<PAGE>
OPPENHEIMER ZERO COUPON
U.S. TREASURIES TRUST
SERIES A, B, C, D, E & F
ANNUAL REPORT DATED DECEMBER 31, 1997
<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.
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>
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.
8
<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.
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>
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.
16
<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.
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>
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.
24
<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.
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>
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
Trust Indenture may be terminated with respect to any Series
if the value of that Series is less than 40% of the face
amount of Securities.
</TABLE>
__________________
+ The Indenture was signed and the initial deposit was made as of April 18,
1988.
* The aggregate offering side evaluation of the obligations is determined by
the Evaluator on the basis of current offering prices for the obligations.
** The transaction charges currently applicable to the 1998 Series and the
2008 Series are .50% and 1.50% of their respective Offering Prices per
1,000 Units (.503% and 1.523%, respectively, of the net amount invested in
Securities).
*** These figures are computed by dividing the aggregate offering side
evaluation of the underlying Securities in the particular Series (the price
at which they could be purchased directly by the public if they were
available) by the number of Units of the Series outstanding, multiplying
the result times 1,000 and adding the applicable transaction charge as
described in the preceding footnote. These figures assume a purchase of
1,000 Units. The price of a single Unit, or any multiplying thereof, is
calculated by dividing the Offering Price per 1,000 Units above by 1,000
and multiplying by the number of Units.
**** Figures shown are $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.
32
<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.
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>
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.
40
<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.
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>
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.
48
<PAGE>
OPPENHEIMER ZERO COUPON U.S. TREASURIES TRUST
Series A, B, C, D, E and F
- --------------------------------------------------------------------------------
SPONSOR
OPPENHEIMERFUNDS DISTRIBUTOR, INC.
Two World Trade Center
New York, New York 10048
TRUSTEE
THE CHASE MANHATTAN BANK, N.A.
770 Broadway, 6th Floor
New York, New York 10003
EVALUATOR
INTERACTIVE DATA
Suite 501
350 South Figueroa
Los Angeles, California 90071
AUDITORS
DELOITTE & TOUCHE LLP
555 Seventeenth Street
Suite 3600
Denver, Colorado 80202-3942
49
