<PAGE>
-------------------------------------
TRUST
---
for Credit Unions
-------------------------------------
Semiannual Report
-------------------------
February 29, 2000
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
--------- -------- -------- ---------
<S> <C> <C> <C>
Bank Notes (3.2%)
First USA Bank
$ 10,000 5.99% 05/18/2000 $ 10,000
Key Bank, N.A.
10,000 5.60 06/16/2000 9,998
5,000 5.65 06/26/2000 4,999
--------
Total Bank Notes.................................. $ 24,997
--------
Certificates of Deposit (26.7%)
Bank of America, N.A.
$ 20,000 5.85% 03/13/2000 $ 20,000
Branch Banking & Trust Co.
30,000 5.79 03/23/2000 30,000
Chase Manhattan Bank, N.A.
15,000 5.03 04/10/2000 14,982
First Tennessee Bank, N.A.
5,000 5.79 03/23/2000 5,000
First Union National Bank
10,000 5.91 04/24/2000 10,000
First USA Bank
10,000 5.90 04/24/2000 10,000
Greenwood Trust Co.
25,000 6.00 05/10/2000 25,000
Northern Trust Corp.
30,000 5.94 05/03/2000 30,000
Regions Bank
30,000 6.00 05/26/2000 30,000
Southtrust Bank, N.A.
5,000 5.93 04/12/2000 5,000
Wachovia Bank, N.A.
30,000 5.73 03/06/2000 30,000
--------
Total Certificates of Deposit..................... $209,982
--------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
--------- -------- -------- ---------
<S> <C> <C> <C>
Euro Medium Term Note (2.8%)
Huntington National Bank
$ 22,000 5.98%# 03/28/2000 $22,021
-------
Total Euro Medium Term Note....................... $22,021
-------
Government Agency Securities (9.1%)
Federal Home Loan Bank
$ 10,000 5.52% 08/02/2000 $ 9,996
Federal National Mortgage Association
15,000 5.00 05/05/2000 14,997
16,240 5.56 07/24/2000 16,237
Student Loan Marketing Association
30,000 5.84# 03/01/2000 29,998
-------
Total Government Agency Securities................ $71,228
-------
Time Deposits (5.7%)
American Express Centurion Bank
$ 20,000 5.81% 03/08/2000 $20,000
Norwest Bank
25,000 5.78 03/10/2000 25,000
-------
Total Time Deposits............................... $45,000
-------
Variable Rate Notes # (30.5%)
American Express Centurion Bank
$ 10,000 5.86% 03/13/2000 $10,000
Chase Manhattan Bank, N.A.
15,000 5.78 03/27/2000 14,998
Comerica Bank Detroit
10,000 5.84 03/13/2000 9,998
First Tennessee Bank, N.A.
25,000 5.84 03/17/2000 24,996
First Union National Bank
5,000 6.29 05/17/2000 5,008
</TABLE>
The accompanying notes are an integral
part of these financial statements.
1
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MONEY MARKET PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ 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 6.10% 04/28/2000 $ 10,010
Fleet National Bank
10,000 5.97 03/01/2000 10,000
15,000 5.98 03/01/2000 15,000
10,000 6.16 04/26/2000 10,003
Key Bank, N.A.
5,000 6.13 03/10/2000 5,000
10,000 6.03 04/13/2000 10,001
National City Bank
20,000 6.26 05/30/2000 20,029
Old Kent Bank
25,000 5.95 03/01/2000 24,997
PNC Bank, N.A.
20,000 5.84 03/13/2000 19,997
Southtrust Bank of Alabama, N.A.
25,000 5.81 03/08/2000 25,000
US Bank, N.A.
10,000 5.76 03/15/2000 9,999
15,000 5.93 03/15/2000 15,002
--------
Total Variable Rate Notes.................. $240,038
--------
Repurchase Agreements (21.7%)
Joint Account I
$ 70,800 5.71% 03/01/2000 $ 70,800
Joint Account II
100,000 5.86 03/01/2000 100,000
--------
Total Repurchase Agreements................ $170,800
--------
Total Investments.......................... $784,066
========
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
# Variable rate securities. Coupon rates disclosed are those which are in
effect at February 29, 2000. Maturity date shown is the date of the next
coupon rate reset or actual maturity.
The accompanying notes are an integral
part of these financial statements.
2
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations (90.0%)
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC) # (18.5%)
$ 2,341 6.50% 08/01/2017 $ 2,378
797 6.96 04/01/2018 815
4,149 7.13 05/01/2018 4,256
1,497 6.87 07/01/2018 1,539
3,061 7.55 11/01/2018 3,068
5,148 6.83 08/01/2019 5,298
4,130 6.94 08/01/2019 4,196
22,308 7.12 11/01/2019 23,092
3,033 7.10 07/01/2021 3,122
3,636 6.83 11/01/2021 3,712
2,668 6.88 02/01/2022 2,713
14,818 7.18 02/01/2022 15,130
11,454 7.05 04/01/2022 11,820
7,677 7.06 11/01/2022 7,905
2,429 7.24 11/01/2022 2,458
1,709 7.24 11/01/2022 1,724
4,785 7.07 06/01/2024 4,924
2,793 7.70 10/01/2025 2,836
1,558 7.03 02/01/2028 1,587
2,563 7.01 04/01/2028 2,616
1,359 7.13 07/01/2029 1,383
3,204 7.25 05/01/2031 3,218
-------
Total Adjustable Rate Federal Home Loan Mortgage
Corp. (FHLMC).............................. $109,790
--------
Adjustable Rate Federal National Mortgage Association (FNMA) # (35.4%)
$ 1,959 7.14% 10/01/2013 $ 1,970
2,040 6.00 03/01/2017 2,031
1,123 6.74 07/01/2017 1,137
1,183 6.50 11/01/2017 1,203
1,514 7.21 11/01/2017 1,549
1,202 7.46 11/01/2017 1,238
8,082 6.83 12/01/2017 8,219
1,909 6.59 03/01/2018 1,923
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Adjustable Rate FNMA--(Continued)
$ 1,090 6.74% 04/01/2018 $ 1,116
944 6.96 05/01/2018 965
1,755 6.91 06/01/2018 1,764
776 7.63 06/01/2018 793
2,660 6.47 08/01/2018 2,714
2,166 7.11 09/01/2018 2,206
4,381 7.21 09/01/2018 4,542
758 6.75 11/01/2018 775
989 6.95 12/01/2018 1,018
1,598 6.80 05/01/2019 1,624
12,076 6.78 06/01/2019 12,309
1,305 6.70 07/01/2019 1,337
4,569 7.00 12/01/2019 4,374
2,120 6.84 01/01/2020 2,151
1,990 7.21 03/01/2020 2,023
811 6.75 05/01/2020 826
10,664 7.33 05/01/2020 10,910
4,041 6.87 12/01/2020 4,096
23,051 7.10 01/01/2021 23,699
9,122 6.76 04/01/2021 9,343
39,260 6.93 09/01/2021 40,456
876 6.48 10/01/2021 887
2,274 7.00 11/01/2021 2,347
1,192 7.11 02/01/2022 1,223
4,008 6.97 05/01/2022 4,095
18,469 7.01 09/01/2022 19,107
2,228 7.92 01/01/2023 2,267
2,231 6.76 03/01/2024 2,279
9,798 6.91 09/01/2025 10,068
3,050 6.77 10/01/2025 3,066
2,554 6.69 07/01/2027 2,620
1,895 6.82 10/01/2027 1,937
10,678 6.63 07/01/2028 10,791
418 7.04 01/01/2031 433
--------
Total Adjustable Rate Federal National Mortgage
Association (FNMA)......................... $209,431
--------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
3
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ 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) # (4.1%)
$1,933 7.13% 11/20/2020 $ 1,938
720 6.75 09/20/2021 728
4,109 6.38 05/20/2022 4,149
3,237 6.75 09/20/2022 3,272
3,803 6.38 03/20/2023 3,854
3,984 6.75 07/20/2023 4,025
2,883 6.75 09/20/2023 2,913
3,634 6.75 09/20/2025 3,671
-------
Total Adjustable Rate Government National Mortgage
Association (GNMA)............................... $24,550
-------
Fixed Rate Federal Home Loan Mortgage Corp. (FHLMC) (2.5%)
$2,995 6.50% 11/01/2010 2,892
951 5.50 07/01/2013 874
1,934 5.50 08/01/2013 1,777
9,000 8.00 TBA-30 yr 9,017
-------
Total Fixed Rate Federal Home Loan Mortgage Corp.
(FHLMC)............................................ $14,560
-------
Fixed Rate Federal National Mortgage Association (FNMA) (2.4%)
$6,226 7.00% 10/01/2002 6,196
2,969 7.00 03/01/2004 2,946
39 7.00 04/01/2004 39
358 7.00 04/01/2004 354
4,763 6.00 06/01/2004 4,590
-------
Total Fixed Rate Federal National Mortgage
Association (FNMA)....................... $14,125
-------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Collateralized Mortgage Obligations (CMOs) (27.1%)
Regular Floater CMOs # (17.3%)
FHLMC Series 1009, Class D
$ 913 6.54% 10/15/2020 918
FHLMC Series 1066, Class P
2,802 6.84 04/15/2021 2,842
FHLMC Series 1448, Class F
3,000 7.21 12/15/2022 3,152
FHLMC Series 1555, Class FA
2,432 7.14 08/15/2008 2,480
FHLMC Series 1575, Class FA
3,000 7.44 08/15/2008 3,054
FHLMC Series 1592, Class N
1,087 6.64 12/15/2022 1,084
FHLMC Series 16, Class FC
2,474 6.91 08/25/2023 2,527
FHLMC Series 1631, Class FB
8,095 6.99 12/15/2023 8,284
FHLMC Series 1635, Class F
2,021 6.39 12/15/2008 1,963
FHLMC Series 1698, Class FA
2,966 6.74 03/15/2009 2,989
FNMA REMIC Trust Series 1990-145, Class A
6,949 5.81 12/25/2020 6,851
FNMA REMIC Trust Series 1992-137, Class F
18,469 6.84 08/25/2022 18,921
FNMA REMIC Trust Series 1992-155, Class FC
3,000 6.69 09/25/2007 3,043
FNMA REMIC Trust Series 1993-27, Class F
18,785 6.99 02/25/2023 19,285
FNMA REMIC Trust Series 1993-88, Class FC
1,373 6.34 06/25/2000 1,373
FNMA REMIC Trust Series 1993-180, Class FA
1,249 6.24 09/25/2000 1,249
FNMA REMIC Trust Series 1996-54, Class FB
12,258 6.59 08/25/2023 12,292
FNMA REMIC Trust Series 1997-70, Class FA
1,693 6.26 07/18/2020 1,694
FNMA REMIC Trust Series G93-27, Class F
8,133 6.99 08/25/2023 8,285
--------
Total Regular Floater CMOs........................ $102,286
--------
</TABLE>
The accompanying notes are an integral
part of these financial statements.
4
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
GOVERNMENT SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Planned Amortization Class (PAC) CMOs (2.0%)
FHLMC Series 1573, Class PE
$ 467 5.85% 03/15/2017 $ 466
FHLMC Series 1693, Class K
1,009 6.00 03/15/2001 1,004
FHLMC Series 2055, Class OA
5,081 6.00 12/15/2005 5,038
FNMA REMIC Trust Series 1993-31, Class G
4,972 6.70 04/25/2019 4,943
FNMA REMIC Trust Series 1993-71, Class PE
608 5.75 07/25/2006 606
-------
Total Planned Amortization Class (PAC) CMOs......... $12,057
-------
Sequential Fixed Rate CMOs (7.4%)
FHLMC Series 1398, Class G
$5,000 7.00% 06/15/2006 $ 4,989
FHLMC Series 1465, Class E
3,252 6.50 09/15/2006 3,238
FHLMC REMIC Series 1369, Class G
4,751 6.50 03/15/2006 4,729
FNMA REMIC Trust Series 1990-24, Class E
667 9.00 03/25/2020 674
FNMA REMIC Trust Series 1992-19, Class K
3,453 7.50 12/25/2004 3,433
FNMA REMIC Trust Series 1992-22, Class HA
2,500 7.00 11/25/2005 2,493
FNMA REMIC Trust Series 1992-193, Class GB
3,792 7.00 01/25/2006 3,781
FNMA REMIC Trust Series 1993-8, Class G
3,235 7.00 08/25/2006 3,224
FNMA REMIC Trust Series 1996-9, Class B
1,909 6.50 06/25/2018 1,895
FNMA REMIC Trust Series 1997-23, Class C
7,000 7.00 10/18/2021 6,995
FNMA REMIC Trust Series 1998-1, Class BA
6,370 9.50 04/20/2024 6,685
GNMA REMIC Trust Series 1997-8, Class DB
1,792 7.25 10/16/2022 1,789
-------
Total Sequential Fixed Rate CMOs.................... $43,925
-------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Support CMO (0.4%)
FNMA REMIC Trust Series 1997-90, Class A
$ 1,999 7.00% 04/18/2026 $ 1,997
--------
Total Collateralized Mortgage Obligations (CMOs).. $160,265
--------
Total Mortgage Backed Obligations (cost
$536,369)........................................ $532,721
--------
Agency Debentures (2.5%)
Federal Home Loan Bank
$ 1,000 5.51% 01/26/2004 $ 940
Federal National Mortgage Association
4,200 5.94 03/29/2004 4,011
Sri Lanka Aid
10,000 6.40# 03/07/2000 9,811
--------
Total Agency Debentures (cost $15,159)............ $ 14,762
--------
U.S. Treasury Obligations (6.8%)
United States Treasury Notes
$15,000 4.00% 10/31/2000 $ 14,782
18,000 5.50 08/31/2001 17,747
8,000 5.75 11/30/2002 7,833
--------
Total U.S. Treasury Obligations (cost $40,363).... $ 40,362
--------
Repurchase Agreement (6.8%)
Joint Account II
$40,300 5.86% 03/01/2000 $ 40,300
--------
Total Repurchase Agreement (cost $40,300)......... $ 40,300
--------
Total Investments
(cost $632,191).................................. $628,145
========
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
# Variable rate securities. Coupon rates disclosed are those which are in
effect at February 29, 2000.
The accompanying notes are an integral
part of these financial statements.
5
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations (71.8%)
Fixed Rate Federal Home Loan Mortgage Corp. (FHLMC) Gold (5.6%)
$ 4,643 6.50% 04/01/2013 4,458
2,596 6.50 05/01/2013 2,492
892 6.50 06/01/2013 856
8,220 6.50 07/01/2013 7,891
450 6.00 03/01/2014 422
500 6.00 04/01/2014 470
1,713 6.00 06/01/2014 1,608
2,680 6.50 06/01/2014 2,573
933 6.00 07/01/2014 875
589 6.00 08/01/2014 552
121 6.00 09/01/2014 114
695 6.00 01/01/2015 652
3,497 8.50 05/01/2028 3,578
-------
Total Fixed Rate Federal Home Loan Mortgage Corp.
(FHLMC) Gold....................................... $26,541
-------
Fixed Rate Federal National Mortgage Association (FNMA) (0.4%)
$ 1,238 6.00% 09/01/2007 $ 1,211
710 6.00 11/01/2009 679
-------
Total Fixed Rate Federal National Mortgage
Association (FNMA)................................. $ 1,890
-------
Fixed Rate Government National Mortgage Association (GNMA) (3.4%)
$ 361 6.00% 07/15/2008 $ 345
103 6.00 08/15/2008 98
2,213 6.00 09/15/2008 2,106
1,674 6.00 10/15/2008 1,592
487 6.00 11/15/2008 463
365 6.00 12/15/2008 347
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Fixed Rate (GNMA)--(Continued)
$ 441 6.00% 01/15/2009 $ 419
186 6.00 02/15/2009 177
186 6.00 05/15/2009 177
18 8.50 07/15/2009 19
11 8.50 09/15/2009 12
12 8.50 12/15/2009 12
731 8.50 01/15/2010 753
697 8.50 02/15/2010 718
503 8.50 03/15/2010 518
242 8.50 04/15/2010 249
237 8.50 05/15/2010 245
887 8.50 06/15/2010 915
187 8.50 07/15/2010 193
161 8.50 08/15/2010 166
166 8.50 10/15/2010 171
771 8.50 11/15/2010 796
809 8.50 12/15/2010 835
679 8.50 09/15/2011 696
458 8.50 10/15/2011 469
643 8.50 03/15/2012 665
678 8.50 07/15/2012 695
2,668 6.50 08/15/2027 2,503
-------
Total Fixed Rate Government National Mortgage
Association (GNMA)................................. $16,354
-------
Collateralized Mortgage Obligations (CMOs) (62.4%)
Adjustable Rate CMOs # (7.7%)
Chase Mortgage Finance Corp. Series 1995-A, Class A
$ 9,434 6.20% 04/25/2025 $ 9,407
Citicorp Mortgage Securities, Inc. Series 1992-17, Class A
2,816 6.79 10/25/2022 2,807
</TABLE>
The accompanying notes are an integral
part of these financial statements.
6
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Adjustable Rate CMOs--(Continued)
CMC Securities Corp. II Series 1993-21, Class A2
$ 859 6.83% 09/25/2023 854
Federal National Mortgage Association
7,309 7.17 01/01/2021 7,514
Imperial Savings Association Series 1988-3, Class A
843 7.04 01/25/2018 838
Independent National Mortgage Corp. Series 1994-W, Class A1
214 7.49 12/25/2024 213
Merrill Lynch Mortgage Investors, Inc. Series 1994-1, Class A1
1,144 7.75 01/25/2005 1,143
Prudential Home Mortgage Securities Series 1992-08, Class A1
14 7.48 04/25/2022 14
Resolution Trust Corp. Series 1994-1, Series M3
3,214 7.36 09/25/2029 3,214
Resolution Trust Corp. Series 1995-1, Class A3
4,943 6.65 10/25/2028 4,958
Resolution Trust Corp. Series 1995-1, Class M3
1,648 6.65 10/25/2028 1,647
Ryland Mortgage Securities Corp. Series 1989-FN1,
Class A
295 7.20 11/01/2018 293
Salomon Brothers Mortgage Securities VII Series 1990-3A, Class 1
564 6.34 11/25/2020 562
Salomon Brothers Mortgage Securities VII Series 1994-20, Class A
1,872 7.87 08/01/2024 1,900
Saxon Mortgage Securities Corp. Series 1994-11, Class A
1,387 7.76 12/25/2024 1,391
-------
Total Adjustable Rate CMOs.......................... $36,755
-------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Regular Floater CMOs # (3.6%)
CMC Securities Corp. III Series 1994-A, Class A17
$ 4,867 6.96% 02/25/2024 $ 4,973
Countrywide Funding Corp. Series 1993-10, Class A9
4,931 6.81 01/25/2024 5,002
FHLMC Series 1448, Class F
7,000 7.21 12/15/2022 7,355
-------
Total Regular Floater CMOs.......................... $17,330
-------
Planned Amortization Class (PAC) CMOs (30.5%)
Chase Mortgage Finance Corp. Series 1994-G, Class A7
$10,152 7.00% 04/25/2025 $10,020
Chemical Mortgage Securities Inc. Series 1994-1, Class A1
2,433 6.25 01/25/2009 2,388
Citicorp Mortgage Securities, Inc. Series 1994-9, Class A4
3,000 5.75 06/25/2009 2,820
Countrywide Funding Corp. Series 1993-2, Class A4
12,428 6.50 10/25/2008 12,202
Countrywide Funding Corp. Series 1993-9, Class A3
3,000 6.50 01/25/2009 2,966
Countrywide Funding Corp. Series 1994-13, Class A4
6,240 6.50 06/25/2009 6,196
Countrywide Home Loans Series 1998-11, Class A10
10,323 6.25 08/25/2028 10,123
FHLMC Series 15, Class H
7,100 6.50 06/25/2019 7,036
FHLMC Series 1301, Class F
8,000 7.00 03/15/2007 7,938
FHLMC Series 1556, Class G
5,000 6.35 10/15/2010 4,938
FHLMC Series 1987, Class L
10,000 6.20 08/25/2022 9,357
FNMA REMIC Trust Series 1995-19, Class B
5,851 6.50 08/25/2004 5,737
</TABLE>
The accompanying notes are an integral
part of these financial statements.
7
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ 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)
FNMA REMIC Trust Series 1997-84, Class PA
$14,000 5.90% 11/25/2021 $ 13,138
FNMA REMIC Trust Series 1997-84, Class PB
7,000 5.50 01/25/2008 6,508
GE Capital Mortgage Services, Inc. Series 1994-15,
Class A8
1,517 6.00 04/25/2009 1,506
GE Capital Mortgage Services, Inc. Series 1997-8,
Class A13
11,671 7.25 10/25/2027 11,605
Housing Securities, Inc. Series 1993-E, Class E8
967 10.00 02/25/2008 975
Norwest Asset Securities Corp. Series 1998-17, Class A2
13,023 6.25 08/25/2028 12,822
Paine Webber Mortgage Acceptance Corp. Series 1993-6, Class A3
2,438 6.90 08/25/2008 2,427
PNC Mortgage Securities Corp. Series 1998-2, Class 5A2
4,003 6.63 03/25/2028 3,911
Prudential Home Mortgage Securities Series 1993-36, Class A12
7,343 7.25 10/25/2023 7,263
Residential Funding Mortgage Securities I Series
1993-S45, Class A1
2,285 6.50 12/25/2023 2,258
Salomon Brothers Mortgage Securities VII Series
1996-6K, Class A1
2,458 7.00 08/30/2024 2,435
--------
Total Planned Amortization Class (PAC) CMOs....... $146,569
--------
Sequential Fixed Rate CMOs (17.5%)
American Housing Trust Series VI, Class 1-I
$ 7,967 9.15% 05/25/2020 $ 8,185
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs--(Continued)
CMC Securities Corp. Series 1993-C, Class C3
$ 1,169 9.55% 04/25/2008 $ 1,172
Countrywide Funding Corp. Series 1994-3, Class A10
18,561 6.75 03/25/2024 17,779
Federal Home Loan Mortgage Corp. Series 1997-84, Class G
2,869 9.50 10/18/2022 2,948
Federal National Mortgage Association REMIC Trust Series 1993-131, Class Z
7,916 7.00 07/25/2008 7,708
Federal National Mortgage Association REMIC
Series 1988-12, Class A
1,819 10.00 02/25/2018 1,907
GE Capital Mortgage Services, Inc. REMIC
Series 1994-7, Class A12
13,204 6.00 02/25/2009 12,669
GE Capital Mortgage Services, Inc. Series 1996-11, Class A3
1,086 7.50 07/25/2026 1,085
Independent National Mortgage Corp. Series 1994-Q, Class A11
3,827 7.50 09/25/2014 3,781
Norwest Asset Securities Corp. Series 1997-5, Class A5
7,447 7.00 04/25/2012 7,140
PNC Mortgage Securities Corp. Series 1997-4, Class 1PP4
10,955 7.00 07/25/2027 10,542
Residental Asset Securitization Trust Series 1997-A3, Class A5
1,357 7.75 05/25/2027 1,349
Residential Funding Mortgage Securities I Series 1997-S13, Class A1
895 7.25 09/25/2027 890
</TABLE>
The accompanying notes are an integral
part of these financial statements.
8
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
MORTGAGE SECURITIES PORTFOLIO--(Continued)
STATEMENT OF INVESTMENTS
February 29, 2000
(Unaudited)
($ in Thousands)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Mortgage Backed Obligations--(Continued)
Sequential Fixed Rate CMOs--(Continued)
Structured Asset Securities Corp. Series 1995-3A, Class 1A1
$ 7,211 7.00% 01/28/2024 $ 6,976
--------
Total Sequential Fixed Rate CMOs.................. $ 84,131
--------
Support CMOs (1.1%)
Countrywide Mortgage Backed Securities, Inc. Series 1993-A, Class A9
$ 4,016 6.50% 10/25/2008 $ 3,985
GE Capital Mortgage Services, Inc. Series 1994-6, Class A9
1,463 6.50 09/25/2022 1,381
--------
Total Support CMOs................................ $ 5,366
--------
Targeted Amortization Class (TAC) CMO (2.0%)
Paine Webber Mortgage Acceptance Corp. Series 1994-6, Class A7
$10,000 6.00% 04/25/2009 $ 9,385
--------
Total Collateralized Mortgage Obligations (CMOs).. $299,536
--------
Total Mortgage Backed Obligations (cost
$352,702)........................................ $344,321
--------
Agency Debentures (12.6%)
Federal Farm Credit Bank
$21,000 5.88% 07/02/2001 $ 20,787
Federal Home Loan Banks
5,000 5.13 03/08/2000 4,999
6,000 5.33 03/20/2001 5,896
3,700 5.13 02/26/2002 3,582
1,000 5.51 01/26/2004 940
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
- --------- -------- -------- -----
<S> <C> <C> <C>
Agency Debentures--(Continued)
Federal Home Loan Mortgage Corp.
$ 5,000 5.75% 06/15/2001 $ 4,945
Federal National Mortgage Association
7,000 4.90 11/02/2000 6,927
4,500 5.00 11/15/2000 4,457
5,500 5.62 11/18/2002 5,293
3,000 5.94 03/29/2004 2,865
--------
Total Agency Debentures
(cost $61,166)................................... $ 60,691
--------
U.S. Treasury Obligations (9.7%)
United States Treasury Notes
$22,000 5.25% 05/31/2001 $ 21,694
25,000 5.50 08/31/2001 24,648
--------
Total U.S. Treasury Obligations (cost $46,431).... $ 46,342
--------
Repurchase Agreement (8.1%)
Joint Account II
$38,800 5.86% 03/01/2000 $ 38,800
--------
Total Repurchase Agreement (cost $38,800)......... $ 38,800
--------
Total Investments
(cost $499,099).................................. $490,154
========
</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 February 29, 2000.
The accompanying notes are an integral
part of these financial statements.
9
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF ASSETS AND LIABILITIES
February 29, 2000
(Unaudited)
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value
(identified cost $784,065,754,
$632,190,567, $499,098,502,
respectively)........................ $784,065,754 $628,144,804 $490,153,738
Cash.................................. 65,409 15,334 96,960
Receivables:
Investment securities sold........... -- 10,446,561 92,266
Interest............................. 4,509,733 3,811,078 3,354,602
Other assets.......................... 6,315 4,527 3,763
------------ ------------ ------------
Total assets...................... 788,647,211 642,422,304 493,701,329
------------ ------------ ------------
LIABILITIES
Payables:
Investment securities purchased...... -- 47,790,002 11,833,043
Dividends............................ 1,732,349 2,266,660 1,919,189
Advisory fees........................ 41,883 93,854 76,106
Administration fees.................. 11,967 46,927 19,026
Transfer agent fees.................. -- 3,493 1,167
Accrued expenses and other
liabilities.......................... 314,128 75,460 49,076
------------ ------------ ------------
Total liabilities................. 2,100,327 50,276,396 13,897,607
------------ ------------ ------------
NET ASSETS
Paid-in capital....................... 786,546,884 621,029,975 503,069,757
Accumulated undistributed
(distributions in excess of) net
investment income.................... -- (514,290) 542,151
Accumulated net realized loss on
investment transactions.............. -- (24,324,014) (14,863,422)
Net unrealized loss on investments.... -- (4,045,763) (8,944,764)
------------ ------------ ------------
Net assets........................ $786,546,884 $592,145,908 $479,803,722
============ ============ ============
Net asset value & public offering
price per unit (net assets/units
outstanding)......................... $ 1.00 $ 9.66 $ 9.50
============ ============ ============
UNITS OUTSTANDING
Total units outstanding, $0.001 par
value (unlimited number of units
authorized).......................... 786,546,884 61,282,182 50,489,338
============ ============ ============
</TABLE>
The accompanying notes are an integral
part of these financial statements.
10
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF OPERATIONS
For the Six Months Ended February 29, 2000
(Unaudited)
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
----------- ----------- -----------
<S> <C> <C> <C>
Investment Income:
Interest Income.................... $23,616,480 $19,601,020 $16,254,217
----------- ----------- -----------
Expenses:
Advisory fees...................... 718,533 622,899 495,623
Administration fees................ 429,295 311,450 123,906
Custodian fees..................... 88,942 53,704 47,739
Professional fees.................. 24,152 35,604 31,039
Trustees' fees..................... 15,594 9,548 6,683
Transfer Agent fees................ -- 2,328 779
Other expenses..................... 19,131 24,560 16,109
----------- ----------- -----------
Total expenses..................... 1,295,647 1,060,093 721,878
Less--Fee waivers................... (761,364) -- --
----------- ----------- -----------
Net expenses....................... 534,283 1,060,093 721,878
----------- ----------- -----------
Net investment income............... 23,082,197 18,540,927 15,532,339
Net realized loss on investment
transactions....................... -- (1,411,710) (2,986,619)
Net change in unrealized gain (loss)
on investments..................... -- 859,595 (1,376,163)
----------- ----------- -----------
Net increase in net assets resulting
from operations.................... $23,082,197 $17,988,812 $11,169,557
=========== =========== ===========
</TABLE>
The accompanying notes are an integral
part of these financial statements.
11
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended February 29, 2000
(Unaudited)
<TABLE>
<CAPTION>
Money Government Mortgage
Market Securities Securities
Portfolio Portfolio Portfolio
--------------- ------------- ------------
<S> <C> <C> <C>
From Operations:
Net investment income.......... $ 23,082,197 $ 18,540,927 $ 15,532,339
Net realized loss from
investment transactions....... -- (1,411,710) (2,986,619)
Net change in unrealized gain
(loss) on investments......... -- 859,595 (1,376,163)
--------------- ------------- ------------
Net increase in net assets
resulting from operations..... 23,082,197 17,988,812 11,169,557
--------------- ------------- ------------
Distributions to Unitholders:
From net investment income..... (23,082,197) (17,495,606) (14,821,029)
In excess of net investment
income........................ -- -- --
--------------- ------------- ------------
Total distribution to
unitholders................... (23,082,197) (17,495,606) (14,821,029)
--------------- ------------- ------------
From Unit Transactions:
Proceeds from sales of units... 4,425,657,712 7,845,000 15,000,000
Reinvestment of dividends and
distributions................. 13,890,787 3,701,192 3,366,354
Cost of units repurchased...... (4,721,370,128) (113,050,566) (27,515,693)
--------------- ------------- ------------
Net decrease in net assets
resulting from unit
transactions.................. (281,821,629) (101,504,374) (9,149,339)
--------------- ------------- ------------
Total decrease................. (281,821,629) (101,011,168) (12,800,811)
--------------- ------------- ------------
Net assets:
Beginning of period............ 1,068,368,513 693,157,076 492,604,533
--------------- ------------- ------------
End of period.................. $ 786,546,884 $ 592,145,908 $479,803,722
=============== ============= ============
Accumulated undistributed
(distributions in excess of)
net investment income.......... $ -- $ (514,290) $ 542,151
=============== ============= ============
Summary of Unit Transactions:
Units sold..................... 4,425,657,712 813,367 1,569,623
Reinvestment of dividends and
distributions................. 13,890,787 383,679 352,979
Units repurchased.............. (4,721,370,128) (11,714,235) (2,901,138)
--------------- ------------- ------------
Decrease in units outstanding.. (281,821,629) (10,517,189) (978,536)
=============== ============= ============
</TABLE>
The accompanying notes are an integral
part of these financial statements.
12
<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 gain
(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.
13
<PAGE>
TRUST FOR CREDIT UNIONS
---------
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Income from
investment Distributions to
operations/(a)/ unitholders
------------- ----------------
Ratio of
net
Ratio of invest-
Net Net net ment Net
asset From asset expenses income assets
value at Net net value to to at end
begin- invest- invest- at average average of
ning of ment ment end of Total net net period
period income income period return/(b)/ assets assets (000's)
-------- ------------- ---------------- ------ --------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Six months ended
(unaudited):
2/29/00......... $1.00 $0.03 $(0.03) $1.00 5.52%/(c)/ 0.12%/(c)/ 5.38%/(c)/ $ 786,547
Year ended:
8/31/99......... 1.00 0.05 (0.05) 1.00 5.09 0.13 4.94 1,068,369
8/31/98......... 1.00 0.06 (0.06) 1.00 5.67 0.11 5.52 972,857
8/31/97......... 1.00 0.05 (0.05) 1.00 5.43 0.18 5.31 441,205
8/31/96......... 1.00 0.05 (0.05) 1.00 5.51 0.19 5.37 426,710
8/31/95......... 1.00 0.06 (0.06) 1.00 5.56 0.20 5.55 382,096
<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>
Six months ended
(unaudited):
2/29/00......... 0.30%/(c)/ 5.20%/(c)/
Year ended:
8/31/99......... 0.30 4.77
8/31/98......... 0.30 5.33
8/31/97......... 0.33 5.16
8/31/96......... 0.31 5.25
8/31/95......... 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.
/(c)/ Annualized.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
TRUST FOR CREDIT UNIONS
---------
GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A UNIT OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Distributions
Income from to
investment operations unitholders
--------------------- ----------------
Ratio of
net
Net Ratio of invest-
Net realized In Net net ment Net
asset and From excess asset expenses income assets
value at Net unrealized net of net value to to at end
begin- invest- gain (loss) invest- invest- at average average of
ning of ment on invest- ment ment end of Total net net period
period income ments/(a)/ income income period return/(b)/ assets assets (000's)
-------- ---------- ------------ ------- ------- ------ --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Six months ended
(unaudited):
2/29/00......... $9.65 $ 0.29 $ (0.01) $(0.27) $ -- $9.66 2.94%/(e)/ 0.34%/(d)/ 5.95%/(d)/ $592,146
Year ended:
8/31/99......... 9.79 0.54 (0.14) (0.54) -- 9.65 4.25 0.33 5.60 693,157
8/31/98......... 9.84 0.58 (0.04) (0.58) (0.01) 9.79 5.60 0.34 5.83 654,653
8/31/97......... 9.76 0.59 0.08 (0.59) -- 9.84 7.09 0.34 6.02 564,642
8/31/96......... 9.76 0.60 -- (0.60) -- 9.76 6.26 0.35 6.16 535,702
8/31/95......... 9.78 0.55 -- (0.56) (0.01) 9.76 5.82 0.34 5.65 529,659
<CAPTION>
Ratio information
assuming no waiver
of fees or expense
reimbursements
----------------------
Ratio of
net
Ratio of investment
expenses income Port-
to to folio
average average turn-
net net over
assets assets rate/(c)/
---------- ----------- -----------
<S> <C> <C> <C>
Six months ended
(unaudited):
2/29/00......... 0.34%/(d)/ 5.95%/(d)/ 37.09%/(e)/
Year ended:
8/31/99......... 0.33 5.60 152.70
8/31/98......... 0.34 5.83 93.77
8/31/97......... 0.34 6.02 88.02
8/31/96......... 0.35 6.16 149.66
8/31/95......... 0.34 5.65 70.58
</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.
/(d)/ Annualized.
/(e)/ Not annualized.
The accompanying notes are an integral part of these financial statements.
15
<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
value at Net unrealized net of net value to to
begin- invest- gain (loss) invest- invest- From at average average
ning of ment on invest- ment ment paid-in end of Total net net
period income ments/(a)/ income income capital period return/(b) assets assets
-------- ---------- ------------ ------- ------- ------- ------ --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Six months ended (unaudited):
2/29/00......... $9.57 $0.30 $(0.09) $(0.28) $ -- $ -- $9.50 2.26%/(e)/ 0.29%/(d)/ 6.27%/(d)/
Year ended:
8/31/99......... 9.90 0.57 (0.33) (0.57) -- -- 9.57 2.51 0.29 5.87
8/31/98......... 9.75 0.64 0.13 (0.62) -- -- 9.90 8.10 0.30 6.44
8/31/97......... 9.65 0.64 0.10 (0.64) -- -- 9.75 7.89 0.30 6.57
8/31/96......... 9.74 0.66 (0.12) (0.63) -- -- 9.65 5.67 0.28 6.64
8/31/95......... 9.62 0.61 0.16 (0.61) (0.02) (0.02) 9.74 8.20 0.26 6.36
<CAPTION>
Ratio information
assuming no waiver
of fees or expense
reimbursements
------------------------
Ratio of
net
Net Ratio of investment
assets expenses income Port-
at end to to folio
of average average turn-
period net net over
(000's) assets assets rate/(c)/
-------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
Six months ended (unaudited):
2/29/00......... $479,804 0.29%/(d)/ 6.27%/(d)/ 37.89%/(e)/
Year ended:
8/31/99......... 492,605 0.29 5.87 168.44
8/31/98......... 442,550 0.30 6.44 108.76
8/31/97......... 350,315 0.30 6.57 106.10
8/31/96......... 332,546 0.30 6.62 163.42
8/31/95......... 264,409 0.32 6.30 130.98
</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.
/(d)/ Annualized.
/(e)/ Not annualized.
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS
February 29, 2000
(Unaudited)
1.Organization
Trust for Credit Unions 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
collectively, "the Portfolios" or individually a "Portfolio." Units of the
Portfolio 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
Portfolios. 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 those estimates.
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 Portfolios' 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.
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 using 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. Certain mortgage security
paydown gains and losses are taxable as ordinary income. Such paydown gains and
losses increase or decrease
17
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
2. Summary of Significant Accounting Policies--(Continued)
taxable ordinary income available for distribution and are classified as
interest income in the accompanying Statements of Operations. Original issue
discounts ("OID") 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. OID amortization on mortgage backed REMIC securities is initially
recorded based on estimates of principal paydowns using the most recent OID
factors available from the issuer. Recorded amortization amounts are adjusted
when actual OID factors are received. Market discounts and market premiums on
debt securities, other than mortgage backed securities, are amortized to
interest income over the life of the security with a corresponding adjustment
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. 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 and capital gains
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. Therefore, the
source of a Portfolio's distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or
net realized gains on investment transactions, or from paid-in capital
depending on the type of book/tax differences that may exist.
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.
18
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
2. Summary of Significant Accounting Policies--(Continued)
At February 29, 2000, the Portfolio'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.... $784,065,754 $ -- $ -- $ --
Government Securities
Portfolio................ 632,533,311 627,200 (5,015,707) (4,388,507)
Mortgage Securities
Portfolio................ 499,117,212 387,336 (9,350,810) (8,963,474)
</TABLE>
E. Expenses
-----------
Expenses incurred by the Portfolios that do not specifically relate to an
individual Portfolio 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 unit of the Investment Management
Division of Goldman, Sachs & Co. ("Goldman Sachs"), serves as investment
adviser pursuant to an Advisory Agreement with the Portfolios. Under the
Advisory Agreement, GSAM, subject to the general supervision of the Portfolio's
Trustees, manages the Portfolios and provides certain administrative services.
As compensation for services rendered under the Advisory Agreement and the
assumption of the expenses related thereto, GSAM 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. This voluntary limitation may
be modified or eliminated by GSAM in the future at its discretion. For the six
months ended February 29, 2000, GSAM waived advisory fees amounting to
approximately $417,950.
19
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
3. Agreements--(Continued)
Callahan Credit Union Financial Services Limited Partnership ("CUFSLP")
serves as the Portfolios' 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
Portfolio's Trustees, provides certain administrative services to the
Portfolio. 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 six months ended February 29, 2000, CUFSLP waived
administration fees amounting to approximately $343,414.
CUFSLP has agreed that to the extent the total annualized expenses (excluding
interest, taxes, brokerage and extraordinary expenses) (the "Expenses") of the
Money Market Portfolio exceed .20% of the average daily net assets of the Money
Market Portfolio, CUFSLP will either reduce the administration fees otherwise
payable or pay such Expenses of the Money Market Portfolio. For the six months
ended February 29, 2000, no expenses were required to be reimbursed by CUFSLP
under this agreement.
CUFSLP and GSAM have each voluntarily agreed to limit the other annualized
ordinary expenses (excluding advisory fees, administration fees, interest,
taxes, brokerage and extraordinary expenses) of the Government Securities
Portfolio such that CUFSLP will reimburse expenses that exceed 0.05% up to
0.10% of the Government Securities Portfolio's average daily net assets, and
GSAM will reimburse expenses that exceed 0.10% up to 0.15% of the Government
Securities Portfolio's average daily net assets. For the six months ended
February 29, 2000, no expenses were required to be reimbursed by CUFSLP or GSAM
under this agreement.
Callahan Financial Services, Inc. and Goldman Sachs serve as exclusive
distributors of units of the Portfolios. For the six months ended February 29,
2000, neither party received any compensation for this service. Goldman Sachs
also serves as Transfer Agent of the Portfolios for a fee.
20
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
4. Investment Transactions
Purchases and proceeds of sales or maturities of long-term securities for the
Government Securities Portfolio and Mortgage Securities Portfolio for the six
months ended February 29, 2000 were as follows ($ in thousands):
<TABLE>
<CAPTION>
Government Mortgage
Securities Securities
Portfolio Portfolio
---------- ----------
<S> <C> <C>
Purchases of U.S. Government and agency obligations...... $212,003 $146,756
Purchases (excluding U.S. Government and agency obliga-
tions).................................................. 10,000 26,913
Sales or maturities of U.S. Government and agency obliga-
tions................................................... 301,834 111,754
Sales or maturities (excluding U.S. Government and agency
obligations)............................................ 10,000 79,119
</TABLE>
5. Line of Credit Facility
The Portfolios participate in a $250,000,000 uncommitted, unsecured revolving
line of credit facility. Additionally, the Government Securities and Mortgage
Securities Portfolios participate in a $250,000,000 committed, unsecured
revolving line of credit facility. Effective November 30, 1999, the Money
Market Portfolio was added to the $250,000,000 committed facility. Under the
most restrictive arrangement, the Portfolios 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 by the Portfolios based on the amount of the
commitment, which has not been utilized. During the six months ended February
29, 2000, the Portfolios did not have any borrowings under these credit
facilities.
21
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
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 by a bank custodian.
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 February 29, 2000, the Money Market Portfolio had an undivided interest
in the repurchase agreements in Joint Account I which equaled $70,800,000 in
principal amount. As of February 29, 2000, the repurchase agreements in this
joint account were fully collateralized by U.S. Treasury obligations.
<TABLE>
<CAPTION>
Principal Amortized
Amount Interest Maturity Cost
Joint Account I ($ in thousands) Rate Date ($ in thousands)
- --------------- ---------------- -------- ---------- ----------------
<S> <C> <C> <C> <C>
ABN/AMRO, Inc............ $ 275,000 5.55% 03/01/2000 $ 275,000
Barclays Capital, Inc. .. 1,000,000 5.78 03/01/2000 1,000,000
Barclays Capital, Inc. .. 500,000 5.45 03/01/2000 500,000
Bear Stearns Companies,
Inc. ................... 500,000 5.79 03/01/2000 500,000
Deutsche Bank Securities,
Inc. ................... 1,000,000 5.78 03/01/2000 1,000,000
Deutsche Bank Securities,
Inc. ................... 500,000 5.71 03/01/2000 500,000
Deutsche Bank Securities,
Inc. ................... 200,000 5.55 03/01/2000 200,000
Donaldson, Lufkin &
Jenrette, Inc........... 1,000,000 5.80 03/01/2000 1,000,000
Donaldson, Lufkin &
Jenrette, Inc........... 525,000 5.70 03/01/2000 525,000
Goldman, Sachs & Co...... 1,000,000 5.63 03/01/2000 1,000,000
Warburg Dillon Read...... 1,000,000 5.78 03/01/2000 1,000,000
Warburg Dillon Read...... 500,000 5.60 03/01/2000 500,000
Warburg Dillon Read...... 160,000 5.60 03/01/2000 160,000
----------
Total Joint Repurchase
Agreement Account I.... $8,160,000
==========
</TABLE>
22
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
7. Joint Repurchase Agreement Accounts--(Continued)
As of February 29, 2000, the Money Market Portfolio, Government Securities
Portfolio and the Mortgage Securities Portfolio had undivided interests in the
repurchase agreements in Joint Account II which equaled $100,000,000,
$40,300,000, and $38,800,000, respectively, in principal amount. As of February
29, 2000, the repurchase agreements in this joint account were fully
collateralized by Federal Agency obligations.
<TABLE>
<CAPTION>
Principal Amortized
Amount Interest Maturity Cost
Joint Account II ($ in thousands) Rate Date ($ in thousands)
- ---------------- ---------------- -------- ---------- ----------------
<S> <C> <C> <C> <C>
Banc of America
Securities LLC.......... $1,650,000 5.86% 03/01/2000 $1,650,000
Bear Stearns Companies,
Inc. ................... 200,000 5.86 03/01/2000 200,000
Chase Securities, Inc.... 300,000 5.86 03/01/2000 300,000
Donaldson, Lufkin &
Jenrette, Inc........... 500,000 5.85 03/01/2000 500,000
Salomon Smith Barney
Holdings, Inc........... 812,000 5.86 03/01/2000 812,000
Warburg Dillon Read ..... 800,000 5.86 03/01/2000 800,000
----------
Total Joint Repurchase
Agreement Account II... $4,262,000
==========
</TABLE>
8. Change in Independent Accountants
On October 26, 1999, the Board of Trustees of the Portfolios, upon the
recommendation of the Board's audit committee, determined not to retain Arthur
Andersen LLP and approved a change of the Portfolios' independent accountants
to PricewaterhouseCoopers LLP. For the fiscal years ended August 31, 1999 and
August 31, 1998, Arthur Andersen LLP's audit reports contained no adverse
opinion or disclaimer of opinion; nor were their reports qualified or modified
as to uncertainty, audit scope, or accounting principles. Further, there were
no disagreements between the Portfolios and Arthur Andersen LLP on accounting
principles or practices, financial statement disclosure or audit scope or
procedure, which if not resolved to the satisfaction of Arthur Andersen LLP
would have caused them to make reference to the disagreement in their reports.
23
<PAGE>
TRUST FOR CREDIT UNIONS
---------------
NOTES TO FINANCIAL STATEMENTS--(Continued)
February 29, 2000
(Unaudited)
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.
24
<PAGE>
This Semiannual 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 Portfolio's objectives and policies,
management, expenses and other information.
<PAGE>
[LOGO]
Goldman
Sachs
TCUSEM00
- ---------------------------
TRUST
---
for Credit Unions
- ---------------------------
Trustees
John T. Collins, Chairman
Thomas S. Condit, Vice-Chairman
Gene R. Artemenko
James C. Barr
Edgar F. Callahan
Robert M. Coen
Douglas C. Grip
Betty G. Hobbs
Gary Oakland
Wendell A. Sebastian
Officers
Judith E. Sandberg, President
Jesse Cole, Vice President
Dan Dumont, Vice President
Charles W. Filson, Vice President
James A. Fitzpatrick, 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 Accountants
PricewaterhouseCoopers LLP
