Oppenheimer Zero Coupon
U.S. Treasuries Trust
Series E
Annual Report dated December 31, 1993
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
Independent Auditors' Report
- -----------------------------------------------------------------------------
We have audited the accompanying statements of condition, including the
related portfolios of the 1999 Series and the 2009 Series of the Oppenheimer
Zero Coupon U.S. Treasuries Trust, Series E, 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 E 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
100
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
Statements of Condition As of December 31, 1993
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
1999 2009
Series Series
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Trust Property
Investment in marketable securities
(see Portfolios)-Note 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $428,697 $ 294,308
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 6,275
Accrued interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222 226
-------- ----------
Total trust property . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 428,919 300,809
Less Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222 6,501
-------- ----------
Net Assets-Note 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $428,697 $ 294,308
======== ==========
Units Outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 567,866 802,717
======== ==========
Unit Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .75493 $ .36664
======== ==========
</TABLE>
See Notes to Financial Statements
101
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
Statements of Changes in Net Assets
For the years ended December 31, 1993, 1992 and 1991
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
1999 Series
----------------------------------------
1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28,399 $ 27,755 $ 25,469
Realized gain on securities transactions . . . . . . . . . . . . . . . . . . . 9,378 - -
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . 13,325 4,053 34,486
-------- -------- --------
Net increase in net assets resulting from operations . . . . . . . . . . . . . 51,102 31,808 59,955
Capital Share Transactions - Note 4
Issuance of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,091 - -
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . (53,027) - -
-------- -------- --------
Net increase in Net Assets . . . . . . . . . . . . . . . . . . . . . . . . 34,166 31,808 59,955
Net Assets:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394,531 362,723 302,768
-------- -------- --------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $428,697 $394,531 $362,723
======== ======== ========
2009 Series
----------------------------------------
1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 22,463 $ 41,995 $ 61,825
Realized Gain (Loss) on securities transactions . . . . . . . . . . . . . . . 20,020 (13,381) (29,794)
Net unrealized appreciation (depreciation) of investments . . . . . . . . . . 33,888 (6,988) 118,200
-------- -------- --------
Net increase in net assets resulting from operations . . . . . . . . . . . . 76,371 21,626 150,231
Capital Share Transactions - Note 4
Redemption of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (122,097) (404,491) (318,217)
-------- -------- --------
Net increase (decrease) in Net Assets . . . . . . . . . . . . . . . . . . . . (45,726) (382,865) (167,986)
Net Assets:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340,034 722,899 890,885
-------- -------- --------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $294,308 $340,034 $722,899
======== ======== ========
</TABLE>
See Notes to Financial Statements
102
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
Statement of Operations
For the years ended December 31, 1993, 1992 and 1991
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
1999 Series
-----------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Interest Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 255 $ 266 $ 266
Accretion of original issue discount . . . . . . . . . . . . . . . . . . 28,399 27,755 25,469
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . (255) (266) (266)
-------- ------- -------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . 28,399 27,755 25,469
Realized and Unrealized Gain (Loss) on Investments
Realized Gain on Securities Transactions . . . . . . . . . . . . . . . . 9,378 - -
Net change in unrealized appreciation of investments . . . . . . . . . . 13,325 4,053 34,486
-------- ------- -------
Net gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . 22,703 4,053 34,486
-------- ------- -------
Net Increase in Net Assets Resulting From Operations . . . . . . . . . . $ 51,102 $31,808 $59,955
======== ======= =======
2009 Series
----------------------------------------------
1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 417 $ 640 $ 1,431
Accretion of original issue discount . . . . . . . . . . . . . . . . . . 22,463 41,995 61,825
Trustee's fees and expenses - Note 3 . . . . . . . . . . . . . . . . . . (417) (640) (1,431)
-------- -------- --------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . 22,463 41,995 61,825
Realized and Unrealized Gain (Loss) on Investments
Realized gain (loss) on securities transactions . . . . . . . . . . . . . 20,020 (13,381) (29,794)
Net change in unrealized appreciation of investments . . . . . . . . . . 33,888 (6,988) 118,200
-------- -------- --------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . 53,908 (20,369) 88,406
-------- -------- --------
Net Increase in Net Assets Resulting From Operations . . . . . . . . . . $ 76,371 $ 21,626 $150,231
======== ======== ========
</TABLE>
- --------------------------
See Notes to Financial Statements.
103
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
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>
1999 Series
- -----------
Cost of 567,866, 592,992, and 592,992 Units, respectively . . . . . . . . . . . . . . $277,822 $272,631 $272,631
Less sales charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,916 4,091 4,091
-------- -------- --------
Net amount applicable to certificateholders . . . . . . . . . . . . . . . . . . . . . 273,906 268,540 268,540
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . . . 97,556 82,081 54,326
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . . . 57,235 43,910 39,857
-------- -------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . . . . $428,697 $394,531 $362,723
======== ======== ========
2009 Series
- -----------
Cost of 802,717, 1,153,906, and 2,709,170 Units, respectively . . . . . . . . . . . . $186,079 $265,578 $615,076
Less sales charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,726 10,924 18,255
-------- -------- --------
Net amount applicable to certificateholders . . . . . . . . . . . . . . . . . . . . . 177,353 254,654 596,821
Accretion of original issue discount . . . . . . . . . . . . . . . . . . . . . . . . 64,511 66,824 100,534
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . . . 52,444 18,556 25,544
-------- -------- --------
Net capital applicable to certificateholders . . . . . . . . . . . . . . . . . . . . $294,308 $340,034 $722,899
======== ======== ========
</TABLE>
104
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
Notes to Financial Statements
For the years ended December 31, 1993, 1992 and 1991
- ---------------------------------------------------------------------------
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>
1999 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,254 - -
2009 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - -
</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>
1999 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,380 - -
2009 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 351,189 1,555,264 1,304,415
</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.
105
<PAGE>
Oppenheimer Zero Coupon U.S. Treasuries Trust, Series E
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>
1999 Series
- -----------
Stripped Treasury Securities . . . . . . . . . . 0% 5-15-99 $565,000 $368,449 $425,370
U.S. Treasury Notes . . . . . . . . . . . . . . 8.875% 2-15-99 2,866 3,013 3,327
-------- -------- --------
Total . . . . . . . . . . . . . . . . . . . . . $567,866 $371,462 $428,697
======== ======== ========
2009 Series
- -----------
Stripped Treasury Securities . . . . . . . . . . 0% 05-15-09 $800,000 $237,095 $289,727
U.S. Treasury Notes . . . . . . . . . . . . . . 13.25% 05-15-14 2,717 4,769 4,581
-------- -------- --------
Total . . . . . . . . . . . . . . . . . . $802,717 $241,864 $294,308
======== ======== ========
<FN>
- -----------------
(+) See Notes to Financial Statements.
(*) The aggregate values based on offering side evaluations at December 31, 1993 were as follows:
Series Amount
------ ------
1999 . . . . . . . . . . . . . . $429,589
2009 . . . . . . . . . . . . . . 296,038
</TABLE>
See Notes to Financial Statements.
106
<PAGE>
Investment Summary of Series E+
As of December 31, 1993
- ---------------------------------------------------------------------------
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 567,866 $ 802,717
Number of Units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 567,866 802,717
Fractional Undivided Interest in Fund Represented by Each Unit . . . . . . . . 1/567,866 th 1/802,717 th
Offering Price per 1,000 Units***
Aggregate offering side evaluation of Securities in Fund* . . . . . . . . $ 429,589.00 $ 296,038.00
------------ --------------
Divided by number of Units times 1,000 . . . . . . . . . . . . . . . . . . $ 756.50 $ 368.80
Plus the applicable transaction charge** . . . . . . . . . . . . . . . . . 7.56 6.45
------------ --------------
Offering Price per 1,000 Units . . . . . . . . . . . . . . . . . . . . . . $ 764.06 $ 375.25
============ ==============
Sponsor's Repurchase Price per 1,000 Units (based on offering side evaluation
of underlying Securities) . . . . . . . . . . . . . . . . . . . . . . . . . $ 756.50 $ 368.80
Redemption Price per 1,000 Units (based on bid side evaluation of underlying
Securities)**** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 754.93 $ 366.64
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.
<FN>
- --------------------
+ 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 1.00% and 1.75% of their respective
Offering Prices per 1,000 Units (1.010% 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 $9.13 and $8.61 less than the Offering Price per 1,000 Units and $1.57 and $2.16 less than the Sponsor's
Repurchase Price per 1,000 Units, with respect to the 1999 Series and the 2009 Series, respectively.
</TABLE>
107
