CUFUND
========
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SHORT-TERM MATURITY PORTFOLIO
(Bullet)
ADJUSTABLE RATE PORTFOLIO
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ANNUAL REPORT
TO
SHAREHOLDERS
5/31/97
THIS INFORMATION MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
SOUTHWEST CORPORATE FEDERAL CREDIT UNION
INVESTMENT ADVISER
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<PAGE>
CUFUND
THE CREDIT UNION FAMILY OF FUNDS
To Our Shareholders:
CUFUND, The Credit Union Family of Funds, has been serving natural person credit
union investment needs since its inception in June, 1992. During this period,
the Short-Term Maturity Portfolio and the Adjustable Rate Portfolio (the
Portfolios) have given credit unions an excellent investment option.
CUFUND remains unique in the mutual fund industry as it is the only mutual fund
to be advised by a credit union, Southwest Corporate Federal Credit Union. As a
result, CUFUND is uniquely positioned to respond to the concerns and changes of
natural person credit unions, as well as the continually changing regulatory
environment. As the regulatory environment becomes more complex, we believe that
the flexibility and investment expertise inherent to the Portfolios of CUFUND
will allow credit unions to continue to take advantage of all types of
securities available to them in one easy package.
CUFUND has maintained a strong performance record since its inception. Over the
past five years it has been our pleasure, Southwest Corporate Federal Credit
Union, the adviser, SEI Fund Resources, the administrator and SEI Investments
Distribution Co., the distributor, to offer CUFUND. We thank you for your
support and participation in CUFUND.
Sincerely,
[SIG Omitted]
David G. Lee
President
<PAGE>
CUFUND
MANAGEMENT'S DISCUSSION & ANALYSIS OF FUND PERFORMANCE
SHORT-TERM MATURITY PORTFOLIO -- JAMES DYKSTAL, ADVISER
SOUTHWEST CORPORATE FEDERAL CREDIT UNION
MAY 31, 1997
The investment objective of the Short-Term Maturity Portfolio (the "Portfolio")
is to seek a high level of income consistent with safety of capital. The primary
investment strategy undertaken by the Adviser of the Portfolio is a modified
"buy and hold" strategy. The assets of the Portfolio were distributed between
U.S. Agency and various Mortgage-Backed Securities (MBS). Usually, the
securities in the Portfolio maintain an average-weighted maturity of three years
or less.
During 1996, the economy slowed in the 2nd and 3rd quarter and as a result
interest rates rallied. Then in the 1st quarter of 1997, the economy grew
rapidly at an annual pace of 5.90%. The Federal Open Market Committee (FOMC)
increased the target rate on loans to depository institutions (the "Fed Funds
rate") from 5.25% to 5.50% on March 20, 1997, in response to a faster economy.
Interest rates increased early in the year but have since rallied as inflation
fears subsided in May 1997. For example, the two year Treasury yield fell to
6.21% on May 31, 1997 from 6.24% on May 31, 1996.
In response to this uncertainty with the FOMC and the possibility of increasing
interest rates in the 1st quarter, the Adviser shortened duration slightly to
position for higher rates. At May 31, 1997, the duration of the portfolio was
0.90 years. At month-end, approximately 76% of the Portfolio was in MBS and 24%
of the Portfolio was in short-term securities or cash equivalents.
The Net Asset Value (NAV) of the Portfolio was $9.80 on May 31, 1997, down from
$9.96 on May 31, 1996, reflective of the change in interest rates. The 30 day
yield increased to 5.37% on May 31, 1997, up from 5.23% on May 31, 1996, again
reflecting the change in interest rates. The Adviser will maintain a neutral
strategy, focusing on maintaining a stable NAV to take advantage of the current
interest rate environment when opportunities arise.
CUFUND Short-Term Maturity Portfolio
Shown immediately following the Adviser's Discussion of Fund
Performance are three line graphs depicting the growth (including reinvestment
of dividends and capital gains) of a hypothetical investment of $100,000 as
compared with the growth of a hypothetical investment of $100,000 in the 1 Year
Constant Maturity Treasury Index and Lipper Short U.S. Government Funds Average.
<TABLE>
<CAPTION>
Period Ended Growth of $100,000 Growth of $100,000 Growth of $100,000
Invested in the CUFund Invested in the 1 Year Invested in the Lipper Short
Short-Term Maturity Constant Maturity U.S. Government Funds
Portfolio Treasury Index Average Index
<S> <C> <C> <C> <C>
June-92 $100,000 $100,000 $100,000
May-93 $104,078 $103,222 $105,100
May-94 $104,317 $107,268 $106,193
May-95 $111,536 $113,050 $113,032
May-96 $117,927 $119,396 $118,254
May-97 $124,885 $126,401 $125,456
</TABLE>
<PAGE>
CUFUND
MANAGEMENT'S DISCUSSION & ANALYSIS OF FUND PERFORMANCE
ADJUSTABLE RATE PORTFOLIO -- MAURICE KERINS III, ADVISER
SOUTHWEST CORPORATE FEDERAL CREDIT UNION
MAY 31, 1997
The investment objective of the Adjustable Rate Portfolio (the "Portfolio") is
to seek a high level of income while maintaining principal stability. The
primary investment strategy undertaken by the Adviser to maintain stability has
been to concentrate on securities whose interest rates reset monthly and
semi-annually, based upon the one-month and six-month London Interbank Offered
Rate (LIBOR) for U.S. dollar deposits and certificates of deposit (CD) indices,
or the one year Constant Maturity Treasury (CMT) index.
At May 31, 1997 approximately 43% of the fund was in one-month LIBOR floating
rate securities; 27% was in six-month CD or LIBOR securities; 17% was in one
year CMT securities; 12% in cash, cash equivalents, or short average life fixed
CMOs; and 1% in Eleventh District Cost of Funds Index (COFI) securities.
Compared with the start of the fiscal period, the percentages of one-month and
six-month securities were lower as a result of principal paydowns, with an
increase in CMT securities representing several purchases of securities based on
this index.
At May 31, 1997 the effective duration of the Portfolio was 0.66, up from May
31, 1996 when it closed at 0.41. The Adviser expects to utilize forward cash
flows to maintain current effective duration levels when market levels for CMT
and LIBOR based securities warrant.
The Net Asset Value (NAV) of the Portfolio increased to $10.01 on May 31, 1997
from $9.96 on May 31, 1996. The 30 day yield on the Portfolio decreased to 5.55%
on May 31, 1997 from 5.72% on May 31,1996.
CUFUND Adjustable Rate Portfolio
Shown immediately following the Adviser's Discussion of Fund Performance are
three line graphs depicting the growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $100,000 as compared with the
growth of a hypothetical investment of $100,000 in the 1 Month Libor Index and
Lipper Adjustable Rates Funds Average.
<TABLE>
<CAPTION>
Period Ended Growth of $100,000 Growth of $100,000 Growth of $100,000
Invested in the CUFund Invested in the 1 Month Invested in the Lipper
Libor Index Adjustable-Rate Mortgage
Funds Average
<S> <C> <C> <C> <C>
June-92 $100,000 $100,000 $100,000
May-93 $103,906 $103,110 $103,958
May-94 $107,221 $106,739 $105,496
May-95 $112,850 $113,112 $106,361
May-96 $119,948 $119,740 $109,191
May-97 $127,577 $126,530 $116,288
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS CUFUND
May 31, 1997
SHORT-TERM MATURITY PORTFOLIO
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Par Value
Description (000) (000)
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U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS (43.7%)
FHLMC Class # 1490 PE CMO
5.750%, 07/15/06 $1,000 $ 986
FHLMC Class # 1640 F CMO
6.150%, 10/15/07 (A) 338 337
FHLMC Class # 1543 TC CMO
5.400%, 06/15/13 318 318
FHLMC Class # 1611 D CMO
5.250%, 01/15/16 1,000 991
FHLMC Class # 1671 D CMO
5.750%, 11/15/16 1,000 994
FHLMC Class # 1481 E CMO
6.200%, 11/15/16 1,000 992
FHLMC Class # 1650 D CMO
5.400%, 04/15/24 1,000 989
FNMA Class # 93-11 C CMO
5.750%, 04/25/02 53 53
FNMA Class # 92-155 E CMO
6.700%, 08/25/04 2,000 2,003
FNMA Class # 92-175 PE CMO
6.500%, 10/25/04 1,250 1,248
FNMA Class # 93-207 B CMO
4.850%, 06/25/10 427 426
FNMA Class # 93-20 C CMO
5.700%, 08/25/12 408 407
FNMA Class # 92-132 PE CMO
7.250%, 07/25/15 305 305
FNMA Class # 93-203 PD CMO
5.250%, 08/25/15 1,000 990
FNMA Class # 94-76 C CMO
5.000%, 12/25/17 911 905
GNMA Class # 94-1 PC CMO
7.250%, 12/16/16 1,000 1,009
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Total U.S. Agency Mortgage-Backed Obligations
(Cost $13,007) 12,953
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NON-AGENCY MORTGAGE-BACKED OBLIGATIONS (32.1%)
Countrywide Mortgage Securities
Class # 94-D A1 CMO
6.225%, 03/25/24 (A) 556 555
First Boston Mortgage Securities
Class # 93-5 A13 CMO
7.300%, 10/25/97 22 23
General Electric Mortgage Services
Class # 94-7 A4 CMO
5.500%, 02/25/09 1,004 993
General Electric Mortgage Services
Class # 94-13 A1 CMO
6.500%, 04/25/24 1,143 1,135
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Par Value
Description (000) (000)
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Prudential Home Mortgage
Securities Class # 93-43 A1 CMO
5.400%, 10/25/23 $ 808 $ 797
Prudential Home Mortgage
Securities Class # 93-57
A2 CMO
5.500%, 12/25/23 1,486 1,478
Prudential Home Mortgage
Securities Class # 93-54
A21 CMO
5.500%, 01/25/24 3,000 2,937
Residential Funding Mortgage
Securities I Class # 93-S40
A1 CMO
6.088%, 11/25/23 (A) 859 851
Residential Funding Mortgage
Securities I Class # 93-S45
A3 CMO
6.750%, 12/25/23 755 756
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Total Non-Agency Mortgage-
Backed Obligations
(Cost $9,634) 9,525
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U.S. GOVERNMENT AGENCY OBLIGATIONS (24.2%)
FAMC
5.553%*, 06/02/97 6,540 6,537
FHLMC
5.462%*, 06/04/97 200 200
5.462%*, 06/05/97 450 450
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Total U.S. Government Agency
Obligations
(Cost $7,189) 7,187
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CASH EQUIVALENT (0.1%)
SEI Daily Income Trust
Treasury Fund 33 33
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Total Cash Equivalent
(Cost $33) 33
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TOTAL INVESTMENTS (100.1%)
(Cost $29,863) 29,698
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OTHER ASSETS AND LIABILITIES, NET (-0.1%) (30)
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<PAGE>
STATEMENT OF NET ASSETS CUFUND
May 31, 1997
SHORT-TERM MATURITY PORTFOLIO (concluded)
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Value
Description (000)
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NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 3,026,756
outstanding shares of
beneficial interest $30,654
Distributions in excess of net
investment income (1)
Accumulated net realized loss
on investments (820)
Net unrealized depreciation
on investments (165)
-------
TOTAL NET ASSETS (100.0%) $29,668
=======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $ 9.80
=======
* Effective Yield at date of purchase
CMO -- Collateralized Mortgage Obligation
FAMC -- Federal Agriculture Mortgage Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
(A) Adjustable Rate Features. Rate shown on the Statement of Net Assets is the
rate in effect on May 31, 1997.
The accompanying notes are an integral part of these financial statements.
<PAGE>
STATEMENT OF NET ASSETS CUFUND
May 31, 1997
ADJUSTABLE RATE PORTFOLIO
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Par Value
Description (000) (000)
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U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS (59.7%)
FHLMC Class # 1457 PD CMO
6.500%, 07/15/02 $ 676 $ 677
FHLMC Class # 1624 D CMO
5.400%, 06/15/04 1,000 992
FHLMC Class # 1512 M CMO
5.230%, 05/15/08 (A) 2,016 1,937
FHLMC Class # 1573 PD CMO
5.600%, 10/15/13 2,000 1,988
FHLMC Class # 1671 C CMO
5.250%, 01/15/14 1,598 1,595
FHLMC Class # 1611 G CMO
6.250%, 05/15/21 (A) 5,780 5,796
FHLMC Class # 1546 FC CMO
6.250%, 12/15/21 (A) 6,875 6,920
FHLMC Class # 1671 J CMO
6.150%, 12/15/22 (A) 7,690 7,695
FHLMC Pool # 970003
7.180%, 01/01/23 (A) 3,565 3,592
FHLMC Pool # 970021
7.290%, 01/01/23 (A) 6,787 6,952
FNMA Class # 93-170 D CMO
5.500%, 09/25/03 3,500 3,473
FNMA Class # 92-28 F CMO
6.219%, 05/25/07 (A) 991 996
FNMA Class # G93-8 PD CMO
5.750%, 04/25/13 1,294 1,288
FNMA Class # G93-15 B CMO
5.500%, 05/25/13 1,476 1,467
FNMA Class # 92-112 FC CMO
6.419%, 06/25/18 (A) 16,500 16,593
FNMA Pool # 165655
7.555%, 05/01/22 (A) 861 890
FNMA Pool # 166291
7.249%, 06/01/22 (A) 2,795 2,879
FNMA Pool # 169164
7.720%, 06/01/22 (A) 510 524
FNMA Pool # 354900
5.879%, 08/01/26 (A) 6,649 6,857
FNMA Pool # 359751
6.517%, 09/01/26 (A) 4,177 4,284
FNMA Pool # 364612
6.170%, 11/01/26 (A) 6,556 6,761
FNMA Class # 97-20 F CMO
5.998%, 03/25/27 (A) 4,818 4,811
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Total U.S. Agency Mortgage-Backed
Obligations
($88,673) 88,967
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NON-AGENCY MORTGAGE-BACKED OBLIGATIONS (36.4%)
Citicorp Mortgage Securities
Class # 92-9 A4 CMO
6.600%, 04/25/21 (A) 182 183
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Par Value
Description (000) (000)
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DLJ Mortgage Acceptance
Class # 94-Q1 1A1 CMO
7.870%, 03/25/24 (A) $2,220 $ 2,258
Fund America Investors II
Class # 93-J M CMO
7.870%, 11/25/23 (A) 1,425 1,420
Merrill Lynch Mortgage
Investments Class # 91-F
A2 CMO
6.340%, 06/15/16 (A) 7,400 7,480
Merrill Lynch Mortgage
Investments Class # 92-C
A2 CMO
6.350%, 06/15/17 (A) 7,000 7,078
Prudential Home Mortgage
Securities Class # 93-5
A7 CMO
6.450%, 03/25/00 (A) 5,477 5,477
Resolution Trust Class # 92-M4
A4 CMO
6.550%, 09/25/21 (A) 1,735 1,737
Resolution Trust Class # 92-16
A4 CMO
7.560%, 08/25/22 (A) 3,731 3,783
Resolution Trust Class # 92-6
B9 CMO
6.610%, 11/25/26 (A) 1,946 1,955
Resolution Trust Class # 92-3
A4 CMO
6.300%, 09/25/30 (A) 1,358 1,358
Ryland Mortgage Securities
Class # 92-L6 A2 CMO
7.720%, 05/25/22 (A) 1,026 1,030
Ryland Mortgage Securities
Class # 92-L9 A1B CMO
7.800%, 07/25/22 (A) 3,744 3,775
Ryland Mortgage Securities
Class # 92-L9 A2 CMO
7.800%, 07/25/22 (A) 1,114 1,123
Salomon Brothers Mortgage
Securities VII Class # 92-2
A4 CMO
7.380%, 06/25/22 (A) 2,689 2,702
Salomon Brothers Mortgage
Securities VII Class # 92-4
A5 CMO
7.400%, 09/25/22 (A) 1,838 1,857
Salomon Brothers Mortgage
Securities VII Class # 92-6
A1 CMO
7.290%, 11/25/22 (A) 2,635 2,644
Saxon Mortgage Securities
Class # 92-1 A2 CMO
7.650%, 09/25/22 (A) 339 342
<PAGE>
STATEMENT OF NET ASSETS CUFUND
May 31, 1997
ADJUSTABLE RATE PORTFOLIO (concluded)
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Par Value
Description (000) (000)
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Saxon Mortgage Securities
Class # 92-3 A1 CMO
7.820%, 11/25/22 (A) $1,153 $ 1,162
Saxon Mortgage Securities
Class # 93-1 A CMO
7.780%, 02/25/23 (A) 2,941 2,968
Sears Mortgage Securities
Class # 93-3 F CMO
6.700%, 07/25/20 (A) 1,043 1,044
Securitized Assets Sales
Class # 93-8 A2 CMO
7.990%, 12/26/23 (A) 2,789 2,849
--------
Total Non-Agency Mortgage-
Backed Obligations
(Cost $54,003) 54,225
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS (3.4%)
FHLMC
5.443%,* 06/06/97 565 564
5.488%,* 06/06/97 1,140 1,139
FNMA
5.377%,* 06/06/97 3,300 3,297
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Total U.S. Government Agency Obligations
(Cost $5,002) 5,000
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CASH EQUIVALENT (0.4%)
SEI Daily Income Trust
Treasury Fund 552 552
--------
Total Cash Equivalent
($552) 552
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TOTAL INVESTMENTS (99.9%)
(Cost $148,230) 148,744
--------
OTHER ASSETS AND LIABILITIES, NET (0.1%) 216
--------
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Value
Description (000)
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NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 14,881,643 outstanding
shares of beneficial interest $149,141
Distributions in excess of net
investment income (37)
Accumulated net realized loss
on investments (658)
Net unrealized appreciation
on investments 514
--------
TOTAL NET ASSETS (100.0%) $148,960
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $ 10.01
========
* Effective Yield at date of purchase
CMO -- Collateralized Mortgage Obligation
DLJ -- Donaldson, Lufkin, & Jenrette
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
(A) Adjustable Rate Features. Rate shown on the Statement of Net Assets is the
rate in effect on May 31, 1997.
The accompanying notes are an integral part of these financial statements.
<PAGE>
STATEMENT OF OPERATIONS CUFUND
For the year ended May 31, 1997
<TABLE>
<CAPTION>
(IN THOUSANDS)
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SHORT-TERM MATURITY ADJUSTABLE RATE
PORTFOLIO PORTFOLIO
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Investment Income $1,727 $9,027
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<S> <C> <C>
Expenses:
Investment Advisory Fees 96 477
Waiver of Investment Advisory Fees (58) (258)
Administrator Fees 36 178
Custodian Fees 3 12
Professional Fees 14 69
Registration Fees 1 2
Insurance Fees -- 1
Trustee Fees 9 46
Printing Fees 5 27
Amortization of Deferred Organizational Costs 11 11
Other 2 10
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Total Expenses 119 575
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Net Investment Income 1,608 8,452
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Net Realized Gain/(Loss) on Investments (68) 16
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Net Unrealized Appreciation of Investments 211 671
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Net Realized and Unrealized Gain on Investments 143 687
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Net Increase in Net Assets Resulting from Operations $1,751 $9,139
===========================================================================================================================
Amounts designated as "--" are either $0 or have been rounded to $0.
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS CUFUND
<TABLE>
<CAPTION>
(IN THOUSANDS)
---------------------------------------------
SHORT-TERM MATURITY ADJUSTABLE RATE
PORTFOLIO PORTFOLIO
-------------------- -----------------------
06/01/96 06/01/95 06/01/96 06/01/95
TO 05/31/97 TO 05/31/96 TO 05/31/97 TO 05/31/96
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Activities:
Net Investment Income $1,608 $ 1,792 $8,452 $ 9,330
Net Realized Gain/(Loss) on Investments (68) (32) 16 (21)
Net Unrealized Appreciation of Investments 211 150 671 472
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Net Increase in Net Assets Resulting from Operations 1,751 1,910 9,139 9,781
- ---------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders:
Net Investment Income (1,609) (1,790) (8,466) (9,334)
- ---------------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Proceeds from Shares Issued 3,000 600 2,100 5,000
Shares Issued in Lieu of Cash Distributions 121 151 595 662
Cost of Shares Redeemed (4,228) (5,288) (8,168) (14,496)
- ---------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets from Capital Share Transactions (1,107) (4,537) (5,473) (8,834)
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Total Decrease in Net Assets (965) (4,417) (4,800) (8,387)
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets:
Beginning of Period 30,633 35,050 153,760 162,147
- ---------------------------------------------------------------------------------------------------------------------------
End of Period (1) $29,668 $30,633 $148,960 $153,760
===========================================================================================================================
Capital Share Transactions:
Shares Issued 306 62 210 502
Shares Issued in Lieu of Cash Distributions 12 15 60 66
Shares Redeemed (431) (541) (819) (1,451)
- ---------------------------------------------------------------------------------------------------------------------------
Net Capital Share Transactions (113) (464) (549) (883)
============================================================================================================================
Amounts designated as "--" are either $0 or have been rounded to $0.
<FN>
(1) Including distributions in excess of net investment income (000) of $(1) and $(0) for Short-Term Maturity Portfolio,
$(37) and $(23) for Adjustable Rate Portfolio at May 31, 1997 and May 31, 1996, respectively.
</FN>
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS CUFUND
FOR THE PERIODS ENDED MAY 31,
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Ratio of
Ratio Net
of Net Invest-
Invest- ment
Net ment Ratio of Income to
Net Realized and Dividends Net Net Income Expenses Average Port-
Asset Net Unrealized from Net Capital Asset Assets Ratio of to to Average Net folio
Value Invest- Gains Invest- Gains Value End of Expenses Average Net Assets Assets Turn-
Beginning ment (Losses)on ment Distri- End of Total Period to Average Net (Excluding (Excluding over
of Period Income Investments Income butions Period Return (000) Net Assets Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Short-Term Maturity Portfolio
1997 $ 9.76 0.52 0.04 (0.52) -- $ 9.80 5.90% $29,668 0.39% 5.33% 0.58% 5.14% 63%
1996 9.73 0.52 0.03 (0.52) -- 9.76 5.73 30,633 0.38 5.27 0.61 5.04 42
1995 9.59 0.50 0.14 (0.50) -- 9.73 6.92 35,050 0.38 5.24 0.51 5.11 53
1994 10.00 0.41 (0.38) (0.41) (0.03) 9.59 0.23 41,737 0.38 4.23 0.55 4.06 148
1993(1) 10.00 0.44 0.01 (0.45) -- 10.00 4.77 20,288 0.39 4.69 0.64 4.44 188
Adjustable Rate Portfolio
1997 $ 9.96 0.57 0.05 (0.57) -- $10.01 6.36% $148,960 0.39% 5.66% 0.56% 5.49% 17%
1996 9.94 0.59 0.02 (0.59) -- 9.96 6.29 153,760 0.39 5.92 0.53 5.78 23
1995 9.96 0.53 (0.02) (0.53) -- 9.94 5.25 162,147 0.38 5.34 0.51 5.21 4
1994 10.02 0.37 (0.06) (0.37) -- 9.96 3.19 183,486 0.38 3.70 0.51 3.57 67
1993(1) 10.00 0.38 0.02 (0.38) -- 10.02 4.22 172,593 0.39 3.94 0.55 3.78 71
====================================================================================================================================
Amounts designated as "--" are either $0 or have been rounded to $0.
<FN>
(1)The Short-Term Maturity Portfolio and Adjustable Rate Portfolio commenced operations on June 15, 1992. Ratios and total returns
for this period have been annualized.
</FN>
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
NOTES TO FINANCIAL STATEMENTS CUFUND
May 31, 1997
1. Organization:
CUFUND (the "Trust") was organized as a Massachusetts business trust under a
Declaration of Trust dated November 22, 1991 and had no operations through June
14, 1992 other than those related to organizational matters and the sale of
initial shares of beneficial interest to SEI Fund Resources (the
"Administrator") on January 16, 1992.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified open-end investment company with two portfolios: the Short-Term
Maturity Portfolio and the Adjustable Rate Portfolio (the "Portfolios"). The
Trust's prospectus provides a description of each Portfolio's investment
objectives, policies and strategies.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles.
SECURITIES VALUATION--Investment securities of the Portfolios which are
listed on a securities exchange for which market quotations are available
are valued at the last quoted sales price for such securities on each
business day, or, if there is no such reported sales price on the valuation
date, at the most recently quoted bid price. Unlisted securities for which
market quotations are readily available are valued at the most recently
quoted price. Debt obligations with sixty days or less remaining until
maturity may be valued at their amortized cost. Under this valuation
method, purchase discounts and premiums are accreted and amortized ratably
to maturity and are included in interest income. Securities for which
quotations are not readily available or obtainable are valued at fair value
using methods determined in good faith by the Board of Trustees.
SECURITY TRANSACTIONS AND RELATED INCOME--Security transactions are
accounted for on the trade date of the security purchase or sale. Costs
used in determining net realized capital gains and losses on the sale of
securities are those of the specific securities sold, adjusted for the
accretion and amortization of purchase discounts and premiums during the
respective holding period. Gains and losses realized on sales of securities
are determined on a first-in first-out (FIFO) basis. Interest income and
expenses are recognized on the accrual basis. Purchase discounts and
premiums are accreted and amortized over the life of each security and
recorded as interest income using a method which approximates the effective
interest method.
DISTRIBUTIONS TO SHAREHOLDERS--Distributions of net investment income for
each Portfolio are declared daily and paid monthly on the first business
day. Any net realized capital gains will be distributed at least annually.
FEDERAL INCOME TAXES--The Trust's policy is to comply with the requirements
of the Internal Revenue Code applicable to regulated investment companies
and to distribute all of its taxable income and net capital gains to its
shareholders. Accordingly, no provision for Federal income taxes is
required in the financial statements.
ORGANIZATION COSTS--The Trust incurred organization costs in connection
with its start-up. These costs have been deferred in the accounts of the
Portfolios and are being amortized on a straight-line basis over a period
of sixty months commencing with operations. In the event that any of the
initial shares of the Trust are redeemed by any holder thereof during the
period that the Trust is amortizing its organizational costs, the redemption
proceeds payable to the holder thereof by the Trust will be reduced by the
unamortized organizational costs in the same ratio as the number of initial
shares being redeemed bears to the number of initial shares outstanding at
the time of redemption.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued) CUFUND
May 31, 1997
USE OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS--The
preparation of financial statements, in conformity with generally accepted
accounting principles, requires management to make estimates and
assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expenses
during the reporting period. Actual results could differ from those
estimates.
OTHER--Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Trust
are prorated to the Portfolios on the basis of relative net assets.
3. Administrative and Distribution Agreements:
The Trust and the Administrator are parties to an administrative agreement
dated May 1, 1992, under which the Administrator provides services for a fee
that is computed daily and payable monthly, at an annual rate which is the
greater of .09% of the average daily net assets of the Trust up to $750 million,
and .0725% of the average daily net assets of the Trust exceeding $750 million,
or $214,000. Certain officers of the Trust are also officers of the
Administrator and/or Distributor. Such officers are paid no fees by the Trust
for serving in their respective roles.
SEI Investments Distribution Co. (the "Distributor") acts as the distributor of
the shares of the Trust. No compensation is paid to the Distributor for
distribution services.
4. Investment Advisory and Custodian Agreements:
The Trust and Southwest Corporate Federal Credit Union (the "Adviser") are
parties to an investment advisory agreement dated May 1, 1992, under which the
Adviser receives an annual fee, which is calculated daily and paid monthly, at
an annual rate of .32% of the average daily net assets of each Portfolio. The
Adviser has voluntarily agreed to waive all or a portion of its fees and
reimburse expenses in order to limit the total operating expenses of each
Portfolio to not more than .39% of each Portfolio's average daily net assets.
The Adviser reserves the right, in its sole discretion, to terminate this
voluntary fee waiver at any time.
The Trust and CoreStates Bank, N.A. (the "Custodian") are parties to a custodial
agreement dated May 1, 1992 under which the Custodian holds cash, securities and
other assets of the Trust as required by the Investment Company Act of 1940. The
Custodian plays no role in determining the investment policies of the Trust or
which securities are to be purchased or sold in the Portfolios.
5. Investment Transactions:
For the year ended May 31, 1997, purchases and sales of investment securities
and United States Government Obligations (other than short-term securities) were
as follows (000):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------- ---------------------
PURCHASES SALES PURCHASES SALES
--------- ------- ----------- ---------
Short-Term
Maturity
Portfolio $12,659 $17,658 $1,356 $ 2,448
Adjustable
Rate
Portfolio $19,094 $19,675 $0 $ 15,411
The total cost of securities held for federal income tax purposes at May 31,
1997 for the Short-Term Maturity Portfolio and the Adjustable Rate Portfolio
was not materially different from amounts reported for financial reporting
purposes. The Short-Term Maturity Portfolio had net unrealized depreciation of
($164,438),which was composed of gross unrealized appreciation of $5,229 and
gross unrealized depreciation of ($169,667) for tax purposes. The Adjustable
Rate Portfolio had net unrealized appreciation of $514,124, which was composed
of gross unrealized appreciation of $694,303 and gross unrealized depreciation
of($180,179) for tax purposes.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded) CUFUND
May 31, 1997
6. Capital Loss Carryforwards:
The capital loss carryforwards at May 31, 1997 for federal income tax purposes
are as follows:
EXPIRATION
AMOUNT DATE
-------- --------
Short-Term
Maturity Portfolio $383,533 2003
337,054 2004
32,759 2005
Adjustable Rate
Portfolio $ 4,605 2001
10,425 2002
558,430 2003
37,771 2004
46,794 2005
Subsequent to October 31, 1996 the Short-Term Maturity Portfolio recognized net
capital losses of $66,908 that have been deferred to 1997 for tax purposes. The
capital loss carryforwards and post October 31, 1996 deferred losses can be used
to offset future net realized gains.
7. Variable Rate Financial Instruments:
The Adjustable Rate Portfolio's investment policies include investing, under
normal circumstances, at least 65% of its assets in adjustable rate mortgage
securities or other adjustable rate securities that have interest rates that
reset at periodic intervals. Such securities may experience less price
volatility due to changes in market interest rates than other debt securities.
These investments include securities subject to interest rate caps as well as
certain securities that adjust based upon an index whose movements may not
correlate directly with market movements. Both of these items may influence the
pricing of the security. As with other securities, the market values are
adjusted on a daily basis.
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To the Shareholders and Board of Trustees of CUFUND:
We have audited the accompanying statements of net assets of the Adjustable Rate
and Short-Term Maturity Portfolios of CUFUND (the "Trust") as of May 31, 1997,
and the related statements of operations, changes in net assets, and financial
highlights for the periods presented. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and 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 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 May
31, 1997, by correspondence with the custodian. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Adjustable Rate and Short-Term Maturity Portfolios of CUFUND as of May 31, 1997,
the results of their operations, changes in their net assets, and financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, PA
July 2, 1997
<PAGE>
NOTICE TO SHAREHOLDERS
(Unaudited)
For Taxpayers filing on a calendar year basis, this notice is for informational
purposes only.
Dear CUFUND Shareholders:
For the fiscal year ended May 31, 1997, each Portfolio is designating long term
capital gains, qualifying dividends and exempt income with regard to
distributions paid during the fiscal year as follows:
<TABLE>
<CAPTION>
(A) (B)
LONG TERM ORDINARY (C) (E)
CAPITAL GAINS INCOME TOTAL (D) TAX (F)
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT FOREIGN
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS(1) INTEREST TAX CREDIT
--------- ------------ ----------- ------------ ----------- ------------------------
<S> <C> <C> <C> <C> <C> <C>
Adjustable Rate 0% 100% 100% 0% 0% 0%
Short-Term Maturity 0% 100% 100% 0% 0% 0%
- ------------
<FN>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on a percentage of the Portfolio's total
distributions.
** Items (D), (E) and (F) are based on a percentage of
ordinary income distributions of the Portfolio.
</FN>
</TABLE>
Please consult your tax adviser for proper treatment of this information.
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
INVESTMENT ADVISER
Southwest Corporate Federal Credit Union
7920 Belt Line Road, Suite 1100
Dallas, TX 75240
ADMINISTRATOR
SEI Fund Resources
One Freedom Valley Drive
Oaks, PA 19456
DISTRIBUTOR
SEI Investments Distribution Co.
One Freedom Valley Drive
Oaks, PA 19456
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
2000 One Logan Square
Philadelphia, PA 19103-6993
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
1601 Market Street
Philadelphia, PA 19103-2499
CUF-F-010-01
