<PAGE>
-------------------------------------
TRUST
for Credit Unions
-------------------------------------
ANNUAL REPORT
-------------------------
AUGUST 31, 1997
<PAGE>
Dear TCU Investor,
Thank you for your continued support of the Trust for Credit Unions (TCU). We
would like to extend a special thank you to those credit unions that opened new
accounts with TCU this year.
We are pleased to report that the TCU portfolios performed well during the
12-month period under review, with each portfolio outperforming its respective
benchmark. In addition, look for continued advances in the following areas
during the upcoming year:
. CUSTOMER SERVICE: In September 1997, Goldman, Sachs & Co. introduced its
SMARTPlus system. An Internet-based program, SMARTPlus gives TCU investors
the ability to check their account status and enter trades. To sign up,
please call 1-800-621-2553. There is no charge for the service.
. LOWER TCU MONEY MARKET PORTFOLIO EXPENSES: In July 1997, the fund's
administrator and investment advisor each waived a portion of its fee in
order to provide investors with a higher yield. We hope to continue this
effort through 1998.
We appreciate your choice of TCU for your credit union's investments and look
forward to continuing to work with you for many years to come.
Sincerely,
/s/ Wendell A. Sebastian /s/ Gordon F. Linke
Wendell A. Sebastian Gordon F. Linke
President Vice President
Callahan Financial Services, Inc. Goldman Sachs Asset Management
and Trust for Credit Unions
September 30, 1997
<PAGE>
Dear TCU Investor,
We welcome the opportunity to review the performance of the Trust for Credit
Unions portfolios for the 12-month period ending August 31, 1997. To help put
the portfolios' performance in perspective, we are also providing a brief
overview of the economy and bond market during the period.
ECONOMIC REVIEW: ECONOMIC ACTIVITY ACCELERATED, LED BY INCREASED CONSUMER
SPENDING
When the Trust's fiscal year began in September 1996, lackluster consumer
spending and a widening U.S. trade deficit restrained economic growth. However,
during the fourth quarter of 1996 and first quarter of 1997, the pace of
economic activity picked up significantly, led by a sharp increase in retail
sales, rising factory orders and buoyant construction outlays. As a result,
real Gross Domestic Product (GDP) rose 3.8% and 4.9% (annualized) during the
fourth quarter of 1996 and the first quarter of 1997, respectively. In March,
the stronger-than-expected economic data prompted Federal Reserve policy makers
to raise the Federal funds rate to 5.50% from 5.25%, its first increase since
February 1995. During the second quarter of 1997, real GDP eased to a somewhat
more moderate 3.6% growth rate (annualized), partly because a cool spring
impacted weather-sensitive areas such as retail sales and construction. As the
period came to a close, growth reaccelerated, as indicated by a tightening
labor market, a rebound in consumer purchases and an increase in home sales.
THE BOND MARKET FELL DUE TO RISING INFLATION FEARS, THEN REBOUNDED
The U.S. fixed income market rallied sharply when the period began, as
interest rates retreated during October and November 1996 in anticipation of a
continued slowdown in U.S. economic growth. In December, however, the market
experienced a reversal when strong economic data raised concerns that Federal
Reserve policy makers would increase short-term interest rates to dampen
potential inflationary pressures. As expected, the Fed raised the Federal funds
rate in March; the move was broadly perceived as the first in a series of rate
hikes.
In early May, prospects for the bond market brightened. Economic activity
moderated from its robust first-quarter pace, which made further rate hikes
appear less necessary and helped investors regain confidence in the bond
market. As a result, bond yields fell to their lowest point (on July 31) in 16
months. In August, however, strengthening growth caused bonds to again come
under pressure.
HISTORICAL TREASURY YIELD CURVE
Years
to
Maturity 8/31/96 8/31/97
--------------------------------------------
3-Month 5.2800% 5.2100%
6-Month 5.4800% 5.3700%
1 5.8900% 5.5600%
2 6.3400% 5.9600%
3 6.5200% 6.0800%
5 6.7300% 6.2200%
10 6.9400% 6.3400%
30 7.1200% 6.6100%
Source: Bloomberg, L.P.
The yield curve shifted downward across all maturities.
2
<PAGE>
During the period, the yield curve shifted downward. The yield on six-month
Treasury bills fell slightly from 5.28% on August 31, 1996 to approximately
5.22% on August 31, 1997. Over the same time period, the yield on the 30-year
U.S. Treasury bond declined from 7.12% to 6.61%.
ARM MARKET PERFORMED WELL, BUOYED BY LOW VOLATILITY AND STRONG INVESTOR DEMAND
Adjustable rate mortgage securities (ARMs), which account for a significant
percentage of the non-money market TCU portfolios, performed well during the
period under review, supported by low volatility and a stable pace of mortgage
prepayments. The ARM market's gains came primarily at the end of 1996 and early
1997, when interest rates rose sharply and prepayment activity slowed. As a
result, yield spreads between ARMs and similar-duration Treasuries narrowed and
have remained tight through the summer of 1997.
ECONOMIC OUTLOOK: GROWTH IS EXPECTED TO ACCELERATE DURING THE REMAINDER OF THE
YEAR
Despite slowing economic activity during the second quarter, Goldman Sachs'
economists expect above-average growth to resume later in the year. Though we
do not expect inflation to pick up measurably near term, accelerating growth
could induce further Fed tightening sooner than the market is currently
anticipating.
3
<PAGE>
TCU MONEY MARKET PORTFOLIO
OBJECTIVE
The objective of the TCU Money Market Portfolio (MMP) is to maximize current
income to the extent consistent with the preservation of capital and
maintenance of liquidity by investing in high-quality money market instruments
authorized under the Federal Credit Union Act.
PERFORMANCE REVIEW
For the 12-month period ended August 31, 1997, the TCU Money Market Portfolio
had a total return of 5.43%, outperforming Donoghue's All-Taxable Money Market
Index total return of 5.02%. As of August 31, 1997, the portfolio had a seven-
day current yield of 5.52% and an effective yield of 5.67%./1/
PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES
During the period, we shifted the portfolio's asset allocation among the
different sectors to add incremental yield. These changes included a
significant reduction of the portfolio's allocation in lower yielding
securities such as repurchase agreements (to 39.8% of the portfolio) and an
increase in relatively higher yielding sectors such as bankers' acceptances/CDs
(39.4%) and bank notes (10.6%). The remainder of the portfolio was a 6.8%
position in Federal funds and a 3.4% position in variable rate obligations.
PORTFOLIO COMPOSITION AS OF AUGUST 31, 1997*
Repurchase Agreements............... 39.8%
Bankers' Acceptances and CDs........ 39.4%
Bank Notes.......................... 10.6%
Federal Funds....................... 6.8%
Variable Rate Obligations........... 3.4%
* These percentages may differ from those in the accompanying Statement of
Investments, which reflect portfolio holdings as a percentage of net assets.
Looking Forward
We currently expect the Fed to tighten during the fourth quarter of 1997 or
the early first quarter of 1998. We believe the portfolio is well positioned to
take advantage of the expected backup in rates, and expect to maintain a
neutral average maturity of 20 to 35 days. We intend to adhere to our
disciplined approach while we wait for the market to become attractive enough
for us to extend the portfolio's average maturity beyond this range.
- ---------------------
/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>
TCU GOVERNMENT SECURITIES PORTFOLIO
OBJECTIVE
The TCU Government Securities Portfolio (GSP) seeks a high level of current
income, consistent with low volatility of principal, by investing in
obligations authorized under the Federal Credit Union Act. The portfolio
invests primarily in adjustable rate mortgage securities (ARMs) issued by the
U.S. government, its agencies or instrumentalities. The TCU GSP's maximum
duration is equal to that of a two-year U.S. Treasury security, and its target
duration is to be no shorter than that of a six-month U.S. Treasury security
and no longer than that of a one-year U.S. Treasury security. As of August 31,
1997, its actual duration was 0.73 years, nearly the same as the duration of a
nine-month Treasury security at 0.75 years.
PERFORMANCE REVIEW
For the 12-month period ended August 31, 1997, the total return of the TCU
GSP was 7.09% (6.25% in dividend income and 0.84% in price appreciation),
compared with 6.02% for the nine-month Treasury average. (The nine-month
Treasury return is calculated by averaging the returns of the six-month
Treasury bill and the one-year Treasury bill.)
The portfolio outperformed the benchmark primarily due to its substantial
exposure to ARMs. These securities contributed significantly to the portfolio's
favorable results as low volatility, stable mortgage prepayments and strong
investor demand all caused yield spreads between ARMs and similar-duration
Treasuries to tighten.
The portfolio's net asset value (NAV) rose during the period, closing at
$9.84 on August 31, 1997, up $0.08 from its level a year earlier. As of August
31, the portfolio's distribution rate was 6.13% and its SEC 30-day yield was
6.10%.
PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES
During the period, we initiated small positions in several sectors as we
identified attractive relative-value trading opportunities. These new
investments included sequential-pay collateralized mortgage obligations (CMOs)
(1.9% of the portfolio as of August 31, 1997), fixed rate mortgage pass-
throughs (1.6%), CMO floaters (1.4%) and an agency debenture (1.8%). In other
sectors, we trimmed the portfolio's positions in ARMs and U.S. Treasuries to
71.1% and 21.2%, respectively. We focused on seasoned ARM issues, which,
relative to nonseasoned securities, offer greater prepayment stability in
falling rate environments and lower cap risk in rising rate environments.
5
<PAGE>
PORTFOLIO COMPOSITION AS OF AUGUST 31, 1997*
ARMs................................ 71.1%
U.S. Treasuries..................... 21.2%
Sequentials......................... 1.9%
Agency Debenture.................... 1.8%
Fixed Rate Mortgage
Pass-Throughs...................... 1.6%
Floaters............................ 1.4%
Super Floaters...................... 0.5%
Repos/Cash Equivalents.............. 0.5%
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages may differ from those in the accompanying Statement of
Investments, which reflect portfolio holdings as a percentage of net assets.
Looking Forward
Near term, our outlook for the ARM market is neutral. Assuming mortgage
prepayments remain stable, we believe ARM spreads are currently trading at fair
value. CMOs are also generally trading at fair spreads relative to equal-
duration Treasuries; however, specific structures within the CMO market
continue to present attractive investment opportunities.
6
<PAGE>
TCU MORTGAGE SECURITIES PORTFOLIO
OBJECTIVE
The TCU Mortgage Securities Portfolio (MSP) seeks a high level of current
income, consistent with relatively low volatility of principal. 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 TCU MSP
invests in obligations authorized under the Federal Credit Union Act with a
maximum duration not to exceed that of a three-year U.S. Treasury security and
a target duration equal to that of its benchmark, the two-year U.S. Treasury
security. As of August 31, 1997, the portfolio's actual duration was 1.85
years, in line with its benchmark.
PERFORMANCE REVIEW
The portfolio's total return for the 12 months ended August 31, 1997 was
7.89% (6.82% from dividend income and 1.07% from price appreciation),
outperforming the 6.95% return for the two-year U.S. Treasury note. The
portfolio's favorable results were primarily due to its investments in
adjustable rate mortgage securities (ARMs) and collateralized mortgage
obligations (CMOs), which offered incremental yield advantage over similar-
duration Treasuries.
The portfolio also fared very well compared with its peers. For the 12 months
ended August 31, 1997, the portfolio ranked third out of 63 short-term U.S.
government funds based on total rate of return, according to Lipper Analytical
Services, Inc. (Please note that Lipper rankings do not take sales charges into
account and that past performance is not a guarantee of future results.)
As of August 31, 1997, the portfolio's net asset value (NAV) was $9.75, up
$0.10 from a year earlier. The portfolio's distribution rate and 30-day SEC
yield were 6.51% and 6.59%, respectively, as of the end of the period.
PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES
As the mortgage market richened during the period, we increased the
portfolio's emphasis on securities having good cash flow stability. This
strategy enabled us to adopt a somewhat defensive posture while continuing to
capture incremental yield over Treasuries. The primary changes in the
portfolio's structure were increased allocations to planned amortization class
(PAC) and sequential-pay CMO securities (to 32.6% and 22.5% of the portfolio,
respectively) and decreased allocations to ARMs, U.S. Treasuries and fixed rate
mortgage pass-throughs (to 21.0%, 13.3% and 5.1%, respectively). The remainder
of the portfolio was invested in repurchase agreements/cash equivalents (5.5%).
7
<PAGE>
PORTFOLIO COMPOSITION AS OF AUGUST 31, 1997*
PACs................................. 32.6%
Sequentials.......................... 22.5%
ARMs................................. 21.0%
U.S. Treasuries...................... 13.3%
Repos/Cash Equivalents............... 5.5%
Fixed Rate Mortgage Pass-Throughs.... 5.1%
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages may differ from those in the accompanying Statement of
Investments, which reflect portfolio holdings as a percentage of net assets.
Looking Forward
We are currently cautious regarding the CMO market, which is generally
trading at fair spreads relative to equal-duration Treasuries but does not
offer significant tightening potential. However, specific structures within
the CMO market continue to present attractive investment opportunities. We
have a neutral outlook for the ARM market for the near term. Assuming mortgage
prepayments remain stable, we believe ARM spreads are currently trading at
fair value.
TCU PORTFOLIO DISTRIBUTION POLICY
As required by tax law, all mutual funds, including the three TCU
portfolios, must distribute substantially all of the taxable income they
generate each year.
. 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
calendar year-end.
. For the TCU Government Securities Portfolio and the TCU 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 calendar year-end.
8
<PAGE>
We appreciate your confidence in the TCU portfolios and we look forward to
continuing to serve your investment needs in the future.
Sincerely,
/s/ David A. Fishman
David A. Fishman
Portfolio Manager
TCU Money Market Portfolio
/s/ Jonathan A. Beinner /s/ James B. Clark
Jonathan A. Beinner James B. Clark
/s/ Peter D. Dion /s/ James P. McCarthy
Peter D. Dion James P. McCarthy
Portfolio Managers
TCU Government Securities Portfolio
TCU Mortgage Securities Portfolio
Goldman Sachs Asset Management
September 30, 1997
9
<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, 1997. Each of
the two 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 $100,000 Lehman Brothers Mutual Fund Adjustable Rate
("GSP"): 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 $500,000 Lehman ARM Index; Lehman Brothers Mutual Fund
("MSP"): Short (1-3) Government Index ("Lehman 1-3 Gov't
Index"); 2-Year U.S. Treasury Note ("2-year T-
Note").
</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
<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>
August 1, 1991(b) $100,000 N/A* $100,000 $100,000 $100,000
August 31, 1991 $100,565 N/A* $101,250 $100,832 $100,603
January 1, 1992* $103,133
August 31, 1992 $107,303 $108,179 $110,607 $107,760 $106,172
August 31, 1993 $111,661 $114,961 $116,102 $111,873 $109,850
August 31, 1994 $114,266 $115,868 $118,784 $114,846 $113,692
August 31, 1995 $120,920 $125,399 $127,130 $122,280 $120,538
August 31, 1996 $128,513 $133,475 $133,930 $128,900 $127,060
August 31, 1997 $137,627 $144,108 $142,980 $137,120 $134,240
</TABLE>
----------------------------------------------
Average Annual Total Return
----------------------------------------------
One Year Five Year Since Inception(a)
----------------------------------------------
7.09% 5.10% 5.41%
----------------------------------------------
Mortgage Securities Portfolio
<TABLE>
<CAPTION>
MSP Lehman ARM Index Lehman 1-3 Gov't Index 2-year T-Bill
--- ---------------- ---------------------- -------------
<S> <C> <C> <C> <C>
November 1, 1992(b) $500,000 $500,000 $500,000 $500,000
August 31, 1993 $532,570 $532,860 $526,097 $526,329
August 31, 1994 $537,871 $537,066 $535,052 $534,055
August 31, 1995 $581,995 $581,250 $574,700 $574,400
August 31, 1996 $615,069 $618,650 $604,750 $602,350
August 31, 1997 $663,590 $667,950 $647,250 $644,250
</TABLE>
----------------------------------------------
Average Annual Total Return
----------------------------------------------
One Year Since Inception(a)
----------------------------------------------
7.89% 5.90%
----------------------------------------------
* This date should not appear on the graph. The Lehman ARM index for this fund
should begin on 1/1/92 at the point that the GSP is at that date. For further
explanation, see note (c).
(a) The Government Securities and Mortgage Securities Portfolios commenced
operations July 10, 1991 and October 9, 1992, 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 ended
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.
10
<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, and the Mortgage
Securities Portfolio), including the statements of investments as of August 31,
1997, 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, 1997, 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, 1997, 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 3, 1997
11
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS
AUGUST 31, 1997
($ IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY AMORTIZED
AMOUNT RATE DATE COST
--------- -------- -------- ---------
<S> <C> <C> <C>
BANK NOTES (10.6%)
BankBoston, N.A.
$ 10,000 5.65% 10/03/97 $ 10,000
7,000 5.60 11/17/97 7,000
Chase Manhattan Bank U.S.A.
15,000 5.68 09/02/97 15,000
First Chicago NBD Corp.
15,000 5.68 09/08/97 15,000
--------
Total Bank Notes................................ $ 47,000
--------
BANKERS' ACCEPTANCES(a) (8.9%)
Corestates Bank, N.A.
$ 9,400 5.48% 11/18/97 $ 9,289
Mellon Bank, N.A. Pittsburgh
20,000 5.50 09/16/97 19,954
Republic National Bank of New York
5,000 5.57 09/19/97 4,986
Union Bank of California
5,000 5.50 09/23/97 4,983
--------
Total Bankers' Acceptances...................... $ 39,212
--------
CERTIFICATES OF DEPOSIT (30.6%)
Bank One Columbus, N.A.
$ 15,000 5.52% 09/24/97 $ 15,000
Bankers Trust Co., New York
15,000 5.59 09/30/97 15,000
Crestar Bank
10,000 5.63 11/25/97 10,001
First Tennessee Bank
15,000 5.53 10/10/97 15,000
Morgan Guaranty Trust Co.
10,000 5.56 11/06/97 10,000
Northern Trust Co., Chicago
15,000 5.55 11/04/97 15,000
Old Kent Bank & Trust Co.
15,000 5.54 11/18/97 15,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY AMORTIZED
AMOUNT RATE DATE COST
--------- -------- -------- ---------
<S> <C> <C> <C>
CERTIFICATES OF DEPOSIT--(CONTINUED)
Regions Bank
$ 15,000 5.66% 11/17/97 $ 15,000
U.S. National Bank of Oregon
10,000 5.61 09/22/97 10,000
Union Bank of California
5,000 5.56 10/28/97 5,000
10,000 5.60 12/01/97 10,000
--------
Total Certificates of Deposit................. $135,001
--------
FEDERAL FUNDS (6.8%)
American Express Centurion Bank
$ 15,000 5.55% 09/10/97 $ 15,000
Bank of Hawaii
15,000 5.53 09/25/97 15,000
--------
Total Federal Funds........................... $ 30,000
--------
VARIABLE RATE DEMAND NOTES(C) (3.4%)
Corestates Bank, N.A.
$ 5,000 5.59% 09/02/97 $ 5,000
PNC Bank, N.A.
10,000 5.52 09/02/97 9,994
--------
Total Variable Rate Demand Notes.............. $ 14,994
--------
REPURCHASE AGREEMENT (39.9%)
Joint Repurchase Agreement Account
$175,900 5.55% 09/02/97 $175,900
--------
Total Repurchase Agreement.................... $175,900
--------
Total Investments............................. $442,107(b)
========
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
(a) The rate disclosed for these securities represents the yield to maturity.
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
(c) Variable rate security. Coupon rate disclosed is that which is in effect at
August 31, 1997.
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
AUGUST 31, 1997
($ IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS (76.5%)
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)(a) (25.0%)
$ 1,753 7.62% 08/01/17 $ 1,818
1,195 8.04 04/01/18 1,251
7,365 7.72 05/01/18 7,701
2,458 7.62 07/01/18 2,564
17,695 7.82 11/01/19 18,621
7,829 7.65 11/01/21 8,165
4,612 7.61 02/01/22 4,808
25,144 7.90 02/01/22 26,468
22,022 7.93 04/01/22 23,058
1,885 7.16 11/01/22 1,909
4,220 7.29 11/01/22 4,233
12,067 7.82 11/01/22 12,663
9,578 7.81 06/01/24 10,072
2,904 7.38 02/01/28 3,004
5,201 7.42 04/01/28 5,352
2,225 7.63 07/01/29 2,276
6,876 7.66 05/01/31 7,129
--------
Total Adjustable Rate FHLMC....................... $141,092
--------
Adjustable Rate Federal National Mortgage Association (FNMA)(a) (38.1%)
$ 3,497 6.89% 03/01/17 $ 3,575
2,040 7.48 11/01/17 2,129
14,501 7.48 12/01/17 15,082
4,520 7.48 08/01/18 4,708
4,200 7.74 09/01/18 4,416
1,395 7.60 11/01/18 1,450
2,426 7.46 05/01/19 2,511
22,535 7.45 06/01/19 23,432
2,309 7.52 07/01/19 2,403
5,769 7.00 12/01/19 5,674
4,048 7.86 03/01/20 4,271
1,775 7.59 05/01/20 1,853
15,438 7.43 04/01/21 16,031
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS--(CONTINUED)
Adjustable Rate Federal National Mortgage Association (FNMA)--(Continued)
$32,527 7.72% 09/01/21 $ 34,138
1,966 7.51 10/01/21 2,036
2,278 7.73 02/01/22 2,394
36,257 7.80 09/01/22 38,030
19,402 7.71 09/01/25 20,378
7,831 6.07 11/01/26 7,838
4,937 7.56 07/01/27 5,140
3,409 7.47 10/01/27 3,550
14,180 6.07 02/01/31 14,033
--------
Total Adjustable Rate FNMA........................ $215,072
--------
Adjustable Rate Government National Mortgage Association (GNMA)(a) (5.7%)
$ 4,969 7.37% 04/20/22 $ 5,124
6,399 7.00 02/20/23 6,572
7,018 7.37 06/20/23 7,196
13,142 5.50 06/20/27 13,141
--------
Total Adjustable Rate GNMA........................ $ 32,033
--------
Fixed Rate FHLMC (1.6%)
$ 9,000 6.50% TBA(b) $ 8,885
--------
Collateralized Mortgage Obligations (CMOs) (6.1%)
Adjustable Rate CMOs(a) (2.4%)
FNMA REMIC Trust 1990-145, Class A
$13,218 6.75% 12/25/20 $ 13,356
--------
Planned Amortization Class (PAC) CMOs (0.6%)
FNMA REMIC Trust 1990-24, Class E
$ 3,100 9.00% 03/25/20 $ 3,261
--------
Regular Floater CMOs(a) (1.4%)
FHLMC REMIC Trust 1698, Class FA
$ 2,966 6.49% 03/15/09 $ 2,984
</TABLE>
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO--(CONTINUED)
STATEMENT OF INVESTMENTS
AUGUST 31, 1997
($ IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS--(CONTINUED)
Regular Floater CMOs(a)--(Continued)
FNMA REMIC Trust 225C, Class FG
$ 5,000 6.77% 12/25/23 $ 5,063
--------
Total Regular Floater CMOs........................ $ 8,047
--------
Sequential Fixed Rate CMOs (1.3%)
FNMA REMIC Trust 1989-10, Class D
$ 3,146 9.50% 07/25/09 $ 3,246
FNMA REMIC Trust 1989-80, Class E
3,942 9.00 09/25/18 4,076
--------
Total Sequential Fixed Rate CMOs.................. $ 7,322
--------
Super Floater CMOs(a) (0.4%)
FNMA REMIC Trust 1992-157, Class FA
$ 2,614 1.87% 03/25/04 $ 2,569
--------
Total CMOs........................................ $ 34,555
--------
Total Mortgage Backed Obligations (cost
$429,888)........................................ $431,637
--------
AGENCY DEBENTURES (1.8%)
Sri Lanka Aid(a)
$10,000 6.12% 11/01/24 $ 10,000
--------
Total Agency Debentures
(cost $10,000)................................... $ 10,000
--------
U.S. TREASURY OBLIGATIONS (20.8%)
U.S. Treasury Notes
$89,500 5.88% 04/30/98 $ 89,640
7,000 6.00 08/15/99 7,001
10,050 6.88 08/31/99 10,216
11,000 5.63 11/30/00 10,838
--------
Total U.S. Treasury Obligations (cost $117,708)... $117,695
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
REPURCHASE AGREEMENT (3.3%)
Joint Repurchase Agreement Account(c)
$18,600 5.60% 09/02/97 $ 18,600
--------
Total Repurchase Agreement (cost $18,600)......... $ 18,600
--------
Total Investments
(cost $576,196(d))............................... $577,932
========
- -------------------------------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION:
Gross unrealized gain for investments in which value
exceeds cost....................................... $ 3,355
Gross unrealized loss for investments in which cost
exceeds value...................................... (1,623)
--------
Net unrealized gain................................. $ 1,732
========
- -------------------------------------------------------------------------------------------------------
</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, 1997.
(b) TBA (To Be Assigned) securities are purchased on a forward commitment basis
with an approximate (generally +/- 2.5%) principal amount and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
(c) A portion of this security is being segregated for open TBA purchases.
(d) The aggregate cost for federal income tax purposes is $576,200.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
AUGUST 31, 1997
($ IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS (81.1%)
Fixed Rate Federal Home Loan Mortgage Corp.
(FHLMC) (2.8%)
$10,000 6.70% 09/25/22 $ 9,635
--------
Fixed Rate Federal National Mortgage Association (FNMA) (2.0%)
$ 2,848 6.00% 09/01/07 $ 2,808
1,370 6.00 10/01/08 1,341
2,966 6.00 06/01/09 2,905
--------
Total Fixed Rate FNMA............................. $ 7,054
--------
Collateralized Mortgage Obligations (CMOs) (76.3%)
Adjustable Rate CMOs(a) (21.1%)
Citicorp Mortgage Securities, Inc. 1992-17,
Class A
$ 6,363 7.65% 10/25/22 $ 6,521
CMC Securities Corp. II 1993-I, Class A2
3,301 7.21 09/25/23 3,353
Imperial Savings Association 1988-3, Class A
1,761 7.54 01/25/18 1,767
Independent National Mortgage Corp.
1994-W, Class A1
2,399 8.30 12/25/24 2,452
Merrill Lynch Mortgage Investors, Inc.
1994-I, Class A1
5,456 8.07 01/25/05 5,578
Prudential Home Mortgage 1992-8, Class A1
1,051 8.15 04/25/22 1,063
Resolution Trust Corp. 1992-04, Class B2
4,500 7.58 07/25/28 4,584
Resolution Trust Corp. 1992-11, Class B2
10,201 7.59 10/25/24 10,298
Resolution Trust Corp. 1994-1, Class M3
6,281 7.97 09/25/29 6,494
Resolution Trust Corp. 1995-1, Class A3
9,134 7.26 10/25/28 9,334
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS--(CONTINUED)
Adjustable Rate CMOs--(Continued)
Resolution Trust Corp. 1995-1, Class M3
$ 2,706 7.26% 10/25/28 $ 2,752
Ryland Mortgage Securities Corp.
1989-FN1, Class A
1,098 7.59 11/01/18 1,109
Ryland Mortgage Securities Corp. 1991-4,
Class A1
1,634 7.42 02/25/20 1,632
Ryland Mortgage Securities Corp. 1991-B1,
Class 1
1,400 7.53 03/25/20 1,422
Ryland Mortgage Securities Corp. 1992-3,
Class A2
310 7.58 06/25/20 310
Salomon Brothers Mortgage Securities
1990-3A, Class 1
1,624 6.85 11/25/20 1,633
Salomon Brothers Mortgage Securities
1994-20, Class A
4,955 8.08 12/25/24 5,117
Saxon Mortgage Securities Corp. 1992-1,
Class B1
6,800 7.78 09/25/22 6,827
Saxon Mortgage Securities Corp. 1994-11,
Class A
1,481 7.97 12/25/24 1,526
--------
Total Adjustable Rate CMOs........................ $ 73,772
--------
Planned Amortization Class (PAC) CMOs (31.8%)
Chemical Mortgage Securities, Inc.
Series 1994-1, Class A1
$ 4,465 6.25% 01/25/09 $ 4,308
CMC Securities Corp. 1993-F, Class A2
5,000 6.75 11/25/23 4,991
</TABLE>
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(CONTINUED)
STATEMENT OF INVESTMENTS
AUGUST 31, 1997
($ IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS--(CONTINUED)
Planned Amortization Class (PAC) CMOs--(Continued)
Countrywide Mortgage Backed Securities,
Inc. Series 1994-I, Class A4
$ 7,280 6.25% 07/25/09 $ 7,260
FHLMC Series 1293, Class Z
2,499 7.50 07/15/99 2,539
FHLMC Series 1526, Class E
6,500 5.75 03/15/16 6,439
FHLMC Series 1584, Class E
9,550 5.75 10/15/16 9,428
FHLMC Series 1632, Class PE
3,500 5.50 09/15/21 3,408
FHLMC Series 1985, Class PC
18,000 6.35 05/17/18 17,781
FNMA Series 93-174, Class Z
12,642 6.00 07/25/06 12,456
GE Capital Mortgage Services, Inc.
13,565 6.50 03/25/27 13,762
GE Capital Mortgage Services, Inc. 1994-15,
Class A8
5,362 6.00 04/25/09 5,299
GE Capital Mortgage Services, Inc. 1994-07,
Class A6
1,877 5.50 02/25/09 1,838
GE Capital Mortgage Services, Inc. 1994-13,
Class A1
2,590 6.50 04/25/24 2,582
Housing Securities, Inc. 1993-E, Class E8
7,587 10.00 02/25/08 7,936
Paine Webber Mortgage Acceptance Corp.
1993-6, Class A3
6,800 6.90 08/25/08 6,836
Prudential Home Mortgage 1993-54, Class A4
4,721 6.50 01/25/24 4,703
--------
Total PAC CMOs.................................... $111,566
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
MORTGAGE BACKED OBLIGATIONS--(CONTINUED)
Sequential Fixed Rate CMOs (23.4%)
Bear Stearns Secured Investors Trust
1987-2, Class D
$ 2,119 9.95% 10/20/18 $ 2,305
CMC Securities Corp. 1993-C, Class C3
3,328 9.55 04/25/08 3,546
Collateralized Mortgage Obligation Trust
Series 12, Class D
4,481 9.50 02/01/17 4,606
Collateralized Mortgage Obligation Trust
Series 64, Class Y
12,918 9.00 05/20/06 13,249
FNMA REMIC Trust 1988-12, Class A
3,398 10.00 02/25/18 3,585
FNMA REMIC Trust 1989-12, Class X
4,669 10.00 12/25/14 4,813
FNMA REMIC Trust 1989-59, Class H
9,328 7.75 10/25/18 9,439
Housing Securities, Inc. 1994-2, Class A1
10,963 6.50 07/25/09 10,769
Prudential Home Mortgage 1992-A,
Class 1B1
3,142 7.20 4/28/22 3,137
Prudential Home Mortgage 1993-38,
Class A4
18,017 9.55 09/25/23 19,182
Salomon Brothers Mortgage Securities
1984-2, Class Z
7,145 10.00 12/01/14 7,452
--------
Total Sequential Fixed Rate CMOs.................. $ 82,083
--------
Total CMOs........................................ $267,421
--------
Total Mortgage Backed Obligations (cost
$282,852)........................................ $284,110
--------
</TABLE>
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(CONTINUED)
STATEMENT OF INVESTMENTS
AUGUST 31, 1997
($ IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY
AMOUNT RATE DATE VALUE
- --------- -------- -------- -----
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (13.1%)
U.S. Treasury Notes
$ 3,000 6.00% 08/15/99 $ 3,001
6,700 6.13 07/31/00 6,706
12,000 5.63 11/30/00 11,824
6,570 7.88 11/15/04 7,140
U.S. Treasury Principal-Only Stripped
Securities(b)
12,400 6.44% 11/15/04 7,861
15,500 6.47 05/15/05 9,499
--------
Total U.S. Treasury Obligations (cost $45,966).... $ 46,031
--------
REPURCHASE AGREEMENT (8.4%)
Joint Repurchase Agreement Account(c)
$29,400 5.60% 09/02/97 $ 29,400
--------
Total Repurchase Agreement (cost $29,400)......... $ 29,400
--------
Total Investments
(cost $358,218(d))............................... $359,541
========
</TABLE>
<TABLE>
- -----------------------
<S> <C> <C> <C>
FEDERAL INCOME
TAX
INFORMATION:
Gross
unrealized
gain for
investments
in which
value
exceeds
cost........ $ 2,863
Gross
unrealized
loss for
investments
in which
cost exceeds
value....... (1,549)
-------
Net
unrealized
gain........ $ 1,314
=======
- -----------------------
</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 securities. Coupon rates disclosed are that which are in
effect at August 31, 1997.
(b) The interest rate disclosed for these securities represents effective
yields to maturity.
(c) A portion of this security is being segregated for open purchases.
(d) The aggregate cost for federal income tax purposes is $358,227.
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 1997
<TABLE>
<CAPTION>
MONEY GOVERNMENT MORTGAGE
MARKET SECURITIES SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value
(cost $442,106,662, $576,196,037,
and $358,218,395, respectively)... $442,106,662 $577,931,871 $359,541,137
Cash............................... 71,921 74,361 74,603
Receivables:
Investment securities sold........ -- 11,277,486 16,428,895
Interest.......................... 1,298,149 5,798,489 2,395,544
Deferred organization expenses,
net............................... -- -- 967
Other assets....................... 3,337 68,469 --
------------ ------------ ------------
Total assets................... 443,480,069 595,150,676 378,441,146
------------ ------------ ------------
LIABILITIES
Payables:
Investment securities purchased... -- 27,923,611 26,562,229
Fund shares repurchased........... -- 125,000 --
Dividends......................... 2,198,445 2,269,189 1,458,779
Advisory Fees..................... 23,784 95,932 59,181
Administration Fees............... 7,923 47,964 14,795
Accrued expenses and other
liabilities....................... 45,241 47,219 30,943
------------ ------------ ------------
Total liabilities.............. 2,275,393 30,508,915 28,125,927
------------ ------------ ------------
NET ASSETS
Paid-in capital.................... 441,204,676 581,950,036 360,550,064
Distributions in excess of net
investment income................. -- (580,622) (1,300,680)
Accumulated net realized loss on
investment transactions........... -- (18,463,487) (10,256,907)
Net unrealized gain on investments. -- 1,735,834 1,322,742
------------ ------------ ------------
Net assets..................... $441,204,676 $564,641,761 $350,315,219
============ ============ ============
Net asset value & public offering
price per unit (net assets/units
outstanding)...................... $1.00 $9.84 $9.75
============ ============ ============
UNITS OUTSTANDING
Total units outstanding, $0.001 par
value (unlimited number of
units authorized)................. 441,204,676 57,397,464 35,925,213
============ ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1997
<TABLE>
<CAPTION>
MONEY GOVERNMENT MORTGAGE
MARKET SECURITIES SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income..................... $23,683,433 $34,420,952 $22,996,886
----------- ----------- -----------
EXPENSES:
Advisory fees....................... 796,813 1,082,182 668,959
Administration fees................. 431,209 541,091 167,240
Custodian fees...................... 72,694 75,334 58,253
Professional fees................... 62,176 81,001 64,211
Trustees' fees...................... 21,894 22,661 10,979
Amortization of deferred
organization expense............... -- -- 9,037
Other expenses...................... 39,484 47,452 29,299
----------- ----------- -----------
Total expenses...................... 1,424,270 1,849,721 1,007,978
Less--Fee waivers and expense
reimbursements...................... (630,772) -- --
----------- ----------- -----------
Net expenses........................ 793,498 1,849,721 1,007,978
----------- ----------- -----------
NET INVESTMENT INCOME................ 22,889,935 32,571,231 21,988,908
NET REALIZED GAIN (LOSS) ON
INVESTMENT TRANSACTIONS............. -- (1,471,081) 901,649
NET CHANGE IN UNREALIZED GAIN ON
INVESTMENTS......................... -- 5,778,256 2,440,462
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS..................... $22,889,935 $36,878,406 $25,331,019
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED AUGUST 31, 1997
<TABLE>
<CAPTION>
MONEY GOVERNMENT MORTGAGE
MARKET SECURITIES SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------ ------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income........... $ 22,889,935 $ 32,571,231 $ 21,988,908
Net realized gain (loss) on
investment transactions........ -- (1,471,081) 901,649
Net change in unrealized gain on
investments.................... -- 5,778,256 2,440,462
--------------- ------------ ------------
Net increase in net assets
resulting from operations...... 22,889,935 36,878,406 25,331,019
--------------- ------------ ------------
DISTRIBUTION TO UNITHOLDERS:
From net investment income...... (22,889,935) (32,571,231) (21,988,908)
In excess of net investment
income......................... -- (184,815) (35,416)
--------------- ------------ ------------
Total distributions to
unitholders.................... (22,889,935) (32,756,046) (22,024,324)
--------------- ------------ ------------
FROM UNIT TRANSACTIONS:
Proceeds from sales of shares... 4,961,231,607 107,339,190 39,341,948
Reinvestment of dividends and
distributions.................. 11,661,004 6,072,657 4,572,906
Cost of units repurchased....... (4,958,397,761) (88,594,881) (29,452,760)
--------------- ------------ ------------
Net increase in net assets
resulting from unit
transactions................... 14,494,850 24,816,966 14,462,094
--------------- ------------ ------------
Total Increase.................. 14,494,850 28,939,326 17,768,789
NET ASSETS:
Beginning of year............... 426,709,826 535,702,435 332,546,430
--------------- ------------ ------------
End of year..................... $ 441,204,676 $564,641,761 $350,315,219
=============== ============ ============
ACCUMULATED UNDISTRIBUTED
(DISTRIBUTIONS IN EXCESS OF) NET
INVESTMENT INCOME............... $ -- $ (580,622) $ (1,300,680)
=============== ============ ============
SUMMARY OF UNIT TRANSACTIONS:
Units sold...................... 4,961,231,607 10,921,160 4,039,134
Reinvestment of dividends and
distributions.................. 11,661,004 618,333 469,421
Units repurchased............... (4,958,397,761) (9,016,857) (3,026,928)
--------------- ------------ ------------
Increase in units outstanding... 14,494,850 2,522,636 1,481,627
=============== ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
MONEY GOVERNMENT MORTGAGE
MARKET SECURITIES SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------ ------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income........... $ 26,593,606 $ 32,865,667 $ 20,402,162
Net realized gain (loss) from
investment transactions........ -- (2,540,339) (1,362,172)
Net change in unrealized gain
(loss) on investments.......... -- 2,123,885 (2,371,245)
--------------- ------------ ------------
Net increase in net assets re-
sulting from operations........ 26,593,606 32,449,213 16,668,745
--------------- ------------ ------------
DISTRIBUTIONS TO UNITHOLDERS:
From net investment income...... (26,593,606) (32,575,731) (19,872,792)
--------------- ------------ ------------
Total distributions to
unitholders.................... (26,593,606) (32,575,731) (19,872,792)
--------------- ------------ ------------
FROM UNIT TRANSACTIONS:
Proceeds from sale of units..... 4,407,395,102 71,305,733 84,209,886
Reinvestment of dividends and
distributions.................. 14,016,210 5,926,024 3,681,644
Cost of units repurchased....... (4,376,797,402) (71,061,723) (16,550,279)
--------------- ------------ ------------
Net increase in net assets from
unit transactions.............. 44,613,910 6,170,034 71,341,251
--------------- ------------ ------------
Total increase.................. 44,613,910 6,043,516 68,137,204
NET ASSETS:
Beginning of year............... 382,095,916 529,658,919 264,409,226
--------------- ------------ ------------
End of year..................... $ 426,709,826 $535,702,435 $332,546,430
=============== ============ ============
ACCUMULATED UNDISTRIBUTED (DIS-
TRIBUTIONS IN EXCESS OF) NET IN-
VESTMENT INCOME................. $ -- $ (395,807) $ (1,273,901)
=============== ============ ============
SUMMARY OF UNIT TRANSACTIONS:
Units sold...................... 4,407,395,102 7,283,062 8,597,649
Reinvestment of dividends and
distributions.................. 14,016,210 606,093 377,883
Units repurchased............... (4,376,797,402) (7,267,669) (1,692,128)
--------------- ------------ ------------
Increase in units outstanding... 44,613,910 621,486 7,283,404
=============== ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
21
<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
---------------------- ----------------------------
RATIO OF
NET
FROM RATIO OF INVEST-
NET IN NET NET NET MENT NET
ASSET NET FROM EXCESS REAL- ASSET EXPENSES INCOME ASSETS
VALUE AT NET REALIZED NET OF NET IZED VALUE TO TO AT END
BEGIN- INVEST- GAIN ON INVEST- INVEST- GAIN ON AT AVERAGE AVERAGE OF
NING OF MENT INVEST- MENT MENT INVEST- END OF TOTAL NET NET PERIOD
PERIOD INCOME MENTS(a) INCOME INCOME MENTS PERIOD RETURN(b) ASSETS ASSETS (000'S)
-------- ---------- ----------- -------- -------- -------- ------ --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended:8/31/97.. $1.00 $ 0.0530 $ -- $(0.0530) $ -- $ -- $1.00 5.43% 0.18% 5.31% $441,205
8/31/96......... 1.00 0.0539 -- (0.0539) -- -- 1.00 5.51 0.19 5.37 426,710
8/31/95......... 1.00 0.0555 -- (0.0553) -- -- 1.00 5.56 0.20 5.55 382,096
8/31/94......... 1.00 0.0329 0.0002 (0.0342) (0.0001) (0.0002) 1.00 3.50 0.25 3.29 216,989
8/31/93......... 1.00 0.0305 0.0004 (0.0305) -- (0.0005) 1.00 3.14 0.25 3.05 616,229
8/31/92......... 1.00 0.0416 0.0008 (0.0416) -- (0.0007) 1.00 4.39 0.25 4.16 864,924
8/31/91......... 1.00 0.0641 -- (0.0641) -- -- 1.00 6.93 0.25 6.41 654,977
8/31/90......... 1.00 0.0824 -- (0.0824) -- -- 1.00 8.58 0.25 8.24 258,304
8/31/89......... 1.00 0.0899 -- (0.0899) -- -- 1.00 9.28 0.25 8.99 167,331
5/17/88(c) to
8/31/88............. 1.00 0.0214 -- (0.0214) -- -- 1.00 7.40(d) 0.25(d) 7.27(d) 106,739
<CAPTION>
RATIO INFORMATION
ASSUMING NO WAIVER
OF FEES OR EXPENSE
REIMBURSEMENTS
--------------------
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO TO
AVERAGE AVERAGE
NET NET
ASSETS ASSETS
--------- ----------
<S> <C> <C>
Year ended:8/31/97.. 0.33% 5.16%
8/31/96......... 0.31 5.25
8/31/95......... 0.33 5.42
8/31/94......... 0.34 3.20
8/31/93......... 0.33 2.97
8/31/92......... 0.29 4.12
8/31/91......... 0.25 6.41
8/31/90......... 0.25 8.24
8/31/89......... 0.25 8.99
5/17/88(c) to
8/31/88............. 0.25(d) 7.27(d)
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all 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.
22
<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
----------------------- ------------------
RATIO OF
NET
NET RATIO OF INVEST-
NET REALIZED IN NET NET MENT
ASSET AND FROM EXCESS ASSET EXPENSES INCOME PORT-
VALUE AT NET UNREALIZED NET OF NET VALUE TO TO FOLIO
BEGIN- INVEST- GAIN (LOSS) INVEST- INVEST- AT AVERAGE AVERAGE TURN-
NING OF MENT ON INVEST- MENT MENT END OF TOTAL NET NET OVER
PERIOD INCOME MENTS(a) INCOME INCOME PERIOD RETURN(b) ASSETS ASSETS RATE(c)
-------- ---------- ------------ -------- -------- ------ --------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended:8/31/97.. $ 9.76 $ 0.5911 $ 0.0829 $(0.5911) $(0.0029) $ 9.84 7.09% 0.34% 6.02% 88.02%
8/31/96 ........ 9.76 0.6024 (0.0055) (0.5969) -- 9.76 6.26 0.35 6.16 149.66
8/31/95......... 9.78 0.5515 (0.0011) (0.5582) (0.0122) 9.76 5.82 0.34 5.65 70.58
8/31/94......... 9.97 0.4286 (0.1974) (0.4212) -- 9.78 2.33 0.35 4.25 42.27
8/31/93......... 10.03 0.4641 (0.0599) (0.4630) (0.0012) 9.97 4.06 0.34 4.58 67.38
8/31/92......... 10.00 0.5588 0.0311 (0.5594) -- 10.03 6.68 0.36 5.91 195.53
7/10/91(d) to
8/31/91............. 10.00 0.0873 (0.0016) (0.0857) -- 10.00 7.02(e) 0.48(e) 7.16(e) 3.56
<CAPTION>
RATIO INFORMATION
ASSUMING NO WAIVER
OF FEES OR EXPENSE
REIMBURSEMENTS
--------------------
RATIO OF
NET
NET RATIO OF INVESTMENT
ASSETS EXPENSES INCOME
AT END TO TO
OF AVERAGE AVERAGE
PERIOD NET NET
(000'S) ASSETS ASSETS
---------- --------- ----------
<S> <C> <C> <C>
Year ended:8/31/97.. $ 564,642 0.34% 6.02%
8/31/96 ........ 535,702 0.35 6.16
8/31/95......... 529,659 0.34 5.65
8/31/94......... 594,331 0.37 4.23
8/31/93......... 1,122,484 0.47 4.45
8/31/92......... 1,153,410 0.59 5.68
7/10/91(d) to
8/31/91............. 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 distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(c) Includes the effect of mortgage dollar roll transactions.
(d) Commencement of operations.
(e) Annualized.
The accompanying notes are an integral part of these financial statements.
23
<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 IN RATIO OF
NET REALIZED IN EXCESS NET NET
ASSET AND FROM EXCESS OF NET ASSET EXPENSES
VALUE AT NET UNREALIZED NET OF NET REALIZED VALUE TO
BEGIN- INVEST- GAIN (LOSS) INVEST- INVEST- GAIN ON FROM AT AVERAGE
NING OF MENT ON INVEST- MENT MENT INVEST- PAID-IN END OF TOTAL NET
PERIOD INCOME MENTS(a) INCOME INCOME MENTS CAPITAL PERIOD RETURN(b) ASSETS
-------- ---------- ------------ -------- -------- -------- -------- ------ --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended:8/31/97.. $ 9.65 $ 0.6399 $ 0.1011 $(0.6399) $(0.0011) $ -- $ -- $ 9.75 7.89% 0.30%
8/31/96......... 9.74 0.6604 (0.1195) (0.6309) -- -- -- 9.65 5.67 0.28
8/31/95......... 9.62 0.6075 0.1539 (0.6075) (0.0175) -- (0.0164) 9.74 8.20 0.26
8/31/94......... 10.13 0.5533 (0.4530) (0.5719) (0.0340) (0.0044) -- 9.62 1.00 0.28
10/9/92(d) to
8/31/93............. 10.00 0.4895 0.1144 (0.4702) -- -- -- 10.13 6.27 0.33(e)
<CAPTION>
RATIO INFORMATION
ASSUMING NO WAIVER
OF FEES
--------------------
RATIO OF
NET RATIO OF
INVEST- NET
MENT NET RATIO OF INVESTMENT
INCOME PORT- ASSETS EXPENSES INCOME
TO FOLIO AT END TO TO
AVERAGE TURN- OF AVERAGE AVERAGE
NET OVER PERIOD NET NET
ASSETS RATE(c) (000'S) ASSETS ASSETS
--------- -------- -------- --------- ----------
<S> <C> <C> <C> <C> <C>
Year ended:8/31/97.. 6.57% 106.10% $350,315 0.30% 6.57%
8/31/96......... 6.64 163.42 332,546 0.30 6.62
8/31/95......... 6.36 130.98 264,409 0.32 6.30
8/31/94......... 5.66 188.58 283,886 0.29 5.65
10/9/92(d) to
8/31/93............. 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 distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(c) Includes the effect of mortgage dollar roll transactions.
(d) Commencement of operations.
(e) Annualized.
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1997
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 three diversified portfolios: the
Money Market Portfolio, Government Securities Portfolio and Mortgage Securities
Portfolio. Units of the Fund are offered for sale solely to state and federally
chartered credit unions.
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. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that may affect the reported amounts.
A.Investment Valuation
For the Government Securities Portfolio and Mortgage Securities Portfolio,
investments in mortgage backed, asset backed, and U.S. Treasury obligations 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. Other securities are value based on yield equivalents, a pricing
matrix or other sources, under valuation procedures established by the Fund's
Board of Trustees. Portfolio securities for which accurate market quotations
are not readily available are value based on yield equivalents, pricing matrix
or other sources, under valuation procedures established by the Fund's Board of
Trustees. Securities of the Money Market Portfolio and short-term debt
obligations maturing in sixty days or less for the Government Securities
Portfolio and Mortgage Securities Portfolio 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.
25
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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 amortizes market discounts and premiums on certain
mortgage backed securities and treasury obligations.
For the Government Securities Portfolio and Mortgage Securities Portfolio,
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 as 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.Mortgage Dollar Rolls
The Government Securities and Mortgage Securities Portfolios may enter into
mortgage "dollar rolls" in which the portfolios sell securities in the current
month for delivery and simultaneously contract with the same counterparty to
repurchase similar (same type, coupon and maturity) but not identical
securities on a specified future date. The portfolios will hold and maintain
cash or liquid debt securities in an amount equal to the forward purchase price
in a segregated account until the settlement date. For financial reporting and
tax reporting purposes, the portfolios treat mortgage dollar rolls as two
separate transactions: one involving the purchase of a security and a separate
transaction involving a sale.
26
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
D.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.
As of each portfolio's most recent tax year-end, the following portfolios had
approximately the following amounts of capital loss carryforward for U.S.
federal tax purposes:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT YEARS OF EXPIRATION
------------------------ ------------------------------- -------------------
<S> <C> <C>
Government Securities... $18,980,000 1999 - 2005
Mortgage Securities..... 10,116,000 2002 - 2005
</TABLE>
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.
E.Deferred Organization Expenses
Organization-related costs are being amortized on a straight-line basis over
a period of five years for the Mortgage Securities Portfolio.
27
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
F.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 advisor pursuant to
an Advisory Agreement with the Fund. Under the Advisory Agreement, Goldman
Sachs, subject to the 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%
</TABLE>
Effective July 1, 1997, Goldman Sachs voluntarily agreed to limit its
advisory fee with respect to the Money Market Portfolio to .06% of all assets;
prior thereto, Goldman Sachs voluntarily agreed to limit its advisory fee to
.12% of the first $250 million, .10% of the next $250 million, .09% of the next
$250 million and .08% over $750 million of the portfolio's average daily net
assets. For the year ended August 31, 1997, Goldman Sachs waived advisory fees
amounting to $356,960.
28
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
3.AGREEMENTS--(CONTINUED)
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 39
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%
</TABLE>
Effective July 1, 1997, CUFSLP voluntarily agreed to limit its administration
fee with respect to the Money Market Portfolio to .02% of all assets; prior
thereto, CUFSLP voluntarily agreed to limit its administration fee to .05% of
the first $500 million, .04% of the next $250 million and .03% over $750
million of the portfolio's average net assets. For the year ended August 31,
1997, CUFSLP waived administration fees amounting to $240,343.
Effective July 1, 1995, CUFSLP has agreed that to the extent the total
annualized expenses (excluding interest, taxes, brokerage and extraordinary
expenses) (the "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 expenses of the
Money Market Portfolio. Effective July 1, 1997-August 31, 1997, the expense
limitation of the fund remained at 0.20% on a daily basis. For the fiscal year
ended August 31, 1997, CUFSLP reimbursed the Money Market Portfolio $33,469
under this agreement.
CUFSLP and Goldman Sachs have each voluntarily agreed to limit the other
annualized ordinary expenses (excluding advisory, administration fees,
interest, taxes, brokerage and extraordinary expenses) of the Government
Securities Portfolio such that CUFSLP will reimburse expenses that exceed .05%
up to .10% of the Government Securities Portfolio's average daily net assets,
and Goldman Sachs will reimburse expenses that exceed .10% up to .15% of the
Government Securities Portfolio's average daily net assets. For the year ended
August 31, 1997, no expenses were required to be reimbursed by CUFSLP or
Goldman Sachs under this agreement.
29
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
3.AGREEMENTS--(CONTINUED)
Callahan Financial Services, Inc. and Goldman Sachs serve as exclusive
distributors of units of the Fund. For the year ended August 31, 1997, neither
received any compensation for this service. Goldman Sachs also serves as
transfer agent of the Fund for a fee.
4.INVESTMENT TRANSACTIONS
Purchases and proceeds of sales or maturities of long-term securities for the
Government Securities Portfolio and Mortgage Securities Portfolio for the year
ended August 31, 1997 were as follows ($ in thousands):
<TABLE>
<CAPTION>
GOVERNMENT MORTGAGE
SECURITIES SECURITIES
PORTFOLIO PORTFOLIO
---------- ----------
<S> <C> <C>
Purchases of U.S. Government and agency obligations...... $452,003 $217,179
Purchases (excluding U.S. Government and agency obliga-
tions).................................................. -- 129,627
Sales or maturities of U.S. Government and agency obliga-
tions................................................... 427,890 262,261
Sales or maturities (excluding U.S. Government and agency
obligations)............................................ -- 83,601
</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 subcustodians. GSAM
monitors the market value of the underlying securities by pricing them daily.
30
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
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, 1997, the Money Market Portfolio had a 3.34% undivided
interest in the repurchase agreements in the following joint account which
equaled $5,273,300,000 in principal amount. As of August 31, 1997, the
repurchase agreements in this joint account, along with the corresponding
underlying securities (including the type of security, market value, interest
rate and maturity date), were as follows ($ in thousands):
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY AMORTIZED
AMOUNT RATE DATE COST
---------- -------- -------- ----------
<S> <C> <C> <C> <C>
Bear Stearns Companies, Inc., dated
08/29/97, repurchase price $500,309
(U.S. Treasury Stripped Securities:
$509,404, 11/15/97-02/15/97........... $ 500,000 5.57% 09/02/97 $ 500,000
Deutsche Bank, dated 08/29/97,
repurchase price $790,490 (U.S.
Treasury Notes: $777,890, 5.00-7.25%,
01/31/98-04/15/04) (U.S. Treasury
Bill: $27,911, 02/18/98).............. 790,000 5.58 09/02/97 790,000
Donaldson Lufkin & Jenrette, Inc.,
dated 08/29/97, repurchase price
$500,309
(U.S. Treasury Stripped Securities:
$507,826, 06/25/98-11/15/06) (U.S.
Treasury Note: $2,174, 4.75%,
8/31/98).............................. 500,000 5.56 09/02/97 500,000
Goldman, Sachs & Co., dated 08/29/97,
repurchase price $1,040,641 (U.S.
Treasury Bond: $44,048, 9.375%,
02/15/06) (U.S. Treasury Notes:
$828,972, 4.75-7.50%, 10/31/97-
08/15/07) (U.S. Treasury Bills:
$188,434, 09/11/97-01/29/98).......... 1,040,000 5.55 09/02/97 1,040,000
Morgan Stanley & Co., dated 08/29/97,
repurchase price $783,786 (U.S.
Treasury Infl. In. Notes: $541,249,
3.375-3.625%, 07/15/02-01/15/02) (U.S.
Treasury Note: $661, 7.75%, 12/31/99)
(U.S. Treasury Bill: $257,105,
04/30/98)............................. 783,300 5.58 09/02/97 783,300
J.P. Morgan Securities, dated 08/29/97,
repurchase price $150,090 (U.S.
Treasury Note: $153,419, 6.50%,
04/30/99)............................. 150,000 5.40 09/02/97 150,000
UBS Securities Corp., dated 08/29/97,
repurchase price $350,212 (U.S.
Treasury Notes: $359,144, 5.875-
13.75%, 07/31/98-08/15/04)............ 350,000 5.45 09/02/97 350,000
UBS Securities Corp., dated 08/29/97,
repurchase price $275,165 (U.S.
Treasury Notes: $282,189, 5.00-8.75%,
01/31/99-08/15/00).................... 275,000 5.40 09/02/97 275,000
Swiss Bank Corp., dated 08/29/97,
repurchase price $885,548 (U.S.
Treasury Bonds: $147,765, 10.75-
13.75%, 02/15/01-05/15/05) (U.S.
Treasury Notes: $756,654,
4.75-8.125%, 08/31/97-11/15/05)....... 885,000 5.57 09/02/97 885,000
----------
Total Joint Repurchase Agreement Account........................... $5,273,300
==========
</TABLE>
31
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
AUGUST 31, 1997
6.JOINT REPURCHASE AGREEMENT ACCOUNTS--(CONTINUED)
As of August 31, 1997, the Government Securities Portfolio and the Mortgage
Securities Portfolio had a 1.29% and 2.04% undivided interest, respectively, in
the repurchase agreements in the following joint account, which equaled
$1,441,300,000 in principal amount. As of August 31, 1997, the repurchase
agreements in this joint account, along with the corresponding underlying
securities (including the type of security, market value, interest rate and
maturity date), were as follows ($ in thousands):
<TABLE>
<CAPTION>
PRINCIPAL INTEREST MATURITY AMORTIZED
AMOUNT RATE DATE COST
--------- -------- -------- ----------
<S> <C> <C> <C> <C>
Bear Stearns Companies, Inc., dated
08/29/97, repurchase price $650,405
(FHLMC: $385,794, 6.50-9.50%, 01/01/17-
08/01/27) (FNMA: $183,648,
7.00-7.50%, 04/01/09-09/01/27) (GNMA:
$97,747, 7.00%, 08/15/27).............. $650,000 5.61% 09/02/97 $ 650,000
Dresdner Kleinwort Benson, NA., dated
08/29/97, repurchase price $400,249
(FFCB: $29,927, 5.53-5.69%, 10/01//97-
02/02/98) (FHDN: $4,415, 09/17/97-
10/22/97) (FHLB: $39,790, 5.63-6.29%,
11/06/97-03/24/99) (FHLMC: $254, 6.70%,
01/05/07) (FNMA: $31,318, 5.50%, 2/98)
(FNMA: $305, 6.25%, 11/10/99) (FHLMC:
$148,995, 09/16/97-11/12/97) (GNMA:
$131,230, 6.50-7.50%) (U.S. Treasury
Note: $8,407, 5.50%, 09/30/97) (U.S.
Treasury Bills: $13,365, 02/26/98)..... 400,000 5.60 09/02/97 400,000
Nomura Securities Inc., dated 08/29/97,
repurchase price $125,078 (FHLMC:
$14,210, 6.00-8.50%, 04/01/09-08/01/27)
(FHLB: $62,629, 6.58-7.00%, 09/02/97-
05/28/02) (FHLMC: $2,287, 7.44%,
09/20/06) (FNMA: $26,590, 6.00-8.89%,
11/01/03-09/01/27) (FNMA: $21,784,
6.82-7.56%, 08/23/05-04/30/07)......... 125,000 5.60 09/02/97 125,000
Morgan Stanley & Co., dated 08/29/97,
repurchase price $16,310 (U.S. Treasury
Bill: $16,630, 08/20/98)............... 16,300 5.58 09/02/97 16,300
J.P. Morgan Securities, Inc., dated
08/29/97, repurchase price $250,156
(FFCB: $54,619, 5.53-5.60%, 11/03/97-
02/02/98) (FHLB: $95,920, 5.71-6.315%,
01/21/98-12/18/98) (FNMA: $41,996,
5.85%, 10/01/97) (U.S. Treasury Note:
$62,829, 9.55%, 11/10/97).............. 250,000 5.60 09/02/97 250,000
----------
Total Joint Repurchase Agreement Account........................... $1,441,300
==========
</TABLE>
7.CERTAIN RECLASSIFICATIONS
In accordance with Statement of Position 93-2, the Mortgage Securities
Portfolio has reclassified $8,637, which represents a decrease to paid-in
capital and an increase to accumulated undistributed net investment income.
This reclassification has no impact on the net asset value of the portfolio and
is designed to present the portfolio's capital accounts on a tax basis.
8.OTHER MATTERS
Pursuant to an SEC exemptive order, the Money Market Portfolio may enter into
certain principal transactions, including repurchase agreements with Goldman
Sachs or certain of its affiliates, subject to certain limitations as follows:
25% of eligible security transactions, as defined, and 10% of repurchase
agreement transactions on an annual basis.
32
<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>
Goldman
Sachs
TCUANN97
- -----------------------------
TRUST
for Credit Unions
- -----------------------------
TRUSTEES
Rudolf J. Hanley, Chairman
Robert M. Coen, Vice-Chairman
Gene R. Artemenko
James C. Barr
Edgar F. Callahan
John T. Collins
Thomas S. Condit
Betty G. Hobbs
John P. McNulty
John L. Ostby
Wendell A. Sebastian
OFFICERS
Wendell A. Sebastian
President
Charles W. Filson
Vice President
John W. Mosior
Vice President
James A. Fitzpatrick
Vice President
Scott M. Gilman
Treasurer
John M. Perlowski
Assistant Treasurer
Michael J. Richman
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.
