<PAGE>
-------------------------------------
TRUST
for Credit Unions
-------------------------------------
Annual Report
-------------------------
August 31, 1999
<PAGE>
Dear TCU Investor:
We would like to take this opportunity to thank you for your continued
support of the Trust for Credit Unions ("TCU"). Special thanks are in order to
the many credit unions that have opened new accounts, or broadened their TCU
portfolio holdings during the past year.
During the last year, mutual funds represented one of the fastest growing
segments of credit unions' investment portfolios. TCU maintained its title as
the first and largest family of mutual funds focused exclusively on the credit
union industry (source: Callahan & Associates). With your help, in February,
total TCU balances exceeded $3 billion, and assets of the TCU Money Market
Portfolio reached $2 billion in March 1999.
We constantly strive to ensure that TCU meets the investment needs of credit
unions. During the past year, many have shared with us the importance of TCU in
their preparation for the Year 2000. As such, we have undertaken several new
initiatives designed to assist you as we approach the Year 2000:
. In August 1999, we instituted monthly conference calls designed to
increase communications on Year 2000 topics, both with investors and our
Goldman Sachs & Co. ("Goldman Sachs") portfolio managers.
. We increased communication on TCU Year 2000 readiness, including proxy
testing by investors.
. We have worked with credit unions to allow them to use certain TCU
holdings as collateral for Year 2000-related lines of credit.
Thank you again for selecting TCU. We look forward to serving you as your
credit union's investment resource into the next millennium.
Sincerely,
/s/ Judith E. Sandberg /s/ Gordon Linke
Judith E. Sandberg Gordon Linke
President Vice President
Callahan Financial Services, Inc. Goldman Sachs Asset Management
And Trust for Credit Unions
September 20, 1999
<PAGE>
Economic Summary
The U.S. Economy Continues To Move Forward
The robust growth we continue to see in the U.S. economy seemed unlikely a
year ago. During the fourth quarter of 1998, the Federal Reserve Board (the
"Fed") made the last of three interest rate cuts. The Fed's actions signaled
its concerns over the economic crisis overseas, and its potential for
triggering a meaningful slowdown of the U.S. economy in 1999. However, during
the first quarter of the year, economic data pointed to economies in Asia
rebounding much faster than anticipated, and the U.S. economy resumed its march
forward. While inflation had not been a concern for quite some time, several
factors, including rising commodity prices and wage pressures, led the Fed to
raise short-term interest rates toward the end of the reporting period.
The Bond Market: Rising Rates Lead To Mixed Results
Over the last year, the prospects for the bond market have come full circle.
In the wake of last year's currency crisis, U.S. Treasuries rallied strongly,
as investors turned to these securities as a "safe haven" in the face of
adversity. However, the surprising strength of the U.S. economy has led to a
reversal of fortune in the bond market. Throughout much of the year, yields
have risen, due to concern that the Fed would raise interest rates to head off
a resurgence in inflation. By the time rates were increased this summer, the
yield curve had already reflected the prospect of a tighter monetary policy,
with the yield on 30-year U.S. Treasuries rising above 6%.
Outlook
The Federal Reserve has currently adopted a neutral bias and indicated that
recent tightening should markedly diminish the risk of rising inflation going
forward. However, with the economy remaining very robust, investors are
cautioned that interest rate increases could occur in the near future.
2
<PAGE>
TCU Money Market Portfolio
Objective
The TCU Money Market Portfolio ("MMP" or the "Portfolio") seeks to maximize
current income to the extent consistent with the preservation of capital and
maintenance of liquidity through investments in high-quality money market
instruments authorized under the Federal Credit Union Act.
Performance Review
For the year ended August 31, 1999, the MMP had an average annual total
return of 5.09%, outperforming the IBC Financial Data All-Taxable Money Market
Index total return of 4.82%. As of August 31, 1999, the Portfolio had a seven-
day current yield of 5.20% and an effective yield of 5.33%. As of that date,
the Portfolio's seven-day current and effective yields without fee waivers
would have been 4.83% and 4.94%/1/, respectively.
Portfolio Composition and Investment Strategies
During the reporting period, the Fed shifted its monetary policy from one of
easing, to maintaining, to tightening monetary policy. The Fed increased the
federal funds target rate in two 25 basis point increments, to 5.25%, due to
ongoing economic strength and the fear of possible inflationary pressures.
During this period, we increased the overnight position of the Portfolio to
take advantage of opportunities in the current rising interest rate
environment.
. We increased the Portfolio's position in certificates of deposit ("CDs")
as a result of increased supply. CDs offered relative value versus
repurchase agreements.
. We substantially increased the Portfolio's positions in variable rate
obligations, and moderately increased the Portfolio's position in bank
notes. Variable rate obligations offered relative value in the existing
yield curve environment.
. Given the anticipated Year 2000 supply and potential liquidity
constraints, we established several positions in federal agency
securities.
- ---------------------
/1/ Please note that an investment in the Portfolio is neither insured nor
guaranteed by the National Credit Union Share Insurance Fund, the National
Credit Union Administration, or any other government agency. Although the
Portfolio seeks to preserve the value of your investment of $1.00 per unit,
it is possible to lose money by investing in the Portfolio.
3
<PAGE>
Portfolio Composition as of August 31, 1999*
[PIE CHART APPEARS HERE]
Euro Certificates of Deposit 1.4%
Repurchase Agreements 38.3%
Bank Notes 12.4%
Certificates of Deposit 12.2%
Time Deposit 2.3%
Variable Rate Notes 24.9%
Government Agency Securities 8.5%
* These percentages may differ from those in the accompanying Statement of
Investments, which reflect Portfolio holdings as a percentage of net assets.
Looking Forward
At this point, it is unclear whether further tightening by the Fed will be
necessary to keep the economy from overheating and triggering an increase in
inflation. Over the next few months, we will focus on data that will provide a
clearer outlook for the economy. In addition, as the end of the year
approaches, we believe that the uncertainties surrounding Year 2000 will
increase and that the likelihood that the Fed will tighten further will
diminish. We expect to continue to target a neutral weighted average maturity,
taking advantage of opportunities on the yield curve, while seeking to
maintaining adequate liquidity.
4
<PAGE>
TCU Government Securities Portfolio
Objective
The TCU Government Securities Portfolio ("GSP" or the "Portfolio") seeks to
achieve 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. Of course, an investment in the Portfolio is neither insured
nor guaranteed by the U.S. government. The 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, 1999, its actual
duration was 0.86 years, compared to 0.67 years for a nine-month Treasury
security.
Performance Review
For the year ended August 31, 1999, the total return of the GSP was 4.25%,
versus the 4.68% total return for the nine-month Treasury average. (The nine-
month Treasury security, as reported by Merrill Lynch, represents a
hypothetical average weighted return of the six-month and one-year Treasury
securities. The nine-month Treasury security does not reflect any fees or
expenses.)
The Portfolio's net asset value ("NAV") fell during the period, closing at
$9.65, down $0.14 from its level a year earlier. As of August 31, 1999, the
Portfolio's 30-day distribution rate was 5.51% and its SEC standardized 30-day
yield was 5.63%.
Portfolio Composition and Investment Strategies
Earlier in the period under review, low interest rates and a persistently
flat yield curve encouraged ARM prepayment activity as borrowers sought to lock
in attractive long-term fixed-rate financing. As a result, spreads widened as
investors demanded greater compensation for accepting the sector's heightened
prepayment risk. In response, we gradually reduced the Portfolio's exposure to
ARMs. However, the prepayment environment has improved significantly in recent
months. Actual prepayments have slowed and forward projections indicate this
trend could continue. Within this sector, we are currently emphasizing fully-
indexed, seasoned issues that provide cash flow and limited cap risk.
We have also increased the Portfolio's exposure to collateralized mortgage
obligations ("CMOs"), as the subsector provided attractive returns and short,
stable cash flows. We are currently optimistic about the outlook for CMOs.
However, a careful eye will be kept on the direction of monetary policy and the
impact Year 2000 has on investors' willingness to accept risk.
5
<PAGE>
Portfolio Composition as of August 31, 1999*
[PIE CHART APPEARS HERE]
Repurchase Agreement 1.3%
ARMs 54.2%
Agency Debentures 6.6%
U.S. Treasuries 10.6%
PACs 1.7%
Sequentials 6.5%
Floaters 13.2%
Support 0.5%
Fixed Rate Mortgage Pass-Throughs 5.4%
* 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
In general, we continue to hold a favorable outlook on the mortgage market,
and at current valuations we feel that we are well compensated for the
liquidity and prepayment risks. While spreads are wider, we believe mortgages
will continue to outperform over the long term.
6
<PAGE>
TCU Mortgage Securities Portfolio
Objective
The TCU Mortgage Securities Portfolio ("MSP" or the "Portfolio") seeks to
achieve a high level of current income, consistent with relatively low
volatility of principal, by investing in obligations authorized under the
Federal Credit Union Act. 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. Of course, an investment in the Portfolio is
neither insured nor guaranteed by the U.S. government. The 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, 1999, the Portfolio's actual duration was 2.02 years, versus
1.87 years for its benchmark.
Performance Review
The Portfolio's total return for the one-year period ended August 31, 1999,
was 2.51%, versus a 2.74% return for the two-year U.S. Treasury note. The
Portfolio's net asset value (NAV) fell during the period, closing at $9.57,
down $0.33 from its level a year earlier. As of August 31, 1999, the
Portfolio's 30-day distribution rate was 5.89% and the SEC standardized 30-day
yield was 6.22%.
Portfolio Composition and Investment Strategies
With the rise in interest rates, we have seen a reversal in mortgage
prepayment activity. Low interest rates and a persistently flat yield curve
encouraged ARM prepayment activity earlier in the reporting period, as
borrowers sought to lock in attractive long-term fixed-rate financing. Because
of this, spreads widened, as investors looked for greater compensation for
accepting the sector's heightened prepayment risk. In response, we gradually
reduced the Portfolio's exposure to ARMs. However, the prepayment environment
has improved in recent months. Actual prepayments have slowed significantly and
projections indicate this trend could continue. As a result, we decreased the
Portfolio's exposure to Treasuries in favor of CMOs. We currently remain
optimistic about the outlook for CMOs. However, a diligent analysis on the
direction of monetary policy and the impact the Year 2000 has on investors will
be needed to judge their willingness to accept risk.
7
<PAGE>
Portfolio Composition as of August 31, 1999*
[PIE CHART APPEARS HERE]
Repurchase Agreement 2.8%
U.S. Treasuries 7.5%
Agency Debentures 10.5%
ARMs 10.5%
Fixed Rate Mortgage Pass-Throughs 9.4%
Sequentials 18.7%
PACs 33.9%
Floaters 2.0%
Mezzanine 1.6%
Support 1.2%
TAC 1.9%
* 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
In general, we continue to hold a favorable outlook on the mortgage market,
and at current valuations we feel that we are well compensated for the
liquidity and prepayment risks. While spreads are wider, we believe mortgages
will continue to outperform over the long term.
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 normally be distributed at calendar year-end.
For the TCU Government Securities Portfolio and the TCU Mortgage Securities
Portfolio, dividends are declared daily and paid monthly 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, over-distributions 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.
Goldman Sachs Money Market Portfolio Management Team
Goldman Sachs U.S. Fixed Income Investment Management Team
September 20, 1999
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 years ended August 31, 1999. 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 $10,000 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 $10,000 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.
[CHART APPEARS HERE]
Government Securities Portfolio
LEHMAN ARM LEHMAN 1-2 1-YEAR 6-MONTH
GSP INDEX(c) GOV'T INDEX T-BILL T-BILL
------ ---------- ----------- ------ -------
8/1/91(b) $10,000 N/A* $10,000 $10,000 $10,000
8/31/91 $10,057 N/A* $10,125 $10,083 $10,060
1/1/92* -- $10,313 -- -- --
8/31/92 $10,730 $10,818 $11,061 $10,776 $10,617
8/31/93 $11,166 $11,496 $11,610 $11,187 $10,985
8/31/94 $11,427 $11,587 $11,878 $11,485 $11,369
8/31/95 $12,092 $12,540 $12,713 $12,228 $12,054
8/31/96 $12,851 $13,348 $13,393 $12,890 $12,706
8/31/97 $13,763 $14,411 $14,298 $13,712 $13,424
8/31/98 $14,533 $15,351 $15,277 $14,543 $14,183
8/31/99 $15,151 $15,940 $15,914 $15,206 $14,849
--------------------------------------------------------
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------
ONE YEAR FIVE YEAR SINCE INCEPTION(a)
------------------------------------------------------
4.25% 5.80% 5.29%
------------------------------------------------------
[CHART APPEARS HERE]
Mortgage Securities Portfolio
LEHMAN ARM LEHMAN 1-3 2-YEAR
MSP INDEX GOV'T INDEX T-NOTES
------ ---------- ----------- -------
11/1/92(b) 10,000 10,000 10,000 10,000
8/31/93 10,651 10,657 10,522 10,527
8/31/94 10,757 10,741 10,701 10,681
8/31/95 11,640 11,625 11,494 11,488
8/31/96 12,301 12,373 12,095 12,047
8/31/97 13,272 13,359 12,945 12,885
8/31/98 14,347 14,231 13,891 13,820
8/31/99 14,707 14,777 14,433 14,199
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------
ONE YEAR FIVE YEAR SINCE INCEPTION(a)
------------------------------------------------------
2.51% 6.45% 5.71%
------------------------------------------------------
(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 (the "Fund") (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, 1999, 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, 1999 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, 1999, 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 13, 1999
11
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
--------- -------- -------- ---------
<S> <C> <C> <C>
Bank Notes (12.4%)
BankBoston, N.A.
$ 40,000 5.17% 09/02/1999 $ 40,000
First USA Bank
20,000 5.21 10/18/1999 20,000
Huntington National Bank
10,000 4.98 01/11/2000 9,999
2,000 6.15 02/22/2000 2,004
Key Bank National Association
10,000 5.60 06/16/2000 9,994
5,000 5.65 06/26/2000 4,997
National City Bank
15,000 5.08 02/11/2000 14,997
NationsBank, N.A.
15,000 5.00 01/05/2000 14,999
PNC Bank, N.A.
15,000 5.04 02/16/2000 14,997
--------
Total Bank Notes.................................. $131,987
--------
Certificates of Deposit (12.2%)
American Express Centurion Bank
$ 25,000 5.22% 09/13/1999 $ 25,000
Chase Manhattan Bank, N.A.
25,000 5.00 09/08/1999 25,000
FCC National Bank
30,000 5.16 09/16/1999 30,000
First National Bank of Maryland
15,000 4.99 01/25/2000 14,998
10,000 5.11 02/23/2000 9,999
NationsBank, N.A.
10,000 4.99 01/11/2000 9,989
Regions Bank
15,000 5.15 02/18/2000 15,000
--------
Total Certificates of Deposit..................... $129,986
--------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
--------- -------- -------- ---------
<S> <C> <C> <C>
Euro Certificates of Deposit (1.4%)
Morgan Guaranty Trust Co.
$ 15,000 5.09% 02/14/2000 $14,989
-------
Total Euro Certificates of Deposit................ $14,989
-------
Government Agency Securities (8.5%)
Federal Home Loan Bank
$ 10,000 5.52% 08/02/2000 $ 9,990
Federal Home Loan Mortgage
20,000 5.02 09/23/1999 19,939
Federal National Mortgage Association
15,000 5.00 05/05/2000 14,988
16,240 5.56 07/24/2000 16,234
Student Loan Marketing Association
30,000 5.40 10/17/1999 29,993
-------
Total Government Agency Securities................ $91,144
-------
Time Deposit (2.3%)
Marshall & Ilsley Bank
$ 25,000 5.23% 10/08/1999 $25,000
-------
Total Time Deposit................................ $25,000
-------
Variable Rate Notes # (24.8%)
American Express Centurion Bank
$ 10,000 5.23% 03/13/2000 $10,000
Chase Manhattan Bank, N.A.
15,000 5.24 05/25/2000 14,993
Comerica Bank Detroit
20,000 5.12 02/02/2000 19,997
10,000 5.23 07/13/2000 9,996
First Tennessee Bank, N.A.
25,000 5.24 07/17/2000 24,991
First Union National Bank
5,000 5.35 09/01/1999 5,000
15,000 5.33 10/19/1999 15,000
</TABLE>
The accompanying notes are an integral
part of these financial statements.
12
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MONEY MARKET PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
--------- -------- -------- ---------
<S> <C> <C> <C>
Variable Rate Notes--(Continued)
First USA Bank
$ 10,000 5.66% 10/21/1999 $ 10,015
Fleet National Bank
10,000 5.53 09/15/1999 9,997
15,000 5.54 09/15/1999 14,998
Key Bank National Association
10,000 5.31 10/13/1999 10,003
Morgan Guaranty Trust Co.
20,000 5.31 09/27/1999 20,000
Old Kent Bank
25,000 5.45 09/17/1999 24,992
PNC Bank, N.A.
20,000 5.21 09/13/1999 19,993
Southtrust Bank of Alabama, N.A.
25,000 5.13 09/08/1999 24,995
US Bank, N.A.
5,000 5.15 09/08/1999 5,000
10,000 5.16 09/15/1999 9,995
15,000 5.33 09/15/1999 15,008
----------
Total Variable Rate Notes....................... $ 264,973
----------
Repurchase Agreements (38.3%)
Joint Account I
$183,800 5.45% 09/01/1999 $ 183,800
Joint Account II
225,000 5.52 09/01/1999 225,000
----------
Total Repurchase Agreements..................... $ 408,800
----------
Total Investments............................... $1,066,879
==========
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
# Variable rate securities. Coupon rates disclosed are those which are in
effect at August 31, 1999. Maturity date shown is the date of the next coupon
rate reset or actual maturity.
The accompanying notes are an integral
part of these financial statements.
13
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations (80.9%)
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC) # (17.8%)
$ 2,583 6.50% 08/01/2017 $ 2,623
810 6.89 04/01/2018 826
4,584 6.79 05/01/2018 4,707
1,583 6.87 07/01/2018 1,629
3,151 7.86 11/01/2018 3,220
5,330 6.67 08/01/2019 5,428
4,674 6.74 08/01/2019 4,782
15,700 7.00 11/01/2019 16,153
3,490 6.87 07/01/2021 3,579
4,172 6.80 11/01/2021 4,267
2,885 6.71 02/01/2022 2,948
16,405 7.01 02/01/2022 16,825
12,576 6.98 04/01/2022 13,009
1,885 6.26 11/01/2022 1,891
2,711 6.50 11/01/2022 2,748
8,345 6.87 11/01/2022 8,569
5,318 6.80 06/01/2024 5,454
3,202 7.88 10/01/2025 3,274
1,782 6.33 02/01/2028 1,818
2,710 6.31 04/01/2028 2,762
3,272 5.73 06/01/2029 3,201
1,538 6.54 07/01/2029 1,566
8,102 5.77 01/01/2030 7,925
3,792 6.65 05/01/2031 3,830
--------
Total Adjustable Rate FHLMC....................... $123,034
--------
Adjustable Rate Federal National Mortgage Association (FNMA) # (32.4%)
$ 2,150 7.15% 10/01/2013 $ 2,173
2,114 5.89 03/01/2017 2,130
1,184 6.61 07/01/2017 1,203
1,297 6.37 11/01/2017 1,313
1,220 6.85 11/01/2017 1,254
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Adjustable Rate FNMA--(Continued)
$ 9,326 6.50% 12/01/2017 $ 9,511
1,172 6.50 04/01/2018 1,198
1,027 6.47 05/01/2018 1,043
1,892 6.52 06/01/2018 1,909
785 7.08 06/01/2018 793
2,867 6.47 08/01/2018 2,932
4,701 6.75 09/01/2018 4,827
2,341 6.78 09/01/2018 2,388
806 6.71 11/01/2018 825
1,777 6.54 05/01/2019 1,813
13,831 6.42 06/01/2019 14,112
1,423 6.50 07/01/2019 1,460
5,070 7.01 12/01/2019 4,887
2,282 6.88 03/01/2020 2,344
838 6.59 05/01/2020 851
12,227 7.21 05/01/2020 12,534
4,434 6.75 12/01/2020 4,516
25,865 6.89 01/01/2021 26,758
9,826 6.55 04/01/2021 10,069
43,208 6.78 09/01/2021 44,376
1,170 6.58 10/01/2021 1,194
2,419 6.90 11/01/2021 2,488
1,290 6.96 02/01/2022 1,325
4,269 6.85 05/01/2022 4,373
20,384 6.83 09/01/2022 20,855
2,470 7.99 01/01/2023 2,534
2,451 6.46 03/01/2024 2,518
11,289 6.74 09/01/2025 11,510
3,231 6.38 10/01/2025 3,265
2,778 6.57 07/01/2027 2,833
2,086 6.52 10/01/2027 2,131
11,934 6.35 07/01/2028 12,012
465 6.85 01/01/2031 478
--------
Total Adjustable Rate FNMA........................ $224,735
--------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
14
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Adjustable Rate Government National Mortgage Association (GNMA) # (3.7%)
$ 2,159 6.13% 11/20/2020 $ 2,192
791 6.63 09/20/2021 801
4,458 6.38 05/20/2022 4,490
3,650 6.63 09/20/2022 3,695
2,328 6.38 03/20/2023 2,350
4,394 6.63 07/20/2023 4,447
3,181 6.63 09/20/2023 3,222
4,158 6.63 09/20/2025 4,191
-------
Total Adjustable Rate GNMA.......................... $25,388
-------
Fixed Rate FHLMC (1.9%)
$ 3,324 6.50% 11/01/2010 $ 3,283
9,557 8.00 01/01/2028 9,695
-------
Total Fixed Rate FHLMC.............................. $12,978
-------
Fixed Rate FNMA (2.8%)
$ 7,189 7.00% 10/01/2002 $ 7,198
3,459 7.00 03/01/2004 3,452
43 7.00 04/01/2004 43
563 7.00 04/01/2004 562
5,754 6.00 06/01/2004 5,491
3,000 6.00 TBA-15 yr 2,859
-------
Total Fixed Rate FNMA............................... $19,605
-------
Fixed Rate GNMA (0.6%)
$ 4,698 6.50% 08/15/2027 $ 4,463
-------
Collateralized Mortgage Obligations (CMOs) (21.6%)
Regular Floater CMOs # (13.1%)
FHLMC Series 1009, Class D
$ 1,096 5.91% 10/15/2020 $ 1,104
FHLMC Series 1066, Class P
3,259 6.21 04/15/2021 3,301
FHLMC Series 1555, Class FA
2,460 6.51 08/15/2008 2,528
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Regular Floater CMOs #--(Continued)
FHLMC Series 1575, Class FA
$ 3,000 6.81% 08/15/2008 $ 3,056
FHLMC Series 1631, Class FB
8,095 6.49 12/15/2023 8,140
FHLMC Series 1635, Class F
2,243 5.76 12/15/2008 2,232
FHLMC Series 1698, Class FA
2,966 6.11 03/15/2009 3,002
FHLMC Series 2154, Class F
23,684 5.72 05/15/2029 22,760
FHLMC Series 16, Class FC
1,944 6.48 08/25/2023 1,954
FNMA REMIC Trust Series 1990-145, Class A
7,607 5.71 12/25/2020 7,588
FNMA REMIC Trust Series 1992-137, Class F
10,000 6.34 08/25/2022 10,235
FNMA REMIC Trust Series 1992-155, Class FC
2,000 6.19 09/25/2007 2,029
FNMA REMIC Trust Series 1993-27, Class F
18,785 6.49 02/25/2023 19,227
FNMA REMIC Trust Series 1993-180, Class FA
1,498 5.74 09/25/2000 1,499
FNMA REMIC Trust Series 1997-70, Class FA
2,268 5.76 07/18/2020 2,280
-------
Total Regular Floater CMOs.......................... $90,935
-------
Planned Amortization Class (PAC) CMOs (1.5%)
FHLMC Series 1573, Class PE
$ 1,432 5.85% 03/15/2017 $ 1,428
FHLMC Series 1693, Class K
1,531 6.00 03/15/2001 1,530
FHLMC Series 2055, Class OA
6,190 6.00 12/15/2005 6,166
FNMA REMIC Trust Series 1993-71, Class PE
1,623 5.75 07/25/2006 1,615
-------
Total PAC CMOs...................................... $10,739
-------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
15
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs (6.5%)
FHLMC Series 1173, Class C
$ 101 7.00% 05/15/2020 $ 101
FHLMC Series 1398, Class G
5,000 7.00 06/15/2006 5,004
FHLMC Series 1465, Class E
4,579 6.50 09/15/2006 4,580
FHLMC REMIC Series 1369, Class G
6,540 6.50 03/15/2006 6,536
FNMA REMIC Trust Series 1990-24, Class E
906 9.00 03/25/2020 923
FNMA REMIC Trust Series 1992-19, Class K
5,877 7.50 12/25/2004 5,858
FNMA REMIC Trust Series 1993-08, Class G
4,476 7.00 08/25/2006 4,484
FNMA REMIC Trust Series 1997-23, Class C
7,000 7.00 10/18/2021 7,019
FNMA REMIC Trust Series 1998-1, Class BA
6,874 9.50 04/20/2024 7,299
GNMA REMIC Trust Series 1997-08, Class DB
2,944 7.25 10/16/2022 2,954
--------
Total Sequential Fixed Rate CMOs.................. $ 44,758
--------
Support CMOs (0.5%)
FNMA REMIC Trust Series 1997-90, Class A
$ 3,481 7.00% 04/18/2026 $ 3,482
--------
Total CMOs........................................ $149,914
--------
Planned Amortization Class--Principal Only(S) (0.1%)
FNMA REMIC Trust Series 1993-241, Class PE
$ 814 6.00% 10/25/2023 $ 807
--------
Total Planned Amortization Class-Principal Only... $ 807
--------
Total Mortgage Backed Obligations (cost
$565,516)........................................ $560,924
--------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Agency Debentures (6.5%)
Federal Farm Credit Bank
$19,000 5.88% 07/02/2001 $ 18,978
Federal Home Loan Bank
3,700 5.13 02/26/2002 3,592
Federal Home Loan Mortgage Corp.
5,500 5.00 02/15/2001 5,417
Federal National Mortgage Association
4,200 5.94 03/29/2004 4,059
3,500 5.90 04/19/2004 3,365
Sri Lanka Aid
10,000 5.78 11/01/2024 10,000
--------
Total Agency Debentures (cost $45,651)............ $ 45,411
--------
U.S. Treasury Obligations (10.5%)
United States Treasury Notes
$21,000 5.63% 11/30/2000 $ 20,994
52,000 5.25 05/31/2001 51,569
--------
Total U.S. Treasury Obligations (cost $72,637).... $ 72,563
--------
Repurchase Agreement (5.6%)
Joint Account II
$38,800 5.52% 09/01/1999 $ 38,800
--------
Total Repurchase Agreement (cost $38,800)......... $ 38,800
--------
Total Investments
(cost $722,604).................................. $717,698
========
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
# Variable rate securities. Coupon rates disclosed are those which are in
effect at August 31, 1999.
(S) The interest rate disclosed for this security represents the effective
yield to maturity.
The accompanying notes are an integral
part of these financial statements.
16
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations (78.2%)
Fixed Rate Federal Home Loan Mortgage Corp. (FHLMC) Gold (4.7%)
$ 1,048 6.50% 04/01/2013 $ 1,018
1,855 6.50 04/01/2013 1,802
1,885 6.50 04/01/2013 1,832
1,865 6.50 05/01/2013 1,812
808 6.50 05/01/2013 785
932 6.50 06/01/2013 905
947 6.50 07/01/2013 920
3,799 6.50 07/01/2013 3,691
1,426 6.50 07/01/2013 1,385
2,628 6.50 07/01/2013 2,553
2,757 6.50 06/01/2014 2,679
2,763 8.50 05/01/2028 2,851
949 8.50 05/01/2028 979
-------
Total Fixed Rate FHLMC Gold......................... $23,212
-------
Fixed Rate Federal National Mortgage Association (FNMA) (0.8%)
$ 1,530 6.00% 09/01/2007 $ 1,496
767 6.00 11/01/2009 735
2,000 6.00 TBA-15 yr 1,906
-------
Total Fixed Rate FNMA............................... $ 4,137
-------
Fixed Rate Government National Mortgage Association (GNMA) (3.7%)
$ 91 6.00% 07/15/2008 $ 87
337 6.00 07/15/2008 325
108 6.00 08/15/2008 104
88 6.00 09/15/2008 85
329 6.00 09/15/2008 317
143 6.00 09/15/2008 138
125 6.00 09/15/2008 121
228 6.00 09/15/2008 220
61 6.00 09/15/2008 58
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Fixed Rate GNMA--(Continued)
$ 292 6.00% 09/15/2008 $ 281
86 6.00 09/15/2008 82
149 6.00 09/15/2008 143
42 6.00 09/15/2008 41
315 6.00 09/15/2008 304
270 6.00 09/15/2008 260
145 6.00 09/15/2008 140
222 6.00 09/15/2008 214
320 6.00 10/15/2008 308
288 6.00 10/15/2008 278
247 6.00 10/15/2008 238
220 6.00 10/15/2008 212
189 6.00 10/15/2008 182
360 6.00 10/15/2008 347
238 6.00 10/15/2008 229
209 6.00 11/15/2008 201
314 6.00 11/15/2008 301
392 6.00 12/15/2008 378
497 6.00 01/15/2009 477
206 6.00 02/15/2009 198
199 6.00 05/15/2009 191
10 8.50 07/15/2009 10
13 8.50 07/15/2009 13
15 8.50 09/15/2009 15
15 8.50 12/15/2009 16
231 8.50 01/15/2010 241
243 8.50 01/15/2010 253
323 8.50 01/15/2010 336
203 8.50 02/15/2010 211
254 8.50 02/15/2010 265
159 8.50 02/15/2010 165
150 8.50 02/15/2010 156
27 8.50 02/15/2010 28
</TABLE>
The accompanying notes are an integral
part of these financial statements.
17
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Fixed Rate GNMA--(Continued)
$ 46 8.50% 03/15/2010 $ 49
567 8.50 03/15/2010 591
256 8.50 04/15/2010 267
22 8.50 04/15/2010 23
112 8.50 05/15/2010 117
15 8.50 05/15/2010 15
136 8.50 05/15/2010 142
283 8.50 06/15/2010 295
357 8.50 06/15/2010 373
131 8.50 06/15/2010 137
225 8.50 06/15/2010 234
193 8.50 07/15/2010 201
208 8.50 08/15/2010 216
186 8.50 10/15/2010 195
796 8.50 11/15/2010 831
510 8.50 12/15/2010 532
409 8.50 12/15/2010 427
697 8.50 09/15/2011 724
489 8.50 10/15/2011 508
662 8.50 03/15/2012 692
693 8.50 07/15/2012 720
2,819 6.50 08/15/2027 2,678
-------
Total Fixed Rate GNMA............................... $18,136
-------
Collateralized Mortgage Obligations (CMOs) (69.0%)
Adjustable Rate CMOs # (10.3%)
Chase Mortgage Finance Corp. Series 1995-A, Class A
$10,671 6.20% 04/25/2025 $10,648
Citicorp Mortgage Securities, Inc. Series 1992-17, Class A
3,138 6.66 09/25/2022 3,144
CMC Securities Corp. II Series 1993-21, Class A2
1,084 6.34 09/25/2023 1,091
Federal National Mortgage Association
8,201 6.89 01/01/2021 8,484
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Adjustable Rate CMOs--(Continued)
Imperial Savings Association Series 1988-3, Class A
$ 965 6.72% 01/25/2018 $ 961
Independent National Mortgage Corp. Series 1994-W, Class A1
417 7.60 12/25/2024 415
Merrill Lynch Mortgage Investors, Inc. Series 1994-1, Class A1
1,626 7.11 01/25/2005 1,628
Prudential Home Mortgage Securities Series 1992-08, Class A1
198 7.11 04/25/2022 197
Resolution Trust Corp. Series 1992-4, Class B2
4,500 6.70 07/25/2028 4,486
Resolution Trust Corp. Series 1994-1, Class M3
3,582 7.33 09/25/2029 3,595
Resolution Trust Corp. Series 1995-1, Class A3
5,564 6.63 10/25/2028 5,588
Resolution Trust Corp. Series 1995-1, Class M3
1,855 6.63 10/25/2028 1,867
Ryland Mortgage Securities Corp. Series 1989-FN1, Class A
389 6.87 11/01/2018 387
Ryland Mortgage Securities Corp. Series 1991-B1, Class 1
546 6.57 03/25/2020 544
Ryland Mortgage Securities Corp. Series 1992-3, Class A2
3,375 6.73 06/25/2020 3,362
Salomon Brothers Mortgage Securities Series 1990-3A, Class 1
591 6.14 11/25/2020 588
Salomon Brothers Mortgage Securities Series VII 1994-20, Class A
2,112 7.48 08/01/2024 2,162
Saxon Mortgage Securities Corp. Series 1994-11, Class A
1,672 7.33 12/25/2024 1,679
-------
Total Adjustable Rate CMOs.......................... $50,826
-------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
18
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Regular Floater CMOs # (2.0%)
CMC Securities Corp. III Series 1994-A, Class A17
$ 4,867 6.53% 02/25/2024 $4,990
Countrywide Funding Corp. Series 1993-10, A9
4,931 6.09 01/25/2024 4,969
------
Total Regular Floater CMOs.......................... $9,959
------
Mezzanine CMO (1.6%)
Prudential Home Mortgage Securities Series 1992-28, Class M
$ 7,736 8.00% 09/25/2022 $7,927
------
Planned Amortization Class (PAC) CMOs (33.5%)
ABN/AMRO Mortgage Corporation Series 1999-3, Class A2
$ 3,500 6.30% 05/25/2029 $3,384
Chase Mortgage Finance Corp. Series 1994-G, Class A7
10,152 7.00 04/25/2025 10,149
Chemical Mortgage Securities Inc. Series 1994-1, Class A1
2,655 6.25 01/25/2009 2,619
CMC Securities Corp. IV Series 1997-2, Class IA13
636 6.60 11/25/2027 634
Countrywide Funding Corp. Series 1993-9, Class A3
3,000 6.50 01/25/2009 2,974
Countrywide Funding Corp. Series 1993-11, Class A9
10,750 6.25 02/25/2009 10,348
Countrywide Funding Corp. Series 1994-13, Class A4
9,405 6.50 06/25/2009 9,389
Countrywide Home Loans Series 1998-11, Class A10
11,604 6.25 08/25/2028 11,445
FHLMC Series 15, Class H
5,000 6.50 06/25/2019 4,983
FHLMC Series 1556, Class G
5,000 6.35 10/15/2010 4,969
FHLMC Series 1987, Class L
10,000 6.20 08/25/2022 9,590
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Planned Amortization Class (PAC) CMOs--(Continued)
FHLMC Series 2055, Class OD
$15,000 6.00% 01/15/2012 $ 14,264
FNMA REMIC Trust Series 1997-84, Class PA
14,000 5.90 11/25/2021 13,270
FNMA REMIC Trust Series 1997-84, Class PB
7,000 5.50 01/25/2008 6,584
GE Capital Mortgage Services, Inc. Series 1994-15, Class A8
2,941 6.00 04/25/2009 2,922
GE Capital Mortgage Services, Inc. Series 1997-8, Class A13
13,722 7.25 10/25/2027 13,709
Housing Securities, Inc. Series 1993-E, Class E8
1,535 10.00 02/25/2008 1,563
Norwest Asset Securities Corp. Series 1998-17, Class A2
14,822 6.25 08/25/2028 14,707
Paine Webber Mortgage Acceptance Corp. Series 1993-6, Class A3
3,423 6.90 08/25/2008 3,419
PNC Mortgage Securities Corp. Series 1998-2, Class 5A2
4,384 6.63 03/25/2028 4,325
Prudential Home Mortgage Securities Series 1993-36, Class A12
7,343 7.25 10/25/2023 7,288
Residential Funding Mortgage Securities I Series 1993-S32, Class A3
7,000 6.50 09/25/2008 6,968
Residential Funding Mortgage Securities Series 1993-S45, Class A1
2,811 6.50 12/25/2023 2,797
Salomon Brothers Mortgage Securities VII Series 1996-6K, Class A1
2,458 7.00 08/30/2024 2,475
--------
Total PAC CMOs.................................... $164,775
--------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
19
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs (18.5%)
Bear Stearns Secured Investors Trust Series 1987-2, Class D
$ 1,000 9.95% 10/20/2018 $1,005
CMC Securities Corp. Series 1993-C, Class C3
1,308 9.55 04/25/2008 1,318
Collateralized Mortgage Obligation Trust Series 1963, Class Z
7,026 9.00 10/20/2020 7,226
Collateralized Mortgage Obligation Trust Series 64, Class Z
6,663 9.00 11/20/2020 6,863
Countrywide Funding Corp. Series 1994-3, Class A10
18,813 6.75 03/25/2024 18,242
Federal Home Loan Mortgage Corp. Series 1997-84, Class G
3,330 9.50 10/18/2022 3,458
Federal National Mortgage Association Series 1988-12, Class A
2,080 10.00 02/25/2018 2,202
GE Capital Mortgage Services Inc. Series 1994-7, Class A12
13,771 6.00 02/25/2009 13,287
Independent National Mortgage Corp. Series 1994-Q, Class A11
4,203 7.50 09/25/2014 4,171
Norwest Asset Securities Corp. Series 1997-5, Class A5
7,652 7.00 04/25/2012 7,620
PNC Mortgage Securities Corp. Series 1997-4, Class 1PP4
11,253 7.00 07/25/2027 11,175
Residental Asset Securitization Trust Series 1997-A3, Class A5
1,401 7.75 05/25/2027 1,405
</TABLE>
<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 I Series 1997-S13, Class A1
$ 1,909 7.25% 09/25/2027 $ 1,905
Salomon Brothers Mortgage Securities Series 1984-2, Class Z
3,961 10.00 12/01/2014 4,009
Structured Asset Securities Corp. Series 1995-3A, Class 1A1
7,260 7.00 01/28/2024 7,188
--------
Total Sequential Fixed Rate CMOs.................. $ 91,074
--------
Support CMO (1.2%)
Countrywide Mortgage Backed Securities, Inc. Series 1993-A, Class A9
$ 5,638 6.50% 10/25/2008 $ 5,615
--------
Targeted Amortization Class (TAC) CMO (1.9%)
Paine Webber Mortgage Acceptance Corp. Series 1994-6, Class A7
$10,000 6.00% 04/25/2009 $ 9,448
--------
Total CMOs........................................ $339,624
--------
Total Mortgage Backed Obligations (cost
$392,212)........................................ $385,109
--------
Agency Debentures (10.3%)
Federal Farm Credit Bank
$21,000 5.88% 07/02/2001 $ 20,976
Federal Home Loan Banks
5,000 5.13 03/08/2000 4,976
5,000 6.14 12/17/2001 4,978
3,700 5.13 02/26/2002 3,593
Federal Home Loan Mortgage Corp.
5,000 5.00 02/15/2001 4,924
</TABLE>
The accompanying notes are an integral
part of these financial statements.
20
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
August 31, 1999
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Agency Debentures--(Continued)
Federal National Mortgage Association
$ 6,300 5.75% 04/15/2003 $ 6,160
3,000 5.94 03/29/2004 2,899
2,500 5.90 04/19/2004 2,404
--------
Total Agency Debentures (cost $51,295)............ $ 50,910
--------
U.S. Treasury Obligation (7.4%)
United States Treasury Note
$37,000 5.25% 05/31/2001 $ 36,694
--------
Total U.S. Treasury Obligation (cost $36,774)..... $ 36,694
--------
Repurchase Agreement (3.7%)
Joint Account II
$18,000 5.52% 09/01/1999 $ 18,000
--------
Total Repurchase Agreement (cost $18,000)......... $ 18,000
--------
Total Investments (cost $498,281)................. $490,713
--------
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
# Variable rate securities. Coupon rates disclosed are those which are in
effect at August 31, 1999.
The accompanying notes are an integral
part of these financial statements.
21
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1999
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
-------------- ------------ ------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value
(identified cost $1,066,879,491,
$722,603,670, $498,281,465,
respectively)...................... $1,066,879,491 $717,698,312 $490,712,864
Cash................................ 68,544 34,462 4,084
Receivables:
Investment securities sold......... -- 2,983,525 4,578,363
Interest........................... 7,052,544 4,949,968 3,760,919
Other assets........................ 7,214 2,873 1,847
-------------- ------------ ------------
Total assets.................... 1,074,007,793 725,669,140 499,058,077
-------------- ------------ ------------
LIABILITIES
Payables:
Investment securities purchased.... -- 29,725,092 4,377,427
Dividends.......................... 5,231,020 2,547,765 1,918,672
Advisory fees...................... 72,762 118,273 83,893
Administration fees................ 20,791 59,137 20,972
Accrued expenses and other
liabilities........................ 314,707 61,797 52,580
-------------- ------------ ------------
Total liabilities............... 5,639,280 32,512,064 6,453,544
-------------- ------------ ------------
NET ASSETS
Paid-in capital..................... 1,068,368,513 722,534,349 512,219,096
Accumulated distributions in excess
of net investment income........... -- (1,559,611) (169,159)
Accumulated net realized loss on
investment transactions............ -- (22,912,304) (11,876,803)
Net unrealized loss on investments.. -- (4,905,358) (7,568,601)
-------------- ------------ ------------
Net assets...................... $1,068,368,513 $693,157,076 $492,604,533
============== ============ ============
Net asset value & public offering
price per unit (net assets/units
outstanding)....................... $1.00 $9.65 $9.57
============== ============ ============
UNITS OUTSTANDING
Total units outstanding, $0.001 par
value (unlimited number of
units authorized).................. 1,068,368,513 71,799,371 51,467,874
============== ============ ============
</TABLE>
The accompanying notes are an integral
part of these financial statements.
22
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF OPERATIONS
For the Year Ended August 31, 1999
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
----------- ----------- ------------
<S> <C> <C> <C>
Investment Income:
Interest income................... $77,259,890 $41,519,512 $ 28,952,867
----------- ----------- ------------
Expenses:
Advisory fees..................... 2,436,632 1,399,604 940,072
Administration fees............... 1,524,421 699,802 235,018
Custodian fees.................... 186,001 111,281 92,974
Professional fees................. 97,587 64,424 57,235
Trustees' fees.................... 30,881 16,922 12,201
Other expenses.................... 270,513 43,311 43,753
----------- ----------- ------------
Total expenses.................... 4,546,035 2,335,344 1,381,253
Less--Fee waivers.................. (2,597,347) -- --
----------- ----------- ------------
Net expenses...................... 1,948,688 2,335,344 1,381,253
----------- ----------- ------------
Net investment income.............. 75,311,202 39,184,168 27,571,614
Net realized loss on investment
transactions...................... -- (5,238,318) (4,446,414)
Net change in unrealized loss on
investments....................... -- (3,975,668) (11,671,755)
----------- ----------- ------------
Net increase in net assets
resulting from operations......... $75,311,202 $29,970,182 $ 11,453,445
=========== =========== ============
</TABLE>
The accompanying notes are an integral
part of these financial statements.
23
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended August 31, 1999
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
---------------- ------------ ------------
<S> <C> <C> <C>
From Operations:
Net investment income.......... $ 75,311,202 $ 39,184,168 $ 27,571,614
Net realized loss from
investment transactions....... -- (5,238,318) (4,446,414)
Net change in unrealized loss
on investments................ -- (3,975,668) (11,671,755)
---------------- ------------ ------------
Net increase in net assets
resulting from operations..... 75,311,202 29,970,182 11,453,445
---------------- ------------ ------------
Distributions to Unitholders:
From net investment income..... (75,311,202) (39,184,168) (27,571,614)
In excess of net investment
income........................ -- (86,230) (22,899)
---------------- ------------ ------------
Total distributions to
unitholders................... (75,311,202) (39,270,398) (27,594,513)
---------------- ------------ ------------
From Unit Transactions:
Proceeds from sales of units... 11,014,710,870 119,880,996 125,600,000
Reinvestment of dividends and
distributions................. 36,490,252 9,163,079 5,859,291
Cost of units repurchased...... (10,955,689,385) (81,239,325) (65,263,486)
---------------- ------------ ------------
Net increase in net assets
resulting from unit
transactions.................. 95,511,737 47,804,750 66,195,805
---------------- ------------ ------------
Total increase................. 95,511,737 38,504,534 50,054,737
---------------- ------------ ------------
Net assets:
Beginning of year.............. 972,856,776 654,652,542 442,549,796
---------------- ------------ ------------
End of year.................... $ 1,068,368,513 $693,157,076 $492,604,533
================ ============ ============
Accumulated distributions in ex-
cess of net investment income.. $ -- $ (1,559,611) $ (169,159)
================ ============ ============
Summary of Unit Transactions:
Units sold..................... 11,014,710,870 12,332,391 12,758,107
Reinvestment of dividends and
distributions................. 36,490,252 943,969 601,593
Units repurchased.............. (10,955,689,385) (8,370,969) (6,596,683)
---------------- ------------ ------------
Increase in units outstanding.. 95,511,737 4,905,391 6,763,017
================ ============ ============
</TABLE>
The accompanying notes are an integral
part of these financial statements.
24
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended August 31, 1998
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
--------------- ------------- ------------
<S> <C> <C> <C>
From Operations:
Net investment income.......... $ 43,957,960 $ 34,453,785 $ 25,109,722
Net realized gain from
investment transactions....... -- 276,048 2,639,413
Net change in unrealized gain
(loss) on investments......... -- (2,665,524) 2,780,412
--------------- ------------- ------------
Net increase in net assets
resulting from operations..... 43,957,960 32,064,309 30,529,547
--------------- ------------- ------------
Distributions to Unitholders:
From net investment income..... (43,957,960) (34,453,785) (24,417,759)
In excess of net investment
income........................ -- (762,530) --
--------------- ------------- ------------
Total distributions to
unitholders................... (43,957,960) (35,216,315) (24,417,759)
--------------- ------------- ------------
From Unit Transactions:
Proceeds from sales of units... 7,453,527,751 286,851,659 123,443,287
Reinvestment of dividends and
distributions................. 20,341,734 8,074,557 5,950,306
Cost of units repurchased...... (6,942,217,385) (201,763,429) (43,270,804)
--------------- ------------- ------------
Net increase in net assets re-
sulting from unit transac-
tions......................... 531,652,100 93,162,787 86,122,789
--------------- ------------- ------------
Total increase................. 531,652,100 90,010,781 92,234,577
Net Assets:
Beginning of year.............. 441,204,676 564,641,761 350,315,219
--------------- ------------- ------------
End of year.................... $ 972,856,776 $ 654,652,542 $442,549,796
=============== ============= ============
Accumulated distributions in ex-
cess of net investment income.. $ -- $ (1,343,152) $ (608,717)
=============== ============= ============
Summary of Unit Transactions:
Units sold..................... 7,453,527,751 29,195,793 12,565,758
Reinvestment of dividends and
distributions................. 20,341,734 822,455 605,881
Units repurchased.............. (6,942,217,385) (20,521,732) (4,391,995)
--------------- ------------- ------------
Increase in units outstanding.. 531,652,100 9,496,516 8,779,644
=============== ============= ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
TRUST FOR CREDIT UNIONS
---------
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Ratio information
Income from assuming no waiver
investment Distributions to of fees or expense
operations(a) unitholders reimbursements
------------- ---------------- -------------------
Ratio of
net Ratio of
Ratio of invest- net
Net Net net ment Net Ratio of investment
asset From asset expenses income assets expenses income
value at Net net value to to at end to to
begin- invest- invest- at average average of average average
ning of ment ment end of Total net net period net net
period income income period return(b) assets assets (000's) assets assets
-------- ------------- ---------------- ------ --------- -------- -------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended:
8/31/99......... $1.00 $0.05 $(0.05) $1.00 5.09% 0.13% 4.94% $1,068,369 0.30% 4.77%
8/31/98......... 1.00 0.06 (0.06) 1.00 5.67 0.11 5.52 972,857 0.30 5.33
8/31/97......... 1.00 0.05 (0.05) 1.00 5.43 0.18 5.31 441,205 0.33 5.16
8/31/96......... 1.00 0.05 (0.05) 1.00 5.51 0.19 5.37 426,710 0.31 5.25
8/31/95......... 1.00 0.06 (0.06) 1.00 5.56 0.20 5.55 382,096 0.33 5.42
</TABLE>
(a) Calculated based on average units outstanding methodology.
(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.
The accompanying notes are an integral part of these financial statements.
26
<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:
8/31/99......... $9.79 $0.54 $ (0.14) $ (0.54) $ -- $9.65 4.25% 0.33% 5.60% 152.70%
8/31/98......... 9.84 0.58 (0.04) (0.58) (0.01) 9.79 5.60 0.34 5.83 93.77
8/31/97......... 9.76 0.59 0.08 (0.59) -- 9.84 7.09 0.34 6.02 88.02
8/31/96......... 9.76 0.60 -- (0.60) -- 9.76 6.26 0.35 6.16 149.66
8/31/95......... 9.78 0.55 -- (0.56) (0.01) 9.76 5.82 0.34 5.65 70.58
<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:
8/31/99......... $693,157 0.33% 5.60%
8/31/98......... 654,653 0.34 5.83
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
</TABLE>
(a) Includes balancing effect of calculating per unit 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.
The accompanying notes are an integral part of these financial statements.
27
<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
--------------------- -------------------------
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- From at average average turn-
ning of ment on invest- ment ment paid-in end of Total net net over
period income ments(a) income income capital period return(b) assets assets rate(c)
-------- ---------- ------------ ------- ------- ------- ------ --------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended:
8/31/99......... $9.90 $ 0.57 $ (0.33) $(0.57) $ -- $ -- $9.57 2.51% 0.29% 5.87% 168.44%
8/31/98......... 9.75 0.64 0.13 (0.62) -- -- 9.90 8.10 0.30 6.44 108.76
8/31/97......... 9.65 0.64 0.10 (0.64) -- -- 9.75 7.89 0.30 6.57 106.10
8/31/96......... 9.74 0.66 (0.12) (0.63) -- -- 9.65 5.67 0.28 6.64 163.42
8/31/95......... 9.62 0.61 0.16 (0.61) (0.02) (0.02) 9.74 8.20 0.26 6.36 130.98
<CAPTION>
Ratio information
assuming no waiver
of fees
-------------------
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:
8/31/99......... $492,605 0.29% 5.87%
8/31/98......... 442,550 0.30 6.44
8/31/97......... 350,315 0.30 6.57
8/31/96......... 332,546 0.30 6.62
8/31/95......... 264,409 0.32 6.30
</TABLE>
(a) Includes balancing effect of calculating per unit 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.
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS
August 31, 1999
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. Actual results could differ from these
estimates and assumptions.
A.Investment Valuation
For the Government Securities and Mortgage Securities Portfolios, 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. Portfolio securities for which accurate market quotations are not
readily available are valued based on yield equivalents, pricing matrices 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.
B.Security Transactions and Investment Income
Security transactions are recorded as of 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
29
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1999
2.Summary of Significant Accounting Policies--(Continued)
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 segregate and
maintain cash or liquid debt securities in an amount equal to the forward
purchase price 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.
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 paid-in 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... $22,569,558 1999 through 2007
Mortgage Securities..... 11,858,093 2001 through 2007
</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.
30
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1999
2.Summary of Significant Accounting Policies--(Continued)
At August 31, 1999, the Fund's aggregate cost of portfolio securities, gross
unrealized gain on investments and gross unrealized loss on investments for
federal income tax purposes are as follows:
<TABLE>
<CAPTION>
Gross Gross Net
Unrealized Unrealized Unrealized
Portfolio Tax Cost Gain (Loss) (Loss)
------------------------ -------------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
Money Market Portfolio.. $1,066,879,491 $ -- $ -- $ --
Government Securities
Portfolio.............. 722,946,417 503,322 (5,751,427) (5,248,105)
Mortgage Securities
Portfolio.............. 498,300,175 306,880 (7,894,191) (7,587,311)
</TABLE>
E.Expenses
Expenses incurred by the Fund that do not specifically relate to an
individual portfolio of the Fund are generally 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 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 October 1, 1998, Goldman Sachs voluntarily agreed to limit its
advisory fee with respect to the Money Market Portfolio to 0.07% of average
daily net assets. From July 1, 1997 to September 30, 1998, Goldman Sachs
voluntarily agreed to limit its advisory fee with respect to the Money Market
Portfolio to 0.06% of average daily net assets; prior thereto, Goldman Sachs
voluntarily agreed to limit its advisory fee to 0.12% of the first $250
million, 0.10% of the next $250 million, 0.09% of the next $250 million and
0.08% over $750 million of the portfolio's average daily net assets. This
voluntary limitation
31
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1999
3.Agreements--(Continued)
may be modified or eliminated by Goldman Sachs in the future at its discretion.
For the year ended August 31, 1999, Goldman Sachs waived advisory fees
amounting to approximately $1,377,000.
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 40
major credit unions are limited partners. Under the Administration Agreement,
CUFSLP, subject to the 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 0.02% of average daily net
assets. For the year ended August 31, 1999, CUFSLP waived administration fees
amounting to approximately $1,220,000.
CUFSLP has agreed that to the extent the total annualized expenses (excluding
interest, taxes, brokerage and extraordinary expenses) (the "Expenses") of the
Money Market Portfolio exceed .20% of the average daily net assets of the Money
Market Portfolio, CUFSLP will either reduce the administration fees otherwise
payable or pay such Expenses of the Money Market Portfolio. For the year ended
August 31, 1999, no expenses were required to be reimbursed by CUFSLP under
this agreement.
CUFSLP and Goldman Sachs have each voluntarily agreed to limit the other
annualized ordinary expenses (excluding advisory fees, administration fees,
interest, taxes, brokerage and extraordinary expenses) of the Government
Securities Portfolio such that CUFSLP will reimburse expenses that exceed 0.05%
up to 0.10% of the Government Securities Portfolio's average daily net assets,
and Goldman Sachs will reimburse expenses that exceed 0.10% up to 0.15% of the
Government Securities Portfolio's average daily net assets. For the year ended
August 31, 1999, no expenses were required to be reimbursed by CUFSLP or
Goldman Sachs under this agreement.
32
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1999
3.Agreements--(Continued)
Callahan Financial Services, Inc. and Goldman Sachs serve as exclusive
distributors of units of the Fund. For the year ended August 31, 1999, neither
party received any compensation for this service. Goldman Sachs also serves as
Transfer Agent of the Fund for a fee.
4.Investment Transactions
Purchases and proceeds of sales or maturities of long-term securities for the
Government Securities Portfolio and Mortgage Securities Portfolio for the year
ended August 31, 1999 were as follows ($ in thousands):
<TABLE>
<CAPTION>
Government Mortgage
Securities Securities
Portfolio Portfolio
---------- ----------
<S> <C> <C>
Purchases of U.S. Government and agency obligations...... $1,111,847 $654,240
Purchases (excluding U.S. Government and agency obliga-
tions).................................................. -- 151,803
Sales or maturities of U.S. Government and agency obliga-
tions................................................... 1,009,190 679,757
Sales or maturities (excluding U.S. Government and agency
obligations)............................................ -- 79,894
</TABLE>
5.Line of Credit Facility
The Money Market Portfolio participates in a $250,000,000 uncommitted
unsecured revolving line of credit facility. The Government Securities and
Mortgage Securities Portfolios participates in a $250,000,000 uncommitted and a
$250,000,000 committed, unsecured revolving line of credit facility. Under the
most restrictive arrangement, the Funds must own securities having a market
value in excess of 400% of the total bank borrowings. These facilities are to
be used solely for temporary or emergency purposes. The interest rate on
borrowings is based on the Federal Funds rate. The committed facility also
requires a fee to be paid to the Fund based on the amount of the commitment,
which has not been utilized. During the year ended August 31, 1999, the Funds
did not have any borrowings under these credit facilities.
6.Repurchase Agreements
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the
value of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping in the customer-only account of State Street
Bank and Trust Company, the Fund's custodian, or at subcustodians. GSAM
monitors the market value of the underlying securities by pricing them daily.
33
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1999
7.Joint Repurchase Agreement Accounts
The Portfolios, together with other registered investment companies having
advisory agreements with GSAM, transfer uninvested cash balances into joint
accounts, the daily aggregate balances of which are invested in repurchase
agreements.
As of August 31, 1999, the Money Market Portfolio had a 3.54% undivided
interest in the repurchase agreements in Joint Account I. As of August 31,
1999, the repurchase agreements in this joint account were fully collateralized
by U.S. Treasury obligations.
<TABLE>
<CAPTION>
Principal Amortized
Amount Interest Maturity Cost
Joint Account I ($ in thousands) Rate Date ($ in thousands)
- --------------- ---------------- -------- -------- ----------------
<S> <C> <C> <C> <C>
Barclays Capital, Inc...... $ 500,000 5.45% 09/01/99 $ 500,000
Barclays Capital, Inc...... 350,000 5.56 09/01/99 350,000
Bear Stearns & Co., Inc.... 500,000 5.45 09/01/99 500,000
Deutsche Bank Securities,
Inc. ..................... 800,000 5.44 09/01/99 800,000
Donaldson Lufkin &
Jenrette, Inc............. 1,220,000 5.44 09/01/99 1,220,000
Morgan Stanley Dean Witter
& Co...................... 200,000 5.45 09/01/99 200,000
Salomon Smith Barney
Holdings, Inc............. 800,000 5.44 09/01/99 800,000
Warburg Dillon Read........ 674,600 5.44 09/01/99 674,600
Warburg Dillon Read........ 150,000 5.50 09/01/99 150,000
----------
Total Joint Repurchase
Agreement Account I...... $5,194,600
==========
</TABLE>
As of August 31, 1999, the Money Market Portfolio, Government Securities
Portfolio and the Mortgage Securities Portfolio had a 7.24%, 1.25% and 0.58%
undivided interest, respectively, in the repurchase agreements in Joint Account
II. As of August 31, 1999, the repurchase agreements in this joint account were
fully collateralized by mortgage-related securities issued by the U.S.
Government, its agencies or instrumentalities.
<TABLE>
<CAPTION>
Principal Amortized
Amount Interest Maturity Cost
Joint Account II ($ in thousands) Rate Date ($ in thousands)
- ---------------- ---------------- -------- -------- ----------------
<S> <C> <C> <C> <C>
Banc of America Securities
LLC....................... $1,300,000 5.52% 09/01/99 $1,300,000
Bear Stearns & Co., Inc. .. 300,000 5.51 09/01/99 300,000
Deutsche Bank Securities,
Inc. ..................... 1,006,800 5.50 09/01/99 1,006,800
Lehman Brothers, Inc....... 300,000 5.65 09/01/99 300,000
Salomon Smith Barney
Holdings, Inc............. 200,000 5.50 09/01/99 200,000
----------
Total Joint Repurchase
Agreement Account II..... $3,106,800
==========
</TABLE>
34
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
August 31, 1999
8.Certain Reclassifications
In accordance with Statement of Position 93-2, the Government Securities
Portfolio reclassified $130,229 of accumulated distribution in excess of net
investment income to paid-in capital and $513,453 from paid-in capital to
accumulated net realized loss on investment. In addition, the Mortgage
Securities Portfolio reclassified $462,457 and $187,105 from paid-in capital to
accumulated distribution in excess of net investment income and accumulated net
realized loss on investment, respectively. These reclassifications have no
impact on the net asset values of each Portfolio and are designed to present
each Portfolio's capital accounts on a tax basis.
9.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 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.
35
<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]
Goldman
Sachs
TCUANN99
- ---------------------------
TRUST
for Credit Unions
- ---------------------------
Trustees
Robert M. Coen, Chairman
John T. Collins, Vice-Chairman
Gene R. Artemenko
James C. Barr
Edgar F. Callahan
Thomas S. Condit
Douglas C. Grip
Betty G. Hobbs
Gary Oakland
Wendell A. Sebastian
Officers
Judith E. Sandberg, President
Jesse Cole, Vice President
Charles W. Filson, Vice President
James A. Fitzpatrick, Vice President
Gordon F. Linke, Vice President
Nancy L. Mucker, Vice President
John M. Perlowski, Treasurer
Philip V. Giuca, Jr., Assistant Treasurer
Michael J. Richman, Secretary
Elizabeth Anderson, Assistant Secretary
Howard B. Surloff, Assistant Secretary
Kaysie Uniacke, Assistant Secretary
Administrator
Callahan Credit Union Financial Services, Inc.
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.
Independent Auditors
Arthur Andersen LLP
225 Franklin Street
Boston, MA 02110
