Oppenheimer Zero Coupon
U.S. Treasuries Trust
Series D
Annual Report dated December 31, 1993
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
Independent Auditors' Report
- ---------------------------------------------------------------------------
We have audited the accompanying statements of condition, including the
related portfolios of the 1998 Series and the 2008 Series of the Oppenheimer
Zero Coupon U.S. Treasuries Trust, Series D, 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 D 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
92
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
Statements of Condition as of December 31, 1993
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
1998 2008
Series Series
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Trust Property
Investment in marketable securities
(see Portfolios)-Note 1 . . . . . . . . . . . . . . . . . . . . . . . $1,061,262 $ 478,309
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 673 2,427
Accrued interest receivable . . . . . . . . . . . . . . . . . . . . . . . 74 71
---------- ----------
Total trust property . . . . . . . . . . . . . . . . . . . . . 1,062,009 480,807
Less Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 747 2,498
---------- ----------
Net Assets-Note 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,061,262 $ 478,309
========== ==========
Units Outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,321,762 1,256,429
========== ==========
Unit Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .80292 $ .38069
========== ==========
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
Statements of Changes In Net Assets
For the years ended December 31, 1993, 1992 and 1991
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
1998 Series
--------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 60,284 $ 59,636 $ 80,627
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . 10,954 - 39,173
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . 44,373 17,589 64,897
---------- ---------- ----------
Net increase in net assets resulting from operations . . . . . . . . . . . . 115,611 77,225 184,697
Capital Share Transactions - Note 4
Issuance of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (66,466) - (507,094)
---------- ---------- ----------
Net increase (decrease) in Net Assets . . . . . . . . . . . . . . . . . . . . 49,145 77,225 (322,397)
---------- ---------- ----------
Net Assets:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,012,117 934,892 1,257,289
---------- ---------- ----------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,061,262 $1,012,117 $ 934,892
========== ========== ==========
2008 Series
--------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 42,419 $ 47,289 $ 65,875
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . 75,586 17,976 37,223
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . 13,877 (22,766) 31,869
---------- ---------- ----------
Net increase in net assets resulting from operations . . . . . . . . . . . . 131,882 42,499 134,967
Capital Share Transactions - Note 4
Issuance of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (279,036) (201,947) (395,938)
---------- ---------- ----------
Net increase (decrease) in Net Assets . . . . . . . . . . . . . . . . . . . . (147,154) (159,448) (260,971)
Net Assets:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625,463 784,911 1,045,882
---------- ---------- ----------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 478,309 $ 625,463 $ 784,911
========== ========== ==========
</TABLE>
See Notes To Financial Statements
94
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
Statements of Operations
For the years ended December 31, 1993, 1992, and 1991
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
1998 Series
-------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Interest Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 74 $ 630 $ 772
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 60,284 59,636 80,627
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . . . . . (74) (630) (772)
-------- -------- -------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60,284 59,636 80,627
Realized and Unrealized Gain on Investments
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . . 10,954 - 39,173
Net change in unrealized appreciation of investments . . . . . . . . . . . . . . 44,373 17,589 64,897
-------- -------- -------
Net gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,327 17,589 104,070
-------- -------- -------
Net Increase in Net Assets Resulting From Operations . . . . . . . . . . . . . . $115,611 $ 77,225 $184,697
======== ======== ========
2008 Series
--------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 561 $ 909 $ 1,260
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 42,419 47,289 65,875
Trustee's fees and expenses-Note 3 . . . . . . . . . . . . . . . . . . . . . . . (561) (909) (1,260)
-------- -------- --------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,419 47,289 65,875
Realized and Unrealized Gain (Loss) on Investments
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . . 75,586 17,976 37,223
Net change in unrealized appreciation of investments . . . . . . . . . . . . . . 13,877 (22,766) 31,869
-------- -------- --------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . 89,463 (4,790) 69,092
-------- -------- --------
Net Increase in Net Assets Resulting From Operations . . . . . . . . . . . . . . $131,882 $ 42,499 $134,967
======== ======== ========
</TABLE>
- -------------------------
See Notes to Financial Statements.
95
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
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 has 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>
1998 Series
- -----------
Cost of 1,321,762, 1,409,001, and 1,409,001 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 626,780 $ 665,568 $665,568
Less sales charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,397 10,064 10,064
---------- ---------- --------
Net amount applicable to certificateholders . . . . . . . . . . . . . . . . . . . 617,383 655,504 655,504
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 238,442 195,549 135,913
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . 205,437 161,064 143,475
---------- ---------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . . $1,061,262 $1,012,117 $934,892
========== ========== ========
2008 Series
- -----------
Cost of 1,256,429, 2,030,389, and 2,814,400 Units,
respectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 236,061 $ 370,309 $511,320
Less sales charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,215 2,440 10,271
---------- ---------- --------
Net amount applicable to certificateholders . . . . . . . . . . . . . . . . . . . 228,846 367,869 501,049
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . 113,591 135,598 139,100
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . 135,872 121,996 144,762
---------- ---------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . . $ 478,309 $ 625,463 $784,911
========== ========== ========
</TABLE>
96
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
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>
1998 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
</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>
1998 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87,239 - 855,464
2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 773,960 784,011 1,708,743
</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.
97
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series D
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>
1998 Series
- -----------
Stripped Treasury Securities . . . . . . 0% 5-15-98 $1,315,000 $848,890 $1,053,165
U.S. Treasury Notes . . . . . . . . . . 7.00% 5-15-98 6,762 6,935 8,097
---------- -------- ---------
Total . . . . . . . . . . . . . . . . $1,321,762 $855,825 $1,061,262
========== ======== ==========
2008 Series
- -----------
Stripped Treasury Securities . . . . . . 0% 11-15-08 $1,250,000 $336,496 $ 470,610
U.S. Treasury Notes . . . . . . . . . . 8.75% 11-15-08 6,429 5,940 7,699
--------- -------- ----------
Total . . . . . . . . . . . . . . . . $1,256,429 $342,436 $ 478,309
=========== ======== ==========
<FN>
- -------------------------
(+) See Notes to Financial Statements.
(*) The aggregate values based on offering side evaluations at December 31, 1993 were as follows:
Series Amount
------ ------
1998 . . . . . . . . . . . . $1,063,062
2008 . . . . . . . . . . . . 481,029
</TABLE>
See Notes to Financial Statements.
98
<PAGE>
Investment Summary of Series D+
as of December 31, 1993
- ---------------------------------------------------------------------------
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,321,762 $ 1,256,429
Number of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,321,762 1,256,429
Fractional Undivided Interest in Fund Represented by Each Unit . . . . . . . . . . . 1/1,321,762 nd 1/1,256,429 th
Offering Price per 1,000 Units***
Aggregate offering side evaluation of Securities in Fund* . . . . . . . . . . . $ 1,063,062.00 $ 481,029.00
-------------- --------------
Divided by number of Units times 1,000 . . . . . . . . . . . . . . . . . . . . . $ 804.28 $ 382.85
Plus the applicable transaction charge** . . . . . . . . . . . . . . . . . . . . 6.03 6.70
-------------- --------------
Offering Price per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . . . . $ 810.31 $ 389.55
============== ==============
Sponsor's Repurchase Price Per 1,000 Units (based on offering
side evaluation of underlying Securities) . . . . . . . . . . . . . . . . . . . $ 804.28 $ 382.85
Redemption Price Per 1,000 Units (based on bid side evaluation
of underlying Securities)**** . . . . . . . . . . . . . . . . . . . . . . . . . $ 802.92 $ 380.69
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.
<FN>
- ------------------
+ 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 .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 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 $7.39 and $8.86 less than the Offering Price per 1,000 Units and $1.36 and $2.16 less than the
Sponsor's Repurchase Price per 1,000 Units, with respect to the 1998 Series and the 2008 Series, respectively.
</TABLE>
99
