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 9 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 9 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 1998 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 April 30, 1998.
-1-
<PAGE>
TABLE OF CONTENTS
Page
Investment Summaries
Description of the Fund
Structure
Special Considerations
Special Considerations of Stripped Treasury Securities
The Portfolio
Selection and Acquisition of Obligations
The Units
Income and Yield
Taxes
Sale of Units
Offering Price
Comparison of Offering Price, Sponsor's
Repurchase Price and Redemption Price
Distribution
Sponsor's Profits
Market for Units
Redemption of Units
Expenses and Charges
Administration of the Fund
Resignation, Removal and Limitations on Liability
Additional Information
Trustee
Legal Opinion
Auditors
Sponsor
Financial Statements of Series A
Financial Statements of Series B
Financial Statements of Series C
Financial Statements of Series D
Financial Statements of Series E
Financial Statements of Series F
Financial Statement of the Sponsor
-2-
<PAGE>
<PAGE>
INVESTMENT SUMMARY OF SERIES A+
as of December 31, 1997
- --------------------------------------------------------------------------------
Series A is a series unit investment trust consisting of nine separate series,
each with its own portfolio. At December 31, 1997 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>
<CAPTION>
2000 2005
SERIES SERIES
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . $ 4,187,200 $ 3,521,227
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . 4,187,200 3,521,227
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED
BY EACH UNIT . . . . . . . . . . . . . . . . . . . . . . . . . . . 1/4,187,200 th 1/3,521,227 th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . $ 3,613,972 $ 2,313,403
------------- -------------
Divided by number of Units times 1,000. . . . . . . . . . . . $ 863.10 $ 656.99
Plus the applicable transaction charge**. . . . . . . . . . . 6.47 9.85
------------- -------------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . $ 869.57 $ 666.84
------------- -------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering
side evaluation of underlying Securities) . . . . . . . . . . $ 863.10 $ 656.99
REDEMPTION PRICE PER 1,000 UNITS (based on bid side evaluation
of underlying Securities)****. . . . . . . . . . . . . . . . . . $ 862.66 $ 656.05
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 0.75% and 1.50% of their respective
offering prices per 1,000 Units (0.756% 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 $6.91 and $10.79 less than the Offering Price
per 1,000 Units and $0.44 and $0.94 less than the Sponsor's
Repurchase Price per 1,000 Units with respect to the 2000 Series
and the 2005 Series, respectively.
<PAGE>
INVESTMENT SUMMARY OF SERIES B+
as of December 31, 1997
- --------------------------------------------------------------------------------
Series B is a series unit investment trust consisting of three separate series,
each with its own portfolio. As of December 31, 1997, there is one series which
is still outstanding; this is the 2006 Series designated for the maturities of
its underlying Portfolios. (See Portfolios herein).
<TABLE>
<CAPTION>
2006
SERIES
- --------------------------------------------------------------------------------------------
<S> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . . . $ 2,165,028
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,165,028
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . . . 1/2,165,028 th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . . . $ 1,354,272
--------------
Divided by number of Units times 1,000. . . . . . . . . . . . . . $ 625.52
Plus the applicable transaction charge**. . . . . . . . . . . . . 9.38
--------------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . . . $ 634.90
--------------
--------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering side
evaluation of underlying Securities). . . . . . . . . . . . . . . $ 625.52
REDEMPTION PRICE PER 1,000 UNITS (based on bid side evaluation
of underlying Securities)**** . . . . . . . . . . . . . . . . . . $ 624.54
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.
</TABLE>
- ----------------
+ 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 (1.501% 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 $10.36 less than the Offering Price per 1,000
Units and $0.98 less than the Sponsor's Repurchase Price per
1,000 Units, with respect to the 2006 Series.
<PAGE>
INVESTMENT SUMMARY OF SERIES C+
As of December 31, 1997
Series C is a series unit investment trust consisting of two separate series,
each with its own portfolio. As of December 31, 1997, there is only one series
which is still outstanding; this is the 2007 Series designated for the
maturities of its underlying Portfolios. (See Portfolios herein).
<TABLE>
<CAPTION>
2007
SERIES
- --------------------------------------------------------------------------------------------
<S> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . $ 300,436
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . 300,436
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT 1/300,436 th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* $ 176,936
------------
Divided by number of Units times 1,000. . . . . . . . . $ 588.93
Plus the applicable transaction charge**. . . . . . . . 8.83
------------
Offering Price per 1,000 Units. . . . . . . . . . . . . $ 597.76
------------
------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on
offering side evaluation of underlying Securities) . . . . $ 588.93
REDEMPTION PRICE PER 1,000 UNITS (based on bid side
evaluation of underlying
Securities)****. . . . . . . . . . . . . . . . . . . . . . $ 587.90
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
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, 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 2007 Series, are
1.50% of its respective Offering Prices per 1,000 Units (1.502%, 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 $9.86 less then the Offering Price per 1,000 Units
and $1.03 less than the Sponsor's Repurchase Price per 1,000 Units,
with respect to the 2007 Series.
<PAGE>
INVESTMENT SUMMARY OF SERIES D+
as of December 31, 1997
- --------------------------------------------------------------------------------
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>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
1998 2008
SERIES SERIES
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 772,000 $ 716,667
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 772,000 716,667
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . . . . . . . . 1/772,000th 1/716,667th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . . . . . . . . $ 756,954 $ 381,206
---------- ----------
Divided by number of Units times 1,000. . . . . . . . . . . . . . . . . . . $ 980.51 $ 531.92
Plus the applicable transaction charge**. . . . . . . . . . . . . . . . . . 4.90 7.98
---------- ----------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . . . . . . . . $ 985.41 $ 539.90
---------- ----------
---------- ----------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering
side evaluation of underlying Securities) . . . . . . . . . . . . . . . . . $ 980.51 $ 531.92
REDEMPTION PRICE PER 1,000 UNITS (based on bid side evaluation
of underlying Securities)**** . . . . . . . . . . . . . . . . . . . . . . . $ 980.44 $ 530.80
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
TrustIndenture 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 $4.97 and $9.10 less than the Offering Price per 1,000
Units and $0.07 and $1.12 less than the Sponsor's Repurchase Price per
1,000 Units, with respect to the 1998 Series and the 2008 Series,
respectively.
<PAGE>
INVESTMENT SUMMARY OF SERIES E+
As of December 31, 1997
- --------------------------------------------------------------------------------
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).
<TABLE>
<CAPTION>
1999 2009
SERIES SERIES
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . $ 387,958 $ 322,090
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . 387,958 322,090
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . 1/387,958 th 1/322,090 th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund* . . $ 359,663 $ 166,214
----------- -----------
Divided by number of Units times 1,000. . . . . . . . . . . . $ 927.07 $ 516.05
Plus the applicable transaction charge**. . . . . . . . . . . 6.95 9.03
----------- -----------
Offering Price per 1,000 Units. . . . . . . . . . . . . . . . $ 934.02 $ 525.08
----------- -----------
----------- -----------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering
side evaluation of underlying Securities) . . . . . . . . . . $ 927.07 $ 516.05
REDEMPTION PRICE PER 1,000 UNITS (based on bid side
evaluation of underlying Securities)****. . . . . . . . . . . $ 926.82 $ 514.92
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 $7.20 and $10.16 less than the Offering Price per 1,000
Units and $0.25 and $1.13 less than the Sponsor's Repurchase Price per
1,000 Units, with respect to the 1999 Series and the 2009 Series,
respectively.
<PAGE>
INVESTMENT SUMMARY OF SERIES F+
As of December 31, 1997
- -------------------------------------------------------------------------------
Series F is a series unit investment trust consisting of the 2010 Series
designated for the maturity of its underlying Portfolio (see Portfolio herein).
<TABLE>
<CAPTION>
2010
SERIES
- -------------------------------------------------------------------------------------
<S> <C>
FACE AMOUNT OF SECURITIES. . . . . . . . . . . . . . . . . . . . . $ 1,818,940
NUMBER OF UNITS. . . . . . . . . . . . . . . . . . . . . . . . . . 1,818,940
FRACTIONAL UNDIVIDED INTEREST IN FUND REPRESENTED BY EACH UNIT . . 1/1,818,940 th
OFFERING PRICE PER 1,000 UNITS***
Aggregate offering side evaluation of Securities in Fund*.... $ 895,427
------------
Divided by number of units times 1,000. . . . . . . . . . . . $ 492.28
Plus the applicable transaction charge**. . . . . . . . . . . 61
------------
Offering price per 1,000 units. . . . . . . . . . . . . . . . $ 500.89
------------
------------
SPONSOR'S REPURCHASE PRICE PER 1,000 UNITS (based on offering
side evaluation of underlying Securities). . . . . . . . . . . . $ 492.28
REDEMPTION PRICE PER 1,000 UNITS (based on bid side evaluation
of underlying Securities)****. . . . . . . . . . . . . . . . . . $ 491.13
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 Securities.
</TABLE>
- ------------
+ 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 (1.753% 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 $9.76 less than the Offering Price per 1,000 Units and
$1.15 less than the Sponsor's Repurchase Price per 1,000 Units.
<PAGE>
<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, D and E (each of which have two separate series outstanding) and
Series B, C and 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
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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
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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")1 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.
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,
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1 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.
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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
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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
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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,
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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
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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.
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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
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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:
TRANSACTION CHARGE TRANSACTION CHARGE
REMAINING AS PERCENTAGE AS PERCENTAGE OF
YEARS TO MATURITY OF OFFERING PRICE NET AMOUNT INVESTED
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%
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),
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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
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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
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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
-21-
<PAGE>
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.
-22-
<PAGE>
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
-23-
<PAGE>
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
-24-
<PAGE>
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
-25-
<PAGE>
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
-26-
<PAGE>
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.
-27-
<PAGE>
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.
-28-
<PAGE>
<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, 1997 and the related statements of operations and changes in net
assets for the years ended December 31, 1997, 1996 and 1995. 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, 1997 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, 1997, 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
February 10, 1998
1
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Statement of Condition as of December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
2000 2005
SERIES SERIES
- --------------------------------------------------------------------------------------------
<S> <C> <C>
TRUST PROPERTY
Investment in marketable securities (see Portfolios) . . . . $3,612,130 $2,310,109
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,729 7,082
Accrued interest receivable. . . . . . . . . . . . . . . . . - 993
--------- ---------
Total trust property. . . . . . . . . . . . . . . . . . 3,615,859 2,318,184
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . 3,729 8,075
--------- ---------
NET ASSETS - NOTE 2. . . . . . . . . . . . . . . . . . . . . $3,612,130 $2,310,109
--------- ---------
--------- ---------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 4,187,200 3,521,227
--------- ---------
--------- ---------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $ .86266 $ .65605
--------- ---------
--------- ---------
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Statements of Operations
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
2000 SERIES 2005 SERIES
--------------------------------- ---------------------------------
1997 1996 1995 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . $ - $ - $ 1,763 $ 651 $ 1,561 $ 1,838
Accretion of original issue discount . . . . . . . . 279,929 317,761 355,702 140,729 144,414 150,094
Trustee's fees and expenses - Note 3 . . . . . . . . - - (1,763) (651) (1,561) (1,838)
------- ------- ------- ------- ------- -------
Net investment income. . . . . . . . . . . . . . . . 279,929 317,761 355,702 140,729 144,414 150,094
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . 65,298 116,592 88,501 50,953 72,024 -
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . (95,809) (343,346) 433,005 26,780 (255,826) 435,195
------- ------- ------- ------- ------- -------
Net gain (loss) on investments . . . . . . . . . . . (30,511) (226,754) 521,506 77,733 (183,802) 435,195
------- ------- ------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . $249,418 $ 91,007 $877,208 $218,462 $(39,388) $585,289
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Statements of Changes in Net Assets
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
2000 SERIES 2005 SERIES
--------------------------------- ---------------------------------
1997 1996 1995 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . $ 279,929 $ 317,761 $ 355,702 $ 140,729 $ 144,414 $ 150,094
Realized gain on securities
transactions . . . . . . . . . . . . . . . . 65,298 116,592 88,501 50,953 72,024 -
Net unrealized appreciation (depreciation)
of investments. . . . . . . . . . . . . . . . (95,809) (343,346) 433,005 26,780 (255,826) 435,195
--------- --------- --------- --------- --------- ---------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . . 249,418 91,007 877,208 218,462 (39,388) 585,289
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units . . . . . . . . . . . . . . . 116,537 - 201,027 364,352 - 203,754
Redemption of Units . . . . . . . . . . . . . . (898,924) (893,602) (734,385) (325,029) (388,586) -
--------- --------- --------- --------- --------- ---------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . (532,969) (802,595) 343,850 257,785 (427,974) 789,043
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . $4,145,099 $4,947,694 $4,603,844 $2,052,324 $2,480,298 $1,691,255
--------- --------- --------- --------- --------- ---------
End of period . . . . . . . . . . . . . . . . . $3,612,130 $4,145,099 $4,947,694 $2,310,109 $2,052,324 $2,480,298
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
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 OppenheimerFunds 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>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
DECEMBER 31,
-----------------------------------------
1997 1996 1995
---- ---- ----
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2000 SERIES
- -----------
Cost of 4,187,200, 5,152,200 and 6,317,200 Units, respectively . . . . $1,906,583 $2,250,437 $2,646,690
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 2,275 7,933 14,678
--------- --------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 1,904,308 2,242,504 2,632,012
Accretion of original issue discount . . . . . . . . . . . . . . . . . 1,479,372 1,578,336 1,648,079
Net unrealized appreciation of investments . . . . . . . . . . . . . . 228,450 324,259 667,604
--------- --------- ---------
Net capital applicable to certificateholders . . . . . . . . . . . . . $3,612,130 $4,145,099 $4,947,694
--------- --------- ---------
--------- --------- ---------
2005 SERIES
- -----------
Cost of 3,521,227, 3,487,041 and 4,190,859 Units, respectively . . . . $1,310,328 $1,100,352 $1,297,142
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 13,961 18,214 24,133
--------- --------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 1,296,367 1,082,138 1,273,009
Accretion of original issue discount . . . . . . . . . . . . . . . . . 658,972 642,196 623,473
Net unrealized appreciation of investments . . . . . . . . . . . . . . 354,770 327,990 583,816
--------- --------- ---------
Net capital applicable to certificateholders . . . . . . . . . . . . . $2,310,109 $2,052,324 $2,480,298
--------- --------- ---------
--------- --------- ---------
</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.
5
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995 (Concluded)
- --------------------------------------------------------------------------------
4. CAPITAL SHARE TRANSACTIONS
ISSUANCE
Additional Units were issued by the Fund during the years ended December 31,
1997, 1996, and 1995 as follows:
<TABLE>
<CAPTION>
SERIES 1997 1996 1995
- ------ ---- ---- ----
<S> <C> <C> <C>
2000. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - 278,488
2005. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 588,191 - 422,291
</TABLE>
REDEMPTION
During 1997, 1996 and 1995, the Sponsor elected to redeem Units of the Fund as
follows:
<TABLE>
<CAPTION>
SERIES 1997 1996 1995
- ------ ---- ---- ----
<S> <C> <C> <C>
2000. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 965,000 1,165,000 1,039,316
2005. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 554,005 703,818 -
</TABLE>
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, 1997, 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.
6
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES A
Portfolios as of December 31, 1997
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
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 $4,187,200 $3,383,680 $3,612,130
--------- --------- ---------
--------- --------- ---------
2005 SERIES
- -----------
Stripped Treasury Securities . . . 0% 5-15-05 $3,502,125 $1,938,213 $2,290,005
U.S. Treasury Notes. . . . . . . . 8.25% 5-15-05 19,102 17,126 20,104
--------- --------- ---------
Total . . . . . . . . . . . . $3,521,227 $1,955,339 $2,310,109
--------- --------- ---------
--------- --------- ---------
</TABLE>
- -------------
(*) The aggregate values based on offering side evaluations at December 31, 1997
were as follows:
<TABLE>
<CAPTION>
SERIES AMOUNT
------ ------
<S> <C>
2000 $ 3,613,972
2005 $ 2,313,403
</TABLE>
See Notes to Financial Statements.
7
<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, 1997 and the related statements of operations and changes in net
assets for the years ended December 31, 1997, 1996 and 1995. 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, 1997 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, 1997 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
February 10, 1998
9
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Statement of Condition as of December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
2006
SERIES
- --------------------------------------------------------------------------------------------
<S> <C>
TRUST PROPERTY
Investment in marketable securities (see Portfolios) . . . . $1,352,152
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,822
Accrued interest receivable. . . . . . . . . . . . . . . . . 367
---------
Total trust property. . . . . . . . . . . . . . . . . . 1,358,341
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . 6,189
---------
NET ASSETS - Note 2. . . . . . . . . . . . . . . . . . . . . $1,352,152
---------
---------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 2,165,028
---------
---------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $ .62454
---------
---------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Statements of Operations
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
2006 SERIES
-----------------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 490 $ 1,185 $ 1,181
Accretion of original issue discount . . . . . . . . . . . . . . . . . 93,107 98,763 90,865
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . (490) (1,185) (1,181)
------- ------- -------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . 93,107 98,763 90,865
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . 37,584 - 1,973
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . 9,052 (91,757) 281,043
------- ------- -------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . 46,636 (91,757) 283,016
------- ------- -------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . . . . $ 139,743 $ 7,006 $373,881
------- ------- -------
------- ------- -------
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Statements of Changes in Net Assets
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
2006 SERIES
-----------------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . $ 93,107 $ 98,763 $ 90,865
Realized gain on securities transactions. . . . . . . . . . . . . 37,584 - 1,973
Net unrealized appreciation (depreciation) of investments . . . . 9,052 (91,757) 281,043
--------- --------- ---------
Net increase in net assets resulting from operations. . . . . . . 139,743 7,006 373,881
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . (266,564) - (16,208)
--------- --------- ---------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . (126,821) 7,006 357,673
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . 1,478,973 1,471,967 1,114,294
--------- --------- ---------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . $1,352,152 $1,478,973 $1,471,967
--------- --------- ---------
--------- --------- ---------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
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 OppenheimerFunds 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>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
DECEMBER 31,
-----------------------------------------
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
2006 SERIES
- -----------
Cost of 2,165,028, 2,643,020 and 2,643,020 Units,
respectively. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 624,104 $ 764,716 $ 764,716
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 3,370 7,419 7,419
--------- --------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 620,734 757,297 757,297
Accretion of original issue discount . . . . . . . . . . . . . . . . . 477,400 476,710 377,947
Net unrealized appreciation of investments . . . . . . . . . . . . . . 254,018 244,966 336,723
--------- --------- ---------
Net capital applicable to certificateholders . . . . . . . . . . . . . $1,352,152 $1,478,973 $1,471,967
--------- --------- ---------
--------- --------- ---------
</TABLE>
13
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995 (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 1997, 1996 and 1995, the Sponsor elected to redeem units of the Fund as
follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
2006. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477,992 - 35,147
</TABLE>
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, 1997, 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.
14
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES B
Portfolios as of December 31, 1997
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
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 $2,156,000 $1,086,923 $1,340,407
U.S. Treasury Notes. . . . . . . . 10.75% 8-15-05 9,028 11,211 11,745
--------- --------- ---------
Total. . . . . . . . . . . . . . . $2,165,028 $1,098,134 $1,352,152
--------- --------- ---------
--------- --------- ---------
</TABLE>
- -------------------------
(*) The aggregate values based on offering side evaluations at December 31, 1997
were as follows:
<TABLE>
<CAPTION>
SERIES AMOUNT
------ ------
<S> <C> <C>
2006 . . . . . . . . . $ 1,354,272
</TABLE>
See Notes to Financial Statements.
15
<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, 1997 and the related statements of operations and changes in net
assets for the years ended December 31, 1997, 1996 and 1995. 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, 1997 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, 1997 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
February 10, 1998
17
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Statement of Condition as of December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
2007
SERIES
- --------------------------------------------------------------------------------------------
<S> <C>
TRUST PROPERTY
Investment in marketable securities (see Portfolios) . . . . $ 176,625
Cash. . .. . . . . . . . . . . . . . . . . . . . . . . . . . 1,045
Accrued interest receivable. . . . . . . . . . . . . . . . . 118
----------
Total trust property. . . . . . . . . . . . . . . . . . 177,788
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . 1,163
----------
NET ASSETS - Note 2. . . . . . . . . . . . . . . . . . . . . $ 176,625
----------
----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 300,436
----------
----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $ .58790
----------
----------
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Statements of Operations
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
1997 SERIES
-----------------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ - $ 1,088 $ 1,327
Accretion of original issue discount . . . . . . . . . . . . . . . . . 134,197 219,042 218,320
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . - (1,088) (1,327)
--------- --------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . 134,197 219,042 218,320
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . 3,566 8,809 16,984
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . (53,436) (94,228) 84,363
--------- --------- ----------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . (49,870) (85,419) 101,347
--------- --------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 84,327 $ 133,623 $ 319,667
--------- --------- ----------
--------- --------- ----------
2007 SERIES
----------------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 68 $ 410 $ 409
Accretion of original issue discount . . . . . . . . . . . . . . . . . 17,831 31,440 28,781
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . (68) (410) (409)
--------- --------- ---------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . 17,831 31,440 28,781
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . 47,481 - -
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . (52,626) (30,182) 97,101
--------- --------- ---------
Net gain (loss) on Investments . . . . . . . . . . . . . . . . . . . . (5,145) (30,182) 97,101
--------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 12,686 $ 1,258 $ 125,882
--------- --------- ---------
--------- --------- ---------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Statements of Changes in Net Assets
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
1997 SERIES
-----------------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . $ 134,197 $ 219,042 $ 218,320
Realized gain on securities transactions. . . . . . . . . . . . . 3,566 8,809 16,984
Net unrealized appreciation (depreciation) of investments . . . . (53,436) (94,228) 84,363
--------- --------- ---------
Net increase in net assets resulting from operations. . . . . . . 84,327 133,623 319,667
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . (2,759,216) (194,656) (272,007)
--------- --------- ---------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . (2,674,889) (61,033) 47,660
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . 2,674,889 2,735,922 2,688,262
--------- --------- ---------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . $0 $2,674,889 $2,735,922
--------- --------- ---------
--------- --------- ---------
2007 SERIES
----------------------------------------
1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . $ 17,831 $ 31,440 $ 28,781
Realized gain on securities transactions. . . . . . . . . . . . . 47,481 - -
Net unrealized appreciation (depreciation) of investments . . . . (52,626) (30,182) 97,101
--------- --------- ---------
Net increase in net assets resulting from operations. . . . . . . 12,686 1,258 125,882
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units. . . . . . . . . . . . . . . . . . . . . . . . . . - - -
Redemption of Units. . . . . . . . . . . . . . . . . . . . . . . . . ( 314,459) - -
--------- --------- ---------
Net increase (decrease) in
net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . (301,773) 1,258 125,882
NET ASSETS:
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . 478,398 477,140 351,258
--------- --------- ---------
End of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 176,625 $ 478,398 $ 477,140
--------- --------- ---------
--------- --------- ---------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
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 OppenheimerFunds 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>
<CAPTION>
DECEMBER 31,
-----------------------------------------
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
1997 SERIES
Cost of 0, 2,765,000 and 2,765,000 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,403,155 $1,501,215
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 16,318 16,801
--------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 1,386,837 1,484,414
Accretion of original issue discount . . . . . . . . . . . . . . . . . 1,234,616 1,103,843
Net unrealized appreciation of investments . . . . . . . . . . . . . . 53,436 147,664
Net capital applicable to certificateholders . . . . . . . . . . . . . $2,674,889 $2,735,922
--------- ---------
--------- ---------
2007 SERIES
Cost of 300,436, 915,373, and 915,373 Units, . . . . . . . . . . . . . $ 95,906 $ 215,892 $ 215,892
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,382 6,175 6,175
--------- --------- ---------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 94,524 209,717 209,717
Accretion of original issue discount . . . . . . . . . . . . . . . . . 44,960 178,914 147,474
Net unrealized appreciation of investments . . . . . . . . . . . . . . 37,141 89,767 119,949
--------- --------- ---------
Net capital applicable to certificateholders . . . . . . . . . . . . . $ 176,625 $ 478,398 $ 477,140
--------- --------- ---------
--------- --------- ---------
</TABLE>
21
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995 (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 1997, 1996 and 1995, the Sponsor elected to redeem Units of the Fund as
follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
1997 . . . . . . . . . . . . . 2,765,000 208,342 316,955
2007 . . . . . . . . . . . . . 614,937 - -
</TABLE>
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, 1997, 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 August of 1997, Series
1997 matured and distributions of $2,069,000 were made.
22
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES C
Portfolios as of December 31, 1997
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
SERIES NO. AND COUPON FACE ADJUSTED
TITLE OF SECURITIES RATES MATURITIES AMOUNT COST VALUE (*)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2007 SERIES
- -----------
Stripped Treasury Securities . . . 0% 2-15-07 $ 299,000 $ 137,303 $ 174,858
U.S. Treasury Notes. . . . . . . . 9.375% 2-15-06 1,436 2,181 1,767
---------- ---------- ----------
Total . . . . . . . . . . . . $ 300,436 $ 139,484 $ 176,625
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
- -------------------------
(*) The aggregate values based on offering side evaluations at December 31, 1997
were as follows:
<TABLE>
<CAPTION>
Series Amount
------ ------
<S> <C> <C>
2007 $ 176,936
</TABLE>
See Notes to Financial Statements.
23
<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, 1997 and the related statements of operations and changes in net
assets for the years ended December 31, 1997, 1996 and 1995. 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, 1997 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, 1997 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
February 10, 1998
25
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Statement of Condition as of December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
1998 2008
SERIES SERIES
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TRUST PROPERTY
Investment in marketable securities(see Portfolios). . . . . . . . . . . . . . . $756,900 $380,408
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 2,616
Accrued interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . - 82
-------- --------
Total trust property. . . . . . . . . . . . . . . . . . . . . . . . . . . . 756,900 383,106
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 2,698
-------- --------
NET ASSETS-Note 2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $756,900 $380,408
-------- --------
-------- --------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 772,000 716,667
-------- --------
-------- --------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .98044 $ .53080
-------- --------
-------- --------
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Statements of Operations
For the years ended December 31, 1997, 1996, and 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
1998 SERIES
---------------------------------------
1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ - $ - $ 115
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 54,994 49,458 47,098
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . . . - - (115)
-------- ------- --------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,994 49,458 47,098
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . . 6,768 - 13,935
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (12,746) (8,736) 53,409
-------- ------- --------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . (5,978) (8,736) 67,344
-------- ------- --------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 49,016 $40,722 $114,442
-------- ------- --------
-------- ------- --------
<CAPTION>
2008 SERIES
---------------------------------------
1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 159 $ 458 $ 457
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 27,443 30,219 27,593
Trustee's fees and expenses-Note 3 . . . . . . . . . . . . . . . . . . . . . . . (159) (458) (457)
-------- -------- --------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,443 30,219 27,593
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . . 31,617 - -
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (7,592) (42,659) 110,894
-------- -------- --------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . 24,025 (42,659) 110,894
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 51,468 $(12,440) $138,487
-------- -------- --------
-------- -------- --------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Statements of Changes In Net Assets
For the years ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
1998 SERIES
---------------------------------------
1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 54,994 $ 49,458 $ 47,098
Realized gain on securities transactions. . . . . . . . . . . . . . . . . . 6,768 - 13,935
Net unrealized appreciation (depreciation) of investments . . . . . . . . . (12,746) (8,736) 53,409
--------- -------- ---------
Net increase in net assets resulting from operations. . . . . . . . . . . . 49,016 40,722 114,442
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - 167,820
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . (231,032) - (214,483)
--------- -------- ---------
Net increase (decrease) in
net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (182,016) 40,722 67,779
--------- -------- ---------
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . 938,916 898,194 830,415
--------- -------- ---------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 756,900 $938,916 $ 898,194
--------- -------- ---------
--------- -------- ---------
<CAPTION>
2008 SERIES
---------------------------------------
1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,443 $ 30,219 $ 27,593
Realized gain on securities transactions. . . . . . . . . . . . . . . . . . 31,617 - -
Net unrealized appreciation (depreciation) of investments . . . . . . . . . (7,592) (42,659) 110,894
--------- -------- ---------
Net increase (decrease) in net assets resulting from operations . . . . . . 51,468 (12,440) 138,487
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . (144,773) - -
--------- -------- ---------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (93,305) (12,440) 138,487
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . 473,713 486,153 347,666
--------- -------- ---------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $380,408 $ 473,713 $ 486,153
--------- -------- ---------
--------- -------- ---------
</TABLE>
See Notes To Financial Statements
28
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Notes To Financial Statements
For the years ended December 31, 1997, 1996, and 1995
- --------------------------------------------------------------------------------
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 OppenheimerFunds 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>
<CAPTION>
December 31,
---------------------------------------
1997 1996 1995
-------- -------- --------
<S> <C> <C> <C>
1998 SERIES
- -----------
Cost of 772,000, 1,015,000 and 1,015,000 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $462,031 $568,967 $568,967
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,084 7,618 7,618
-------- -------- --------
Net amount applicable to certificateholders. . . . . . . . . . . . . . . . . . . 454,947 561,349 561,349
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 176,315 239,183 189,725
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . 125,638 138,384 147,120
-------- -------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . . $756,900 $938,916 $898,194
-------- -------- --------
-------- -------- --------
2008 SERIES
- -----------
Cost of 716,667, 1,023,236 and 1,023,236 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $127,411 $192,831 $192,831
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,639 5,874 5,874
-------- -------- --------
Net amount applicable to certificateholders. . . . . . . . . . . . . . . . . . . 131,050 186,957 186,957
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 145,743 175,549 145,330
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . 103,615 111,207 153,866
-------- -------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . . $380,408 $473,713 $486,153
-------- -------- --------
-------- -------- --------
</TABLE>
29
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Notes to Financial Statements
For the years ended December 31, 1997, 1996 and 1995 (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, 1997, 1996 and 1995 as follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
1998. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - 201,286
</TABLE>
REDEMPTION
During 1997, 1996 and 1995, the Sponsor elected to redeem Units of the Fund
as follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
1998. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243,000 - 261,473
2008. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306,569 - -
</TABLE>
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, 1997, 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.
30
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES D
Portfolios as of December 31, 1997
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
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 $772,000 $631,262 $756,900
-------- -------- --------
-------- -------- --------
2008 SERIES
- -----------
Stripped Treasury Securities. . . . . . . . . 0% 11-15-08 $713,000 $273,584 $376,229
U.S. Treasury Notes . . . . . . . . . . . . . 8.75% 11-15-08 3,667 3,209 4,179
-------- -------- --------
Total . . . . . . . . . . . . . . . . . . . . $716,667 $276,793 $380,408
-------- -------- --------
-------- -------- --------
</TABLE>
- -------------------------
(*) The aggregate values based on offering side evaluations at December 31,
1997 were as follows:
<TABLE>
<CAPTION>
Series Amount
------ ------
<S> <C>
1998 . . . . . . . . . . . . . . . $756,954
2008 . . . . . . . . . . . . . . . $381,206
</TABLE>
See Notes to Financial Statements.
31
<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, 1997 and the related statements of operations and changes in net
assets for the years ended December 31, 1997, 1996 and 1995. 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, 1997 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, 1997 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
February 10, 1998
33
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Statement of Condition As of December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
1999 2009
SERIES SERIES
- --------------------------------------------------------------------------------------------
<S> <C> <C>
TRUST PROPERTY
Investment in marketable securities (see Portfolios) . . . . $359,566 $165,851
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 6,206
Accrued interest receivable. . . . . . . . . . . . . . . . . 162 91
-------- --------
Total trust property. . . . . . . . . . . . . . . . . . 359,728 172,148
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . 162 6,297
-------- --------
NET ASSETS-NOTE 2. . . . . . . . . . . . . . . . . . . . . . $359,566 $165,851
-------- --------
-------- --------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 387,958 322,090
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $ .92682 $ .51492
-------- --------
-------- --------
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Statement of Operations
For the years ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
1999 SERIES
---------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . $ 75 $ 202 $ 207
Accretion of original issue discount . . . . . . . . 25,737 28,045 27,592
Trustee's fees and expenses - Note 3 . . . . . . . . (75) (202) (207)
------- -------- -------
Net investment income. . . . . . . . . . . . . . . . 25,737 28,045 27,592
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . 4,384 - 5,396
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . (7,671) (13,985) 27,648
------- -------- -------
Net gain (loss) on investments . . . . . . . . . . . (3,287) (13,985) 33,044
------- -------- -------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . $22,450 $ 14,060 $60,636
------- -------- -------
------- -------- -------
<CAPTION>
2009 SERIES
---------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . $ 71 $ 161 $ 161
Accretion of original issue discount . . . . . . . . 10,351 10,255 9,738
Trustee's fees and expenses - Note 3 . . . . . . . . (71) (161) (161)
------- -------- -------
Net investment income. . . . . . . . . . . . . . . . 10,351 10,255 9,738
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Realized gain on securities transactions . . . . . . 2,149 - 961
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . 9,537 (15,035) 38,500
------- -------- -------
Net gain (loss) on investments . . . . . . . . . . . 11,686 (15,035) 39,461
------- -------- -------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . $22,037 $ (4,780) $49,199
------- -------- -------
------- -------- -------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Statements of Changes in Net Assets
For the years ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
1999 SERIES
----------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . $ 25,737 $ 28,045 $ 27,592
Realized gain on securities transactions. . . . 4,384 - 5,396
Net unrealized appreciation (depreciation)
of investments. . . . . . . . . . . . . . . . (7,671) (13,985) 27,648
--------- -------- --------
Net increase in net assets resulting
from operations . . . . . . . . . . . . . . . 22,450 14,060 60,636
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units . . . . . . . . . . . . . . . 54,634
Redemption of Units . . . . . . . . . . . . . . (109,591) - (80,186)
--------- -------- --------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . (32,507) 14,060 (19,550)
NET ASSETS:
Beginning of period . . . . . . . . . . . . . 392,073 378,013 397,563
--------- -------- --------
End of period . . . . . . . . . . . . . . . . $ 359,566 $392,073 $378,013
--------- -------- --------
--------- -------- --------
<CAPTION>
2009 SERIES
----------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . $ 10,351 $ 10,255 $ 9,738
Realized gain on securities transactions. . . . 2,149 - 961
Net unrealized appreciation (depreciation)
of investments. . . . . . . . . . . . . . . . 9,537 (15,035) 38,500
-------- -------- --------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . . 22,037 (4,780) 49,199
CAPITAL SHARE
TRANSACTIONS - Note 4
Redemption of Units . . . . . . . . . . . . . . (16,720) - (14,286)
-------- -------- --------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . 5,317 (4,780) 34,913
NET ASSETS:
Beginning of period . . . . . . . . . . . . . 160,534 165,314 130,401
-------- -------- --------
End of period . . . . . . . . . . . . . . . . $165,851 $160,534 $165,314
-------- -------- --------
-------- -------- --------
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Notes to Financial Statements
For the years ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
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 OppenheimerFunds 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>
<CAPTION>
DECEMBER 31,
--------------------------------------
1997 1996 1995
-------- -------- --------
<S> <C> <C> <C>
1999 SERIES
- -----------
Cost of 387,958, 450,273 and 450,273 Units, respectively . . . . . . . $225,641 $226,513 $226,513
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 2,944 3,244 3,244
-------- --------- --------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 222,697 223,269 223,269
Accretion of original issue discount . . . . . . . . . . . . . . . . . 127,068 151,332 123,287
Net unrealized appreciation of investments . . . . . . . . . . . . . . 9,801 17,472 31,457
-------- -------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . $359,566 $392,073 $378,013
-------- -------- --------
-------- -------- --------
2009 SERIES
- -----------
Cost of 322,090, 359,216 and 399,352 Units, respectively . . . . . . . $ 77,515 $ 85,892 $ 85,892
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,890 6,158 6,158
-------- -------- --------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 71,625 79,734 79,734
Accretion of original issue discount . . . . . . . . . . . . . . . . . 61,190 57,301 47,046
Net unrealized appreciation of investments . . . . . . . . . . . . . . 33,036 23,499 38,534
-------- --------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . $165,851 $160,534 $165,314
-------- --------- --------
-------- -------- --------
</TABLE>
37
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Notes to Financial Statements
For the years ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
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,
1997, 1996, and 1995 as follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
1999. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60,304 - -
</TABLE>
REDEMPTION
During 1997, 1996 and 1995, the Sponsor elected to redeem Units of the Fund as
follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
1999. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122,619 - 105,532
2009. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,126 - 40,136
</TABLE>
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, 1997, 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.
38
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES E
Portfolios as of December 31, 1997
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
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% 5-15-99 $386,000 $347,651 $357,542
U.S. Treasury Notes. . . . . . . . 8.875% 2-15-99 1,958 2,114 2,024
-------- -------- --------
Total. . . . . . . . . . . . . . . $387,958 $349,765 $359,566
-------- -------- --------
-------- -------- --------
2009 SERIES
- -----------
Stripped Treasury Securities . . . 0% 05-15-09 $321,000 $130,439 $164,108
U.S. Treasury Notes. . . . . . . . 13.25% 05-15-14 1,090 2,376 1,743
-------- -------- --------
Total. . . . . . . . . . . . . . . $322,090 $132,815 $165,851
-------- -------- --------
-------- -------- --------
</TABLE>
- -------------
(*) The aggregate values based on offering side evaluations at December 31, 1997
were as follows:
<TABLE>
<CAPTION>
SERIES AMOUNT
------ ------
<S> <C>
1999. . . . . . . . . . . . . . . $359,663
2009. . . . . . . . . . . . . . . 166,214
</TABLE>
See Notes to Financial Statements.
39
<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, 1997 and the related statement of operations and changes in net
assets for the years ended December 31, 1997, 1996 and 1995. 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, 1997 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, 1997 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
February 10, 1998
41
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Statement of Condition as of December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
2010
SERIES
- --------------------------------------------------------------------------------
<S> <C>
TRUST PROPERTY
Investment in marketable securities (see Portfolio). . . . . $ 893,341
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,966
Accrued interest receivable. . . . . . . . . . . . . . . . . 713
----------
Total trust property . . . . . . . . . . . . . . . 900,020
LESS LIABILITIES . . . . . . . . . . . . . . . . . . . . . . 6,679
----------
NET ASSETS - Note 2. . . . . . . . . . . . . . . . . . . . . $ 893,341
----------
----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 1,818,940
----------
----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $ .49113
----------
----------
</TABLE>
See Notes to Financial Statements
42
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Statement of Operations
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
2010 SERIES
---------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income. . . . . . . . . . . . . . . . . . . $ 412 $ 1,021 $ 972
Accretion of original issue discount . . . . . . . . 53,584 61,079 45,398
Trustee's fees and expenses - Note 3 . . . . . . . . (412) (1,021) (972)
-------- -------- --------
Net investment income. . . . . . . . . . . . . . . . 53,584 61,079 45,398
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized gain on securities transactions . . . . . . 39,073 - 7,439
Net change in unrealized appreciation
of investments. . . . . . . . . . . . . . . . . 19,726 (91,994) 179,203
-------- -------- --------
Net gain (loss) on investments . . . . . . . . . . . 58,799 (91,994) 186,642
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . $112,383 $(30,915) $232,040
-------- -------- --------
-------- -------- --------
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Statement of Changes in Net Assets
For the Years Ended December 31, 1997, 1996 and 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
2010 SERIES
---------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS
Net investment income . . . . . . . . . . . . . $ 53,584 $ 61,079 $ 45,398
Realized gain on securities transactions. . . . 39,073 - 7,439
Net unrealized appreciation (depreciation)
of investments. . . . . . . . . . . . . . . . 19,726 (91,994) 179,203
--------- -------- --------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . . 112,383 (30,915) 232,040
CAPITAL SHARE
TRANSACTIONS - Note 4
Issuance of Units . . . . . . . . . . . . . . . 100,440 - 393,549
Redemption of Units . . . . . . . . . . . . . . (284,346) - (74,072)
--------- -------- --------
Net increase (decrease) in
net assets. . . . . . . . . . . . . . . . . . . (71,523) (30,915) 551,517
NET ASSETS:
Beginning of period . . . . . . . . . . . . . 964,864 995,779 444,262
--------- -------- --------
End of period. . . . . . . . . . . . . . . . . . . $ 893,341 $964,864 $ 995,779
--------- -------- --------
--------- -------- --------
</TABLE>
See Notes to Financial Statements
44
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
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 OppenheimerFunds 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>
<CAPTION>
DECEMBER 31,
-----------------------------------------
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
2010 SERIES
- -----------
Cost of 1,818,940, 2,277,690 and 2,277,690 Units, respectively . . . . $634,563 $699,696 $699,696
Less sales charge. . . . . . . . . . . . . . . . . . . . . . . . . . . 12,427 13,503 13,503
-------- -------- --------
Net amount applicable to certificateholders. . . . . . . . . . . . . . 622,136 686,193 686,193
Accretion of original issue discount . . . . . . . . . . . . . . . . . 149,505 176,696 115,617
Net unrealized appreciation of investments . . . . . . . . . . . . . . 121,700 101,975 193,969
-------- -------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . $893,341 $964,864 $995,779
-------- -------- --------
-------- -------- --------
</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,
1997, 1996 and 1995, as follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
2010 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238,912 - 1,046,994
</TABLE>
45
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Notes to Financial Statements
For the Years Ended December 31, 1997, 1996 and 1995
- --------------------------------------------------------------------------------
REDEMPTIONS
During 1997, 1996 and 1995, the Sponsor elected to redeem Units of the Fund, as
follows:
<TABLE>
<CAPTION>
1997 1996 1995
---- ---- ----
<S> <C> <C> <C>
2010 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 697,662 - 220,843
</TABLE>
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, 1997, 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.
46
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST, SERIES F
Portfolio as of December 31, 1997
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
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 $1,812,000 $760,752 $ 884,057
U.S. Treasury Notes. . . . . . . . 11.75% 2-15-10 6,940 10,889 9,284
---------- --------- ---------
Total. . . . . . . . . . . . . $1,818,940 $771,641 $ 893,341
---------- --------- ---------
---------- --------- ---------
</TABLE>
- ------------
(*) The aggregate values based on offering side evaluations at December 31, 1997
were as follows:
<TABLE>
<CAPTION>
SERIES AMOUNT
------ ------
<S> <C>
2010 . . . . . . . . . . . . . . . . . . . . . . . . . $895,427
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
INDEPENDENT AUDITORS' REPORT
OppenheimerFunds Distributor, Inc.:
We have audited the statement of financial condition of OppenheimerFunds
Distributor, Inc. as of December 31, 1997, that you are filing pursuant to Rule
17a-5 under the Securities Exchange Act of 1934. 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, 1997, in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
February 6, 1998
<PAGE>
<TABLE>
<CAPTION>
OPPENHEIMERFUNDS DISTRIBUTOR, INC.
STATEMENT OF FINANCIAL CONDITION
DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
CURRENT ASSETS:
Cash $ 28,791,487
Investment in affiliated money market mutual fund 93,655,811
Receivables:
Brokers and dealers 80,640,891
Mutual funds managed by affiliated companies 53,975,991
Affiliated companies 53,241,511
Income taxes 2,180,649
Other 5,069,593
Other current assets 2,463,161
------------
Total current assets 320,019,094
------------
OTHER ASSETS - Deferred sales commissions, net 361,926,345
------------
TOTAL $681,945,439
============
LIABILITIES AND SHAREHOLDER'S EQUITY
CURRENT LIABILITIES:
Subscriptions payable to mutual funds managed by affiliated companies $103,035,738
Payable to brokers and dealers 60,392,747
Accounts payable and accrued expenses 8,745,031
Payable to affiliated companies 727,729
-------
Total current liabilities 172,901,245
------------
OTHER CURRENT LIABILITIES - Deferred income taxes 144,768,401
------------
Total 317,669,646
------------
COMMITMENTS
SHAREHOLDER'S EQUITY:
Common stock; $300 stated value; 200 shares authorized,
100 shares issued and outstanding 30,000
Additional paid-in capital 332,141,351
Retained earnings 32,104,442
------------
Shareholder's equity 364,275,793
------------
TOTAL $681,945,439
============
See notes to financial statements.
</TABLE>
<PAGE>
OPPENHEIMERFUNDS DISTRIBUTOR, INC.
NOTES TO STATEMENT OF FINANCIAL CONDITION
AS OF DECEMBER 31, 1997
- --------------------------------------------------------------------------------
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.
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, the 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, 1997.
<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 $3,838,993 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, 2012. A valuation allowance has not been recorded with respect to this
deferred tax asset. Deferred tax liabilities of $148,607,395 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, 1997, the Company had net capital of $83,861,702
which exceeded requirements of $11,526,750 by $72,334,952.
<PAGE>
<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.
