<PAGE>
---------------------
TRUST
-----
for Credit Unions
---------------------
Annual Report
-----------------
August 31, 1995
<PAGE>
Dear TCU Investor,
The 12-month period ended August 31, 1995 has been an eventful one, for
both the financial markets and the Trust for Credit Unions. We are pleased to
report that in a challenging environment TCU maintained its market share with
assets of over $1.4 billion to date, which made up approximately 50% of total
credit union mutual fund investments.*
For the past year, credit union lending rose approximately 14% -- one of
the highest levels ever -- while shares grew by approximately 3.0%.* As a
result, credit unions shortened the maturities on their investment portfolios in
order to increase liquidity. While total credit union investments declined 10%
to $105 billion in the 12 months ended June 30, 1995, none of the decline came
from the less than one year to maturity category, which stayed constant at $62
billion.* TCU provides two alternatives, the TCU Money Market Portfolio and the
TCU Government Securities Portfolio, for credit unions targeting the short end
of the yield curve.
Investor sensitivity to derivatives continued during the past year,
resulting in a dramatic decline in the demand for some of the more esoteric and
volatile instruments. In the case of the TCU portfolios, we want to assure you
that higher risk mortgage derivatives such as super floaters and inverse
floaters have never played a major role in our strategy. We have used these
instruments in very small percentages, for hedging purposes and, in certain
cases, for incremental expected return, and have managed the investments
extremely carefully.
The rapidly changing investment climate during the past year demonstrates
the importance of combining Goldman Sachs Asset Management's professional
investment expertise with Callahan Financial Services' in-depth understanding of
the needs of credit unions. The TCU portfolios' positive performance reflects
the results of careful management of duration, sector and security selection as
well as the use of tactical trading strategies to profit from shorter term
opportunities.
As always, we appreciate the opportunity to serve you and look forward to
offering innovative solutions to meet your investing needs in the years ahead.
Sincerely,
/s/ Marcia L. Beck /s/ William F. Connors
Marcia L. Beck William F. Connors
President President
Trust for Credit Unions Callahan Financial Services, Inc.
Director, Mutual Funds Group
Goldman Sachs Asset Management
/s/ Robert F. Deutsch
Robert F. Deutsch
Vice President
Goldman Sachs Asset Management
September 29, 1995
* Source: Callahan & Associates, Inc.
<PAGE>
Dear TCU Investor,
We are pleased to review the past performance of each of the Trust for
Credit Unions portfolios for the one-year period ending August 31, 1995. To help
put the portfolios' performance in perspective, the following is a brief
overview of some of the key events affecting the economy and financial markets
during the period.
Economic Review:
After a Difficult 1994, the Bond Market Staged a Powerful Rally
Rising interest rates took their toll on the U.S. bond market in 1994,
making it one of the most difficult years for bonds in recent memory. Starting
in January 1995, however, the bond market staged a rally that gained momentum
through midyear, fueled by slowing economic growth and relatively contained
inflation. In July and August, the bond market experienced a mild correction,
but by the end of August, bonds were again trending upward.
Robust Economy Faltered in March, but Later Recovered
The economy accelerated during the first half of the fund's fiscal year,
from September 1994 through February 1995. Real Gross Domestic Product (GDP)
grew at 4.0% and 5.1% in the third and fourth quarters of 1994, respectively.
Job growth, real disposable income, consumer spending, and sales of new and
existing homes all exhibited impressive strength.
The high-flying economy began losing altitude in March and weakened further
during the second quarter, fanning fears of a more serious downturn. For the
first quarter of 1995, GDP increased at 2.7%, down sharply from the preceding
quarters. Other troubling indicators included weakening employment, declining
consumer spending, a dramatic drop in the purchasing manager's index and a
downward trending Index of Leading Economic Indicators.
Following a spring dominated by generally poor economic readings, the
economy appeared to begin to revive in midsummer. The economy's response to
previous tightenings had begun to fade, and what appeared to be an inventory
correction cycle had come to an end. By August, employment, housing,
construction spending, auto sales and several other indicators showed some signs
of improvement. Furthermore, second-quarter real GDP growth -- originally
estimated as 0.5% --was revised upward to 1.1%.
Fed Raises Rates Twice During the Period, Then Cuts in July
To head off a resurgence in inflation in the midst of a booming economy,
the U.S. Federal Reserve raised the federal funds rate by 75 basis points in
November 1994 and by an additional 50 basis points in February 1995. All told,
the Fed had raised rates seven times in its tightening cycle, by a total of 300
basis points, to 6.00%.
2
<PAGE>
The Fed then remained neutral through early July 1995, when it reversed
course. Prompted by receding inflationary pressures and a weakening economy, the
Fed cut the federal funds rate 25 basis points to 5.75%.
The shape of the yield curve began flattening dramatically starting with
the November rate increase and continuing through the first half of 1995. The
yield on six-month Treasury bills rose from 5.02% on August 31, 1994 to
approximately 5.51% on August 31, 1995, due in large part to the Fed's actions.
For the same time period, the yield on the 30-year U.S. Treasury bond fell
dramatically, from 7.45% a year ago to 6.65%.
Historical Treasury Yield Curve
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
8/31/94 8/31/95
<S> <C> <C>
3 Month 4.66 5.44
6 Month 5.02 5.51
1 Year 5.53 5.63
2 Year 6.14 5.85
3 Year 6.42 5.94
5 Year 6.80 6.07
10 Year 7.17 6.29
30 Year 7.45 6.65
</TABLE>
Source: Bloomberg, L.P.
The yield curve flattened considerably and
shifted downward at the longer end. The
yield difference between two-year Treasury
notes and 30-year Treasury bonds narrowed
significantly.
A Challenging ARM Market
Interest rate fluctuations throughout the period under review had a direct
impact on the mortgage-backed securities market. In particular, adjustable rate
mortgage securities (ARMs), a key holding in the non-money market TCU
portfolios, went through three distinct phases during the past 12 months.
. At the start of the portfolio's fiscal year on September 1, 1994, spreads
between ARMs and Treasuries widened due to the fear that ARMs would reach
their periodic caps (the maximum their coupons can be raised within a
specified time period) in the rising interest rate environment.
. This situation generally persisted through January 1995, at which point the
ARM market entered a second phase: as interest rates stabilized, cap risk
declined and the prospects for ARMs brightened. This favorable ARM
environment continued through late spring, until interest rates began to
decline.
3
<PAGE>
. Starting approximately in June 1995, spreads between ARMs and Treasuries
began widening again, this time a result of increased prepayment risk based
on the assumption homeowners would refinance their mortgages at lower
rates. Currently, we believe that prepayment risk is fully reflected in ARM
prices, and ARMs are now at attractive valuations.
Economic Outlook: Slow Growth Ahead With Inflation Under Control
Though the signals are still somewhat mixed, the economy appears to have
regained some of its upward momentum and seems to be back on track for a period
of slow growth and relatively contained inflation, making an additional Fed rate
reduction less likely. However, the Fed may make one more precautionary cut by
year end, an event that has already been factored into the market.
- -----------------------
TCU Money Market Portfolio
Objective
The objective of the TCU Money Market Portfolio (MMP) is to maximize
current income, preserve capital and maintain liquidity through investments in
high-quality money market instruments authorized under the Federal Credit Union
Act.
Performance Review
For the 12-month period ended August 31, 1995, the TCU Money Market
Portfolio had a total return of 5.56%, outperforming Donoghue's All-Taxable
Money Market Index by 31 basis points. As of August 31, 1995, the portfolio had
a seven-day current yield of 5.67% and an effective yield of 5.83%./1/
Portfolio Composition and Investment Strategies
In order to meet the liquidity needs of credit unions in a volatile
interest rate environment, we significantly increased our investment in
repurchase agreements (repos) from 37% to 72.4% of the portfolio's assets during
the period under review. As of August 31, 1995, other portfolio positions
included 10.4% in bank notes, 5.2% in U.S. government agency securities, 4.2% in
bankers' acceptances, 3.9% in certificates of deposit (CDs), 2.6% in time
deposits and 1.3% in domestic Eurodollar CDs.
- ------------------------------
/1/ Please note that an investment in the portfolio is neither insured nor
guaranteed by the U.S. government. There can be no assurance that the
portfolio will be able to maintain a stable net asset value of $1.00.
4
<PAGE>
During the first half of the portfolio's fiscal year (September 1994 to
February 1995), we shortened the portfolio's average maturity as interest rates
rose in order to maintain a yield that was competitive with alternative
overnight investments. As it became apparent that the Fed had completed its
tightening cycle, the portfolio's average maturity was lengthened.
Portfolio Composition as of August 31, 1995*
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Repurchase Agreements 72.4%
Bank Notes 10.4%
U.S. Gov't Agency Discount Notes 5.2%
Bankers Acceptances 4.2%
Certificates of Deposit 3.9%
Time Deposits 2.6%
Domestic Eurodollar Certificates of Deposit 1.3%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflects portfolio holdings as a percentage of net assets.
Looking Forward
We will continue to emphasize high-quality investments and will structure
the portfolio in an effort to remain competitive with other short-term
alternatives. Going forward, we expect the portfolio to operate with a
relatively short average maturity of 10 to 20 days.
5
<PAGE>
TCU Government Securities Portfolio
Objective
The TCU Government Securities Portfolio (GSP) seeks high current income
consistent with low principal volatility. Operating since July 10, 1991, the
portfolio invests primarily in ARMs issued by the U.S. government, its agencies
or instrumentalities. The portfolio's target duration is six months to one year.
As of August 31, 1995, its actual duration was 0.70 years, almost the same as
the duration of the portfolio's benchmark, which was 0.75 years.
Performance Review
For the 12 months ended August 31, 1995, the TCU GSP achieved a total
return of 5.82% (6.01% in dividend income and -0.19% in price depreciation),
compared with 6.25% for the nine-month Treasury average. (Please note that we
have substituted the nine-month Treasury return for the one-year constant
maturity Treasury (CMT) quoted in last year's annual report because we are
managing the portfolio's duration to under one year. The nine-month Treasury
return is calculated by averaging the six-month Treasury bill and the one-year
Treasury bill.)
The portfolio's underperformance compared with its benchmark was primarily
caused by the widening spreads of ARMs relative to Treasuries. The portfolio's
large ARM position (86.4%) felt the impact of these widening spreads, making
ARMs less valuable than equal-duration Treasuries. The portfolio performed well,
however, compared with its peers. TCU GSP ranked 24th out of 72 adjustable rate
mortgage funds based on total return for the 12 months ended August 31, 1995,
according to Lipper Analytical Services, Inc.
. The portfolio's net asset value (NAV) declined slightly during the period,
from $9.78 on August 31, 1994 to $9.76 on August 31, 1995, as a result of
the yield on the one-year Treasury rising 10 basis points during the
period.
. During the period, the portfolio's distribution rate rose 112 basis points
to 6.25% on August 31, 1995 as ARM coupons continued to reset at higher
levels. The portfolio's 30-Day SEC Yield rose to 6.09% as of August 31,
1995, up from 4.85% a year earlier.
Portfolio Composition and Investment Strategies
The portfolio composition has remained much the same during this fiscal
year as it was last year, with primary emphasis on ARMs (86.4%) indexed to the
one-year CMT. In addition, the portfolio held a small position (3.1%) in Small
Business Administration (SBA) loans and 0.4% in sequential-pay collateralized
mortgage obligations (CMOs). To help manage duration, we maintained an 8.1%
position in repurchase agreements (repos)/cash equivalents.
6
<PAGE>
We believe that when used knowledgeably and very sparingly, derivatives can
improve a portfolio's performance. To this end, as of August 31, 1995, the
portfolio included a 2% position in super floaters. Because their sensitivity to
interest rate movements and coupon resets is approximately four times greater
than regular floaters, super floaters contributed to the portfolio's positive
performance when rates increased during the summer of 1995.
Portfolio Composition as of August 31, 1995*
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
ARMs 86.4%
Repos/Cash Equivalents 8.1%
SBAs 3.1%
Super Floaters 2.0%
Sequentials 0.4%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflects portfolio holdings as a percentage of net assets.
Looking Forward
We see ARMs as being favorably priced in the current environment. In
general, they continue to provide attractive yields versus comparable-duration
Treasuries. Furthermore, we believe that prepayment fears have been fully priced
into the market, creating upside potential should prepayments increase less than
the market anticipates.
7
<PAGE>
TCU Mortgage Securities Portfolio
Objective
The TCU Mortgage Securities Portfolio (MSP), which commenced operations on
October 9, 1992, seeks high current income consistent with relatively low
principal volatility. The portfolio invests in adjustable rate and fixed rate
mortgage securities issued by the U.S. government, its agencies or
instrumentalities and in mortgage securities rated AA or better by nationally
recognized rating agencies. The portfolio's target duration is the same as that
of the two-year Treasury note; its actual duration was 1.84 years as of August
31, 1995, exactly in line with its benchmark.
Performance Review
The portfolio's total return was 8.20% for the 12-month period ended August
31, 1995 (6.92% from dividend income and 1.28% from price appreciation),
compared with 7.55% for the two-year Treasury note, the portfolio's benchmark.
In addition to outperforming its Treasury benchmark, the portfolio also
performed well relative to its peers. For the 12 months ended August 31, 1995,
the portfolio ranked 22nd out of 129 short-term U.S. government funds based on
total return, according to Lipper Analytical Services, Inc.
The portfolio's term structure contributed to its outperformance relative
to its benchmark. The portfolio includes mortgage-backed securities with a range
of maturities that have both shorter and longer cash flows than the benchmark.
When the yield curve flattened, it was more advantageous to have cash flows
distributed along the curve rather than concentrated like the benchmark's
"bulleted" structure (with maturities at two years).
The portfolio's NAV was $9.74 on August 31, 1995, up $0.12 since last year,
due primarily to the decline in interest rates.
Portfolio Composition and Investment Strategies
Over the 12-month period ended August 31, 1995, we reduced the portfolio's
holdings in sequential-pay CMOs from 47.5% to 15.5% of the portfolio's assets,
and increased its investment in ARMs from 18.1% to 44.4%. As the price of
sequentials increased, we took advantage of tighter spreads versus equal-
duration Treasuries and sold a portion of our holdings in favor of ARMs with
wider spreads.
To increase the portfolio's expected return, we added a 3.4% position in
mezzanine CMOs. Mezzanines are a "tranche," or class of CMO, that ranks in
between senior classes (lower credit risk, lower yielding) and subordinate
classes (higher credit risk, higher yielding).
The portfolio held a 2.9% position in floaters, down slightly from its 3.2%
holding a year earlier, which added slight incremental return over Treasuries.
8
<PAGE>
We managed the portfolio's duration by weighting its positions in U.S.
Treasuries and repos/cash equivalents according to our need to shorten or
lengthen the portfolio's duration. Over the 12-month period, the portfolio's
holdings in U.S. Treasuries were increased from 1.8% to 19.6%, while repos/cash
equivalents decreased from 12.7% of the portfolio to 0.5%.
Portfolio Composition as of August 31, 1995*
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
ARMs 44.4%
U.S. Treasuries 19.6%
Sequentials 15.5%
PACs 9.6%
Fixed Pass-Throughs 4.0%
Mezzanine CMOs 3.4%
Floaters 2.9%
Repos/Cash Equivalents 0.5%
Inverse Floaters 0.1%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflects portfolio holdings as a percentage of net assets.
Looking Forward
We believe ARMs are attractively priced versus comparable-duration
Treasuries. With prepayment risk already factored into the market, we view ARMs
as having upside potential should prepayments increase more slowly than current
market expectations. In addition, with the lack of new issue supply in the CMO
market, this sector continues to offer value relative to Treasuries.
- ---------------------------
TCU Target Maturity Portfolios
Objectives
The TCU Target Maturity Portfolios (TMPs) have dual objectives: to seek a
high level of current income and to return $10 per unit to investors at or about
three years after the portfolio's inception. However, there is no assurance that
these objectives will be achieved. The portfolios invest primarily in mortgage-
related securities issued by the U.S. government, its agencies or
instrumentalities and in privately issued mortgage-related securities.
<TABLE>
<CAPTION>
Portfolio
U.S. Treasury Duration as of Commencement of
Portfolio Benchmark 8/31/95 Operations
- ------------ -------------- -------------- ---------------
<S> <C> <C> <C>
TMP (1996) 4.25% due 5/96 0.78 years 7/1/93
TMP (Feb 97) 4.75% due 2/97 1.42 years 2/15/94
TMP (May 97) 6.50% due 5/97 1.57 years 5/23/94
</TABLE>
9
<PAGE>
Target Maturity Portfolio (1996)
Performance Review
The portfolio's total return for the 12 months ended August 31, 1995 was
6.51% (6.13% from dividend income and 0.38% from price appreciation), compared
with 6.40% for the 4.25% U.S. Treasury note due May 1996, the portfolio's
benchmark. The portfolio outperformed the benchmark by 11 basis points,
primarily due to the successful use of ARMs and sequential-pay CMO securities
that provided incremental returns over Treasuries. The portfolio's NAV rose
$0.04 during the period to $9.59 on August 31, 1995. As the portfolio gets
closer to its maturity, we have intentionally decreased its duration to 0.78
years from 1.66 years last August.
Portfolio Composition Highlights
As of August 31, 1995, the portfolio was 47.6% invested in ARMs, up from
7.4% one year ago. During the period, we have decreased our holdings in
sequential-pay CMOs and planned amortization class (PAC) CMOs to 16.3% and 6.2%
of the portfolio, respectively. We believe that the ARM sector currently
represents better value than sequentials or PACs, which are trading at tighter
spreads.
The portfolio also included a 4.2% position in floaters and 0.1% in inverse
floaters, held for their incremental yield and expected total return. We managed
the portfolio's duration by balancing the U.S. Treasury position with the
repo/cash equivalents holdings, weighting one versus the other at different
times in response to the changing interest rate environment. To this end, as of
August 31, 1995, the portfolio held a 23.7% position in U.S. Treasuries and a
1.9% position in repos/cash equivalents.
Portfolio Composition as of August 31, 1995*
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
ARMs 47.6%
U.S. Treasuries 23.7%
Sequentials 16.3%
PACs 6.2%
Floaters 4.2%
Repos/Cash Equivalents 1.9%
Inverse Floaters 0.1%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflects portfolio holdings as a percentage of net assets.
10
<PAGE>
Target Maturity Portfolio (Feb 97)
Performance Review
During the 12-month period ended August 31, 1995, the portfolio realized a
total return of 7.48% (6.64% from dividend income and 0.84% from price
appreciation), compared with 7.19% for the portfolio's benchmark, the 4.75% U.S.
Treasury note due in February 1997. The portfolio outperformed the benchmark by
29 basis points, primarily due to the successful use of ARMs and sequential-pay
CMO securities that provided incremental returns over Treasuries. The
portfolio's NAV increased $0.08 during the period, rising to $9.71 as of August
31, 1995.
Portfolio Composition Highlights
We increased the portfolio's holdings in ARMs to 39.5% as of August 31,
1995, up from 3.5% a year earlier, and cut its sequential-pay CMOs to 38.1%,
down from 69.1% last year. As was the case with the other TCU TMPs, we expect
greater performance potential from attractively valued ARMs, which are trading
at wider spreads than sequentials. Sequential-pay CMOs still represent a major
position in the portfolio since they offer attractive yields relative to
Treasuries.
Also included in the portfolio were 3.3% in floaters, down slightly from
3.7% a year earlier. We managed the portfolio's duration to the benchmark's
duration, primarily by holding U.S. Treasuries (18.9%).
Portfolio Composition as of August 31, 1995*
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
ARMs 39.5%
Sequentials 38.1%
U.S. Treasuries 18.9%
Floaters 3.3%
Cash Equivalents 0.2%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflects portfolio holdings as a percentage of net assets.
11
<PAGE>
Target Maturity Portfolio (May 97)
Performance Review
The portfolio achieved a total return of 7.70% for the 12-month period
ended August 31, 1995 (6.85% from dividend income and 0.85% from price
appreciation), compared with 7.50% for the fund's benchmark, the 6.50% U.S.
Treasury note due in May 1997. The portfolio outperformed the benchmark by 20
basis points, primarily due to the successful use of ARMs and sequential-pay CMO
securities that provided incremental returns over Treasuries. The portfolio
closed its fiscal year with its NAV at $9.99, an increase of $0.08 from August
31, 1994.
Portfolio Composition Highlights
As of August 31, 1995, 52.1% of the portfolio was invested in ARMs, up from
14.1% a year earlier. The portfolio's second largest grouping was 29.6% in
sequential-pay CMOs, a decrease from its 45.7% position in the previous year.
During the period, we added a 2.7% position in inverse floaters, held for
their incremental yield and potential incremental return. The portfolio also
held 13.7% in U.S. Treasuries and 1.9% in cash equivalents, both of which were
used to manage the portfolio's duration to the benchmark's duration.
Portfolio Composition as of August 31, 1995*
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
ARMs 52.1%
Sequentials 29.6%
U.S. Treasuries 13.7%
Inverse Floaters 2.7%
Cash Equivalents 1.9%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflects portfolio holdings as a percentage of net assets.
12
<PAGE>
Investment Strategy and Outlook for TCU TMPs
Despite recent weakening in the mortgage market and possible near-term
volatility, we view ARMs as offering attractive value over Treasuries of
comparable duration. In addition, we believe CMOs add incremental yield and
expected return over comparable-duration Treasuries.
As the TCU TMPs approach maturity, we anticipate shifting the portfolios'
allocation to shorter duration mortgage securities.
Distribution Policy
As required by tax law, all mutual funds, including the TCU portfolios,
must either distribute substantially all of the taxable income they generate
each year or will be subject to an excise tax on any undistributed income.
. For the TCU Money Market Portfolio, substantially all of the net investment
income and net short-term capital gains will be declared as a dividend on a
daily basis and paid monthly. If the portfolio were to realize any net
long-term capital gains, they would be distributed at year end.
. For the TCU Government Securities Portfolio and Mortgage Securities
Portfolio, we pay monthly dividends based on the income each portfolio is
expected to generate during the month. The amount of the dividend will
reflect changes in interest rates (i.e., as interest rates increase,
dividends will increase and as interest rates decline, dividends will be
reduced). In addition, because these TCU portfolios invest in mortgage
securities that are subject to prepayments, we cannot precisely predict the
amount of principal and interest that a portfolio will receive. Therefore,
at times, a portfolio may distribute amounts above or below current income
levels. Any excess income, overdistributions or net capital gains generated
will be paid out in a special distribution or adjusted at year end.
. For the TCU Target Maturity Portfolios, the monthly dividends are based on
the prevailing interest rates at the time of each portfolio's inception.
For these portfolios, the monthly dividends are held constant despite any
changes in interest rates or changes in the rate of prepayments. As noted
above, any excess income, overdistribution or net capital gains generated
are paid out or adjusted at year end. The amount of these year end
adjustments may be more significant than in portfolios in which the
dividend is reset each month. In December 1994, the TCU TMP (1996) and TMP
(Feb 97) paid special dividends of $0.0893 per share and $0.0987 per share,
respectively.
13
<PAGE>
As always, we appreciate your support and we will continue to seek out
attractive and rewarding investment opportunities in the future.
Sincerely,
/s/ Laurie H. Wollmuth
Laurie H. Wollmuth
Portfolio Manager
TCU Money Market Portfolio
/s/ Jonathan A. Beinner /s/ Theodore T. Sotir
Jonathan A. Beinner Theodore T. Sotir
Portfolio Manager Portfolio Manager
TCU Government Securities Portfolio
TCU Mortgage Securities Portfolio
TCU Target Maturity Portfolio (1996)
TCU Target Maturity Portfolio (Feb 97)
TCU Target Maturity Portfolio (May 97)
Goldman Sachs Asset Management
September 29, 1995
14
<PAGE>
TRUST FOR CREDIT UNIONS
PERFORMANCE COMPARISON
In accordance with the requirements of the Securities and Exchange Commission,
the following data is supplied for the periods ended August 31, 1995. Each of
the Trust for Credit Union portfolios is compared to its benchmarks assuming the
following initial investment:
<TABLE>
<CAPTION>
Initial
Portfolio Investment Compare to:
- ----------------------------------------------- ---------- -------------------------------------------------------------
<S> <C> <C>
Government Securities ("GSP"): $ 100,000 Lehman Brothers Mutual Fund Adjustable Rate Mortgage
Index ("Lehman ARM Index")(c); Lehman Brothers Mutual
Fund Short (1-2) Government Index ("Lehman 1-2 Gov't
Index"); 1-Year U.S. Treasury Bill ("1-year T-Bill"); 6-Month
U.S. Treasury Bill ("6-month T-Bill").
Mortgage Securities ("MSP"): $ 500,000 Lehman ARM Index; Lehman Brothers Mutual Fund Short
(1-3) Government Index ("Lehman 1-3 Gov't Index");
2-Year U.S. Treasury Bill ("2-year T-Bill").
Target Maturity (1996) ("TMP (1996)"): $1,000,000 Lehman ARM Index; Lehman 1-2 Gov't Index; 4.25% U.S.
Treasury Bill due 05/15/96 ("T-Bill 4.25%").
Target Maturity (Feb 97) ("TMP (Feb 97)"): $1,000,000 Lehman ARM Index; Lehman 1-3 Gov't Index; 4.75% U.S.
Treasury Bill due 02/15/97 ("T-Bill 4.75%").
Target Maturity (May 97) ("TMP (May 97)"): $1,000,000 Lehman ARM Index; Lehman 1-3 Gov't Index; 6.50% U.S.
Treasury Bill due 05/15/97 ("T-Bill 6.50%").
</TABLE>
All performance data shown represents past performance and should not be
considered indicative of future performance which will fluctuate as market
conditions change. The investment return and principal value of an investment
will fluctuate with changes in market conditions so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
Government Securities Portfolio
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
GSP Lehman ARM Index(c) Lehman 1-2 Gov't Index 1-year T-Bill(g) 6-month T-Bill
<S> <C> <C> <C> <C> <C>
8/1/91(b) $100,000 100,000 100,000 100,000
8/31/91 $100,565 101,250 100,832 100,603
1/1/92 103,133
8/31/92 $107,303 108,179 110,607 107,760 106,172
8/31/93 $111,661 114,961 116,102 111,873 109,850
8/31/94 $114,266 115,868 118,784 114,846 113,692
8/31/95 $120,920 125,399 127,130 122,280 120,538
</TABLE>
Average Annual Total Return: One Year - 5.82%
Since Inception (a) - 4.80%
Mortgage Securities Portfolio
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MSP Lehman ARM Index Lehman 1-3 Gov't Index 2-year T-Bill
<S> <C> <C> <C> <C>
11/1/92(b) $500,000 500,000 500,000 500,000
8/31/93 $532,570 532,860 526,097 526,329
8/31/94 $537,871 537,066 535,052 534,055
8/31/95 $581,995 581,250 574,700 574,400
</TABLE>
Average Annual Total Return: One Year - 8.20%
Since Inception (a) - 5.30%
15
<PAGE>
TRUST FOR CREDIT UNIONS
PERFORMANCE COMPARISON
Target Maturity Portfolio (1996)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
TMP(1996)(d) TMP(1996)(e) Lehman ARM Index Lehman 1-2 Gov't Index T-Bill 4.25%
<S> <C> <C> <C> <C> <C>
7/1/93(a) $1,000,000 1,000,000 1,000,000 1,000,000 1,000,000
8/31/93 1,011,929 1,011,929 1,010,527 1,009,116 1,012,517
8/31/94 1,020,110 1,020,110 1,018,503 1,032,430 1,023,716
8/31/95 1,086,492 1,080,851 1,102,300 1,105,000 1,089,206
</TABLE>
Average Annual Total Return:
TMP(1996)(d) One Year -- 6.51%
Since Inception (a) -- 3.90%
TMP(1996)(e) One Year -- 5.98%
Since Inception (a) -- 3.66%
Target Maturity Portfolio (Feb 97)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
TMP(Feb 97)(d) TMP(Feb 97)(e) Lehman ARM Index Lehman 1-3 Gov't Index T-Bill 4.75%
<S> <C> <C> <C> <C> <C>
3/1/94(b) $1,000,000 1,000,000 1,000,000 1,000,000 1,000,000
8/31/94 996,630 996,630 999,122 1,007,226 996,823
8/31/95 1,071,183 1,065,692 1,081,300 1,081,800 1,068,531
</TABLE>
Average Annual Total Return:
TMP(Feb 97)(d) One Year -- 7.48%
Since Inception (a) -- 4.22%
TMP(Feb 97)(e) One Year -- 6.94%
Since Inception (a) -- 3.89%
Target Maturity Portfolio (May 97)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
TMP(May 97)(d) TMP(May 97)(e) Lehman ARM Index Lehman 1-3 Gov't Index T-Bill 6.50%
<S> <C> <C> <C> <C> <C>
6/1/94(b) $1,000,000 1,000,000 1,000,000 1,000,000 1,000,000
8/31/94 1,013,022 1,013,022 1,013,254 1,014,840 1,015,554
8/31/95 1,091,028 1,085,598 1,096,600 1,090,000 1,091,600
</TABLE>
Average Annual Total Return:
TMP(May 97)(d) One Year -- 7.70%
Since Inception (a) -- 6.75%
TMP(May 97)(e) One Year -- 7.16%
Since Inception (a) -- 6.33%
(a) The Government Securities, Mortgage Securities, Target Maturity (1996),
Target Maturity (Feb 97), and Target Maturity (May 97) portfolios
commenced operations July 10, 1991, October 9, 1992, July 1, 1993,
February 15, 1994 and May 23, 1994, respectively.
(b) For comparative purposes, initial investments are assumed to be made on
the first day of the month following each portfolio's inception.
(c) The calculation of The Lehman ARM Index was initiated for the month ending
January 31, 1992. For comparative purposes in this graph, an initial
investment for this index is assumed on January 1, 1992, at a value equal
to the Government Securities portfolio's investment at such date.
(d) Does not include effect of redemption fee.
(e) Includes effect of 0.50% redemption fee, assuming redemption at the end of
the period presented.
16
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To the Unitholders and Trustees of
Trust for Credit Unions:
We have audited the accompanying statements of assets and liabilities of
Trust for Credit Unions (a Massachusetts business trust comprising the Money
Market Portfolio, the Government Securities Portfolio, the Mortgage Securities
Portfolio, the Target Maturity Portfolio (1996), the Target Maturity Portfolio
(Feb 97) and the Target Maturity Portfolio (May 97)), including the statements
of investments as of August 31, 1995, the related statements of operations for
the year then ended and the statements of changes in net assets and financial
highlights for the periods presented. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and the financial
highlights 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 and the financial
highlights 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 as of
August 31, 1995 by correspondence with the custodian and brokers. 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 and the financial highlights
referred to above present fairly, in all material respects, the financial
position of each of the respective portfolios constituting the Trust for Credit
Unions as of August 31, 1995, the results of their operations for the year then
ended, and the changes in their net assets and the financial highlights for the
periods presented, in conformity with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Boston, Massachusetts,
October 2, 1995
17
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------- -------- -------- ---------
<S> <C> <C> <C>
Bank Notes (10.5%)
Bank of America
$ 15,000 5.74% 09/11/95 $ 15,000
First Bank of Minneapolis
15,000 5.80 09/15/95 15,000
PNC Bank, N.A.
10,000 5.88 09/27/95 10,000
--------
Total Bank Notes............................... $ 40,000
--------
Bankers' Acceptances (4.3%)
Chemical Bank
$ 5,500 5.78%(a) 10/23/95 $ 5,455
Corestates Bank
3,000 5.81(a) 09/14/95 2,994
2,847 5.81(a) 10/17/95 2,826
NationsBank of Georgia, N.A.
5,000 5.77(a) 10/13/95 4,966
--------
Total Bankers' Acceptances..................... $ 16,241
--------
Certificates of Deposit (3.9%)
National Bank of Detroit
$ 15,000 5.78% 09/21/95 $ 15,000
--------
Certificates of Deposit - Eurodollar (1.3%)
Bankers Trust Co., London
$ 5,000 5.75% 09/01/95 $ 5,000
--------
Time Deposit (2.6%)
Fifth Third Bancorp
$ 10,000 5.90% 09/20/95 $ 10,000
--------
U.S. Government Agency Obligations (5.2%)
Federal National Mortgage Association
$ 20,000 5.78%(a) 09/28/95 $ 19,914
--------
Repurchase Agreements (72.6%)
Joint Repurchase Agreement Accounts
$100,000 5.84% 09/01/95 $100,000
102,300 5.85 09/01/95 102,300
Nomura Securities, dated 08/02/95,
repurchase price $50,345 (FNMA:
$20,100, 7.00%, 05/01/08; $8,740, 7.50%,
06/01/09; $22,965, 6.00%, 10/01/08)
50,000 5.77 09/14/95 50,000
Nomura Securities, dated 08/04/95,
repurchase price $25,180 (FNMA:
$26,105, 7.50%, 06/01/09)
25,000 5.77 09/18/95 25,000
--------
Total Repurchase Agreements.................... $277,300
--------
Total Investments.............................. $383,455(b)
========
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
(a) The rate disclosed for this security represents the yield to maturity.
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
The accompanying notes are an integral
part of these financial statements.
18
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations (91.7%)
Adjustable Rate Federal Home Loan Mortgage Corp.
(FHLMC)(a) (27.1%)
$ 2,227 7.36% 04/01/18 $ 2,298
13,261 7.68 05/01/18 13,669
2,393 7.63 01/01/19 2,463
6,244 7.67 01/01/21 6,440
6,845 7.56 02/01/22 7,001
33,615 7.62 02/01/22 34,629
32,841 7.58 04/01/22 33,833
14,557 7.53 06/01/24 14,965
6,430 7.61 07/01/27 6,536
7,488 7.52 04/01/28 7,633
3,450 7.63 07/01/29 3,519
10,418 7.74 05/01/31 10,672
--------
Total Adjustable Rate FHLMC.................... $143,658
--------
Adjustable Rate Federal National Mortgage Association
(FNMA)(a) (51.9%)
$ 4,957 7.01% 03/01/17 $ 4,997
3,462 7.98 11/01/17 3,564
5,697 7.22 12/01/17 5,811
6,293 7.69 08/01/18 6,436
2,045 7.48 11/01/18 2,093
30,690 7.37 06/01/19 31,329
3,486 7.39 07/01/19 3,559
7,378 7.00 12/01/19 7,359
5,512 7.76 03/01/20 5,687
2,950 7.59 05/01/20 3,021
21,443 7.33 04/01/21 21,875
45,659 7.63 09/01/21 46,964
2,826 7.61 10/01/21 2,868
$2,115 7.63% 11/01/21 $ 2,166
3,159 7.98 02/01/22 3,261
31,402 7.80 09/01/22 32,399
6,779 7.67 07/01/27 6,929
4,755 7.32 10/01/27 4,858
51,484 7.75 01/01/31 53,116
17,000 6.31 02/01/31 17,042
9,309 8.26 02/01/32 9,583
--------
Total Adjustable Rate FNMA..................... $274,917
--------
Adjustable Rate Government National Mortgage
Association (GNMA)(a) (3.8%)
$20,063 7.00% 06/20/24 $ 20,381
--------
Adjustable Rate Small Business Administration
(SBA)(a) (3.0%)
$15,993 7.13% 09/25/17 $ 16,138
--------
Collateralized Mortgage Obligations (CMOs) (5.9%)
Adjustable Rate CMOs(a) (3.5%)
FNMA REMIC Trust 1990- 145, Class A
$18,509 6.76% 12/25/20 $ 18,427
--------
Planned Amortization Class Interest-Only (PAC IO)
CMOs (0.0%)
FNMA REMIC Trust 1991-120, Class H
$ 26 484.26%(b) 06/25/00 $ 58
--------
Sequential Fixed Rate CMOs (0.4%)
FHLMC Series 1278, Class E
$ 176 7.00% 12/15/18 $ 176
</TABLE>
The accompanying notes are an integral
part of these financial statements.
19
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
GOVERNMENT SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs--(Continued)
FNMA REMIC Trust 1991-82, Class PH
$ 1,781 8.00% 11/25/18 $ 1,776
--------
Total Sequential Fixed Rate CMOs............... $ 1,952
--------
Super Floater CMOs(a) (2.0%)
FNMA REMIC Trust 1992-157, Class FA
$10,969 2.91% 03/25/04 $ 10,393
--------
Total CMOs..................................... $ 30,830
--------
Total Mortgage Backed Obligations (cost
$492,090)..................................... $485,924
--------
Repurchase Agreements (7.5%)
Joint Repurchase Agreement Account
$39,600 5.84% 09/01/95 $ 39,600
--------
Total Repurchase Agreements (cost $39,600)..... $ 39,600
--------
Total Investments (cost $531,690(c)).......... $525,524
========
- --------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in
which value exceeds cost............................... $ 184
Gross unrealized loss for investments in
which cost exceeds value............................... (6,350)
--------
Net unrealized loss..................................... $ (6,166)
========
- --------------------------------------------------------------------------------
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
(a) Variable rate security. Coupon rate disclosed is that which is in effect at
August 31, 1995.
(b) Represents security with notional or nominal principal amount. The actual
effective yield of this security is different than the stated rate due to
the amortization of related premiums.
(c) The amount stated also represents aggregate cost for federal income tax
purposes.
The accompanying notes are an integral
part of these financial statements.
20
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
MORTGAGE SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations (79.8%)
Fixed Rate Government National Mortgage
Association (4.0%)
$ 9,723 9.50% 04/15/10 $ 10,461
--------
Collateralized Mortgage Obligations (CMOs) (75.8%)
Adjustable Rate CMOs(a) (44.4%)
Citicorp Mortgage Securities, Inc. 1992-17,
Class A
$10,796 7.70% 10/25/22 $ 10,981
CMC Securities Corp. II 1993-H, Class A1
6,219 7.56 09/25/23 6,331
CMC Securities Corp. II 1993-I, Class A2
6,099 7.07 09/25/23 6,156
DLJ Mortgage Acceptance Corp.
1992-Q11, Class A2
9,575 8.07 01/25/23 9,664
DLJ Mortgage Acceptance Corp. 1993-Q6,
Class A2
636 6.55 05/25/23 642
Independent National Mortgage Corp.
1994-W, Class A1
11,177 7.43 12/25/24 11,411
Merrill Lynch Mortgage Investors, Inc.
1994-I, Class A1
10,417 7.48 01/25/05 10,610
Prudential Home Mortgage 1991-15,
Class A1
1,571 8.42 11/25/21 1,600
Prudential Home Mortgage 1992-8,
Class A1
466 8.07 04/25/22 475
Prudential Home Mortgage 1992-24,
Class A1
$ 6,364 8.82% 09/25/22 $ 6,518
Resolution Trust Corp. 1992-4, Class B2
4,500 7.59 07/25/28 4,521
Resolution Trust Corp. 1992-11, Class A2
3,727 7.68 10/25/24 3,775
Resolution Trust Corp. 1992-11, Class B2
7,501 7.68 10/25/24 7,531
Resolution Trust Corp. 1994-1, Class M3
5,742 8.08 09/25/29 5,874
Ryland Mortgage Securities Corp.
1989-FN1, Class A
1,937 7.66 11/01/18 1,957
Ryland Mortgage Securities Corp. 1991-1,
Class B1
416 7.59 03/25/20 421
Ryland Mortgage Securities Corp. 1991-7,
Class A1
2,330 7.09 06/25/21 2,329
Ryland Mortgage Securities Corp. 1992-3,
Class A2
486 7.68 06/25/20 491
Ryland Mortgage Securities Corp.
1992-L10, Class B
5,000 8.28 08/25/22 5,035
Salomon Brothers Mortgage Securities
1994-20, Class A
9,212 7.31 12/25/24 9,403
</TABLE>
The accompanying notes are an integral
part of these financial statements.
21
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Adjustable Rate CMOs--(Continued)
Saxon Mortgage Securities Corp. 1993-1,
Class A2
$ 120 8.35% 02/25/23 $ 122
Saxon Mortgage Securities Corp. 1994-12,
Class A
11,217 7.97 01/25/25 11,555
--------
Total Adjustable Rate CMOs..................... $117,402
--------
Inverse Floater CMOs(a) (0.1%)
FHLMC Series 1134, Class H
$ 224 14.59% 09/15/96 $ 236
--------
Planned Amortization Class (PAC) CMOs (9.6%)
GE Capital Mortgage Services, Inc.
1994-11, Class A1
$14,018 6.50% 03/25/24 $ 13,902
Housing Securities, Inc. 1993-E, Class E8
6,426 10.00 02/25/08 6,728
Prudential Home Mortgage 1993-54,
Class A4
4,721 6.50 01/25/24 4,675
--------
Total PAC CMOs................................. $ 25,305
--------
Regular Floater CMOs(a) (2.9%)
FHLMC Series 1333, Class F
$ 7,636 6.74% 07/15/22 $ 7,715
--------
Sequential Fixed Rate CMOs (18.8%)
CMC Securities Corp. 1993-C, Class C3
$ 4,666 9.55% 04/25/08 $ 4,880
FHLMC Series 172, Class H
6,302 9.00 05/15/20 6,371
Housing Securities, Inc. 1992-F,
Class F3
272 5.50% 08/25/03 270
Prudential Home Mortgage 1992-39,
Class A3
8,000 5.80 12/25/07 7,889
Prudential Home Mortgage 1992-A,
Class 1B1
9,157 7.20 04/28/22 9,048
Prudential Home Mortgage 1993-38,
Class A4
12,806 9.55 09/25/23 13,243
Residential Funding Mortgage Securities
1992-S36, Class A2
4,409 5.70 11/25/07 4,317
Ryland Mortgage Securities Corp. 72,
Class D
1,850 9.85 12/01/16 1,947
Salomon Brothers Mortgage Securities
1994-6, Class A1
1,877 7.02 05/25/24 1,867
--------
Total Sequential Fixed Rate
CMOs.......................................... $ 49,832
--------
Total CMOs...................................... $200,490
--------
Total Mortgage Backed
Obligations (cost $210,044)................... $210,951
--------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
22
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
U.S. Treasury Obligations (19.5%)
U.S. Treasury Notes
$17,800 7.38% 11/15/97 $ 18,331
3,700 7.50 10/31/99 3,890
21,380 6.25 02/15/03 21,360
U.S. Treasury Principal-Only Stripped Security
14,600 6.48(b) 11/15/04 8,096
--------
Total U.S. Treasury Obligations
(cost $51,330)................................ $ 51,677
--------
Repurchase Agreements (1.3%)
Joint Repurchase Agreement Account
$ 3,400 5.84% 09/01/95 $ 3,400
--------
Total Repurchase Agreements
(cost $3,400)................................. $ 3,400
--------
Total Investments
(cost $264,774(c))............................ $266,028
========
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments in which value exceeds cost... $ 2,485
Gross unrealized loss for investments in which cost exceeds value... (1,390)
--------
Net unrealized gain................................................. $ 1,095
========
</TABLE>
- -------------------------------------------------------------------------------
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
(a) Variable rate security. Coupon rate disclosed is that which is in effect
at August 31, 1995.
(b) The rate disclosed for this security represents the yield to maturity.
(c) The aggregate cost for federal income tax purposes is $264,933.
The accompanying notes are an integral
part of these financial statements.
23
<PAGE>
TRUST FOR CREDIT UNIONS
-----------------
TARGET MATURITY PORTFOLIO (1996)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations (74.4%)
Adjustable Rate Federal Home Loan Mortgage Corp.
(FHLMC)(a) (4.5%)
$5,601 7.49% 07/01/30 $ 5,751
-------
Collateralized Mortgage Obligations (CMOs) (69.9%)
Adjustable Rate CMOs(a) (43.0%)
Capstead Securities Corp. 1992-14, Class A
$2,400 7.39% 10/25/22 $ 2,419
Chase Mortgage Finance Corp. 1990-E,
Class A1
3,131 7.47 11/25/20 3,152
Citicorp Mortgage Securities, Inc. 1992-17,
Class A
4,662 7.70 10/25/22 4,742
CMC Securities Corp. 1993-2F, Class A1
2,894 7.45 05/25/22 2,940
Housing Securities, Inc. 1992-SL1,
Class A1
2,062 8.65 05/25/16 2,122
Independent National Mortgage Corp.
1994-V, Class A1
4,526 7.51 12/25/24 4,647
Prudential Home Mortgage 1992-24,
Class A1
2,874 8.82 09/25/22 2,943
Residential Funding Mortgage Securities
1993-S38, Class A
1,635 7.87 09/25/23 1,655
Resolution Trust Corp. 1992-11, Class B2
3,700 7.68 10/25/24 3,715
Salomon Brothers Mortgage Securities
1990-3A, Class 1
3,009 6.80 11/25/20 2,978
Salomon Brothers Mortgage Securities
1992-6, Class A1
4,174 7.82% 11/25/22 4,242
Saxon Mortgage Securities Corp. 1992-1,
Class B1
4,400 8.15 09/25/22 4,466
Saxon Mortgage Securities Corp. 1992-4,
Class A
1,325 7.85 12/25/22 1,343
Saxon Mortgage Securities Corp. 1992-6,
Class A
1,782 8.13 01/25/23 1,807
Saxon Mortgage Securities Corp. 1994-11,
Class A
3,404 7.53 12/25/24 3,473
Saxon Mortgage Securities Corp. 1995-1,
Class A
5,348 7.04 04/25/25 5,469
Sears Mortgage Securities 1993-8,
Class A
2,683 7.62 08/25/23 2,717
-------
Total Adjustable Rate CMOs...................... $54,830
-------
Inverse Floater CMOs(a) (0.1%)
Lehman Brothers Mortgage Trust 1992-M1,
Class A1I
$ 81 7.66% 11/25/01 $ 80
-------
Planned Amortization Class (PAC) CMOs (6.2%)
Housing Securities, Inc. 1993-E, Class E8
$7,512 10.00% 02/25/08 $ 7,866
-------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
24
<PAGE>
TRUST FOR CREDIT UNIONS
-----------------
TARGET MATURITY PORTFOLIO (1996)--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Regular Floater CMOs(a) (4.2%)
Capstead Securities Corp. 1993-1, Class F
$1,616 6.63% 03/01/18 $ 1,619
FHLMC Series 1333, Class F
3,751 6.74 07/15/22 3,790
--------
Total Regular Floater CMOs.......................... $ 5,409
--------
Sequential Fixed Rate CMOs (16.4%)
FHLMC Series 172, Class H
$3,151 9.00% 05/15/20 $ 3,185
FHLMC Series 1028, Class F
5,398 9.30 05/15/05 5,479
FHLMC Series 1056, Class G
1,932 8.00 12/15/18 1,939
FNMA REMIC Trust 1990-142, Class J
2,059 9.25 12/25/03 2,072
Prudential Home Mortgage 1993-38, Class A4
5,000 9.55 09/25/23 5,170
Residential Resources, Inc. 15, Class C
3,039 9.75 11/20/18 3,061
--------
Total Sequential Fixed Rate
CMOs.............................................. $ 20,906
--------
Total CMOs.......................................... $ 89,091
--------
Total Mortgage Backed
Obligations (cost $94,633)........................ $ 94,842
--------
U.S. Treasury Obligations (23.6%)
U.S. Treasury Notes
$9,010 4.63% 02/15/96 $ 8,968
7,300 4.25 05/15/96 7,226
8,000 5.88 05/31/96 8,009
3,500 7.25% 11/15/96 3,558
500 7.38 11/15/97 515
1,700 7.50 10/31/99 1,789
--------
Total U.S. Treasury Obligations
(cost $29,918).................... $ 30,065
--------
Repurchase Agreements (3.0%)
Joint Repurchase Agreement Account
$3,800 5.84% 09/01/95 $ 3,800
--------
Total Repurchase Agreements
(cost $3,800).................... $ 3,800
--------
Total Investments
(cost $128,351(b))............... $128,707
========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments in which value
exceeds cost........................................... $ 765
Gross unrealized loss for investments in which
cost exceeds value..................................... (456)
-------
Net unrealized gain..................................... $ 309
=======
</TABLE>
- --------------------------------------------------------------------------------
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
(a) Variable rate security. Coupon rate disclosed is that which is in effect
at August 31, 1995.
(b) The aggregate cost for federal income tax purposes is $128,398.
The accompanying notes are an integral
part of these financial statements.
25
<PAGE>
TRUST FOR CREDIT UNIONS
-----------------
TARGET MATURITY PORTFOLIO (Feb 97)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations (80.7%)
Collateralized Mortgage Obligations (CMOs) (80.7%)
Adjustable Rate CMOs(a) (39.5%)
Chase Mortgage Finance Corp. 1990-E,
Class A1
$2,450 7.47% 11/25/20 $ 2,467
DLJ Mortgage Acceptance Corp. 1992-
Q11, Class A2
3,493 8.07 01/25/23 3,525
Independent National Mortgage Corp.
1994-W, Class A1
4,005 7.43 12/25/24 4,089
Merrill Lynch Mortgage Investors, Inc.
1994-I, Class A1
3,813 7.48 01/25/05 3,884
Resolution Trust Corp. 1992-11, Class B2
2,700 7.68 10/25/24 2,711
Resolution Trust Corp. 1994-1, Class M3
2,074 8.08 09/25/29 2,122
Salomon Brothers Mortgage Securities
1994-20, Class A
3,313 7.31 12/25/24 3,381
Saxon Mortgage Securities Corp. 1992-4,
Class A
994 7.85 12/25/22 1,007
Saxon Mortgage Securities Corp. 1992-6,
Class A
1,559 8.13 01/25/23 1,581
Saxon Mortgage Securities Corp. 1994-11,
Class A
2,598 7.53 12/25/24 2,650
Saxon Mortgage Securities Corp. 1994-12,
Class A
4,007 7.97% 01/25/25 4,127
Saxon Mortgage Securities Corp. 1995-1,
Class A
3,964 7.04 04/25/25 4,053
Sears Mortgage Securities 1993-8, Class A
2,044 7.62 08/25/23 2,070
-------
Total Adjustable Rate CMOs.......... $37,667
-------
Regular Floater CMOs(a) (3.3%)
FHLMC Series 1333, Class F
$3,081 6.74% 07/15/22 $ 3,113
-------
Sequential Fixed Rate CMOs (37.9%)
Capstead Securities Corp. 1992-12B,
Class P11
$ 510 8.33% 11/25/05 $ 511
FHLMC Series 172, Class H
2,363 9.00 05/15/20 2,389
FNMA REMIC Trust 1989-10, Class D
5,000 9.50 07/25/09 5,230
FNMA REMIC Trust 1989-80, Class E
8,000 9.00 09/25/18 8,223
FNMA REMIC Trust 1990-142, Class J
2,078 9.25 12/25/03 2,091
FNMA REMIC Trust 1991-G35, Class K
3,301 8.00 06/25/20 3,318
Prudential Home Mortgage 1993-38,
Class A4
4,600 9.55 09/25/23 4,757
</TABLE>
The accompanying notes are an integral
part of these financial statements.
26
<PAGE>
TRUST FOR CREDIT UNIONS
-----------------
TARGET MATURITY PORTFOLIO (FEB 97)--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs--(Continued)
Ryland Acceptance Corp. 1989, Class C
$5,000 8.88% 11/01/12 $ 5,038
Salomon Brothers Mortgage Securities
1994-6, Class A1
4,567 7.02 05/25/24 4,543
-------
Total Sequential Fixed Rate
CMOs........................... $36,100
-------
Total CMOs....................... $76,880
-------
Total Mortgage Backed
Obligations (cost $76,592)..... $76,880
-------
U.S. Treasury Obligations (18.8%)
U.S. Treasury Notes
$3,500 7.25% 11/15/96 $ 3,559
4,600 7.38 11/15/97 4,737
2,600 7.50 10/31/99 2,734
5,620 6.25 02/15/03 5,615
U.S. Treasury Principal-Only Stripped
Security
2,200 6.48(b) 11/15/04 1,220
-------
Total U.S. Treasury Obligations
(cost $17,748)................. $17,865
-------
Total Investments
(cost $94,340(c)).............. $94,745
=======
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments in which value exceeds cost..... $ 856
Gross unrealized loss for investments in which cost exceeds value..... (471)
------
Net unrealized gain................................................... $ 385
======
</TABLE>
- --------------------------------------------------------------------------------
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
(a) Variable rate security. Coupon rate disclosed is that which is in effect
at August 31, 1995.
(b) The rate disclosed for this security represents the yield to maturity.
(c) The aggregate cost for federal income tax purposes is $94,360.
The accompanying notes are an integral
part of these financial statements.
27
<PAGE>
TRUST FOR CREDIT UNIONS
----------------
TARGET MATURITY PORTFOLIO (MAY 97)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations (84.4%)
Adjustable Rate Federal Home Loan Mortgage Corp.
(FHLMC)/(a)/ (4.5%)
$2,800 7.49% 07/01/30 $ 2,876
-------
Collateralized Mortgage Obligations (CMOs) (79.9%)
Adjustable Rate CMOs/(a)/ (47.6%)
Citicorp Mortgage Securities, Inc. 1992-17,
Class A
$2,454 7.70% 10/25/22 $ 2,496
DLJ Mortgage Acceptance Corp. 1992-Q11,
Class A2
2,469 8.07 01/25/23 2,492
Independent National Mortgage Corp.
1994-W, Class A1
2,794 7.43 12/25/24 2,853
Merrill Lynch Mortgage Investors, Inc.
1994-I, Class A1
2,790 7.48 01/25/05 2,842
Prudential Home Mortgage 1992-24,
Class A1
1,642 8.82 09/25/22 1,682
Resolution Trust Corp. 1992-11, Class A2
2,662 7.68 10/25/24 2,696
Resolution Trust Corp. 1994-1, Class M3
1,476 8.08 09/25/29 1,510
Salomon Brothers Mortgage Securities
1994-20, Class A
2,303 7.31 12/25/24 2,351
Saxon Mortgage Securities Corp.
1992-4, Class A
1,160 7.85 12/25/22 1,175
Saxon Mortgage Securities Corp.
1992-6, Class A
947 8.13% 01/25/23 960
Saxon Mortgage Securities Corp.
1994-11, Class A
1,792 7.53 12/25/24 1,828
Saxon Mortgage Securities Corp.
1994-12, Class A
2,795 7.97 01/25/25 2,880
Saxon Mortgage Securities Corp.
1995-1, Class A
2,865 7.04 04/25/25 2,930
Sears Mortgage Securities 1993-8,
Class A
1,469 7.62 08/25/23 1,488
-------
Total Adjustable Rate CMOs.......... $30,183
-------
Inverse Floater CMOs/(a)/ (2.7%)
FHLMC Series 1284, Class E
$1,742 7.71% 05/15/97 $ 1,742
-------
Sequential Fixed Rate CMOs (29.6%)
FHLMC Series 172, Class H
$1,838 9.00% 05/15/20 $ 1,858
FNMA REMIC Trust 1988-2, Class Z
2,870 10.10 02/25/18 3,100
FNMA REMIC Trust 1988-25, Class B
1,146 9.25 10/25/18 1,188
FNMA REMIC Trust 1990-24, Class E
3,500 9.00 03/25/20 3,657
Prudential Home Mortgage 1993-38,
Class A4
3,300 9.55 09/25/23 3,412
</TABLE>
The accompanying notes are an integral
part of these financial statements.
28
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
TARGET MATURITY PORTFOLIO (MAY 97)--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1995
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- ---------
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs--(Continued)
Residential Funding Mortgage Securities
1992-S36, Class A2
$2,405 5.70% 11/25/07 $ 2,355
Salomon Brothers Mortgage Securities
1994-6, Class A1
3,197 7.02 05/25/24 3,180
-------
Total Sequential Fixed Rate
CMOs............................ $18,750
-------
Total CMOs....................... $50,675
-------
Total Mortgage Backed
Obligations (cost $52,913)...... $53,551
-------
U.S. Treasury Obligations (13.5%)
U.S. Treasury Notes
$2,200 7.25% 11/15/96 $ 2,237
2,250 7.38 11/15/97 2,317
3,150 7.50 10/31/99 3,312
710 6.25 02/15/03 709
-------
Total U.S. Treasury Obligations
(cost $8,558)..................... $ 8,575
-------
Total Investments
(cost $61,471/(b)/)............... $62,126
=======
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments in which value exceeds cost.... $ 764
Gross unrealized loss for investments in which cost exceeds value.... (116)
-------
Net unrealized gain................................................... $ 648
=======
</TABLE>
- --------------------------------------------------------------------------------
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
/(a)/ Variable rate security. Coupon rate disclosed is that which is in
effect at August 31, 1995.
/(b)/ The aggregate cost for federal income tax purposes is $61,478.
The accompanying notes are an integral
part of these financial statements.
29
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1995
<TABLE>
<CAPTION>
Target Target Target
Money Government Mortgage Maturity Maturity Maturity
Market Securities Securities Portfolio Portfolio Portfolio
Portfolio Portfolio Portfolio (1996) (Feb 97) (May 97)
------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (cost:
$383,455,111, $531,690,173,
$264,774,033, $128,350,681,
$94,340,118, $61,471,182, respectively) $383,455,111 $525,523,866 $266,027,558 $128,706,804 $94,744,574 $62,126,077
Cash...................................... 13,528 73,605 45,158 4,213 48,534 135,745
Receivables:
Investment securities sold............... -- 2,222,302 680,499 261,813 128,678 1,047,240
Interest................................. 780,393 4,024,833 1,894,809 989,852 806,341 572,043
Deferred organization expenses, net....... -- 7,096 19,044 11,234 5,723 3,132
Other assets.............................. 1,524 103,702 1,033 5,178 9,571 --
------------ ------------ ------------ ------------ ------------ -----------
Total assets.................. 384,250,556 531,955,404 268,668,101 129,979,094 95,743,421 63,884,237
------------ ------------ ------------ ------------ ------------ -----------
LIABILITIES
Payables:
Investment securities purchased.......... -- -- 3,027,193 1,831,814 -- --
Dividends................................ 2,077,470 2,133,451 1,139,288 540,945 433,655 356,497
Advisory fees............................ 40,729 89,714 33,497 24,821 19,321 13,453
Administration fees...................... 18,213 44,135 10,943 5,273 3,800 2,617
Accrued expenses and other liabilities.... 18,228 29,185 47,954 47,474 65,335 52,689
------------ ------------ ------------ ------------ ------------ -----------
Total liabilities............. 2,154,640 2,296,485 4,258,875 2,450,327 522,111 425,256
------------ ------------ ------------ ------------ ------------ -----------
NET ASSETS
Paid-in capital........................... 382,095,916 550,963,036 274,349,290 133,076,795 98,296,211 63,532,452
Accumulated undistributed (distributions
in excess of) net investment income...... -- (685,743) (1,397,205) 1,163,149 1,015,621 (60,034)
Accumulated net realized loss
(distributions in excess of net realized
gains) on investment transactions........ -- (14,452,067) (9,796,384) (7,067,300) (4,494,978) (668,332)
Net unrealized gain (loss) on investments -- (6,166,307) 1,253,525 356,123 404,456 654,895
------------ ------------ ------------ ------------ ------------ -----------
Net assets................... $382,095,916 $529,658,919 $264,409,226 $127,528,767 $95,221,310 $63,458,981
============ ============ ============ ============ =========== ===========
Net asset value per unit
(net assets/units outstanding) $1.00 $9.76 $9.74 $9.59 $9.71 $9.99
============ ============ ============ ============ =========== ===========
Redemption price per unit (Note 7) $1.00 $9.76 $9.74 $9.54 $9.66 $9.94
============ ============ ============ ============ =========== ===========
UNITS OUTSTANDING
Total units outstanding, $0.001 par value
(unlimited number of units authorized) 382,095,916 54,253,342 27,160,182 13,300,010 9,809,980 6,350,000
============ ============ ============ ============ =========== ===========
</TABLE>
The accompanying notes are an integral
part of these financial statements.
30
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
STATEMENTS OF OPERATIONS
For The Year Ended August 31, 1995
<TABLE>
<CAPTION>
Target Target Target
Money Government Mortgage Maturity Maturity Maturity
Market Securities Securities Portfolio Portfolio Portfolio
Portfolio/(a)/ Portfolio Portfolio/(b)/ (1996) (Feb 97) (May 97)
-------------- ----------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest income......................... $15,279,710 $32,321,799 $ 17,513,762 $ 8,600,800 $ 6,971,041 $4,814,248
----------- ----------- -------------- ----------- ----------- ----------
Expenses:
Advisory fees, net of fees waived....... 410,109 1,078,346 388,187 290,761 227,279 166,798
Administration fees, net of fees
waived................................ 102,002 539,173 132,275 63,315 47,445 33,360
Custodian fees.......................... 19,158 72,222 49,687 43,832 37,592 30,806
Professional fees....................... 43,730 80,998 55,469 48,710 50,241 48,949
Trustees' fees.......................... 12,940 24,560 9,820 4,060 3,740 2,880
Amortization of deferred organization
expenses.............................. -- 4,569 9,039 13,487 3,890 1,812
Other expenses........................... 21,247 55,306 50,537 28,405 18,864 15,345
----------- ----------- -------------- ----------- ----------- ----------
Total expenses........................ 609,186 1,855,174 695,014 492,570 389,051 299,950
Less--Reimbursable expenses.............. (78,198) -- -- -- -- --
----------- ----------- -------------- ----------- ----------- ----------
Net expenses......................... 530,988 1,855,174 695,014 492,570 389,051 299,950
----------- ----------- -------------- ----------- ----------- ----------
Net investment income.................... 14,748,722 30,466,625 16,818,748 8,108,230 6,581,990 4,514,298
Net realized loss on investment
transactions........................... -- (4,600,744) (3,551,399) (2,597,069) (1,844,120) (339,194)
Net change in unrealized gain (loss) on
investments............................ -- 4,293,439 7,151,412 2,383,940 1,992,445 801,748
----------- ----------- -------------- ----------- ----------- ----------
Net increase in net assets resulting
from operations........................ $14,748,722 $30,159,320 $ 20,418,761 $ 7,895,101 $ 6,730,315 $4,976,852
=========== =========== ============== =========== =========== ==========
</TABLE>
/(a)/ For the year ended August 31, 1995, the investment advisor and the
administrator waived fees of $109,898 and $163,831, respectively.
/(b)/ For the year ended August 31, 1995, the investment advisor waived fees
of $140,912.
The accompanying notes are an integral
part of these financial statements.
31
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended August 31, 1995
<TABLE>
<CAPTION>
Target Target Target
Money Government Mortgage Maturity Maturity Maturity
Market Securities Securities Portfolio Portfolio Portfolio
Portfolio Portfolio Portfolio (1996) (Feb 97) (May 97)
---------------- ------------ ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
From Operations:
Net investment income................... $ 14,748,722 $ 30,466,625 $ 16,818,748 $ 8,108,230 $ 6,581,990 $ 4,514,298
Net realized loss from investment
transactions........................... -- (4,600,744) (3,551,399) (2,597,069) (1,844,120) (339,194)
Net change in unrealized gain (loss) on
investments............................ -- 4,293,439 7,151,412 2,383,940 1,992,445 801,748
---------------- ------------ ------------ ------------ ----------- -----------
Net increase in net assets resulting
from operations........................ 14,748,722 30,159,320 20,418,761 7,895,101 6,730,315 4,976,852
---------------- ------------ ------------ ------------ ----------- -----------
Distributions to Unitholders:
From net investment income.............. (14,700,440) (30,842,606) (16,818,748) (7,523,785) (6,068,263) (4,420,145)
In excess of net investment income...... -- (685,743) (434,471) -- -- --
From paid-in capital.................... -- -- (406,506) -- -- --
---------------- ------------ ------------ ------------ ----------- -----------
Total distributions to unitholders...... (14,700,440) (31,528,349) (17,659,725) (7,523,785) (6,068,263) (4,420,145)
---------------- ------------ ------------ ------------ ----------- -----------
From Unit Transactions:
Proceeds from sale of units............. 3,043,450,086 21,279,121 7,814,480 -- -- --
Reinvestment of dividends and
distributions.......................... 6,769,666 9,375,252 4,880,915 -- -- --
Cost of units repurchased............... (2,885,160,983) (93,957,586) (34,931,625) (465,411) (2,821,023) (5,964,428)
---------------- ------------ ------------ ------------ ----------- -----------
Net increase (decrease) in net
assets from unit transactions.......... 165,058,769 (63,303,213) (22,236,230) (465,411) (2,821,023) (5,964,428)
---------------- ------------ ------------ ------------ ----------- -----------
Additional paid-in capital............... -- -- -- 68,281 -- --
---------------- ------------ ------------ ------------ ----------- -----------
Total increase (decrease)............... 165,107,051 (64,672,242) (19,477,194) (25,814) (2,158,971) (5,407,721)
Net Assets:
Beginning of year....................... 216,988,865 594,331,161 283,886,420 127,554,581 97,380,281 68,866,702
---------------- ------------ ------------ ------------ ----------- -----------
End of year............................. $ 382,095,916 $529,658,919 $264,409,226 $127,528,767 $95,221,310 $63,458,981
================ ============ ============ ============ =========== ===========
Accumulated undistributed
(distributions in excess of) net
investment income....................... -- $ (685,743) $ (1,397,205) $ 1,163,149 $ 1,015,621 $ (60,034)
================ ============ ============ ============ =========== ===========
Summary of Unit Transactions:
Units sold.............................. 3,043,450,086 2,179,482 807,374 -- -- --
Reinvestment of dividends and
distributions.......................... 6,769,666 963,379 508,864 -- -- --
Units repurchased....................... (2,885,160,983) (9,662,680) (3,664,116) (50,000) (300,000) (600,000)
---------------- ------------ ------------ ------------ ----------- -----------
Increase (decrease) in units
outstanding............................ 165,058,769 (6,519,819) (2,347,878) (50,000) (300,000) (600,000)
================ ============ ============ ============ =========== ===========
</TABLE>
The accompanying notes are an integral
part of these financial statements.
32
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended August 31, 1994/(a)/
<TABLE>
<CAPTION>
Target Target Target
Money Government Mortgage Maturity Maturity Maturity
Market Securities Securities Portfolio Portfolio Portfolio
Portfolio Portfolio Portfolio (1996) (Feb 97)/(a)/ (May 97)/(a)/
---------------- -------------- ------------ ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
From Operations:
Net investment income................ $ 13,359,541 $ 34,984,779 $ 16,116,670 $ 7,674,729 $ 3,360,096 $ 1,107,903
Net realized gain (loss) from
investment transactions............. 64,113 (3,444,347) (5,968,515) (4,530,665) (2,650,858) (329,138)
Net change in unrealized loss on
investments......................... -- (12,596,598) (7,965,845) (2,125,231) (1,587,989) (146,853)
---------------- -------------- ------------ ------------ ------------- -------------
Net increase (decrease) in net
assets resulting from operations.... 13,423,654 18,943,834 2,182,310 1,018,833 (878,751) 631,912
---------------- -------------- ------------ ------------ ------------- -------------
Distributions to Unitholders:
From net investment income........... (13,367,335) (34,473,092) (16,524,091) (7,021,439) (2,865,059) (1,107,903)
In excess of net investment income... (48,282) -- (980,012) -- -- (157,307)
From net realized gain on investment
transactions........................ (80,063) -- -- (409,166) -- --
In excess of net realized gain on
investment transactions............. -- -- (106,925) -- -- --
---------------- -------------- ------------ ------------ ------------- -------------
Total distributions to unitholders... (13,495,680) (34,473,092) (17,611,028) (7,430,605) (2,865,059) (1,265,210)
---------------- -------------- ------------ ------------ ------------- -------------
From Unit Transactions:
Proceeds from sale of units.......... 4,632,526,155 270,324,927 165,304,632 -- 101,599,800 69,500,000
Reinvestment of dividends and
distributions....................... 7,931,835 17,390,685 9,430,698 -- -- --
Cost of units repurchased............ (5,039,626,380) (800,339,049) (88,930,101) -- (475,709) --
---------------- -------------- ------------ ------------ ------------- -------------
Net increase (decrease) in net
assets from unit transactions....... (399,168,390) (512,623,437) 85,805,229 -- 101,124,091 69,500,000
---------------- -------------- ------------ ------------ ------------- -------------
Total increase (decrease)............ (399,240,416) (528,152,695) 70,376,511 (6,411,772) 97,380,281 68,866,702
Net Assets:
Beginning of year.................... 616,229,281 1,122,483,856 213,509,909 133,966,353 -- --
---------------- -------------- ------------ ------------ ------------- -------------
End of year.......................... $ 216,988,865 $ 594,331,161 $283,886,420 $127,554,581 $ 97,380,281 $ 68,866,702
================ ============== ============ ============ ============= =============
Accumulated undistributed
(distributions in excess of)
net investment income............... $ (48,282) $ 375,981 $ (971,373) $ 565,617 $ 498,404 $ (155,599)
================ ============== ============ ============ ============= =============
Summary of Unit Transactions:
Units sold........................... 4,632,526,155 27,232,221 16,491,479 -- 10,159,980 6,950,000
Reinvestment of dividends and
distributions....................... 7,931,835 1,759,454 958,468 -- -- --
Units repurchased.................... (5,039,626,380) (80,790,850) (9,011,149) -- (50,000) --
---------------- -------------- ------------ ------------ ------------- -------------
Increase (decrease) in units
outstanding......................... (399,168,390) (51,799,175) 8,438,798 -- 10,109,980 6,950,000
================ ============== ============ ============ ============= =============
</TABLE>
/(a)/ For the periods from February 15, 1994 and May 23, 1994,
(commencement of operations for the Target Maturity Portfolio
(Feb 97) and Target Maturity Portfolio (May 97), respectively) to
August 31, 1994.
The accompanying notes are an integral
part of these financial statements.
33
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Income from Distributions to
investment operations unitholders
--------------------- ---------------------------------------
From
Net In net Net
asset Net From excess real- asset
value at Net realized net of net ized value
begin- invest- gain on invest- invest- gain on at
ning of ment invest- ment ment invest- end of Total
period income ments/(a)/ income income ments period return/(b)/
--------- --------- ---------- --------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95......... $1.00 $0.0555 $ -- $(0.0553) $ -- $ -- $1.00 5.56%
8/31/94......... 1.00 0.0329 0.0002 (0.0342) (0.0001) (0.0002) 1.00 3.50
8/31/93......... 1.00 0.0305 0.0004 (0.0305) -- (0.0005) 1.00 3.14
8/31/92......... 1.00 0.0416 0.0008 (0.0416) -- (0.0007) 1.00 4.39
8/31/91......... 1.00 0.0641 -- (0.0641) -- -- 1.00 6.93
8/31/90......... 1.00 0.0824 -- (0.0824) -- -- 1.00 8.58
8/31/89......... 1.00 0.0899 -- (0.0899) -- -- 1.00 9.28
5/17/88/(c)/ to 8/31/88......... 1.00 0.0214 -- (0.0214) -- -- 1.00 7.40/(d)/
<CAPTION>
Ratio information
assuming no waiver
of fees or expense
reimbursements
------------------------
Ratio of
net
invest-
ment Net Ratio of
Ratio of income assets net
net to at end Ratio of investment
expenses average of expenses to income
to average net period average net to average
net assets assets (000's) assets net assets
---------- ---------- --------- ------------ ----------
<S> <C> <C> <C> <C> <C>
Year ended: 8/31/95......... 0.20% 5.55% $382,096 0.33% 5.42%
8/31/94......... 0.25 3.29 216,989 0.34 3.20
8/31/93......... 0.25 3.05 616,229 0.33 2.97
8/31/92......... 0.25 4.16 864,924 0.29 4.12
8/31/91......... 0.25 6.41 654,977 0.25 6.41
8/31/90......... 0.25 8.24 258,304 0.25 8.24
8/31/89......... 0.25 8.99 167,331 0.25 8.99
5/17/88/(c)/ to 8/31/88......... 0.25/(d)/ 7.27/(d)/ 106,739 0.25/(d)/ 7.27/(d)/
</TABLE>
/(a)/ May include balancing effect of calculating per share amounts.
/(b)/ Assumes investment at the net asset value at the beginning of the
period, reinvestment of all dividends and distributions and a complete
redemption of the investment at the net asset value at the end of the
period.
/(c)/ Commencement of operations.
/(d)/ Annualized.
The accompanying notes are an integral
part of these financial statements.
34
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Income from Distributions to
investment operations unitholders
--------------------- ---------------------------------------
Net
realized From In excess
Net and In net of net Net
asset unreal- From excess real- real- asset
value at Net ized gain net of net ized ized value
begin- invest- (loss) on invest- invest- gain on gain on at
ning of ment invest- ment ment invest- invest- end of Total
period income ments/(a)/ income income ments ments period return/(b)/
--------- --------- ---------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95.......... $ 9.78 $0.5515 $(0.0011) $(0.5582) $(0.0122) $ -- $ -- $ 9.76 5.82%
8/31/94.......... 9.97 0.4286 (0.1974) (0.4212) -- -- -- 9.78 2.33
8/31/93.......... 10.03 0.4641 (0.0599) (0.4630) (0.0012) -- -- 9.97 4.06
8/31/92.......... 10.00 0.5588 0.0311 (0.5594) -- -- -- 10.03 6.68
7/10/91/(d)/ to 8/31/91.......... 10.00 0.0873 (0.0016) (0.0857) -- -- -- 10.00 7.02/(e)/
<CAPTION>
Ratio information
assuming no waiver
of fees or expense
reimbursements
------------------------
Ratio of
net
invest-
ment Net Ratio of
Ratio of income Port- assets net
net to folio at end Ratio of investment
expenses average turn- of expenses to income
to average net over period average net to average
net assets assets rate/(c)/ (000's) assets net assets
---------- ---------- --------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95.......... 0.34% 5.65% 70.58% $ 529,659 0.34% 5.65%
8/31/94.......... 0.35 4.25 42.27 594,331 0.37 4.23
8/31/93.......... 0.34 4.58 67.38 1,122,484 0.47 4.45
8/31/92.......... 0.36 5.91 195.53 1,153,410 0.59 5.68
7/10/91/(d)/ to 8/31/91.......... 0.48/(e)/ 7.16/(e)/ 3.56 94,139 0.73/(e)/ 6.91/(e)/
</TABLE>
/(a)/ Includes balancing effect of calculating per share amounts.
/(b)/ Assumes investment at the net asset value at the beginning of the
period, reinvestment of all dividends and distributions and a complete
redemption of the investment at the net asset value at the end of the
period.
/(c)/ May include effect of mortgage dollar roll transactions.
/(d)/ Commencement of operations.
/(e)/ Annualized.
The accompanying notes are an integral
part of these financial statements.
35
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
MORTGAGE SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Income from Distributions to
investment operations unitholders
--------------------- ---------------------------------------
Net
realized In excess
Net and In of net Net
asset unreal- From excess real- asset
value at Net ized gain net of net ized value
begin- invest- (loss) on invest- invest- gain on From at
ning of ment invest- ment ment invest- paid-in end of Total
period income ments/(a)/ income income ments capital period return/(b)/
--------- --------- ---------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95 ..... $ 9.62 $0.6075 $0.1539 $(0.6075) $(0.0175) $ -- $(0.0164) $ 9.74 8.20%
8/31/94 ..... 10.13 0.5533 (0.4530) (0.5719) (0.0340) (0.0044) -- 9.62 1.00
10/9/92/(d)/ to 8/31/93 ..... 10.00 0.4895 0.1144 (0.4702) -- -- -- 10.13 6.27
<CAPTION>
Ratio information
assuming no waiver
of fees or expense
reimbursements
------------------------
Ratio of
net
invest-
ment Net Ratio of
Ratio of income Port- assets net
net to folio at end Ratio of investment
expenses average turn- of expenses to income
to average net over period average net to average
net assets assets rate/(c)/ (000's) assets net assets
---------- ---------- --------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95 ..... 0.26% 6.36% 130.98% $264,409 0.32% 6.30%
8/31/94 ..... 0.28 5.66 188.58 283,886 0.29 5.65
10/9/92/(d)/ to 8/31/93 ..... 0.33/(e)/ 5.64/(e)/ 146.24 213,510 0.38/(e)/ 5.59/(e)/
</TABLE>
/(a)/ Includes balancing effect of calculating per share amounts.
/(b)/ Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions and a complete redemption
of the investment at the net asset value at the end of the period.
/(c)/ May include effect of mortgage dollar roll transactions.
/(d)/ Commencement of operations.
/(e)/ Annualized.
The accompanying notes are an integral
part of these financial statements.
36
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
TARGET MATURITY PORTFOLIOS
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Income from Distributions to
investment operations unitholders
-------------------------- -----------------------------------------------
Net
realized From In excess
Net and In net of net
asset unreal- From excess real- real-
value at Net ized gain net of net ized ized
begin- invest- (loss) on invest- invest- gain on gain on
ning of ment invest- ment ment invest- invest-
period income ments/(a)/ income income ments ments
---------- ---------- -------------- ---------- ---------- --------- ---------
Target Maturity Portfolio (1996)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95 ...... $ 9.55 $ 0.6089 $(0.0092) $(0.5648) $ -- $ -- $ --
8/31/94 ...... 10.03 0.5750 (0.4983) (0.5261) -- (0.0306) --
7/1/93/(e)/ to 8/31/93 ...... 10.00 0.0774 0.0375 (0.0774) (0.0075) -- --
Target Maturity Portfolio (Feb 97)
- ------------------------------------------------------------------------------------------------------------------
Year ended: 8/31/95 ...... 9.63 0.6674 0.0261 (0.6135) -- -- --
2/15/94/(e)/ to 8/31/94 ...... 10.00 0.3313 (0.4189) (0.2824) -- -- --
Target Maturity Portfolio (May 97)
- ------------------------------------------------------------------------------------------------------------------
Year ended: 8/31/95 ...... 9.91 0.6674 0.0673 (0.6547) -- -- --
5/23/94/(e)/ to 8/31/94 ...... 10.00 0.1594 (0.0674) (0.1594) (0.0226) -- --
</TABLE>
<TABLE>
<CAPTION>
Ratio of
net
invest-
Net ment Net
asset Ratio of income Port- assets
Addi- value net to folio at end
tional at expenses average turn of
paid-in end of Total to average net over period
capital/(b)/ period return/(c)/ net assets assets rate/(d)/ (000's)
---------------- ---------- --------------- -------------- ---------- ------------- -----------
Target Maturity Portfolio (1996)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Year ended: 8/31/95 ..... $0.0051 $ 9.59 6.51% 0.39% 6.40% 183.93% $127,529
8/31/94 ..... -- 9.55 0.81 0.38 5.89 232.92 127,555
7/1/93/(e)/ to 8/31/93 ..... -- 10.03 1.19 0.43/(f)/ 4.56/(f)/ 143.44 133,966
Target Maturity Portfolio (Feb 97)
- --------------------------------------------------------------------------------------------------------------------------------
Year ended: 8/31/95 ..... -- 9.71 7.48 0.41 6.94 171.98 95,221
2/15/94/(e)/ to 8/31/94 ..... -- 9.63 (0.83) 0.42/(f)/ 6.30/(f)/ 156.03 97,380
Target Maturity Portfolio (May 97)
- --------------------------------------------------------------------------------------------------------------------------------
Year ended: 8/31/95 ..... -- 9.99 7.70 0.45 6.77 147.76 63,459
5/23/94/(e)/ to 8/31/94 ..... -- 9.91 0.92 0.48/(f)/ 5.80/(f)/ 74.68 68,867
</TABLE>
/(a)/ Includes balancing effect of calculating per share amounts.
/(b)/ See Note 9.
/(c)/ Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
redemption fee. For the Target Maturity Portfolios, total return would be
reduced if a redemption fee were taken into account.
/(d)/ May include effect of mortgage dollar roll transactions.
/(e)/ Commencement of operations.
/(f)/ Annualized.
The accompanying notes are an integral
part of these financial statements.
37
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS
August 31, 1995
1. Organization
Trust for Credit Unions (the "Fund") is a Massachusetts business trust
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company consisting of six diversified portfolios: the
Money Market Portfolio, Government Securities Portfolio, Mortgage Securities
Portfolio, Target Maturity Portfolio (1996), Target Maturity Portfolio (Feb 97)
and Target Maturity Portfolio (May 97). Units of the Fund are offered for sale
solely to state and federally chartered credit unions. Unless extended by
appropriate action of the Fund's Board of Trustees and by the unitholders,
Target Maturity Portfolio (1996), Target Maturity Portfolio (Feb 97) and Target
Maturity Portfolio (May 97) (the "Target Maturity Portfolios"), will be
liquidated on or about June 30, 1996, February 18, 1997 and May 15, 1997,
respectively, (the "Termination Date"), at which time, all units of these
Portfolios that are outstanding as of the close of business on the respective
Termination Date will be redeemed by the Fund at their net asset value.
2. Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by
the Fund which are in conformity with those generally accepted in the investment
company industry:
A. Investment Valuation
------------------------
For the Government Securities Portfolio, Mortgage Securities Portfolio, and
Target Maturity Portfolios, investments in mortgage backed and asset backed
obligations are valued based on yield equivalents, a pricing matrix or other
sources, under valuation procedures established by the Fund's Board of Trustees.
Other portfolio securities for which accurate market quotations are readily
available are valued on the basis of quotations furnished by a pricing service
or provided by dealers in such securities. Portfolio securities for which
accurate market quotations are not readily available are valued in accordance
with the Fund's valuation procedures. Securities of the Money Market Portfolio
and short-term debt obligations maturing in sixty days or less for the
Government Securities Portfolio, Mortgage Securities Portfolio and Target
Maturity Portfolios are valued at amortized cost which approximates market
value. Under this method, all investments purchased at a discount or premium are
valued by amortizing the difference between the original purchase price and
maturity value of the issue over the period to maturity.
B. Security Transactions and Investment Income
-----------------------------------------------
Security transactions are recorded on the trade date. Realized gains and
losses on sales of portfolio securities are calculated on the identified cost
basis. For the Money Market Portfolio, interest income is determined on the
basis of interest accrued, premium amortized and discount earned. The Mortgage
Securities Portfolio and the Target Maturity Portfolios amortize market
discounts and premiums on certain mortgage backed securities and treasury
obligations.
38
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1995
For the Government Securities Portfolio, Mortgage Securities Portfolio and
Target Maturity Portfolios, premiums on interest-only securities and on
collateralized mortgage obligations with nominal principal amounts are
amortized, on an effective yield basis, over the expected life of the respective
securities, taking into account actual principal prepayment experience and
estimates of future principal prepayments. Certain mortgage security paydown
gains and losses are taxable as ordinary income. Such paydown gains and losses
increase or decrease taxable ordinary income available for distribution and are
classified in interest income in the accompanying Statements of Operations.
Original issue discounts on debt securities are amortized to interest income
over the life of the security with a corresponding increase in the cost basis of
that security.
C. Federal Taxes
-----------------
It is each portfolio's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute each year substantially all investment company taxable income to its
unitholders. Accordingly, no federal tax provisions are required. The
characterization of distributions to unitholders for financial reporting
purposes is determined in accordance with income tax rules and is based upon the
best available information. Therefore, in the accompanying financial statements,
the source of a portfolio's distributions may be shown as (i) from net
investment income, (ii) in excess of net investment income, (iii) from net
realized gains on investment transactions, (iv) in excess of net realized gains
on investment transactions, and/or (v) from capital. During the year ended
August 31, 1995, the Mortgage Securities Portfolio distributed approximately
$406,506 from paid-in capital resulting from distributions in excess of
accumulated tax earnings and profits.
As of each portfolio's most recent tax year-end, the following portfolios
had approximately the following amounts of capital loss carry forward for U.S.
Federal tax purposes:
<TABLE>
<CAPTION>
Portfolio Amount Years of Expiration
------------------------------- -------------------------- -----------------------------
<S> <C> <C>
Government Securities......... $15,330,000 1999 - 2002
Mortgage Securities........... 9,554,000 2001 - 2003
Target Maturity (1996)........ 6,987,000 1996*
Target Maturity (Feb 97)...... 4,476,000 1997*
Target Maturity (May 97)...... 661,000 1997*
</TABLE>
* Represents earlier of Termination Date of portfolio or actual expiration
date of capital loss carry forward.
These amounts are available to be carried forward to offset future capital
gains of the corresponding portfolios to the extent permitted by applicable laws
or regulations.
39
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1995
D. Deferred Organization Expenses
----------------------------------
Organization-related costs are being amortized on a straight-line basis
over a period of five years for the Government Securities and Mortgage
Securities Portfolios, and over three years for the Target Maturity Portfolios.
E. Expenses
------------
Expenses incurred by the Fund that do not specifically relate to an
individual portfolio of the Fund are allocated to the portfolios based on each
portfolio's relative average net assets for the period.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser pursuant to
an Advisory Agreement with the Fund. Under the Advisory Agreement, Goldman
Sachs, subject to general supervision of the Fund's Trustees, manages the Fund's
portfolios and provides certain administrative services for the Fund. As
compensation for services rendered under the Advisory Agreement and the
assumption of the expenses related thereto, Goldman Sachs is entitled to a fee,
computed daily and payable monthly, at the following annual rates as a
percentage of each respective portfolio's average daily net assets:
<TABLE>
<CAPTION>
Portfolio Asset levels Fee
- ----------------------------- --------------------------- ---------
<S> <C> <C>
Money Market................ up to $300 million 0.20%
in excess of $300 million 0.15%
Government Securities....... all 0.20%
Mortgage Securities......... all 0.20%
Target Maturity Portfolios.. up to $75 million 0.25%
in excess of $75 million 0.20%
</TABLE>
During the fiscal year ended August 31, 1995, Goldman Sachs voluntarily
agreed to waive varying levels of the advisory fees incurred by the Money Market
Portfolio and Mortgage Securities Portfolio amounting to $109,898 and $140,912,
respectively. Goldman Sachs also serves as the Transfer Agent of the Fund for a
fee.
40
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1995
Callahan Credit Union Financial Services Limited Partnership ("CUFSLP")
serves as the Fund's administrator pursuant to an Administration Agreement.
Callahan Financial Services, Inc. serves as a general partner to CUFSLP, and 37
major credit unions are limited partners. Under the Administration Agreement,
CUFSLP, subject to general supervision of the Fund's Trustees, provides certain
administrative services to the Fund. As compensation for services rendered under
the Administration Agreement, CUFSLP is entitled to the following fees, computed
daily and payable monthly, at the following annual rates as a percentage of each
respective portfolio's average daily net assets:
<TABLE>
<CAPTION>
Portfolio Fee
----------------------------- ---------
<S> <C>
Money Market................ 0.10%
Government Securities....... 0.10%
Mortgage Securities......... 0.05%
Target Maturity Portfolios.. 0.05%
</TABLE>
During the fiscal year ended August 31, 1995, CUFSLP voluntarily agreed to
waive varying levels of the administration fees incurred by the Money Market
Portfolio amounting to $163,831.
Through June 30, 1995, Goldman Sachs agreed to reimburse all expenses
(excluding interest, taxes, brokerage and extraordinary expenses) of the Money
Market Portfolio, other than fees payable under the Administration Agreement and
the Advisory Agreement. Effective July 1, 1995, CUFSLP has agreed that to the
extent the total annualized operating expenses (excluding interest, taxes,
brokerage and extraordinary expenses) (the "Operating Expenses") of the Money
Market Portfolio exceed 0.20% of the average daily net assets of the Money
Market Portfolio, CUFSLP will either reduce the administration fees otherwise
payable or pay such Operating Expenses of the Money Market Portfolio. For the
two months ended August 31, 1995, no expenses were required to be reimbursed by
CUFSLP under this agreement.
The Government Securities Portfolio bears the fees payable under the
Administration Agreement and the Advisory Agreement as well as other expenses
incurred in its operations. Effective January 1, 1993, and until further notice,
CUFSLP and Goldman Sachs have each voluntarily agreed to limit the other
annualized ordinary operating expenses of the Government Securities Portfolio
such that CUFSLP will reimburse expenses that exceed .05% up to .10% of the
Government Securities Portfolio's average daily net assets, and Goldman Sachs
will reimburse expenses that exceed .10% up to .15% of the Government Securities
Portfolio's average daily net assets. For the year ended August 31, 1995, no
expenses were required to be reimbursed by CUFSLP or Goldman Sachs under this
agreement.
41
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1995
Callahan Financial Services, Inc. and Goldman Sachs serve as exclusive
distributors of units of the Fund. During the fiscal year ended August 31,
1995, neither received any compensation for this service.
4. Investment Transactions
Purchases and proceeds of sales or maturities of long-term securities for
the Government Securities Portfolio, Mortgage Securities Portfolio, Target
Maturity Portfolio (1996), Target Maturity Portfolio (Feb 97) and Target
Maturity Portfolio (May 97) , for the fiscal year ended August 31, 1995, were as
follows ($ in thousands):
<TABLE>
<CAPTION>
Target Target Target
Government Mortgage Maturity Maturity Maturity
Securities Securities Portfolio Portfolio Portfolio
Portfolio Portfolio (1996) (Feb 97) (May 97)
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Purchases of U.S. Government
and agency obligations............. $318,764 $221,489 $176,144 $115,750 $67,667
Purchases (excluding U.S.
Government and agency
obligations)....................... -- 115,304 66,399 41,612 25,555
Sales or maturities of U.S.
Government and agency
obligations........................ 387,871 285,122 185,048 148,654 85,884
Sales or maturities (excluding U.S.
Government and agency
obligations)........................ -- 39,573 30,174 4,220 13,306
</TABLE>
5. Repurchase Agreements
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the value
of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping in the customer-only account of State Street
Bank and Trust Company, the Fund's custodian, or at sub-custodians. GSAM
monitors the market value of the underlying securities by pricing them daily.
42
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1995
6. Joint Repurchase Agreement Accounts
The portfolios, together with other registered investment companies having
advisory agreements with GSAM, transfer uninvested cash balances into joint
accounts, the daily aggregate balances of which are invested in repurchase
agreements. The underlying securities for the repurchase agreements include U.S.
Treasury obligations and mortgage-related securities issued by the U.S.
Government, its agencies or instrumentalities.
As of August 31, 1995, the Money Market Portfolio had a 2.85% undivided
interest in the repurchase agreements in the following joint account which
equaled $102,300,000 in principal amount. As of August 31, 1995, the repurchase
agreements in this joint account, along with the corresponding underlying
securities (including the type of security, market value, interest rate and
maturity date) were as follows ($ in thousands):
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
------ -------- -------- ---------
<S> <C> <C> <C> <C>
Bear Stearns Companies, dated 08/31/95, repurchase price $500,081 (U.S.
Treasury Interest-Only Strips: $510,834, 05/15/98-08/15/01).................. $500,000 5.85% 09/01/95 $ 500,000
Chase Securities, dated 08/31/95, repurchase price $620,100 (U.S. Treasury
Notes: $632,404, 3.88-9.25%, 09/30/95-07/31/98)............................... 620,000 5.83 09/01/95 620,000
Daiwa Securities, Inc., dated 08/31/95, repurchase price $350,057 (U.S. Treasury
Bill: $357,000, 11/30/95)..................................................... 350,000 5.84 09/01/95 350,000
First Boston Corp., dated 08/31/95, repurchase price $300,049 (U.S. Treasury
Bills: $306,709, 11/02/95-05/02/96)........................................... 300,000 5.82 09/01/95 300,000
Goldman, Sachs & Co., dated 08/31/95, repurchase price $200,033 (U.S. Treasury
Notes: $142,179, 4.00-8.88%, 01/31/96-11/15/01) (U.S. Treasury Interest-Only
Strips: $26,825, 11/15/96-05/15/99) (U.S. Treasury Principal-Only Strips:
$34,996, 11/15/96-08/15/00)................................................... 200,000 5.92 09/01/95 200,000
J.P. Morgan Securities, Inc., dated 08/31/95, repurchase price $300,049 (U.S.
Treasury Notes: $305,666, 7.75-15.75%, 02/15/99-11/15/01)..................... 300,000 5.90 09/01/95 300,000
Smith Barney, Inc., dated 08/31/95, repurchase price $422,168 (U.S. Treasury
Notes: $417,011, 5.88-8.50%, 07/31/96-04/30/00) (U.S. Treasury Interest-Only
Strip: $4,069, 05/15/99) (U.S. Treasury Principal-Only Strip: $9,463,
02/15/96)..................................................................... 422,100 5.84 09/01/95 422,100
Swiss Bank Corp., dated 08/31/95, repurchase price $725,118 (U.S. Treasury
Bills: $153,523, 09/07/95-08/22/96) (U.S. Treasury Notes: $585,983,
3.88-9.25%, 09/30/95-07/31/00)................................................ 725,000 5.84 09/01/95 725,000
Union Bank of Switzerland Securities, Inc., dated 08/31/95, repurchase price:
$175,028 (U.S. Treasury Notes: $178,742, 7.38-7.75%, 11/15/97-01/31/00)....... 175,000 5.83 09/01/95 175,000
----------
Total Joint Repurchase Agreement Account.................................... $3,592,100
==========
</TABLE>
43
<PAGE>
TRUST FOR CREDIT UNIONS
-------------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1995
As of August 31, 1995, the Money Market, Government Securities, Mortgage
Securities and Target Maturity (1996) Portfolios had a 7.60%, 3.01%, 0.26%, and
0.29% undivided interest, respectively, in the repurchase agreements in the
following joint account, which equaled $100,000,000, $39,600,000, $3,400,000 and
$3,800,000 in principal amount, respectively. As of August 31, 1995, the
repurchase agreements in this joint account, along with the corresponding
underlying securities (including the type of security, market value, interest
rate and maturity date) were as follows ($ in thousands):
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
------ -------- -------- ---------
<S> <C> <C> <C> <C>
Daiwa Securities, Inc., dated 08/31/95, repurchase price $400,065 (U.S. Treasury
Bill: $408,000, 11/30/95)....................................................... $400,000 5.84% 09/01/95 $ 400,000
Salomon Brothers, Inc., dated 08/31/95, repurchase price $701,714 (U.S. Treasury
Bills: $97,305, 11/16/95-07/25/96) (U.S. Treasury Notes: $46,277, 4.25-8.50%,
05/15/96-04/15/00) (U.S. Treasury Interest-Only Strips: $361,286, 02/15/96-
05/15/01) (U.S. Treasury Principal-Only Strips: $210,569, 08/15/97-11/15/00).... 701,600 5.84 09/01/95 701,600
Union Bank of Switzerland Securities, Inc., dated 08/31/95, repurchase price
$215,035, (U.S. Treasury Bill: $2,922, 02/22/96) (U.S. Treasury Notes: $215,431,
5.38-12.38%, 05/31/98-05/15/04).................................................. 215,000 5.83 09/01/95 215,000
----------
Total Joint Repurchase Agreement Account........................................................................ $1,316,600
==========
</TABLE>
7. Redemption Units
Unitholders of the Target Maturity Portfolios who redeem their units prior
to the respective Termination Date will be charged a redemption fee equal to
.50% of the net asset value of the redeemed units at the time of the redemption.
The redemption fee is not a sales charge, but is kept by the respective
portfolio for the benefit of continuing unitholders.
8. Certain Reclassifications
In accordance with Statement of Position 93-2, the Mortgage Securities,
Target Maturity (1996), Target Maturity (Feb 97) and Target Maturity (May 97)
portfolios have reclassified $415,145, $13,087, $3,490 and $1,412, respectively,
which represents a reduction in paid-in capital and an increase in accumulated
undistributed net investment income. These reclassifications have no impact on
the net asset value of the respective portfolio and are designed to present such
portfolio's capital accounts on a tax basis.
9. Other Matters
During the fiscal year ended August 31, 1995, Goldman Sachs contributed
additional paid-in capital to the Target Maturity Portfolio (1996) as reflected
in the accompanying Statements of Changes in Net Assets.
44
<PAGE>
This Annual Report is authorized for distribution to prospective investors only
when preceded or accompanied by the Trust for Credit Unions Prospectus which
contains facts concerning the Fund's objectives and policies, management,
expenses and other information.
<PAGE>
[LOGO OF TRUST FOR CREDIT UNIONS APPEARS HERE]
Trustees
John L. Ostby, Chairman
Rudolf J. Hanley, Vice-Chairman
Gene R. Artemenko
James C. Barr
Edgar F. Callahan
Robert M. Coen
John T. Collins
Thomas S. Condit
Wendell A. Sebastian
Officers
Marcia L. Beck
President
Charles W. Filson
Vice President
John W. Mosior
Vice President
Nancy L. Mucker
Vice President
Pauline Taylor
Vice President
Scott M. Gilman
Treasurer
Michael J. Richman
Secretary
William F. Connors
Assistant Secretary
Howard B. Surloff
Assistant Secretary
Administrator
Callahan Credit Union Financial Services
Limited Partnership
Investment Advisor
Goldman Sachs Asset Management,
a separate operating division
of Goldman, Sachs & Co.
Transfer Agent
Goldman, Sachs & Co.
Distributors
Callahan Financial Services, Inc.
Goldman, Sachs & Co.
[LOGO OF GOLDMAN SACHS APPEARS HERE]
TCUANN95
