Investors are advised to read and retain this Prospectus for future
reference.
Oppenheimer Zero Coupon U.S. Treasuries Trust,
Series A through F
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
through F (the "Fund"), seeks safety of principal and income
through investment in and appreciation of 12 series unit investment
trusts, each with its own fixed portfolio of debt obligations
issued or backed by the full faith and credit of the U.S.
Government which make no periodic interest payments and are
therefore purchased at a deep discount. The 12 fixed investment
portfolios (each of which is designated as a "Series") consist
mainly of bearer debt obligations issued by the U.S. Government
which have been stripped of their unmatured interest coupons ("zero
coupon obligations"), coupons stripped from U.S. debt obligations,
and receipts and certificates for such stripped debt obligations
and coupons (collectively, "Stripped Treasury Securities").
The obligations held in each of the Series currently have
maturity dates in the years 1997 through 2000, and 2005 through
2010. When held to maturity, Stripped Treasury Securities receive
approximately a fixed yield. The value of Stripped Treasury
Securities prior to maturity, and therefore of Units of the Fund,
may fluctuate more in response to changing interest rates than debt
obligations of comparable maturities making periodic distributions
of interest. See "Description of the Fund - Special
Considerations."
Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life or
variable annuity insurance policies. At the date of this
Prospectus, Units are being sold to Monarch Life Insurance Company
("Monarch") to fund the benefits under Variable Life Insurance
Policies, including Variable Account B, issued by Monarch.
Variable Account B invests in Units of the Fund in accordance with
allocation instructions received from Policyowners. These
allocation rights are further described in the accompanying
Prospectus for the Policies. Oppenheimer Funds Distributor, Inc.
(the "Sponsor") has undertaken to maintain a secondary market for
Units based on the aggregate offering side evaluation of the
underlying obligations of each Series, which will enhance the
liquidity of an investment in Units.
Sponsor: OppenheimerFunds Distributor, Inc.
Two World Trade Center
New York, New York 10048-0203
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE
SECURITIES AND EXCHANGE COMMISSION NOR HAS THE SECURITIES AND
EXCHANGE COMMISSION PASSED UPON THE ACCURACY OR ADEQUACY OF THIS
PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL
OFFENSE.
This Prospectus is effective May 1, 1997.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Page
Investment Summaries 3
Description of the Fund 11
Structure 11
Special Considerations 12
Special Considerations of Stripped Treasury Securities 12
The Portfolio 14
Selection and Acquisition of Obligations 14
The Units 15
Income and Yield 16
Taxes 17
Sale of Units 19
Offering Price 19
Comparison of Offering Price, Sponsor's 20
Repurchase Price and Redemption Price
Distribution 21
Sponsor's Profits 21
Market for Units 22
Redemption of Units 22
Expenses and Charges 24
Administration of the Fund 25
Resignation, Removal and Limitations on Liability 28
Additional Information 29
Trustee 29
Legal Opinion 30
Auditors 30
Sponsor 30
Financial Statements of Series A 31
Financial Statements of Series B 38
Financial Statements of Series C 45
Financial Statements of Series D 52
Financial Statements of Series E 59
Financial Statements of Series F 66
Financial Statement of the Sponsor 73
</TABLE>
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>
<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>
<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>
<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>
<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>
<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>
Investment Summary (continued)
OBJECTIVE OF THE FUND - The Fund's objective is to provide
safety of capital and income by offering Units in fixed portfolios
consisting primarily of bearer debt obligations issued by the
United States of America that have been stripped of their unmatured
interest coupons, interest coupons that have been stripped from
bearer debt obligations issued by the United States of America, and
receipts and certificates for such stripped debt obligations and
stripped coupons (collectively, "Stripped Treasury Securities").
The Fund consists of Series A, B, C, D and E (each of which have
two separate series outstanding) and Series F (one separate
series), each separate series containing Stripped Treasury
Securities with a fixed maturity corresponding to the designation
of the series (collectively and individually, the "Series").
Stripped Treasury Securities do not make any periodic payments of
interest prior to maturity. The stripping of the interest coupons
will cause Stripped Treasury Securities to be purchased by the Fund
at a deep discount. The Sponsor may at one or more times in the
future deposit additional Stripped Treasury Securities, with
maturities identical to those of the securities initially
deposited, in any or all of the Series following the Initial Date
of Deposit (See "Description of Fund - Structure"). The market
value of the obligations held by the Series, and therefore the
value of Units, will fluctuate with changes in interest rates and
other factors. The value of zero coupon obligations, and therefore
of Units, may be subject to greater fluctuations in response to
changing interest rates than debt obligations making distributions
of interest on a periodic basis. See "Description of the Fund -
Special Considerations."
Units of the Fund are sold only to separate accounts of life
insurance companies to fund the benefits under variable life or
variable annuity insurance policies. At the date of this
Prospectus, Units are being sold to Monarch Life Insurance Company
("Monarch") to fund the benefits under Variable Life Insurance
Policies, including Variable Account B, issued by Monarch (the
"Account"). Accordingly, the interest of a Policyowner in the
Units is subject to the terms of the Policy and is described in the
accompanying Prospectus for the Policies, which should be reviewed
carefully by a person considering the purchase of a Policy. The
Prospectus for the Policies describes the relationship between
increases or decreases in the net asset value of, and any
distributions of, Units, and the benefits provided under a Policy.
The rights of an Account as a Holder of Units should be
distinguished from the rights of a Policyowner which are described
in the Policies. As Units of the Fund are sold only to Accounts,
the term "Holder" in this Prospectus shall refer to the Accounts
(or to the Sponsor if it holds Units acquired in the secondary
market - see "Market for Units").
SECURITIES - Each Series consists primarily of an issue of
Stripped Treasury Securities, and it is intended that the
obligation selected for inclusion in each of the Series will comply
with any investment limitations required to assure favorable
Federal income tax treatment for the Policies. Each such
obligation was purchased at a deep discount. Although the
obligations are not rated, in the opinion of the Sponsor, they have
credit characteristics comparable to or higher than those of debt
securities rated "AAA" by nationally recognized rating agencies.
Each Series also initially contains one interest-bearing obligation
issued by the United States of America or backed by the full faith
and credit of the United States (the "Interest-Bearing Security")
deposited in order to provide income with which to pay the expenses
of such Series.
SPECIAL CONSIDERATIONS - An investment in Units of a Series
should be made with an understanding of the risks which an
investment in deep discount obligations may entail, including the
risk that the value of the obligations in a Series and hence of the
Units will decline with increases in interest rates (see
"Description of the Fund - Special Considerations"). For each
1,000 Units of a Series purchased, a Holder will receive total
distributions of $1,000 for Units held until maturity of the
underlying Securities of that Series. Furthermore, the Offering
Price will vary in accordance with fluctuations in the values of
the Securities and the distributions could change if such
obligations are retired or sold prior to maturity, or as the
expenses of the Series change. For a discussion of the economic
differences between the Fund and a fund comprised primarily of
interest-bearing debt obligations, see "Description of the Fund -
Income and Yield."
DISTRIBUTIONS - There will be no payments of interest on the
obligations held by each Series other than interest on the
Interest-Bearing Security in each Series, which will be used to pay
the expenses of each such Series. Consequently, it is not
anticipated that there will be any distributions of interest
income. However, each Stripped Treasury Security will be treated
for Federal income tax purposes as having "original issue
discount," which must be amortized over the remaining maturity of
the Stripped Treasury Security and must be included in a Holder's
ordinary income before the Holder receives the cash attributable to
such income (see "Description of the Fund - Taxes". A distribution
will be made in cash when the obligations in a Series mature. Any
amount received prior to such time as a result of the sale of
obligations held by a Series in order to meet redemptions of Units
exceeding the amount necessary to meet such redemptions will not be
distributed until the maturity of the remaining obligations in such
Series (see "Administration of the Fund - Accounts and
Distributions").
MARKET FOR UNITS - The Sponsor has undertaken to maintain a
secondary market for Units based on the aggregate offering side
evaluation of the underlying obligations of each Series (see
"Market for Units"). If the Sponsor should fail to maintain that
market, a Holder will be able to dispose of Units through
redemption at prices based on the aggregate bid side evaluation of
the underlying obligations of the Series in which it holds Units
(see "Redemption"). Market conditions may cause the prices to be
more or less than the amount paid for Units.
DESCRIPTION OF THE FUND
STRUCTURE - Series A through F were created under New York law
by one Trust Indenture (the "Indenture")* among OppenheimerFunds
Distributor, Inc. (the "Sponsor"), The Chase Manhattan Bank, N.A.
(the "Trustee") and Standard & Poor's Corporation (the
"Evaluator"). On the respective initial dates of deposit for each
of Series A through F stated in the Investment Summary (the
"Initial Date of Deposit"), the Sponsor deposited the underlying
obligations with the Trustee of each Series at prices equal to the
valuation of those obligations on the offering side of the market
as determined by the Evaluator, and the Trustee delivered to the
Sponsor units of interest ("Units") representing the entire
ownership of each Series of the Fund. As indicated under "The
Portfolio," below, the obligations deposited in the Series were the
Securities or were represented by purchase contracts assigned to
the Trustee together with an irrevocable letter or letters of
credit issued by a commercial bank or banks in the amount necessary
to complete their purchase. Holders of Units will have the right
to have their Units redeemed (see "Redemption") at a price based on
the aggregate bid side evaluation of the obligations ("Redemption
Price per Unit") if they cannot be sold in the secondary market
that the Sponsor has undertaken to maintain (see "Market for
Units"). Redemptions will be made in cash or, if elected by the
Holder, in kind by distributing to the Holders obligations held by
the Series having an aggregate value equal to the value of the
Units being redeemed.
- -----------------
*References in this Prospectus are made to selected articles and
sections of the Indenture, and all statements made herein are
qualified in their entirety by the terms of the indenture, which is
hereby incorporated in its entirety by reference. A complete copy
of the Trust Indenture is available upon request to the Trustee.
SPECIAL CONSIDERATIONS - An investment in Units of the Fund
should be made with an understanding of the risks which an
investment in deep discount debt obligations may entail, including
the risk that the value of the obligations in a Series and hence of
the Units will decline with increases in interest rates and that a
direct Holder (but not necessarily Policyowners - see "Taxes" under
this caption) will have significant amounts of taxable income
attributable to it before the receipt of the cash attributable to
such income. In the past, periods of high inflation, together with
the fiscal measures adopted to attempt to deal with it, have caused
wide fluctuations in interest rates and, thus, of the value of
fixed rate debt obligations generally. The Sponsor cannot predict
whether such fluctuations will continue in the future.
Because interest on zero coupon obligations and similarly, the
amounts the Fund will receive from Stripped Treasury Securities,
are not distributed to the Fund on a current basis but are in
effect compounded, the value of obligations of these types,
including the value of accrued and reinvested interest (and of a
fund comprised of such obligations), is subject to greater
fluctuations than obligations which distribute income regularly.
Accordingly, while the full faith and credit of the United States
Government backs the obligations held in the Series, the value of
Units will fluctuate in response to changes in interest rates to a
greater extent than would be the case if the Series consisted
primarily of debt obligations which paid interest on a regular
basis. In addition, the longer the maturity of the obligations in
a Series, the greater the fluctuation in value of the Units as a
result of changes in interest rates. The sale or redemption of
Units prior to the maturity of the obligations in a Series could,
therefore, result in a loss if effected at a time when interest
rates are higher than they were at the time such Units were
purchased.
SPECIAL CONSIDERATIONS OF STRIPPED TREASURY SECURITIES - The
Stripped Treasury Securities held in the Series are bearer
obligations which are transferable by delivery. Stripped Bonds are
those that have been stripped of their unmatured interest coupons
by the holder; Stripped Coupons are coupons that were originally
issued as part of and attached to a debt obligation and have
subsequently been stripped from such obligation by a holder.
Payments of principal, in the case of stripped bonds, and payments
of interest, in the case of Stripped Coupons, are made to the
holder of such bonds or coupons at the time of payment. Stripped
Bonds and Stripped Coupons are sold at a deep discount because the
buyer of such obligations receives only the right to receive a
future fixed payment and does not receive payments on a periodic
basis.
Stripped Treasury Securities held by any Series shall consist
solely of one or more of the following types of obligations: (a)
U.S. Treasury debt obligations originally issued as bearer coupon
bonds which have been stripped of their unmatured interest coupons,
(b) coupons which have been stripped from U.S. Treasury bearer
bonds, and (c) receipts or certificates for either of the foregoing
that evidence ownership of future interest or principal payments on
such obligations. Stripped Treasury Securities are debt
obligations of the United States Government which are payable in
full at maturity at their stated maturity amount and are not
subject to redemption prior to maturity. Stripped Treasury
Securities do not make any periodic payments of interest.
The receipts or certificates described above must be issued in
registered form by a major bank which acts as custodian and nominal
holder of the obligation (which may be held by it either in
physical or in book entry form). The terms of custody with the
bank must provide that the underlying debt obligations will be held
separate from the general assets of the bank and will not be
subject to any right, charge, security interest, lien or claim of
any kind in favor of the bank or any person claiming through the
bank, and the bank will be responsible for applying all payments
received on those underlying debt obligations to the related
receipts or certificates without making any deductions other than
applicable tax withholding. The bank is required to maintain
insurance for the protection of holders of receipts or certificates
in customary amounts against losses resulting from the custody
arrangement due to dishonest or fraudulent action by the bank's
employees. The holders of receipts or certificates, as the real
parties in interest, are entitled to the rights and privileges of
the underlying debt obligations including the right in the event of
default in payment of principal or interest thereof to proceed
individually against the United States without acting in concert
with other holders of such receipts or certificates, or the bank.
The Stripped Treasury Securities in each Series are purchased
at a substantial discount from their principal amounts payable at
maturity. A holder of Stripped Treasury Securities will be
required to include annually in gross income an allocable portion
of the discount created by coupon stripping, prior to receipt of
the principal payments at maturity, notwithstanding the fact that
the holder receives no cash payment until the maturities of the
obligations. However, an insurance company separate account such
as the Account can avoid being taxed on such income by deducting an
equal amount for an increase in reserves. Stripped Treasury
Securities are marketable in substantially the same manner as other
discount securities issued by the U.S. Treasury.
THE PORTFOLIO - The Portfolio of each Series consists of one
issue of Stripped Treasury Securities, with a fixed maturity date,
that has been stripped of its interest coupons or underlying bond
and as such was purchased at a deep discount (see above), and of an
Interest-Bearing Treasury Security generally with the same maturity
date as the Stripped Treasury Security, deposited in order to
provide income with which to pay the expenses of the Series. If
the Interest-Bearing Treasury Security in a Series matures either
prior or subsequent to its corresponding Stripped Treasury
Security, and as a result the Series has either a deficit or an
excess of income at maturity of the Stripped Treasury Security, the
Sponsor shall reallocate income from or to its own account as
necessary. It is intended that the Portfolio of each Series will
comply with any investment limitations required to assure favorable
Federal income tax treatment for the Policies.
SELECTION AND ACQUISITION OF OBLIGATIONS - In selecting
obligations for deposit in the Fund, the following factors, among
others, were considered by the Sponsor: (i) the types of such
obligations available; (ii) the prices of such obligations relative
to other comparable obligations; (iii) the extent to which such
obligations trade at a discount from par once the interest coupons
are stripped; (iv) the yield to maturity of such obligations; and
(v) the maturities of such obligations.
The yield to maturity and discount from par on debt
obligations of the type deposited in the Fund are dependent on a
variety of factors, including general money market conditions,
general conditions of the bond market, prevailing interest rates
and the maturities of the obligations.
Each Series consists of such of the obligations listed under
"Portfolio" (or contracts to purchase such obligations) as may
continue to be held from time to time in the Series and any
additional obligations acquired and held by the Series pursuant to
the provisions of the Indenture (including provisions with respect
to deposit into the Series of obligations in connection with the
sale of additional Units), together with accrued and undistributed
interest on the Interest-Bearing Treasury Security deposited in
order to pay the expenses of the Series and undistributed cash
representing payments of principal and uninvested cash realized
from the disposition of obligations (see "Administration of the
Fund - Portfolio Supervision").
Neither the Sponsor nor the Trustee shall be liable in any way
for any default, failure or defect in any of the obligations. In
the event of a failure to deliver any obligation that has been
purchased for a Series under a contract ("Failed Security"), the
Sponsor is authorized under the Indenture to direct the Trustee to
acquire other obligations ("Replacement Securities") to make up the
original portfolio of the Series. Replacement Securities must be
purchased within 20 days after the Initial Date of Deposit and the
purchase price may not exceed the amount of funds reserved for the
purchase of the Failed Security. Replacement Securities must: (i)
be obligations of a type authorized to be held by the Fund; (ii)
have a fixed maturity identical to that of the Failed Security; and
(iii) be purchased at a price that results in a yield to maturity
as of the Date of Deposit which is equivalent (taking into
consideration then-current market conditions) to the yield to
maturity of the Failed Security. Whenever a Replacement Security
has been acquired for a Series, the Trustee shall, within five days
thereafter, notify all Holders of the affected Series of the
acquisition of the Replacement Security and, within 30 days
thereafter, make a pro rata distribution of the amount, if any, by
which the cost to the Series of the Failed Security exceeded the
cost of the Replacement Security plus any accrued interest or
amortization. If this right of substitution shall not be utilized
to acquire Replacement Securities in the event of a failed
contract, the Sponsor shall, within 30 days after the failure,
cause to be refunded the attributable transaction charge plus the
attributable Cost of Obligations to Series listed under Portfolio,
plus accrued interest and amortization.
Because certain of the obligations held in a Series may be
sold under certain circumstances described herein, each Series is
not expected to retain its present size and composition (see
"Redemption"). The Indenture also authorizes the Sponsor to
increase the size and number of Units of any Series by the deposit
of additional obligations and the issue of a corresponding number
of additional Units at times following the Initial Date of Deposit,
subject to the requirements applicable to Replacement Securities,
with the further requirement that any additional Interest-Bearing
Treasury Securities bear interest at the same rate as the
Interest-Bearing Treasury Securities initially deposited in the
Series. These requirements are designed to avoid any adverse
impact upon the amounts available to Holders who acquire Units
prior to the deposit of additional obligations.
THE UNITS - On the date of the Investment Summary, each Unit
of each Series represented the fractional undivided interest in
such Series set forth under "Investment Summary." Thereafter, if
Units of any Series are redeemed by the Trustee, the face amount of
obligations in the Series will be reduced by amounts allocable to
redeemed Units, and the fractional undivided interest represented
by each Unit in the balance of the Series will be increased. If
additional Units are issued by any Series (through deposit of
additional obligations by the Sponsor in connection with the sale
of additional Units), the aggregate value of obligations in the
Series will be increased by amounts allocable to additional Units,
and the fractional undivided interest represented by each Unit in
the balance of the Series will be decreased. Units will remain
outstanding until redeemed upon tender to the Trustee by a Holder,
which may include the Sponsor (see "Redemption") or until the
termination of the Indenture (see "Administration of the Fund -
Amendment and Termination") with respect to a Series.
INCOME AND YIELD - The economic effect of purchasing Units of
any Series is that the investor who holds his Units until maturity
of the underlying obligations should receive approximately a fixed
yield, not only on his original investment but on all earned
discount during the term of the obligations. The assumed or
implicit automatic reinvestment of the portion of the yield
represented by earned discount differentiates this Fund from funds
comprised of customary debt payments which make periodic payments
of interest. Accordingly, an investor in the Units, unlike an
investor in a fund comprised of interest bearing obligations paying
periodic interest, virtually eliminates the risk of being unable to
reinvest distributions at a rate as high as that at the time of the
initial investment, but will forgo the ability to reinvest at
higher rates which may be available in the future.
The Interest-Bearing Treasury Security deposited in each
Series includes an item of accrued but unpaid interest up to the
Initial Date of Deposit. To avoid having a Holder pay this accrued
interest (which earns no return) when Units are purchased, the
Trustee pays this amount of accrued interest to the Sponsor as a
special distribution. The Trustee will recover the amount of this
distribution from interest subsequently received on the
Interest-Bearing Treasury Security. Although this obligation will
also accrue interest during the period between the Initial Date of
Deposit and the date of settlement for Units, the Sponsor
anticipates that any such amount of accrued interest will be
minimal and, therefore, will not be added to the Offering Price
indicated under "Investment Summary." Any accrued interest on
obligations deposited subsequent to the Initial Date of Deposit
which accrues prior to the deposit of such obligations will be paid
to the Sponsor as a special distribution, and no such interest
accruing between the date of deposit of such obligations and the
settlement date for Units offered for sale in connection with the
deposit of such obligations will be added to the Offering Price of
such Units.
The Offering Price of each Series will vary in accordance with
fluctuations in the prices of the obligations held by the Series.
Changes in the Offering Prices will result in changes in the yields
to maturity.
TAXES - The following discussion relates only to direct
Holders of Units of the Fund and not to Policyowners. If an
Account is the Holder, any taxable income will in effect be offset
by a deduction for an increase in reserves. For information on tax
consequences to Policyowners, see the attached Prospectus for the
Policies.
In the opinion of Gordon Altman Butowsky Weitzen Shalov &
Wein, special counsel for the Sponsor, with respect to rendering
advice to direct Holders of Units, under existing law:
Each Series will not be considered an association taxable as
a corporation, but is classified as a trust for Federal income tax
purposes.
Each Series will be treated as a grantor trust for Federal
income tax purposes. Each Holder of Units of a Series will be
considered the owner of a pro rata portion of each obligation in
such Series. The total cost to a Holder for Units of a Series,
including sales charges, is allocated among its pro rata portion of
each obligation in such Series (in proportion to the fair market
value thereof on the date the Units are purchased) in order to
determine its tax cost for its pro rata portion of each obligation.
A Holder is required to treat its pro rata portion of each
Stripped Treasury Security in its Series as a bond that was
originally issued on the date the Holder purchased its Units at an
original issue discount equal to the excess of the stated
redemption price at maturity (or, in the case of a coupon, the
amount payable on the due date of such coupon) over the Holder's
tax cost of such Stripped Treasury Security as discussed above, and
to include annually in income a portion of such original issue
discount determined under a formula which takes into account the
compounding of interest.
Each Holder of a Series will be considered to have received
the income of its pro rata portion of the Interest-Bearing Treasury
Security when interest thereon is received by the Series. Each
Holder of a Series will be considered to have paid its pro rata
share of expenses paid by its Series, including fees of the Trustee
and the Evaluator.
A Holder will recognize taxable gain (or loss) when all or
part of its pro rata portion of an obligation in its Series is
disposed of (i.e., if the Series sells the obligation or if the
Holder sells or redeems for cash all or some of its Units) for an
amount greater (or less) than its original tax cost therefor,
increased by the amount of amortized original issue discount
included in the Holder's gross income as discussed above. Such
resulting gain or loss will be capital gain or loss (except in the
case of a dealer or financial institution), and will be long-term
capital gain if the Holder has held its Units for more than one
year. However, a distribution to a Holder upon redemption of Units
made in kind by distributing obligations held by a Series will not
be a taxable event to the Holder or to nonredeeming Holders. The
redeeming Holder's basis for any obligations distributed in kind
will be equal to its basis in such obligations (previously
represented by its Units) prior to such redemption, and its holding
period for such obligations will include the period during which it
held its Units. However, a Holder may recognize taxable gain or
loss when the Holder sells the obligations so distributed for cash.
Under the income tax laws of the State and City of New York,
each Series is not an association taxable as a corporation, and
income received by the Series will be treated as income of the
Holders of the Series in the same manner as for Federal income tax
purposes.
* * *
The direct Holders of Units will be required for Federal
income tax purposes to include amounts in ordinary gross income in
advance of the receipt of the cash attributable to such income.
Therefore, direct purchase of Units may be appropriate only for a
tax-deferred account which can have taxable income attributed in
advance of the receipt of the cash attributable to such income and
prior to the time that such income is earned.
After the end of each calendar year, the Trustee will furnish
to each such Holder a report from which the Holder may determine
the income received by its Series on its pro rata portion of the
Interest-Bearing Treasury Security and the Holder's pro rata
portion of the fees and expenses paid by its Series. In order to
enable compliance with Federal and state tax reporting
requirements, Holders will be furnished upon request to the Trustee
with evaluations of obligations held by the Fund furnished to it by
the Evaluator (Section 4.01).
The foregoing discussion relates only to Federal and New York
income taxes. Holders may also be subject to state and local
taxation in other jurisdictions.
SALE OF UNITS
OFFERING PRICE - The Offering Price of the Units of each
Series is computed by adding to the offering side evaluation of the
Units in such Series, divided by the number of Units of such Series
outstanding, the applicable transaction charge depending on the
remaining years to maturity of the Stripped Treasury Security in
the Series:
<TABLE>
<CAPTION>
Transaction Charge Transaction Charge
Remaining as Percentage as Percentage of
Years to Maturity of Offering Price Net Amount Invested
<S> <C> <C>
Less than 2 years 0.25% 0.251%
At least 2 years but 0.50% 0.503%
less than 3 years
At least 3 years but 0.75% 0.756%
less than 5 years
At least 5 years but 1.00% 1.010%
less than 8 years
At least 8 years but 1.50% 1.523%
less than 13 years
At least 13 years but 1.75% 1.781%
less than 18 years
18 years or more 2.00% 2.041%
</TABLE>
On Units sold to an Account, Monarch will initially pay the
transaction charge, which it may recover through an asset charge.
(See the accompanying Prospectus for the Policies for further
information.) Except as described under "Description of the Fund -
Income and Yield," a proportionate share of any accrued but
undistributed interest on the obligations at the date of delivery
of Units to the purchaser of Units is added to the Offering Price.
The Offering Prices on the date of this Prospectus or on any
subsequent date will vary from the Offering Prices on the Initial
Date of Deposit in accordance with fluctuations in the offering
side evaluations of the underlying obligations of the Series.
Amortization of discount will have the effect of increasing at any
particular time the offering side evaluation of the underlying
obligations.
The offering side evaluation of a Unit of a Series is computed
by adding: (a) the aggregate offering side evaluation of the
obligations determined by the Evaluator, (b) cash on hand in the
Series (other than cash deposited by the Sponsor for the purchase
of obligations), (c) accrued and unpaid interest as of the date of
computation and (d) all other assets of the Series; deducting
therefrom, to the extent it does not exceed the sum of (b), (c) and
(d) above, the sum of (x) taxes or other governmental charges
against the Series not previously deducted, (y) accrued fees and
expenses of the Trustee (including legal and auditing expenses),
the Evaluator and counsel, and certain other expenses, and (z) any
cash held for distribution to Holders of record as of a date prior
to the evaluation; and dividing the result by the number of Units
outstanding (Sections 4.01 and 5.01). Any expenses in excess of
the sum of (b), (c) and (d) above shall be assumed by the Sponsor.
The aggregate offering side evaluation of the obligations
shall be determined by the Evaluator in the following manner: (a)
on the basis of current offering prices for the obligations, or (b)
if offering prices are not available for the obligations, on the
basis of current offering prices for comparable securities, or (c)
by determining the value of the obligations on the offering side of
the market by appraisal, or (d) by any combination of these three.
The Evaluator may obtain current price information as to the
obligations from investment dealers or brokers (including those
affiliated with the Sponsor) which customarily deal in such
obligations.
The Offering Price is determined each business day during any
initial offering as of the Evaluation Time set forth under
"Investment Summary," effective for all sales made since the last
such evaluation and is made on the last business day of each week
during any period when there is no initial offering (i.e., when no
additional Units are being offered for sale), effective for all
sales made during the following week. The Sponsor shall also cause
the aggregate value of each Series to be evaluated as of the
Evaluation Time (i) on each June 30 and December 31 (or the last
business day prior thereto), (ii) on the day on which any Unit is
tendered for redemption and (iii) at such other times as may be
necessary (Section 5.01).
COMPARISON OF OFFERING PRICE, SPONSOR'S REPURCHASE PRICE AND
REDEMPTION PRICE - On the date of the Investment Summary, the
Offering Prices per Unit (which includes the transaction charge)
and the Sponsor's Repurchase Prices per Unit (each based on the
offering side evaluation of obligations in each of the Series - see
"Offering Price" under this caption) exceeded the Redemption Prices
per Unit (based on the bid side evaluation thereof - see
"Redemption of Units") by the amounts set forth under "Investment
Summary."
Because the bid side evaluations of Units are lower than the
offering side evaluations thereof by the amounts set forth under
the Investment Summary and for other reasons (including
fluctuations in the market prices of such obligations and the fact
that the Offering Prices include a transaction charge), the amount
realized by a Holder upon any redemption of Units may be less than
the price paid for such Units.
DISTRIBUTION - During the initial offering period (i) for
Units issued on the Initial Date of Deposit and (ii) for additional
Units issued after such date relating to additional obligations
deposited by the Sponsor, Units may be purchased by the Account at
the Offering Price by means of this Prospectus (except that, as
explained above, the transaction charge is initially paid by the
life insurance company). The initial offering period in each case
will terminate on the date all newly issued Units are sold. Upon
the completion of any initial offering, Units which may be acquired
in the secondary market may be offered to an Account by this
Prospectus at the secondary market Offering Prices (see "Market for
Units"), also less the transaction charge paid by the life
insurance company.
SPONSOR'S PROFITS - Upon the sale of the Units, the Sponsor
receives the transaction charge at the rates set forth above. This
is the difference between the cost of the obligations to the Series
(which is based on the offering side evaluation of the obligations
deposited in the Series on the Initial Date of Deposit) and the
purchase price of such obligations to the Sponsor. The Sponsor may
realize a profit or loss on the deposit of additional obligations
in the Series following the Initial Date of Deposit. During the
initial offering period, and thereafter to the extent additional
Units continue to be offered for sale, the Sponsor also may realize
profits or sustain losses as a result of fluctuations in the
aggregate value of the obligations after the initial date of their
deposit, which will affect the Offering Price received by it on the
sale of Units. Cash, if any, made available to the Sponsor prior
to the settlement dates for Units may be used in the Sponsor's
business and may be of benefit to the Sponsor.
In maintaining a market for the Units (see "Market for Units"
below), the Sponsor will also realize profits or sustain losses in
the amount of any difference between the prices at which it buys
Units and the prices at which it resells those Units (which include
the relevant transaction charge) or the prices at which it may
redeem such Units, as the case may be.
MARKET FOR UNITS
The Sponsor has undertaken to maintain a secondary market for
Units of each Series of the Fund at its own expense and
continuously to offer to purchase Units of each Series of the Fund
at prices, subject to change at any time, which will be computed on
the basis of the offering side of the market, taking into account
the same factors referred to in determining the offering side of
the market for purposes of the sale of Units (see "Sale of Units -
Offering Price"). During the initial offering period or
thereafter, on a given day, the price offered by the Trustee for
the redemption of Units shall be an amount not less than the
Redemption Price per Unit, based on the aggregate bid side
evaluation of obligations in the relevant Series on the date on
which the Units are tendered for redemption.
The Sponsor may redeem any Units it has purchased in the
secondary market if it determines it is undesirable to continue to
hold such Units in its inventory, provided that it has committed to
redeem Units only in an amount substantially equal in value to the
value of one or more obligations so that uninvested cash generated
by such redemption is de minimis. Factors that the Sponsor will
consider in making such a determination will include the number of
Units of all Series which it has in its inventory, the saleability
of such Units and its estimate of the time required to sell such
Units and general market conditions.
REDEMPTION OF UNITS
Although in most cases Units can be sold in the secondary
market that the Sponsor will maintain at prices which will exceed
the Redemption Price per Unit (see below), Units may also be
redeemed at the corporate trust office of the Trustee upon tender
of Certificates, if issued, or accompanied (in the case of
uncertificated Units) by such documents as the Trustee may
reasonably require, and payment of any relevant tax without any
other fee (Section 5.02). Any Certificates tendered for redemption
must be properly endorsed or accompanied by a written instrument or
instruments of transfer.
The Trustee will redeem Units in cash or, if requested in
writing by the Holder to the Trustee, "in kind". Not later than
the seventh calendar day following a tender of Units for redemption
(or if the seventh calendar day is not a business day, on the last
business day prior thereto), a Holder will be paid an amount per
Unit in cash (or if redemption in kind has been requested, will be
paid in obligations and cash, as described below) equal to the
Redemption Price per Unit as determined as of the Evaluation Time
next following such tender. The Redemption Price per Unit for in
kind distributions (the "In Kind Distribution") will take the form
of the distribution of whole obligations represented by the
fractional undivided interest in the applicable Series of the Units
tendered for redemption (based upon the Redemption Price per Unit)
plus any cash for amounts less than a whole obligation (Section
5.02). Because the Sponsor has undertaken to maintain a secondary
market for Units of each Series, at prices based on the offering
side evaluation per Unit which is likely to exceed the redemption
price per Unit, the Sponsor will repurchase any Units tendered for
redemption in cash no later than the close of business on the
business day following the tender.
If the tendering Holder requests distribution in kind, the
Trustee shall sell any portion of the In Kind Distribution
represented by fractional interests in accordance with the
instructions of the tendering Holder and distribute net cash
proceeds to the tendering Holder together with certificates
representing whole obligations comprising the In Kind Distribution.
In implementing these redemption procedures, the Trustee shall make
any adjustments necessary to reflect differences between the
Redemption Price of the Units and the value of the In Kind
Distribution as of the date of tender.
The Trustee is empowered to sell obligations held by the
Series in order to make funds available for cash redemptions
(Section 5.02). The obligations to be sold by the Trustee will be
selected from a list supplied by the Sponsor. Obligations will be
chosen for this list by the Sponsor on the basis of such market and
credit factors as it may determine are in the best interests of the
relevant Series. Provision is made under the Indenture for the
Sponsor to specify minimum face amounts in which blocks of
obligations are to be sold in order to obtain the best available
prices. While such minimum amounts may vary from time to time in
accordance with market conditions, the Sponsor believes that the
minimum face amounts that would be specified would range from
$25,000 to $100,000.
To the extent that obligations are redeemed in kind or sold,
the size of the relevant Series will be reduced. Sales will
usually be required at a time when obligations would not otherwise
be sold and may result in lower prices than might otherwise be
realized. In addition, because of the minimum face amounts in
which obligations are required to be sold, the proceeds of sale
may, if the Sponsor fails to adhere to its commitment described
above, exceed the amount required at the time to redeem Units.
Such excess proceeds will be distributed ratably to Holders (see
"Administration of the Fund - Accounts and Distributions"). The
price received upon redemption may be more than or less than the
amount paid by the Holder depending on the value of the obligations
in the Trust at the time of redemption.
The right to redemption may be suspended and payment postponed
for any period (1) during which the New York Stock Exchange is
closed other than for customary weekend and holiday closings, or
(2) during which, as determined by the Securities and Exchange
Commission (i) trading on that Exchange is restricted or (ii) an
emergency exists as a result of which disposal or evaluation
of the Securities is not reasonably practicable, or (3) for such
other periods as the Securities and Exchange Commission may permit
(Section 5.02).
Redemption Price per Unit is computed by the Trustee as of the
Evaluation Time on each June 30 and December 31 (or the last
business day prior thereto), on any day on which the New York Stock
Exchange is open or on any other day in which there is a sufficient
degree of trading in the obligations held by a Series that the
Redemption Price for Units of such Series might be materially
affected, as of the Evaluation Time next following the tender of
any Unit for redemption, and on any other business day desired by
the Trustee or the Sponsor, on the bid side of the market, taking
into account the same factors referred to in determining the
offering side evaluation for purposes of sales of Units (see "Sale
of Units - Offering Price").
While obligations of the type held by the Series involve
minimal risk of loss of principal, the market value of such
obligations and Redemption Prices per Unit can be expected to
fluctuate during the period of an investment in the Fund due to
variations in interest rates.
EXPENSES AND CHARGES
INITIAL EXPENSES - All expenses incurred in establishing the
Fund and the initial offering of Units and any additional Units,
including the cost of the initial preparation, printing and
execution of the Indenture and the Certificates, the initial fees
and expenses of the Trustee, fees of the Evaluator during the
initial offering and the initial offering of additional Units,
legal expenses, advertising and selling expenses and any other out-
of-pocket expenses, will be paid by the Sponsor at no charge to the
Fund.
SPONSOR'S FEES - The Sponsor receives no fee from the Series
for its services as such. However, while the transaction charge
paid by the life insurance company to the Sponsor is not directly
charged to the Account, because of the asset charge by the life
insurance company assessed against the Account, Policyowners will
indirectly bear these charges (see "Expenses Charged to Divisions
Investing in the Trust" in the accompanying Prospectus).
FEES - The Trustee's and Evaluator's fees are set forth under
"Investment Summary." The Trustee's fees, payable in semi-annual
installments, are based on the face amount of obligations in a
Series at the beginning of each semi-annual period. Certain
regular and recurring expenses of each Series, including the
Evaluator's fee and certain mailing and printing expenses, are
borne by the Trustee; provided that the Trustee shall not be
obligated to bear expenses in excess of an amount specified in the
Indenture with regard to any calendar year for the Series (or in
excess of a prorated portion of such amount in regard to periods of
less than one year) and any such amount so paid by the Trustee
shall be reimbursed to the Trustee pursuant to Section 6.05 of the
Indenture. Expenses in excess of that amount will be borne by the
Series. The Trustee also receives benefits to the extent that it
holds funds on deposit in the various non-interest bearing accounts
created under the Indenture.
OTHER CHARGES - These include: (a) fees of the Trustee for
extraordinary services (Section 6.05 of the Indenture), (b) certain
expenses of the Trustee (including legal and auditing expenses) and
of counsel designated by the Sponsor (Sections 3.05, 3.10, 6.01(E)
and 6.05), (c) various governmental charges (Sections 3.04 and
6.01(H)), (d) expenses and costs of any action taken to protect any
Series (Section 6.01(D)), (e) indemnification of the Trustee for
any loss, liabilities and expenses incurred in the absence of gross
negligence, bad faith or willful misconduct on its part (Section
6.05), and (f) indemnification of the Sponsor for any loss,
liabilities and expenses incurred in the absence of gross
negligence, bad faith, willful misconduct or reckless disregard of
its duties (Section 8.03(B)). The amounts of these charges and
fees are secured by a lien on the relevant Series (Section 6.05).
If the balances in the Income and Capital Account of a Series (see
below) are insufficient to provide for amounts payable by the
Series, the Sponsor will pay such excess expenses, although the
Trustee has the power to sell obligations of such Series to pay
such amounts (Section 6.05).
ADMINISTRATION OF THE FUND
RECORDS - The Trustee keeps records of transactions of the
Fund at its corporate trust office, including a current list of the
obligations held by each Series and a copy of the Indenture. Such
records are available to record Holders for inspection at
reasonable times during business hours (Sections 6.02 and 6.04).
ACCOUNTS AND DISTRIBUTIONS - The terms of the obligations held
by the Series provide for payments to be made to holders of such
obligations (including the Fund) upon their maturities.
Interest-Bearing Treasury Securities held by the Series, including
that part of the proceeds of any disposition of any such Security
which represents accrued interest and any late payment penalties,
is credited to an Income Account and all other receipts are
credited to a Capital Account (Sections 3.02 and 3.03).
Distributions to Holders as of the Record Date normally will be
made on the following Distribution Date and shall consist of an
amount substantially equal to each Holder's pro rata share of the
distributable cash balance in the Income and Capital Accounts
computed as of the close of business on the Record Date. The
Distribution Date for each Series shall be the next business day
following the maturity of the obligations in that Series'
Portfolio. The Record Date shall be the business day immediately
preceding the Distribution Date.
The amount to be distributed may change as obligations are
exchanged, paid or sold. Proceeds received from the disposition of
any of the obligations which are not used for redemption payments
will be held in the Capital Account (Section 3.05). However, the
Sponsor will maintain a secondary market and has undertaken to
redeem Units purchased in that market only when the value of such
Units in the aggregate substantially equals the value of an
obligation held in the relevant Series. Amounts, if any, in the
Income Account of a Series will be distributed to Holders pro rata
upon termination of the Series. A Reserve Account may be created
by the Trustee by withdrawing from the Income or Capital Accounts,
from time to time, such amounts as it deems requisite to establish
a reserve for any taxes or other governmental charges that may be
payable out of the Series (Section 3.04). Funds held by the
Trustee in the various accounts created under the Indenture do not
bear interest (Section 6.01).
PORTFOLIO SECURITIES - The Sponsor may direct the disposition
of obligations upon default in payment of principal or interest,
institution of certain legal proceedings, default in payment of
principal of or interest on other obligations of the same issuer,
or decline in price or the occurrence of other market or credit
factors that in the opinion of the Sponsor would make the retention
of such obligations detrimental to the interest of the Holders of
a Series (Section 3.08). If such a default in the payment of
principal or interest on any of the obligations occurs and if the
Sponsor fails to instruct the Trustee to sell or hold such
obligations, the Indenture provides that the Trustee may, within 30
days of such failure by the Sponsor, sell such Securities (Section
3.11). The Sponsor is required by the Indenture to direct the
Trustee to reject any offer made by an issuer to issue new
obligations in exchange and substitution for any obligations held
by the Fund pursuant to a refunding or refinancing plan.
REPORTS TO HOLDERS - The Trustee will furnish Holders of
record with each distribution a statement of the amounts of
interest and other receipts which are being distributed, expressed
in each case as a dollar amount per Unit. After the end of each
calendar year, the Trustee will furnish to Holders of record a
statement (i) summarizing transactions for such year in the Income,
Capital and Reserve Accounts of the Series, (ii) identifying
obligations sold and purchased during such year and listing
obligations held at the end of such year by the Series, (iii)
stating the Series' Redemption Price per Unit based upon the
computation thereof made at the end of such year, (iv) specifying
the amounts, if any, distributed during such year from the Series'
Income and Capital Accounts and (v) certain other information. The
accounts of each Series shall be audited at least annually by
independent certified public accountants designated by the Sponsor,
and the report of such accountants shall be furnished by the
Trustee to Holders upon request (Section 6.01(E)).
AMENDMENT AND TERMINATION - The Sponsor and Trustee may amend
the Indenture without the consent of Holders (a) to cure any
ambiguity or to correct or supplement any provision thereof which
may be defective or inconsistent, (b) to change any provision
thereof as may be required by the Securities and Exchange
Commission or any successor governmental agency, (c) to permit the
deposit of additional obligations with respect to the issuance of
additional Units, or (d) to make such other provisions as shall not
adversely affect the interest of Holders (as determined in good
faith by the Sponsor). The Indenture may also be amended in any
respect by the Sponsor and Trustee, or any of the provisions
thereof may be waived, with the consent of the Holders of 51% of
the Units then outstanding, provided that no such amendment or
waiver will reduce the interest in any Series of any Holder without
the consent of such Holder or reduce the percentage of Units
required to consent to any such amendment or waiver without the
consent of all Holders. The Trustee must promptly notify Holders
of the substance of any such amendment (Section 9.01).
The Indenture will terminate with respect to a Series upon the
earlier of the maturity, redemption, sale or other disposition of
the last Security held in a Series or the mandatory termination
date. The Indenture as to any Series may be terminated by the
Sponsor if the value of the Series is less than the minimum value
set forth under "Investment Summary" and may be terminated at any
time by Holders of 51% of the Units (Sections 6.01(G) and 9.02).
The Trustee will deliver written notice of any termination to each
Holder within a reasonable period of time prior to such
termination, specifying the times at which the Holders may
surrender their Certificates, if issued, for cancellation. Within
a reasonable period of time after such termination, the Trustee
must sell all of the obligations then held in the Series so
terminated and distribute to each Holder, upon surrender for
cancellation of its Certificates, if any, and after deductions of
accrued and unpaid fees, taxes and governmental and other charges,
such Holder's interest in the Income and Capital Accounts (Section
9.02). Such distribution will normally be made by mailing a check
in the amount of each Holder's interest in such accounts to the
address of such Holder appearing on the record books of the
Trustee.
RESIGNATION, REMOVAL AND LIMITATIONS ON LIABILITY
THE TRUSTEE - The Trustee or any successor may resign upon
notice to the Sponsor. The Trustee may be removed upon the
direction of the Holders of 51% of the Units at any time or by the
Sponsor without the consent of any of the Holders if it becomes
incapable of acting or becomes bankrupt or its affairs are taken
over by public authorities. Such resignation or removal shall
become effective upon the acceptance of appointment by the
successor. In case of such resignation or removal, the Sponsor is
to use its best efforts to appoint a successor promptly and if upon
resignation of the Trustee, no successor has accepted appointment
within thirty days after notification, the Trustee may apply to a
court of competent jurisdiction for the appointment of a successor
(Section 6.06). The Trustee shall be under no liability for any
action taken in good faith in reliance on prima facie properly
executed documents or for the disposition of monies or obligations,
nor shall it be liable or responsible in any way for depreciation
or loss incurred by reason of the sale of any obligation. However,
this provision shall not protect the Trustee in cases of willful
misfeasance, bad faith, gross negligence or reckless disregard of
its obligations and duties. In the event of the failure of the
Sponsor to act, the Trustee may act under the Indenture and shall
not be liable for any such action taken in good faith. The Trustee
shall not be personally liable for any taxes or other governmental
charges imposed upon or in respect of the obligations or upon the
interest thereon. In addition, the Indenture contains other
customary provisions limiting the liability of the Trustee
(Sections 3.08, 3.11, 6.01 and 6.05).
THE EVALUATOR - The Evaluator may resign or may be removed by
the Sponsor, effective upon the acceptance of appointment by its
successor; the Sponsor is to use its best efforts to appoint a
successor promptly. If upon resignation of the Evaluator, no
successor has accepted appointment within thirty days after
notification, the Evaluator may apply to a court of competent
jurisdiction for the appointment of a successor (Section 4.04).
Determinations by the Evaluator under the Indenture shall be made
in good faith upon the basis of the best information available to
it; provided however, that the Evaluator shall be under no
liability to the Trustee, the Sponsor or the Holders for errors in
judgment. However, this provision shall not protect the Evaluator
in cases of willful misfeasance, bad faith, gross negligence or
reckless disregard of its obligations and duties (Section 4.03).
The Trustee, the Sponsor and the Holders may rely on any evaluation
furnished by the Evaluator and shall have no responsibility for the
accuracy thereof.
THE SPONSOR - If the Sponsor fails to perform its duties or
becomes incapable of acting or becomes bankrupt or its affairs are
taken over by public authorities, then the Trustee may (a) appoint
a successor Sponsor at rates of compensation deemed by the Trustee
to be reasonable and as may not exceed amounts prescribed by the
Securities and Exchange Commission, (b) terminate the Indenture and
liquidate the Fund or (c) continue to act as Trustee without
terminating the Indenture (Section 6.01(F)). The Sponsor shall be
under no liability to the Fund or to the Holders for taking any
action or for refraining from taking any action in good faith or
for errors in judgment and shall not be liable or responsible in
any way for depreciation or loss incurred by reason of the sale of
any obligation. However, this provision shall not protect the
Sponsor in cases of willful misfeasance, bad faith, gross
negligence or reckless disregard of its obligations and duties
(Section 8.03). The Sponsor and its successors are jointly and
severally liable under the Indenture. The Sponsor may transfer all
or substantially all of its assets to a corporation or partnership
which carries on its business and duly assumes all of its
obligations under the Indenture and in such event it shall be
relieved of all further liability under the Indenture (Section
8.02).
ADDITIONAL INFORMATION
TRUSTEE - The Trustee is The Chase Manhattan Bank, N.A., a
banking corporation with its corporate trust office at 770
Broadway, New York, New York 10003, which is subject to supervision
by the Comptroller of the Currency, the Federal Deposit Insurance
Corporation and the Board of Governors of the Federal Reserve
System.
LEGAL OPINION - The legality of the Units has been passed upon
by Gordon Altman Butowsky Weitzen Shalov & Wein, 114 West 47th
Street, New York, New York 10036, as special counsel for the
Sponsor. Carter, Ledyard & Milburn, 2 Wall Street, New York, New
York 10015, act as counsel for the Trustee.
AUDITORS - The Financial Statements of Series A through F,
including the respective Portfolios included herein, and the
Financial Statement of the Sponsor have been audited by Deloitte &
Touche LLP, independent auditors, as stated in their reports
appearing herein, and are included in reliance upon the reports of
such firm given upon their authority as experts in accounting and
auditing.
SPONSOR - The Sponsor (a New York corporation), is a wholly-
owned subsidiary of OppenheimerFunds, Inc. ("OFI"), and is the
general distributor of shares of certain of the registered
investment companies (commonly known as "mutual funds") managed by
OFI and its subsidiaries. Financial Statements of the Sponsor are
included in this Prospectus. See the accompanying Prospectus of
Oppenheimer Variable Account Funds for further information on OFI
and the Oppenheimer funds.
<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.
/s/ Deloitte & Touche LLP
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>
<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.
/s/ Deloitte & Touche LLP
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>
<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.
/s/ Deloitte & Touche LLP
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>
<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.
/s/ Deloitte & Touche LLP
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>
<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.
/s/ Deloitte & Touche LLP
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>
<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.
/s/ Deloitte & Touche LLP
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>
INDEPENDENT AUDITORS' REPORT
OppenheimerFunds Distributor, Inc.:
We have audited the accompanying statement of financial condition of
OppenheimerFunds Distributor, Inc. as of December 31, 1996. This financial
statement is the responsibility of the Company's management. Our responsibility
is to express an opinion on this financial statement based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the statement of financial condition is free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the statement of financial condition. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall statement of financial
condition presentation. We believe that our audit provides a reasonable basis
for our opinion.
In our opinion, such statement of financial condition presents fairly, in all
material respects, the financial position of OppenheimerFunds Distributors, Inc.
at December 31, 1996, in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
Deloitte & Touche LLP
Denver, Colorado
February 4, 1997
<PAGE>
OPPENHEIMERFUNDS DISTRIBUTOR, INC.
STATEMENT OF FINANCIAL CONDITION
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSETS
CURRENT ASSETS:
<S> <C>
Cash $ 19,385,519
Investment in affiliated money market mutual fund 49,368,234
Receivables:
Brokers and dealers 46,404,051
Mutual funds managed by affiliated companies 20,464,965
Affiliated companies 36,564,840
Income taxes 32,797,305
Other 3,607,030
Other current assets 3,760,571
-------------
Total current assets 212,352,515
-------------
OTHER ASSETS - Deferred sales commissions 248,932,258
-------------
TOTAL $461,284,773
=============
LIABILITIES AND SHAREHOLDER'S EQUITY
CURRENT LIABILITIES:
Subscriptions payable to managed mutual funds $ 63,637,305
Payable to brokers and dealers 24,250,081
Accounts payable and accrued expenses 6,896,830
Payable to affiliated companies 274,312
-------------
Total current liabilities 95,058,528
-------------
OTHER CURRENT LIABILITIES - Deferred income taxes 99,273,853
-------------
TOTAL 194,332,381
-------------
COMMITMENTS
SHAREHOLDER'S EQUITY:
Common stock; $300 stated value; 200 shares
authorized; 100 shares issued and outstanding 30,000
Additional paid-in capital 251,141,351
Retained earnings 15,781,041
-------------
Shareholder's equity 266,952,392
-------------
TOTAL $461,284,773
=============
</TABLE>
See notes to financial statements.
<PAGE>
OPPENHEIMERFUNDS DISTRIBUTOR, INC.
NOTES TO STATEMENT OF FINANCIAL CONDITION
AS OF DECEMBER 31, 1996
1. THE COMPANY AND ITS SIGNIFICANT ACCOUNTING POLICIES
OppenheimerFunds Distributor, Inc. (Company) acts as general distributor
for the sale and distribution of shares of registered investment companies
(hereafter referred to as "mutual funds") which are managed by
OppenheimerFunds, Inc. (OFI). The Company is a wholly-owned subsidiary of
OFI, a wholly-owned subsidiary of Oppenheimer Acquisition Corporation
(OAC), which is controlled by Massachusetts Mutual Life Insurance Company
(MassMutual) and senior management of OFI.
INVESTMENT IN AFFILIATED MONEY MARKET MUTUAL FUND - The Company
invests
available cash in a money market mutual fund managed by OFI. The
investment is recorded at cost which equals market; dividend income is
recorded when earned.
DEFERRED SALES COMMISSIONS - Sales commissions paid to brokers and dealers
in connection with sales of shares of certain mutual funds are charged to
deferred sales commissions and amortized generally over six years. Early
withdrawal charges received by the Company from redeeming shareholders
reduce unamortized deferred sales commissions.
INCOME TAXES - MassMutual files a consolidated federal income tax return
which includes the Company. Income taxes are recorded as if the Company
filed on a separate return basis.
ESTIMATES - The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the
date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from
those estimates.
2. TRANSACTIONS WITH BROKERS AND DEALERS
The Company acts as general distributor for the sale and distribution of
shares of several mutual funds. In this capacity, he Company records a
receivable when it issues confirmations of all accepted purchase orders to
the originating brokers and dealers; at the same time, the Company records
a liability to the mutual funds equal to the net asset value of all shares
subject to such confirmations. This liability must be paid to the mutual
funds within eight business days unless the trade is canceled. If the
originating broker or dealer fails to make timely settlement of its
purchase order under the terms of its dealer agreement with the Company,
the Company may cancel the purchase order and hold responsible the
originating broker or dealer.
When brokers and dealers place share redemption orders with the Company, a
receivable is recorded from the mutual funds equal to the net asset value
of all shares redeemed; at the same time, the Company records a
corresponding liability payable to the originating brokers and dealers.
3. RELATED PARTIES AND OTHER MATTERS
The following is a summary of the significant transactions and
relationships with affiliated companies and other related parties as of
December 31, 1996.
<PAGE>
OFFICERS AND DIRECTORS OF THE COMPANY; SHAREHOLDERS OF OAC - Several
officers and directors of the Company and shareholders of OAC are also
officers and directors or trustees of the mutual funds managed and
distributed by the Company.
4. INCOME TAXES
Deferred tax assets of $3,151,952 have been recorded in the accompanying
statement of financial condition. These amounts relate primarily to the
benefit associated with certain state tax loss carryforwards. If not used
in the interim, these loss carryforwards will generally expire by December
31, 2011. A valuation allowance has not been recorded with respect to this
deferred tax asset. Deferred tax liabilities of $102,425,805 have also
been recorded. These amounts relate primarily to the current deduction,
for tax purposes, of sales commissions which are amortized over six years
for book purposes.
5. NET CAPITAL REQUIREMENT
As a broker and dealer registered with the Securities and Exchange
Commission, the Company is required to maintain minimum net capital, as
defined in Rule 15c3-1 of the Securities Exchange Act of 1934, equivalent
to 6-2/3% of aggregate indebtedness, as defined, or $100,000, whichever is
greater. At December 31, 1996, the Company had net capital of $42,612,676
which exceeded requirements of $6,337,235 by $36,275,441.
* * * * *
<PAGE>
Sponsor
OppenheimerFunds Distributor, Inc.
Two World Trade Center
New York, New York 10048-0203
Trustee
The Chase Manhattan Bank, N.A.
770 Broadway
New York, New York 10003
Evaluator
Interactive Data Corporation
Suite 501
350 South Figueroa
Los Angeles, CA 90071
Auditors
Deloitte & Touche LLP
555 Seventeenth Street, Suite 3600
Denver, Colorado 80202
No dealer, broker, salesperson or any other person has been
authorized to give any information or to make any representations
other than those contained in this Prospectus, and if given or
made, such information and representations must not be relied upon
as having been authorized by the Fund, OppenheimerFunds
Distributor, Inc., or any affiliate thereof. This Prospectus does
not constitute an offer to sell or a solicitation of an offer to
buy any of the securities offered hereby in any state to any person
to whom it is unlawful to make such an offer in such state.
