . . $ 2,674,889 $ 478,398
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,080 825
Accrued interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . 0 358
----------- -----------
Total trust property. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,678,969 479,581
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,080 1,183
----------- -----------
NET ASSETS - Note 2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,674,889 $ 478,398
----------- -----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,765,000 915,373
----------- -----------
----------- -----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .96741 $ .52263
----------- -----------
----------- -----------
See Notes to Financial Statements.
</TABLE>
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Statements of Operations
For the Years Ended December 31, 1996, 1995 and 1994
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------------
1997 SERIES
----------------------------------------
1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,088 $ 1,327 $ 1,468
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 219,042 218,320 236,747
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . . (1,088) (1,327) (1,468)
---------- ---------- -----------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219,042 218,320 236,747
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . 8,809 16,984 80,455
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (94,228) 84,363 (380,389)
---------- ---------- -----------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . (85,419) 101,347 (299,934)
---------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $133,623 $ 319,667 $ (63,187)
---------- ---------- -----------
---------- ---------- -----------
2007 SERIES
----------------------------------------
1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 410 $ 409 $ 441
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 31,440 28,781 33,681
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . . (410) (409) (441)
---------- ---------- -----------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,440 28,781 33,681
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . - - 26,271
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,182) 97,101 (116,237)
---------- ---------- -----------
Net gain (loss) on Investments . . . . . . . . . . . . . . . . . . . . . . . . (30,182) 97,101 (89,966)
---------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,258 $ 125,882 $(56,285)
---------- ---------- -----------
---------- ---------- -----------
See Notes to Financial Statements.
</TABLE>
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Statements of Changes in Net Assets
For the Years Ended December 31, 1996 1995 and 1994
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------------
1997 SERIES
----------------------------------------
1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 219,042 $ 218,320 $ 236,747
Realized gain on securities transactions. . . . . . . . . . . . . . . . . . . 8,809 16,984 80,455
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . (94,228) 84,363 (380,389)
----------- ----------- -----------
Net increase ( decrease) in net assets resulting from operations. . . . . . . 133,623 319,667 (63,187)
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (194,656) (272,007) (679,914)
----------- ----------- -----------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (61,033) 47,660 (743,101)
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,735,922 2,688,262 3,431,363
----------- ----------- -----------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,674,889 $2,735,922 $2,688,262
----------- ----------- -----------
----------- ----------- -----------
2007 SERIES
----------------------------------------
1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 31,440 $ 28,781 $ 33,681
Realized gain on securities transactions. . . . . . . . . . . . . . . . . . . - - 26,271
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . (30,182) 97,101 (116,237)
----------- ----------- -----------
Net increase (decrease) in net assets resulting from operations . . . . . . . 1,258 125,882 (56,285)
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - 80,117
Redemption of Units. . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - (300,198)
----------- ----------- -----------
Net increase (decrease) in
net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,258 125,882 (276,366)
NET ASSETS:
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477,140 351,258 627,624
----------- ----------- -----------
End of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 478,398 $ 477,140 $ 351,258
----------- ----------- -----------
----------- ----------- -----------
See Notes to Financial Statements.
</TABLE>
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994
- -------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance
policies. The Fund's Sponsor is Oppenheimer Funds Distributor, Inc. The
following is a summary of significant accounting policies consistently
followed by the Fund. The policies are in conformity with generally accepted
accounting principles.
(a) Securities are stated at value as determined by the Evaluator based on
bid side evaluations for the securities.
(b) Cost of securities has been adjusted to include the accretion of
original issue discount on the Stripped Treasury Securities.
2. NET CAPITAL
<TABLE>
DECEMBER 31,
----------------------------------------
1996 1995 1994
---- ---- ----
<S> <C> <C> <C>
1997 SERIES
Cost of 2,765,000, 2,973,342 and 3,290,297 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,403,155 $1,501,215 $1,632,479
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,318 16,801 18,167
---------- ---------- ----------
Net amount applicable to certificateholders. . . . . . . . . . . . . . . . . . 1,386,837 1,484,414 1,614,312
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 1,234,616 1,103,843 1,010,649
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . 53,436 147,664 63,301
---------- ---------- ----------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . $2,674,889 $2,735,922 $2,688,262
---------- ---------- ----------
---------- ---------- ----------
2007 SERIES
Cost of 915,373 Units, . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 215,892 $ 215,892 $ 215,892
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,175 6,175 6,175
---------- ---------- ----------
Net amount applicable to certificateholders. . . . . . . . . . . . . . . . . . 209,717 209,717 209,717
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 178,914 147,474 118,693
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . 89,767 119,949 22,848
---------- ---------- ----------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . $ 478,398 $ 477,140 $ 351,258
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994 (Concluded)
- -------------------------------------------------------------------------------
3. EXPENSES
Trustee's fees and other expenses incurred by the Fund are limited to the
amount of income generated by the Interest Bearing Treasury Securities in
each Series. Any excess expenses are assumed by the Sponsor.
4. CAPITAL SHARE TRANSACTIONS
ISSUANCE
Additional Units were issued by the Fund during the periods ended December
31, 1996, 1995 and 1994 as follows:
1996 1995 1994
---- ---- ----
2007. . . . . . . . . . . . . . . . . - - 214,022
REDEMPTION
During 1996, 1995 and 1994, the Sponsor elected to redeem Units of the Fund
as follows:
1996 1995 1994
---- ---- ----
1997. . . . . . . . . . . . . . . . . 208,342 316,955 815,028
2007. . . . . . . . . . . . . . . . . - - 775,706
The total proceeds were remitted to the Sponsor.
5. INCOME TAXES
All income received, accretion of original issue discount, expenses paid, and
realized gains and losses on securities sold are attributable to the holder,
on a pro rata basis, for Federal income tax purposes in accordance with the
grantor trust rules of the Internal Revenue Code.
At December 31, 1996, the cost of investment securities for Federal income
tax purposes was approximately equivalent to the adjusted cost as shown in
each Series' portfolio.
6. DISTRIBUTIONS
It is anticipated that each Series will not make any distributions until the
first business day following the maturity of its holding in the Stripped
Treasury Securities which are non-interest bearing.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Portfolios as of December 31, 1996
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------------------
SERIES NO. AND COUPON FACE ADJUSTED
TITLE OF SECURITIES RATES MATURITIES AMOUNT COST VALUE (*)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1997 SERIES
Stripped Treasury Securities. . . . . . . . . . . . . . . . . 0% 8-15-97 $2,765,000 $2,621,453 $2,674,889
2007 SERIES ---------- ---------- ----------
Stripped Treasury Securities. . . . . . . . . . . . . . . . . 0% 2-15-07 $ 911,000 $ 383,513 $ 473,137
U.S. Treasury Notes . . . . . . . . . . . . . . . . . . . . . 9.375% 2-15-06 4,373 5,118 5,261
---------- ---------- ----------
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 915,373 $ 388,631 $ 478,398
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
- ----------------------
(*) The aggregate values based on offering side evaluations at December 31,
1996 were as follows:
SERIES AMOUNT
------ ------
1997. . . . . . . . . . . . . . . . . . . . . . . . . $2,675,533
2007. . . . . . . . . . . . . . . . . . . . . . . . . 480,258
See Notes to Financial Statements.
<PAGE>
INVESTMENT SUMMARY OF SERIES C+
As of December 31, 1996
- -------------------------------------------------------------------------------
Series C is a series unit investment trust consisting of two separate series,
each with its own portfolio. These are the 1997 Series and the 2007 Series,
designated for the maturities of their underlying Portfolios (see Portfolios
herein).
<TABLE>
1997 2007
SERIES SERIES
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,765,000 $ 915,373
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,765,000 915,373
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . . . . . . . . . . . . . 1/2,765,000 th 1/915,373 rd
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . . . . . . . . . . . . . . . $ 2,675,533 $ 480,258
------------ -----------
Divided by number of Units times 1,000. . . . . . . . . . . . . . . . . . . . . . . . . . $ 967.64 $ 524.66
Plus the applicable transaction charge**. . . . . . . . . . . . . . . . . . . . . . . . . 2.42 7.87
------------ -----------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 970.06 $ 532.53
------------ -----------
------------ -----------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering side evaluation of
underlying Securities) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 967.64 $ 524.66
REDEMPTION PRICE PER 1,000 UNITS (based on bid side evaluation of underlying
Securities)****. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 967.41 $ 522.63
CALCULATION OF ESTIMATED NET ANNUAL INTEREST INCOME PER 1,000 UNITS RECEIVED IN
CASH BY THE FUND
Gross annual income per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.45 $ 0.45
Less estimated annual expense per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . 0.45 0.45
------------ -----------
Net annual income per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.00 $ 0.00
------------ -----------
------------ -----------
DISTRIBUTIONS
Distributions will be made on the first business day following the maturity of each
Security in a Series to holders of record on the business day immediately
preceding the date of such distribution.
TRUSTEE'S ANNUAL FEE
Per $1,000 face amount of underlying Securities (see Expenses and Charges). . . . . . . . $ 0.35 $ 0.35
EVALUATOR'S FEE FOR EACH EVALUATION
$.35 for each issue of underlying Securities.
Treating separate maturities as separate issues.
EVALUATION TIME
3:30 P.M. New York Time
MANDATORY TERMINATION DATE
January 1, 2037
MINIMUM VALUE OF FUND
Trust Indenture may be terminated with respect to any Series if the value of
that Series is less than 40% of the face amount of Securities.
</TABLE>
- --------------------------
+ The Indenture was signed and the initial deposit was made as of April 21,
1987.
* The aggregate offering side evaluation of the obligations is determined by
the Evaluator on the basis of current offering prices for the obligations.
** The transaction charges currently applicable to the 1997 Series and the
2007 Series, are .25% and 1.50% of their respective Offering Prices
per 1,000 Units (.251% and 1.523%, respectively, of the net amount
invested in Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series
(the price at which they could be purchased directly by the public
if they were available) by the number of Units of the Series
outstanding, multiplying the result times 1,000 and adding the
applicable transaction charge as described in the preceding
footnote. These figures assume a purchase of 1,000 Units. The
price of a single Unit, or any multiple thereof, is calculated by
dividing the Offering Price per 1,000 Units above by 1,000 and
multiplying by the number of Units.
**** Figures shown are $2.65 and $9.90 less then the Offering Price per 1,000
Units and $.23 and $2.03 less than the Sponsor's Repurchase Price per
1,000 Units, with respect to the 1997 Series and the 2007 Series
respectively.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Independent Auditors' Report
- --------------------------------------------------------------------------------
We have audited the accompanying statement of condition, including the
related portfolios of the Oppenheimer Zero Coupon U.S. Treasuries Trust,
Series D, as of December 31, 1996 and the related statements of operations
and changes in net assets for the years ended December 31, 1996, 1995 and
1994. These financial statements are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements 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 at December 31, 1996
by correspondence with the custodian. 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 referred to above present fairly, in
all material respects, the net assets of Oppenheimer Zero Coupon U.S.
Treasuries Trust, Series D at December 31, 1996 and the results of its
operations and changes in its net assets, for the above stated periods, in
conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 20, 1997
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Statement of Condition as of December 31, 1996
- ---------------------------------------------------------------------------
1998 2008
SERIES SERIES
- ---------------------------------------------------------------------------
TRUST PROPERTY
Investment in marketable securities
(see Portfolios) . . . . . . . . . . . $ 938,916 $ 473,713
Cash . . . . . . . . . . . . . . . . . . - 2,593
Accrued interest receivable. . . . . . . - 58
---------- ----------
Total trust property . . . . . . . . 938,916 476,364
LESS LIABILITIES . . . . . . . . . . . . - 2,651
---------- ----------
NET ASSETS-Note 2. . . . . . . . . . . . $ 938,916 $ 473,713
---------- ----------
---------- ----------
UNITS OUTSTANDING. . . . . . . . . . . . 1,015,000 1,023,236
---------- ----------
---------- ----------
UNIT VALUE . . . . . . . . . . . . . . . $ .92504 $ .46296
---------- ----------
---------- ----------
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Statements of Operations
For the years ended December 31, 1996, 1995, and 1994
<TABLE>
- ----------------------------------------------------------------------------------------
1998 SERIES
---------------------------------
1996 1995 1994
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . $ - $ 115 $ 275
Accretion of original issue discount . . . . . . . . . 49,458 47,098 61,692
Trustee's fees and expenses - Note 3 . . . . . . . . . - (115) (275)
-------- -------- ---------
Net investment income. . . . . . . . . . . . . . . . . 49,458 47,098 61,692
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . - 13,935 9,906
Net change in unrealized appreciation
of investments . . . . . . . . . . . . . . . . . . . (8,736) 53,409 (111,726)
-------- -------- ---------
Net gain (loss) on investments . . . . . . . . . . . . (8,736) 67,344 (101,820)
-------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . $ 40,722 $114,442 $ (40,128)
-------- -------- ---------
-------- -------- ---------
2008 SERIES
---------------------------------
1996 1995 1994
- ----------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . $ 458 $ 457 $ 457
Accretion of original issue discount . . . . . . . . . 30,219 27,593 29,937
Trustee's fees and expenses-Note 3 . . . . . . . . . . (458) (457) (457)
-------- -------- ---------
Net investment income. . . . . . . . . . . . . . . . . 30,219 27,593 29,937
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . - - 7,013
Net change in unrealized appreciation
of investments . . . . . . . . . . . . . . . . . . . (42,659) 110,894 (92,900)
-------- -------- ---------
Net gain (loss) on investments . . . . . . . . . . . . (42,659) 110,894 (85,887)
-------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . $(12,440) $138,487 $ (55,950)
-------- -------- ---------
-------- -------- ---------
</TABLE>
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Statements of Changes In Net Assets
For the years ended December 31, 1996, 1995 and 1994
<TABLE>
- -----------------------------------------------------------------------------------------
1998 SERIES
----------------------------------
1996 1995 1994
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . $ 49,458 $ 47,098 $ 61,692
Realized gain on securities transactions . . . . . . - 13,935 9,906
Net unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . (8,736) 53,409 (111,726)
-------- --------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . 40,722 114,442 (40,128)
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units. . . . . . . . . . . . . . . . . - 167,820 -
Redemption of Units. . . . . . . . . . . . . . . . - (214,483) (190,719)
-------- --------- ----------
Net increase (decrease) in
net assets . . . . . . . . . . . . . . . . . . . 40,722 67,779 (230,847)
-------- --------- ----------
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . 898,194 830,415 1,061,262
-------- --------- ----------
End of period . . . . . . . . . . . . . . . . . . $938,916 $ 898,194 $ 830,415
-------- --------- ----------
-------- --------- ----------
2008 SERIES
----------------------------------
1996 1995 1994
- -----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . $ 30,219 $ 27,593 $ 29,937
Realized gain on securities transactions . . . . . . - - 7,013
Net unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . (42,659) 110,894 (92,900)
-------- --------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . (12,440) 138,487 (55,950)
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units. . . . . . . . . . . . . . . . - - (74,693)
-------- --------- ----------
Net increase (decrease) in
net assets . . . . . . . . . . . . . . . . . . . (12,440) 138,487 (130,643)
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . 486,153 347,666 478,309
-------- --------- ----------
End of period . . . . . . . . . . . . . . . . . . $473,713 $ 486,153 $ 347,666
-------- --------- ----------
-------- --------- ----------
</TABLE>
See Notes To Financial Statements
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Notes To Financial Statements
For the years ended December 31, 1996, 1995, and 1994
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance
policies. The Fund's sponsor is Oppenheimer Funds Distributor, Inc. The
following is a summary of significant accounting policies consistently
followed by the Fund. The policies are in conformity with generally accepted
accounting principles.
(a) Securities are stated at value as determined by the Evaluator based on
bid side evaluations for the securities.
(b) Cost of securities has been adjusted to include the accretion of original
issue discount on the Stripped Treasury Securities.
2. NET CAPITAL
<TABLE>
DECEMBER 31,
------------------------------
1996 1995 1994
-------- -------- --------
<S> <C> <C> <C>
1998 SERIES
Cost of 1,015,000, 1,015,000 and 1,075,187 Units,
respectively . . . . . . . . . . . . . . . . . . . $568,967 $568,967 $518,346
Less sales charge. . . . . . . . . . . . . . . . . . 7,618 7,618 7,952
-------- -------- --------
Net amount applicable to certificateholders. . . . . 561,349 561,349 510,394
Accretion of original issue discount . . . . . . . . 239,183 189,725 226,310
Net unrealized appreciation of investments . . . . . 138,384 147,120 93,711
-------- -------- --------
Net capital applicable to certificateholders . . . . $938,916 $898,194 $830,415
-------- -------- --------
-------- -------- --------
2008 SERIES
Cost of 1,023,236, 1,023,236 and 1,023,236 Units,
respectively . . . . . . . . . . . . . . . . . . . $192,831 $192,831 $192,831
Less sales charge. . . . . . . . . . . . . . . . . . 5,874 5,874 5,874
-------- -------- --------
Net amount applicable to certificateholders. . . . . 186,957 186,957 186,957
Accretion of original issue discount . . . . . . . . 175,549 145,330 117,737
Net unrealized appreciation of investments . . . . . 111,207 153,866 42,972
-------- -------- --------
Net capital applicable to certificateholders . . . . $473,713 $486,153 $347,666
-------- -------- --------
-------- -------- --------
</TABLE>
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Notes to Financial Statements
For the years ended December 31, 1996, 1995 and 1994 (Concluded)
- --------------------------------------------------------------------------------
3. EXPENSES
Trustee's fees and other expenses incurred by the Fund are limited to the
amount of income generated by the Interest Bearing Treasury Securities in
each Series. Any excess expenses are assumed by the Sponsor.
4. CAPITAL SHARE TRANSACTIONS
ISSUANCE
Additional Units were issued by the Fund during the periods ended
December 31, 1996, 1995 and 1994 as follows:
1996 1995 1994
---- ------- -------
1998. . . . . . . . . . . . . . . . . - 201,286 -
REDEMPTION
During 1996, 1995 and 1994, the Sponsor elected to redeem Units of the
Fund as follows:
1996 1995 1994
---- ------- -------
1998. . . . . . . . . . . . . . . . . - 261,473 246,575
2008. . . . . . . . . . . . . . . . . - - 233,193
The total proceeds were remitted to the Sponsor.
5. INCOME TAXES
All income received, accretion of original issue discount, expenses paid, and
realized gains and losses on securities sold are attributable to the holder,
on a pro rata basis, for Federal income tax purposes in accordance with the
grantor trust rules of the Internal Revenue Code.
At December 31, 1996, the cost of investment securities for Federal income
tax purposes was approximately equivalent to the adjusted cost as shown in
each Series' portfolio.
6. DISTRIBUTIONS
It is anticipated that each Series will not make any distributions until the
first business day following the maturity of its holding in the Stripped
Treasury Securities which are non-interest bearing.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Portfolios as of December 31, 1996
<TABLE>
- --------------------------------------------------------------------------------------------
SERIES NO. AND COUPON FACE ADJUSTED
TITLE OF SECURITIES RATES MATURITIES AMOUNT COST VALUE (*)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1998 SERIES
Stripped Treasury Securities. . . 0% 5-15-98 $1,015,000 $800,532 $938,916
---------- -------- --------
---------- -------- --------
2008 SERIES
Stripped Treasury Securities. . . 0% 11-15-08 $1,018,000 $357,728 $467,832
U.S. Treasury Notes . . . . . . . 8.75% 11-15-08 5,236 4,778 5,881
---------- -------- --------
Total . . . . . . . . . . . . . . $1,023,236 $362,506 $473,713
---------- -------- --------
---------- -------- --------
</TABLE>
- -------------------------
(*) The aggregate values based on offering side evaluations at December 31,
1996 were as follows:
SERIES AMOUNT
------ --------
1998. . . . . . . . . . . $939,415
2008. . . . . . . . . . . 475,870
See Notes to Financial Statements.
<PAGE>
INVESTMENT SUMMARY OF SERIES D+
as of December 31, 1996
- --------------------------------------------------------------------------------
Series D is a series unit investment trust consisting of two separate series,
each with its own portfolio. These are the 1998 Series and 2008 Series,
designated for the maturities of their underlying Portfolios (see Portfolios
herein).
<TABLE>
1998 2008
SERIES SERIES
- --------------------------------------------------------------------------------------
<S> <C> <C>
FACE AMOUNT OF SECURITIES . . . . . . . . . . . . . . . $ 1,015,000 $ 1,023,236
NUMBER OF UNITS . . . . . . . . . . . . . . . . . . . . 1,015,000 1,023,236
FRACTIONAL UNDIVIDED INTEREST IN FUND
REPRESENTED BY EACH UNIT. . . . . . . . . . . . . . . 1/1,015,000th 1/1,023,236th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of
Securities in Fund* . . . . . . . . . . . . . . . $ 939,415 $ 475,870
------------ ------------
Divided by number of Units times 1,000. . . . . . . $ 925.53 $ 465.06
Plus the applicable transaction charge**. . . . . . 4.63 6.98
------------ ------------
Offering Price per 1,000 Units. . . . . . . . . . . $ 930.16 $ 472.04
------------ ------------
------------ ------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS
(based on offering side evaluation of
underlying Securities). . . . . . . . . . . . . . . . $ 925.53 $ 465.06
REDEMPTION PRICE PER 1,000 UNITS
(based on bid side evaluation of underlying
Securities)**** . . . . . . . . . . . . . . . . . . . $ 925.04 $ 462.96
CALCULATION OF ESTIMATED NET ANNUAL INTEREST
INCOME PER 1,000 UNITS RECEIVED IN CASH
BY THE FUND
Gross annual income per 1,000 Units . . . . . . . . $ 0.45 $ 0.45
Less estimated annual expense per 1,000 Units . . . 0.45 0.45
------------ ------------
Net annual income per 1,000 Units . . . . . . . . . $ 0.00 $ 0.00
------------ ------------
------------ ------------
DISTRIBUTIONS
Distributions will be made on the first
business day following the maturity of
each Security in a Series to holders
of record on the business day immediately
preceding the date of such distribution.
TRUSTEE'S ANNUAL FEE
Per $1,000 face amount of underlying
Securities (see Expenses and Charges) . . . . . . . $ 0.35 $ 0.35
EVALUATOR'S FEE FOR EACH EVALUATION
$.35 for each issue of underlying
Securities. Treating separate
maturities as separate issues.
EVALUATION TIME
3:30 P.M. New York Time
MANDATORY TERMINATION DATE
January 1, 2038
MINIMUM VALUE OF FUND
Trust Indenture may be terminated with
respect to any Series if the value of
that Series is less than 40% of the
face amount of Securities.
</TABLE>
- -------------------------
+ The Indenture was signed and the initial deposit was made as of
April 18, 1988.
* The aggregate offering side evaluation of the obligations is determined
by the Evaluator on the basis of current offering prices for the
obligations.
** The transaction charges currently applicable to the 1998 Series and the
2008 Series are .50% and 1.50% of their respective Offering Prices per
1,000 Units (.503% and 1.523%, respectively, of the net amount invested
in Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series (the
price at which they could be purchased directly by the public if they
were available) by the number of Units of the Series outstanding,
multiplying the result times 1,000 and adding the applicable transaction
charge as described in the preceding footnote. These figures assume a
purchase of 1,000 Units. The price of a single Unit, or any multiplying
thereof, is calculated by dividing the Offering Price per 1,000 Units
above by 1,000 and multiplying by the number of Units.
**** Figures shown are $5.12 and $9.08 less than the Offering Price per 1,000
Units and $.49 and $2.10 less than the Sponsor's Repurchase Price per
1,000 Units, with respect to the 1998 Series and the 2008 Series,
respectively.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Independent Auditors' Report
- --------------------------------------------------------------------------------
We have audited the accompanying statement of condition, including the related
portfolios of the Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E, as of
December 31, 1996 and the related statements of operations and changes in net
assets for the years ended December 31, 1996, 1995 and 1994. These financial
statements are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements 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 at December 31, 1996 by correspondence
with the custodian. 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 referred to above present fairly, in
all material respects, the net assets of Oppenheimer Zero Coupon U.S. Treasuries
Trust, Series E at December 31, 1996 and the results of its operations and
changes in its net assets, for the above stated periods, in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 20, 1997
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Statement of Condition As of December 31, 1996
<TABLE>
- --------------------------------------------------------------------------------------------------------------
1999 2009
SERIES SERIES
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TRUST PROPERTY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investment in marketable securities (see Portfolios) . . . . . . . . . . . . . $392,073 $160,534
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 6,197
Accrued interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . 176 101
-------- --------
Total trust property. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392,249 166,832
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176 6,298
-------- --------
NET ASSETS-NOTE 2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $392,073 $160,534
-------- --------
-------- --------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450,273 359,216
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .87075 $ .44690
-------- --------
-------- --------
</TABLE>
See Notes to Financial Statements
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Statement of Operations
For the years ended December 31, 1996, 1995 and 1994
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------------
1999 SERIES
----------------------------------------
1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 202 $ 207 $ 249
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 28,045 27,592 30,327
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . . (202) (207) (249)
--------- --------- ---------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,045 27,592 30,327
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . - 5,396 588
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,985) 27,648 (53,426)
--------- --------- ---------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . (13,985) 33,044 (52,838)
--------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14,060 $60,636 $(22,511)
--------- --------- ---------
--------- --------- ---------
</TABLE>
<TABLE>
2009 SERIES
----------------------------------------
1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 161 $ 161 $ 220
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 10,255 9,738 15,548
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . . (161) (161) (220)
--------- --------- ---------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,255 9,738 15,548
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . - 961 2,176
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (15,035) 38,500 (52,410)
--------- --------- ---------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . (15,035) 39,461 (50,236)
--------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(4,780) $49,199 $(34,686)
--------- --------- ---------
--------- --------- ---------
</TABLE>
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Statements of Changes in Net Assets
For the years ended December 31, 1996, 1995 and 1994
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------------
1999 SERIES
----------------------------------------
1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28,045 $ 27,592 $ 30,326
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . - 5,396 588
Net unrealized appreciation (depreciation) of investments. . . . . . . . . . (13,985) 27,648 (53,425)
--------- --------- --------
Net increase (decrease) in net assets resulting from operations. . . . . . . 14,060 60,636 (22,511)
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units. . . . . . . . . . . . . . . . . . . . . . . . . . . . . - (80,186) (8,623)
--------- --------- --------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,060 (19,550) (31,134)
NET ASSETS:
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . 378,013 397,563 428,697
--------- --------- --------
End of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 392,073 $ 378,013 $ 397,563
--------- --------- --------
--------- --------- --------
</TABLE>
<TABLE>
2009 SERIES
----------------------------------------
1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,255 $ 9,738 $ 15,548
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . - 961 2,176
Net unrealized appreciation (depreciation) of investments. . . . . . . . . . (15,035) 38,500 (52,410)
--------- --------- ---------
Net increase (decrease) in net assets resulting from operations. . . . . . . (4,780) 49,199 (34,686)
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units. . . . . . . . . . . . . . . . . . . . . . . . . . . . . - (14,286) (129,221)
--------- --------- --------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,780) 34,913 (163,907)
NET ASSETS:
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . 165,314 130,401 294,308
--------- --------- --------
End of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 160,534 $ 165,314 $ 130,401
--------- --------- --------
--------- --------- --------
</TABLE>
See Notes to Financial Statements
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Notes to Financial Statements
For the years ended December 31, 1996, 1995 and 1994
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance
policies. The Fund's sponsor is Oppenheimer Funds Distributor, Inc. The
following is a summary of significant accounting policies consistently
followed by the Fund. The policies are in conformity with generally accepted
accounting principles.
(a) Securities are stated at value as determined by the Evaluator based on
bid side evaluations for the securities.
(b) Cost of securities has been adjusted to include the accretion of original
issue discount on the Stripped Treasury Securities.
2. NET CAPITAL
<TABLE>
DECEMBER 31,
---------------------------------------
1996 1995 1994
--------- --------- ---------
<S> <C> <C> <C>
1999 SERIES
- -----------
Cost of 450,273, 450,273 and 555,805 Units, respectively . . . . . . . . . . . $ 226,513 $ 226,513 $ 272,841
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,244 3,244 3,850
--------- --------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . . . . . 223,269 223,269 268,991
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 151,332 123,287 124,763
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . 17,472 31,457 3,809
--------- --------- ---------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . $ 392,073 $ 378,013 $ 397,563
--------- --------- ---------
--------- --------- ---------
2009 SERIES
- -----------
Cost of 359,216, 359,216 and 399,352 Units, respectively . . . . . . . . . . . $ 85,892 $ 85,892 $ 94,983
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,158 6,158 6,414
--------- --------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . . . . . 79,734 79,734 88,569
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . 57,301 47,046 41,798
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . 23,499 38,534 34
--------- --------- ---------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . $ 160,534 $ 165,314 $ 130,401
--------- --------- ---------
--------- --------- ---------
</TABLE>
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Notes to Financial Statements
For the years ended December 31, 1996, 1995 and 1994
- --------------------------------------------------------------------------------
3. EXPENSES
Trustee's fees and other expenses incurred by the Fund are limited to the amount
of income generated by the Interest Bearing Treasury Securities in each Series.
Any excess expenses are assumed by the Sponsor.
4. CAPITAL SHARE TRANSACTIONS
REDEMPTION
During 1996, 1995 and 1994, the Sponsor elected to redeem Units of the Fund as
follows:
1996 1995 1994
---- ------- -------
1999............................ - 105,532 12,061
2009............................ - 40,136 403,365
The total proceeds were remitted to the Sponsor.
5. INCOME TAXES
All income received, accretion of original issue discount, expenses paid, and
realized gains and losses on securities sold are attributable to the holder, on
a pro rata basis, for Federal income tax purposes in accordance with the grantor
trust rules of the Internal Revenue Code.
At December 31, 1996, the cost of investment securities for Federal income tax
purposes was approximately equivalent to the adjusted cost as shown in each
Series' portfolio.
6. DISTRIBUTIONS
It is anticipated that each Series will not make any distributions until the
first business day following the maturity of its holding in the Stripped
Treasury Securities which are non-interest bearing.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Portfolios as of December 31, 1996
<TABLE>
- ------------------------------------------------------------------------------------------------------------------------------
SERIES NO. AND COUPON FACE ADJUSTED
TITLE OF SECURITIES RATES MATURITIES AMOUNT COST VALUE(*)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1999 SERIES
- -----------
Stripped Treasury Securities. . . . . . . . . . . . 0% 5-15-99 $448,000 $372,172 $389,669
U.S. Treasury Notes . . . . . . . . . . . . . . . . 8.875% 2-15-99 2,273 2,429 2,404
-------- -------- --------
Total. . . . . . . . . . . . . . . . . . . . . . $450,273 $374,601 $392,073
-------- -------- --------
-------- -------- --------
2009 SERIES
- -----------
Stripped Treasury Securities. . . . . . . . . . . . 0% 05-15-09 $358,000 $134,533 $158,648
U.S. Treasury Notes . . . . . . . . . . . . . . . . 13.25% 05-15-14 1,216 2,502 1,886
-------- -------- --------
Total. . . . . . . . . . . . . . . . . . . . . . $359,216 $137,035 $160,534
-------- -------- --------
-------- -------- --------
</TABLE>
- -------------------
(*) The aggregate values based on offering side evaluations at December 31, 1996
were as follows:
SERIES AMOUNT
------ --------
1999 . . . . . . . . . . . . . . . $392,433
2009 . . . . . . . . . . . . . . . 161,296
See Notes to Financial Statements.
<PAGE>
INVESTMENT SUMMARY OF SERIES E+
As of December 31, 1996
<TABLE>
- ------------------------------------------------------------------------------------------------------------------------------
SERIES E IS A SERIES UNIT INVESTMENT TRUST CONSISTING OF TWO SEPARATE SERIES, EACH WITH ITS OWN PORTFOLIO. THESE ARE THE 1999
SERIES AND 2009 SERIES, DESIGNATED FOR THE MATURITIES OF THEIR UNDERLYING PORTFOLIOS (SEE PORTFOLIOS HEREIN).
1999 2009
SERIES SERIES
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 450,273 $ 359,216
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450,273 359,216
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . . . . . . . . . . . . 1/450,273rd 1/359,216th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . . . . . . . . . . . . . . $ 392,433 $ 161,296
---------- ----------
Divided by number of Units times 1,000. . . . . . . . . . . . . . . . . . . . . . . . . $ 871.54 $ 449.02
Plus the applicable transaction charge**. . . . . . . . . . . . . . . . . . . . . . . . 6.54 7.86
---------- ----------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 878.08 $ 456.88
---------- ----------
---------- ----------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (BASED ON OFFERING SIDE EVALUATION
OF UNDERLYING SECURITIES) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 871.54 $ 449.02
REDEMPTION PRICE PER 1,000 UNITS (BASED ON BID SIDE EVALUATION OF UNDERLYING
SECURITIES)**** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 870.75 $ 446.90
CALCULATION OF ESTIMATED NET ANNUAL INTEREST INCOME PER 1,000 UNITS RECEIVED
IN CASH BY THE FUND
Gross annual income per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.45 $ 0.45
Less estimated annual expense per 1,000 Units . . . . . . . . . . . . . . . . . . . . . 0.45 0.45
---------- ----------
Net annual income per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.00 $ 0.00
---------- ----------
---------- ----------
DISTRIBUTIONS
Distributions will be made on the first business day following the maturity of
each Security in a Series to holders of record on the business day immediately
preceding the date of such distribution.
TRUSTEE'S ANNUAL FEE
Per $1,000 face amount of underlying Securities (see Expenses and Charges). . . . . . . $ 0.35 $ 0.35
EVALUATOR'S FEE FOR EACH EVALUATION
$.35 for each issue of underlying Securities.
Treating separate maturities as separate issues.
EVALUATION TIME
3:30 P.M. New York Time
MANDATORY TERMINATION DATE
January 1, 2039
MINIMUM VALUE OF FUND
Trust Indenture may be terminated with respect to any Series if the value of
that Series is less than 40% of the face amount of Securities.
</TABLE>
- ---------------------
+ The Indenture was signed and the initial deposit was made as of April
17, 1989.
* The aggregate offering side evaluation of the obligations is
determined by the Evaluator on the basis of current offering prices
for the obligations.
** The transaction charges currently applicable to the 1999 Series and
the 2009 Series are .75% and 1.75% of their respective Offering Prices
per 1,000 Units (.756% and 1.781%, respectively, of the net amount
invested in Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series (the
price at which they could be purchased directly by the public if they
were available) by the number of Units of the Series outstanding,
multiplying the result times 1,000 and adding the applicable
transaction charge as described in the preceding footnote. These
figures assume a purchase of 1,000 Units. The price of a single Unit,
or any multiple thereof, is calculated by dividing the Offering Price
per 1,000 Units above by 1,000 and multiplying by the number of Units.
**** Figures shown are $7.33 and $9.98 less than the Offering Price per
1,000 Units and $.79 and $2.12 less than the Sponsor's Repurchase
Price per 1,000 Units, with respect to the 1999 Series and the 2009
Series, respectively.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Independent Auditors' Report
- ------------------------------------------------------------------------------
We have audited the accompanying statement of condition, including the related
portfolio of the Oppenheimer Zero Coupon U.S. Treasuries Trust, Series F, as
of December 31, 1996 and the related statement of operations and changes in
net assets for the years ended December 31, 1996, 1995 and 1994. These
financial statements are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements 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 at December 31, 1996 by
correspondence with the custodian. 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 referred to above present fairly, in
all material respects, the net assets of Oppenheimer Zero Coupon U.S.
Treasuries Trust, Series F at December 31, 1996 and the results of its
operations and changes in its net assets, for the above stated periods, in
conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 20, 1997
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Statement of Condition as of December 31, 1996
- -------------------------------------------------------------------------------
2010
SERIES
- -------------------------------------------------------------------------------
TRUST PROPERTY
Investment in marketable securities (see Portfolio).............. $ 964,864
Cash............................................................. 5,366
Accrued interest receivable...................................... 893
----------
Total trust property......................................... 971,123
LESS LIABILITIES................................................. 6,259
----------
NET ASSETS - Note 2.............................................. $ 964,864
----------
----------
UNITS OUTSTANDING................................................ 2,277,690
----------
----------
UNIT VALUE....................................................... $ .42362
----------
----------
See Notes to Financial Statements
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Statement of Operations
For the Years Ended December 31, 1996, 1995 and 1994
<TABLE>
- -----------------------------------------------------------------------------------------
2010
SERIES
- -----------------------------------------------------------------------------------------
1996 1995 1994
-------- -------- ---------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income...................................... $ 1,021 $ 972 $ 667
Accretion of original issue discount................. 61,079 45,398 34,853
Trustee's fees and expenses - Note 3................. (1,021) (972) (667)
-------- -------- ---------
Net investment income................................ 61,079 45,398 34,853
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions............. - 7,439 13,974
Net change in unrealized appreciation
of investments.................................. (91,994) 179,203 (114,358)
-------- -------- ---------
Net gain (loss) on investments....................... (91,994) 186,642 (100,384)
-------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $(30,915) $232,040 $ (65,531)
-------- -------- ---------
-------- -------- ---------
</TABLE>
See Notes to Financial Statements.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Statement of Changes in Net Assets
For the Years Ended December 31, 1996, 1995 and 1994
<TABLE>
- --------------------------------------------------------------------------------
2010
SERIES
- --------------------------------------------------------------------------------
1996 1995 1994
-------- -------- ---------
<S> <C> <C> <C>
OPERATIONS
Net investment income....................... $ 61,079 $ 45,398 $ 34,853
Realized gain on securities transactions.... - 7,439 13,974
Net unrealized appreciation (depreciation)
of investments............................. (91,994) 179,203 (114,358)
-------- -------- ---------
Net increase (decrease) in net assets
resulting from operations.................. (30,915) 232,040 (65,531)
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units......................... - 393,549 -
Redemption of Units....................... - (74,072) (104,416)
-------- -------- ---------
Net increase (decrease) in net assets..... (30,915) 551,517 (169,947)
NET ASSETS:
Beginning of period..................... 995,779 444,262 614,209
-------- -------- ---------
End of period........................... $964,864 $995,779 $ 444,262
-------- -------- ---------
-------- -------- ---------
</TABLE>
See Notes to Financial Statements
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994
- -------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance policies.
The Fund's sponsor is Oppenheimer Funds Distributor, Inc. The following is a
summary of significant accounting policies consistently followed by the Fund.
The policies are in conformity with generally accepted accounting principles.
(a) Securities are stated at value as determined by the Evaluator based on bid
side evaluations for the securities.
(b) Cost of securities have been adjusted to include the accretion of original
issue discount on the Stripped Treasury Securities.
2. NET CAPITAL
<TABLE>
DECEMBER 31,
------------------------------
1996 1995 1994
-------- -------- --------
<S> <C> <C> <C>
2010 SERIES
Cost of 2,277,690, 2,277,690 and 1,451,539 Units,
respectively........................................ $699,696 $699,696 $352,736
Less sales charge.................................... 13,503 13,503 7,819
-------- -------- --------
Net amount applicable to certificateholders.......... 686,193 686,193 344,917
Accretion of original issue discount................. 176,696 115,617 84,579
Net unrealized appreciation of investments........... 101,975 193,969 14,766
-------- -------- --------
Net capital applicable to certificateholders......... $964,864 $995,779 $444,262
-------- -------- --------
-------- -------- --------
</TABLE>
3. EXPENSES
Trustee's fees and other expenses incurred by the Fund are limited to the
amount of income generated by the Interest Bearing Treasury Securities in each
Series. Any excess expenses are assumed by the Sponsor.
4. CAPITAL SHARE TRANSACTIONS
ISSUANCE
Additional Units were issued by the Fund during the periods ended December 31,
1996, 1995 and 1994, as follows:
1996 1995 1994
-------- --------- ------
2010..................... - 1,046,994 -
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Notes to Financial Statements
For the Years Ended December 31, 1996, 1995 and 1994
- -------------------------------------------------------------------------------
REDEMPTIONS
During 1996, 1995 and 1994, the Sponsor elected to redeem Units of the Fund,
as follows:
1996 1995 1994
------- ------- -------
2010........................... - 220,843 325,241
The total proceeds were remitted to the Sponsor.
5. INCOME TAXES
All income received, accretion of original issue discount, expenses paid, and
realized gains and losses on securities sold are attributable to the holder,
on a pro rata basis, for Federal income tax purposes in accordance with the
grantor trust rules of the Internal Revenue Code.
At December 31, 1996, the cost of investment securities for Federal income tax
purposes was approximately equivalent to the adjusted cost as shown in each
Series' portfolio.
6. DISTRIBUTIONS
It is anticipated that the Series will not make any distributions until the
first business day following the maturity of its holding in the Stripped
Treasury Securities which are non-interest bearing.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Portfolio as of December 31, 1996
<TABLE>
- ------------------------------------------------------------------------------------------------
Series No. and Coupon Face Adjusted
Title of Securities Rates Maturities Amount Cost Value(*)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2010 Series
- -----------
Stripped Treasury Securities..... 0% 2-15-10 $2,269,000 $850,250 $953,320
U.S. Treasury Notes.............. 11.75% 2-15-10 8,690 12,639 11,544
---------- -------- --------
Total......................... $2,277,690 $862,889 $964,864
---------- -------- --------
---------- -------- --------
</TABLE>
- -------------------
(*) The aggregate values based on offering side evaluations at December 31, 1996
were as follows:
Series Amount
------ --------
2010.................................... $969,724
See Notes to Financial Statements.
<PAGE>
INVESTMENT SUMMARY OF SERIES F+
As of December 31, 1996
- ------------------------------------------------------------------------------
Series F is a series unit investment trust consisting of the 2010 Series
designated for the maturity of its underlying Portfolio (see Portfolio herein).
2010
SERIES
- ------------------------------------------------------------------------------
FACE AMOUNT OF SECURITIES..................................... $ 2,277,690
NUMBER OF UNITS............................................... 2,277,690
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED
BY EACH UNIT................................................ 1/2,277,690 TH
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund*.. $ 969,724
--------------
Divided by number of units times 1,000..................... $ 425.75
Plus the applicable transaction charges**.................. 7.45
--------------
Offering price per 1,000 units............................. $ 433.20
--------------
--------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (BASED ON OFFERING
SIDE EVALUATION OF UNDERLYING SECURITIES)................... $ 425.75
REDEMPTION PRICE PER 1,000 UNITS (BASED ON BID SIDE
EVALUATION OF UNDERLYING SECURITIES)****.................... $ 423.62
CALCULATION OF ESTIMATED NET ANNUAL INTEREST INCOME PER
1,000 UNITS RECEIVED IN CASH BY THE FUND
Gross annual income per 1,000 Units........................ $ 0.45
Less estimated annual expenses per 1,000 units............. 0.45
--------------
Net annual income per 1,000 Units.......................... $ 0.0
--------------
--------------
DISTRIBUTIONS
Distributions will be made on the first business day following the maturity
of each Security in a Series to holders of record on the business day
immediately preceding the date of such distribution.
TRUSTEE'S ANNUAL FEE
Per $1,000 face amount of underlying Securities (see
Expenses and Charges).................................... $ 0.35
EVALUATOR'S FEE FOR EACH EVALUATION
$.35 for each issue of underlying Securities. Treating
separate maturities as separate issues.
EVALUATION TIME
3:30 p.m. New York Time
MANDATORY TERMINATION DATE
January 1, 2040
MINIMUM VALUE OF FUND
Trust Indenture may be terminated with respect to the
Series if the value is less than 40% of the face amount
of the Securities.
- -------------------
+ The Indenture was signed and the initial deposit was made as of
April 24, 1990.
* The aggregate offering side evaluation of the obligations is determined
by the Evaluator on the basis of current offering prices for the
obligations.
** The transaction charge currently applicable to the 2010 Series is 1.75% of
its respective Offering Price per 1,000 Units (1.781% of the net amount
invested in Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series (the
price at which they could be purchased directly by the public if they
were available) by the number of Units of the Series outstanding,
multiplying the result times 1,000 and adding the applicable transaction
charge as described in the preceding footnote. These figures assumes a
purchase of 1,000 Units. The price of a single Unit, or any multiple
thereof, is calculated by dividing the Offering Price per 1,000 Units
above by 1,000, and multiplying by the number of Units.
**** Figures shown are $9.58 less than the Offering Price per 1,000 Units and
$2.13 less than the Sponsor's Repurchase Price per 1,000 Units.
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST
Series A, B, C, D, E and F
- -----------------------------------------------------------------------------
SPONSOR
OPPENHEIMERFUNDS DISTRIBUTOR, INC.
Two World Trade Center
New York, New York 10048
TRUSTEE
THE CHASE MANHATTAN BANK, N.A.
770 Broadway, 6th Floor
New York, New York 10003
EVALUATOR
INTERACTIVE DATA
Suite 501
350 South Figueroa
Los Angeles, California 90071
AUDITORS
DELOITTE & TOUCHE LLP
The Anaconda Tower
555 Seventeenth Street
Suite 3600
Denver, Colorado 80202-3942
