Oppenheimer Zero Coupon
U.S. Treasuries Trust
Series B
Annual Report dated December 31, 1993
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Independent Auditors' Report
- ---------------------------------------------------------------------------
We have audited the accompanying statements of condition, including the
related portfolios of the 1996 Series and the 2006 Series of the Oppenheimer
Zero Coupon U.S. Treasuries Trust, Series B, as of December 31, 1993 and the
related statements of operations and changes in net assets for the years ended
December 31, 1993, 1992 and 1991. 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, 1993 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, 1993 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
Denver, Colorado
February 8, 1994
76
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Statements of Condition as of December 31, 1993
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
1996 2006
Series Series
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Trust Property
Investment in marketable securities (see Portfolios) - Note 1 . . . . . . . . . . . . . . . $1,829,429 $1,480,623
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,785 3,392
Accrued interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113 544
---------- ----------
Total trust property . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,832,327 1,484,559
Less Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,898 3,936
---------- ----------
Net Assets - Note 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,829,429 $1,480,623
========== ==========
Units Outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,004,095 3,220,427
========== ==========
Unit Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .91285 $ .45976
========== ==========
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Statements of Operations
For the Years Ended December 31, 1993, 1992 and 1991
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
1996 Series
------------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Interest Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 896 $ 1,166 $ 1,204
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . 126,935 155,364 165,867
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . (896) (1,166) (1,204)
------- -------- --------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,935 155,364 165,867
Realized and unrealized gain on Investments
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . - 37,929 43,717
Net change in unrealized appreciation of investments . . . . . . . . . . . . 8,942 (28,649) 143,476
------- -------- --------
Net gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,942 9,280 187,193
------ -------- --------
Net Increase in Net Assets Resulting from Operations . . . . . . . . . . . . $135,877 $164,644 $353,060
======== ======== ========
2006 Series
------------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,439 $ 1,500 $ 1,788
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . 94,089 94,747 109,891
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . (1,439) (1,500) (1,788)
------- -------- --------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94,089 94,747 109,891
Realized and Unrealized Gain (Loss) on Investments
Realized gain (loss) on securities transactions . . . . . . . . . . . . . . . 8,786 6,458 150,465
Net change in unrealized appreciation of investments . . . . . . . . . . . . 176,267 26,521 27,613
------- -------- --------
Net gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . 185,053 32,979 178,078
------- -------- --------
Net Increase in Net Assets Resulting from Operations . . . . . . . . . . . . $279,142 $127,726 $287,969
======== ======== ========
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Statements of Changes in Net Assets
For the Years Ended December 31, 1993, 1992 and 1991
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
1996 Series
--------------------------------------------
1993 1992 1991
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . $ 126,935 $ 155,364 $ 165,867
Realized gain on securities transactions . . . . . . . . . . . . . . . . . - 37,929 43,717
Net unrealized appreciation (depreciation) of investments . . . . . . . . 8,942 (28,649) 143,476
--------- ---------- ----------
Net increase in net assets resulting from operations . . . . . . . . . . . 135,877 164,644 353,060
Capital Share Transactions - Note 4
Issuance of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . - (572,665) (640,227)
--------- ---------- ----------
Net increase (decrease) in net assets . . . . . . . . . . . . . . . . . . 135,877 (408,021) (287,167)
Net Assets:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,693,552 2,101,573 2,388,740
--------- ---------- ----------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,829,429 $1,693,552 $2,101,573
========== ========== ==========
2006 Series
----------------------------------------------
1993 1992 1991
- -------------------------------------------------------------------------------------------------------------------------------
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . $ 94,089 $ 94,747 $ 109,891
Realized gain (loss) on securities transactions . . . . . . . . . . . . . 8,786 6,458 150,465
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . 176,267 26,521 27,613
---------- ---------- ----------
Net increase in net assets resulting from operations . . . . . . . . . . . 279,142 127,726 287,969
Capital Share Transactions - Note 4
Issuance of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - 2,533,089
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . (51,720) (210,213) (3,668,712)
---------- ---------- ----------
Net increase (decrease) in net assets . . . . . . . . . . . . . . . . . . 227,422 (82,487) (847,654)
---------- ---------- ----------
Net Assets:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,253,201 1,335,688 2,183,342
--------- ---------- ----------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,480,623 $1,253,201 $1,335,688
========== ========== ==========
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Notes to Financial Statements
For the Years Ended December 31, 1993, 1992 and 1991
- ---------------------------------------------------------------------------
1. Significant Accounting Policies
The Fund is registered under the Investment Company Act of 1940 as a unit
investment trust. Units of the Fund are sold only to separate investment
accounts of life insurance companies to fund variable life insurance policies.
The Fund's sponsor is Oppenheimer Funds Distributor, Inc. The following is a
summary of significant accounting policies consistently followed by the Fund.
The policies are in conformity with generally accepted accounting principles.
(a) Securities are stated at value as determined by the Evaluator based
on bid side evaluations for the securities.
(b) Cost of securities have been adjusted to include the accretion of
original issue discount on the Stripped Treasury Securities.
2. Net Capital
<TABLE>
<CAPTION>
December 31,
-------------------------------
1993 1992 1991
---- ---- ----
<S> <C> <C> <C>
1996 Series
- -----------
Cost of 2,004,095, 2,004,095 and 2,686,786 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 991,255 $ 991,255 $1,323,580
Less sales charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,009 16,008 20,351
---------- ---------- ----------
Net amount applicable to certificateholders . . . . . . . . . . . . . . . . . 975,246 975,247 1,303,229
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . 724,869 597,933 649,323
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . 129,314 120,372 149,021
---------- ---------- ----------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . $1,829,429 $1,693,552 $2,101,573
========== ========== ==========
2006 Series
- -----------
Cost of 3,220,427, 3,345,950, and 3,988,629 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 934,290 $ 971,084 $1,159,137
Less sales charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,338 12,120 15,778
---------- ---------- ----------
Net amount applicable to certificateholders . . . . . . . . . . . . . . . . . 922,952 958,964 1,143,359
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . 248,789 161,622 86,235
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . 308,882 132,615 106,094
---------- ---------- ----------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . $1,480,623 $1,253,201 $1,335,688
========== ========== ==========
</TABLE>
80
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Notes to Financial Statements
For the Years Ended December 31, 1993, 1992 and 1991 (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,
1993, 1992 and 1991 as follows:
<TABLE>
<CAPTION>
1993 1992 1991
---- ---- ----
<S> <C> <C> <C>
1996 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - 8,836,838
</TABLE>
Redemption
During 1993, 1992 and 1991, the Sponsor elected to redeem units of the Fund as
follows:
<TABLE>
<CAPTION>
1993 1992 1991
---- ---- ----
<S> <C> <C> <C>
1996 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 682,691 918,580
2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,523 642,679 12,753,162
</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, 1993, 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.
81
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series B
Portfolios as of December 31, 1993
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Series No. and Coupon Face Adjusted
Title of Securities Rates Maturities Amount Cost (+) Value (*)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1996 Series
- -----------
Stripped Treasury Securities . . . . . . . . . . . 0% 2-15-96 $1,996,283 $1,691,145 $1,820,594
U.S. Treasury Notes . . . . . . . . . . . . . . . . 11.50% 11-15-95 7,812 8,970 8,835
---------- ---------- ----------
Total . . . . . . . . . . . . . . . . . . . $2,004,095 $1,700,115 $1,829,429
========== ========== ==========
2006 Series
- -----------
Stripped Treasury Securities . . . . . . . . . . . 0% 2-15-06 $3,207,000 $1,155,440 $1,461,876
U.S. Treasury Notes . . . . . . . . . . . . . . . . 10.75% 8-15-05 13,427 16,301 18,747
---------- ---------- ----------
Total . . . . . . . . . . . . . . . . . . . . $3,220,427 $1,171,741 $1,480,623
========== ========== ==========
<FN>
- -------------------------
(+) See Notes to Financial Statements.
(*) The aggregate values based on offering side evaluations at December 31, 1993 were as follows:
Series Amount
------ ------
1996 . . . . . . . . . . . $1,830,943
2006 . . . . . . . . . . . 1,487,507
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Investment Summary of Series B+
as of December 31, 1993
- ---------------------------------------------------------------------------
Series B is a series unit investment trust consisting of three separate
series, each with its own portfolio. As of December 31, 1993, there are two
series which are still outstanding, these are the 1996 Series and the 2006
Series designated for the maturities of their underlying Portfolios. (See
Portfolios herein).
<TABLE>
<CAPTION>
1996 2006
Series Series
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Face Amount of Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,004,095 $ 3,220,427
Number of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,004,095 3,220,427
Fractional Undivided Interest in Fund Represented by Each Unit . . . . . . . . . . 1/2,004,095 th 1/3,220,427 th
Offering Price per 1,000 Units***
Aggregate offering side evaluation of Securities in Fund* . . . . . . . . . . $ 1,830,943.00 $ 1,487,507.00
-------------- --------------
Divided by number of Units times 1,000 . . . . . . . . . . . . . . . . . . . . $ 913.60 $ 461.90
Plus the applicable transaction charge** . . . . . . . . . . . . . . . . . . . 4.57 6.93
-------------- --------------
Offering Price per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . . . $ 918.17 $ 468.83
============== ==============
Sponsor's Repurchase Price per 1,000 Units (based on offering side evaluation of
underlying Securities) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 913.60 $ 461.90
Redemption Price per 1,000 Units (based on bid side evaluation of underlying
Securities)**** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 912.85 $ 459.76
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, 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.
<FN>
- ----------------
+ 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 charges currently applicable to the 1996 Series and the 2006 Series are .50% and 1.50% of their respective
Offering Price 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 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.
**** Figures shown are $5.32 and $9.07 less than the Offering Price per 1,000 Units and $0.75 and $2.14 less than the
Sponsor's Repurchase Price per 1,000 Units, with respect to the 1996 Series and the 2006 Series, respectively.
</TABLE>
83
