CUFUND
======
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Short-Term Maturity Portfolio
[BULLET]
Adjustable Rate Portfolio
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SEMI-ANNUAL REPORT
TO
SHAREHOLDERS
11/30/99
THIS INFORMATION MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
CUSOURCE, LLC
INVESTMENT ADVISER
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<PAGE>
<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 seven year
period, the Short-Term Maturity Portfolio and the Adjustable Rate Portfolio have
given credit unions an excellent investment option.
CUFUND remains unique among mutual funds as it is the only mutual fund to be
advised by a company that is a wholly-owned subsidiary (CUSO) of a 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. It has
been our pleasure, the adviser, the administrator, and the distributor, to offer
CUFUND. We thank all credit unions for their support of and participation in
CUFUND.
Sincerely,
/s/signature omitted
President
1
<PAGE>
STATEMENT OF NET ASSETS CUFUND
November 30, 1999 (Unaudited)
SHORT-TERM MATURITY PORTFOLIO
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Par Value
Description (000) (000)
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U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS (83.7%)
FHLMC Pool # 1520-G
6.250%, 12/15/06 $ 977 $ 972
FHLMC Pool # E62015
6.000%, 07/01/09 415 398
FHLMC Pool # 1559
VP CMO
5.500%, 02/15/20 500 489
FHLMC Pool # L73564
CMO
5.000%, 03/01/01 320 309
FHLMC Pool # L73582
CM
5.000%, 04/01/01 14 14
FHLMC Pool # L73595
CMO
5.000%, 03/01/01 232 223
FHLMC Pool # L73633
CMO
5.000%, 04/01/01 150 145
FHLMC Series 1507,
Class G
5.500%, 10/15/19 1,000 966
FHLMC Series 1534,
Class E
6.000%, 12/15/17 539 539
FHLMC Series 1648,
Class AB
4.900%, 10/15/18 628 624
FHLMC Series 1665,
Class G
6.000%, 04/15/21 1,000 983
FHLMC Series 2131,
Class CA
6.000%, 03/15/18 1,000 978
FHLMC Series 1496,
Class E CMO
5.500%, 03/15/16 26 27
FHLMC Series 1512,
Class EB CMO
6.000%, 07/15/05 629 629
FHLMC Series 1556,
Class E CMO
5.600%, 10/15/08 642 640
FHLMC Series 1702,
Class PL CMO
5.000%, 10/15/16 204 203
FHLMC Series 1710,
Class C CM
6.100%, 02/15/24 190 189
FHLMC Series 1819,
Class A CMO
6.000%, 02/15/06 602 602
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Par Value
Description (000) (000)
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FHLMC Series 1490,
Class PE REMIC
5.750%, 07/15/06 $ 1216 $ 216
FHLMC Series 1496,
Class G REMIC
4.000%, 03/15/19 1,120 1,080
FHLMC Series 1640,
Class F REMIC (A)
5.838%, 10/15/07 129 130
FHLMC Series 1678,
Class A REMIC
5.500%, 10/15/07 278 277
FHLMC Series 1679,
Class A REMIC
5.250%, 09/15/06 52 151
FHLMC Series 1734,
Class E REMIC
6.000%, 10/15/06 1,507 1,503
FHLMC Series 2055,
Class OA REMIC
6.000%, 03/15/02 888 884
FNMA Pool # 50948
6.000%, 11/01/03 682 664
FNMA Pool # 190634
6.500%, 02/01/04 544 537
FNMA Pool # 263895
6.000%, 12/01/03 645 628
FNMA Pool # 284306
6.000%, 09/01/05 617 600
FNMA Pool # N96383
6.000%, 04/01/03 956 925
FNMA Series 1993-93,
Class D
5.850%, 02/25/06 432 431
FNMA Series 1993-106,
Class C
6.200%, 02/25/11 955 952
FNMA Series 1995-19,
Class A
6.500%, 10/25/00 788 786
FNMA Series 1626,
Class PN CMO
5.800%, 01/15/06 500 499
FNMA Series 1627,
Class 4 CMO
6.000%, 05/15/22 49 49
FNMA Series 1992-150,
Class FV CMO (A)
5.562%, 05/25/21 410 408
FNMA Series 1993-110,
Class E CMO
6.000%, 04/25/19 61 61
FNMA Series 1993-138,
Class E CMO
5.750%, 12/25/16 287 286
2
<PAGE>
STATEMENT OF NET ASSETS CUFUND
November 30, 1999 (Unaudited)
SHORT-TERM MATURITY PORTFOLIO
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Par Value
Description (000) (000)
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FNMA Series 1993-147,
Class PE CMO
5.000%, 08/25/23 $ 159 $ 159
FNMA Series 1993-201,
Class G CMO
3.500%, 05/25/19 500 471
FNMA Series 1993-204,
Class PD CMO
5.600%, 05/25/18 395 394
FNMA Series 1994-12,
Class PE CMO
5.750%, 04/25/07 256 255
FNMA Series 1997-53,
Class PA CMO
6.500%, 10/18/15 14 14
FMNA Series 1993-10,
PE REMIC
6.500%, 10/25/04 198 198
FNMA Series 1993-199,
Class E REMIC
5.850%, 05/25/19 343 341
FNMA Series 1993-212,
Class C REMIC
6.000%, 11/25/00 281 280
FNMA Series 1993-212,
Class E REMIC
5.300%, 11/25/00 729 723
FNMA Series 1994-27,
Class PK REMIC
6.500%, 06/25/00 251 250
FNMA Series 1994-72,
Class E REMIC
6.000%, 11/25/17 363 362
GNMA Series 1994-1,
Class PC REMIC
7.250%, 12/16/16 111 111
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Total U.S. Agency
Mortgage-Backed Obligations
(Cost $23,772) 23,555
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NON-AGENCY MORTGAGE-BACKED OBLIGATIONS (4.4%)
Countrywide Mortgage Securities
Series 1994-D,
Class A1 REMIC (A)
5.938%, 03/25/24 123 121
General Electric Capital
Mortgage Series 1994-5,
Class A4 CMO
6.500%, 02/25/24 388 387
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Par/Shares Value
Description (000) (000)
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General Electric Mortgage
Services Series 1994-13,
Class A1 REMIC
6.500%, 04/25/24 $ 237 $ 237
Prudential Home Mortgage
Securities Series 1993-43,
Class A1 REMIC
5.400%, 10/25/23 41 41
Prudential Home Mortgage
Securities Series 1993-54,
Class A21 REMIC
5.500%, 01/25/24 251 250
Residential Funding Mortgage
Securities Series 1993-S40,
Class A1 REMIC (A)
5.838%, 11/25/23 212 210
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Total Non-Agency Mortgage-
Backed Obligations
(Cost $1,255) 1,246
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U.S. GOVERNMENT AGENCY OBLIGATIONS (3.6%)
FNMA
6.250%, 06/16/00 1,000 1,001
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Total U.S. Government Agency
Obligations
(Cost $1,001) 1,001
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U.S. TREASURY OBLIGATIONS (3.3%)
U.S. Treasury Notes
4.250%, 11/15/03 1,000 936
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Total U.S. Treasury Obligations
(Cost $971) 936
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CASH EQUIVALENTS (4.9%)
SEI Daily Income Trust
Treasury Fund 1,387 1,387
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Total Cash Equivalents
(Cost $1,387) 1,387
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TOTAL INVESTMENTS (99.9%)
(Cost $28,386) 28,125
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OTHER ASSETS AND LIABILITIES, NET (0.1%) 18
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The accompanying notes are an integral part of these financial statements.
3
<PAGE>
STATEMENT OF NET ASSETS CUFUND
November 30, 1999 (Unaudited)
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 2,870,543 outstanding
shares of beneficial interest $29,101
Distributions in excess of net
investment income (35)
Accumulated net realized loss
on investments (662)
Net unrealized depreciation of
investments (261)
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Total Net Assets (100.0%) $28,143
========
Net Asset Value and Redemption
Price Per Share $9.80
========
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
(A) Adjustable Rate Features. Rate shown on the Statement of Net Assets is the
rate in effect on November 30, 1999.
ADJUSTABLE RATE PORTFOLIO
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Par Value
Description (000) (000)
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U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS (89.5%)
FHLMC Pool # l80052
6.000%, 01/01/01 $ 914 $ 885
FHLMC Pool # M80302
6.000%, 12/01/00 1,235 1,196
FHLMC Pool # 1559
Class VP CMO
5.500%, 02/15/20 1,000 978
FHLMC Pool # 970003
CMO (A)
6.645%, 01/01/23 1,801 1,831
FHLMC Pool # 970021
CMO (A)
6.884%, 01/01/23 2,370 2,393
FHLMC Series 1472,
Class F (A)
5.888%, 05/15/06 1,295 1,298
FHLMC Series 1507,
Class E
5.750%, 01/15/18 2,452 2,439
FHLMC Series 1529,
Class EB
5.900%, 06/15/00 518 517
FHLMC Series 1587,
Class F
5.888%, 07/15/08 613 615
FHLMC Series 1648,
Class AB
4.900%, 10/15/18 1,886 1,872
FHLMC Series 1693,
Class E
5.750%, 02/15/06 754 751
FHLMC Series 1353,
Class F CMO
5.108%, 08/15/07 1,346 1,315
FHLMC Series 1471,
Class H CMO
5.838%, 03/15/08 984 981
FHLMC Series 1551,
Class JA CMO
5.988%, 07/15/08 610 613
FHLMC Series 1595,
Class F CMO (A)
5.788%, 10/15/13 959 958
FHLMC Series 1604,
Class FH CMO
5.462%, 11/15/08 1,897 1,873
FHLMC Series 1625,
Class EA CMO
5.750%, 03/15/07 2,439 2,430
FHLMC Series 1630,
Class FC CMO
5.938%, 10/15/22 1,195 1,207
4
<PAGE>
STATEMENT OF NET ASSETS CUFUND
November 30, 1999 (Unaudited)
ADJUSTABLE RATE PORTFOLIO (continued)
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Par Value
Description (000) (000)
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FHLMC Series 1663,
Class PE CMO
5.850%, 09/15/19 $ 324 $ 323
FHLMC Series 1476,
Class F REMIC (A)
5.312%, 02/15/08 2,383 2,309
FHLMC Series 1500,
Class E REMIC
6.000%, 08/15/16 198 198
FHLMC Series 1506,
Class PE REMIC
5.650%, 07/15/05 102 102
FHLMC Series 1512,
Class M REMIC (A)
5.012%, 05/15/08 332 324
FHLMC Series 1541,
Class KM REMIC (A)
5.400%, 08/15/22 86 82
FHLMC Series 1546,
Class FC REMIC (A)
5.938%, 12/15/21 3,896 3,910
FHLMC Series 1598,
Class E REMIC
5.600%, 11/15/05 390 389
FHLMC Series 1611,
Class G REMIC (A)
5.938%, 05/15/21 3,083 3,090
FHLMC Series 1671,
Class J REMIC (A)
5.838%, 12/15/22 11,287 11,290
FHLMC Series 1695,
Class AK REMIC (A)
5.838%, 01/15/24 211 212
FHLMC Series 2055,
Class OA REMIC
6.000%, 03/15/02 1,777 1,768
FNMA Pool # 50759
6.000%, 07/01/00 925 895
FNMA Pool # 50968
6.000%, 01/01/04 1,353 1,314
FNMA Pool # 303768
6.000%, 06/01/01 1,015 982
FNMA Pool # 165655
CMO (A)
6.805%, 05/01/22 286 294
FNMA Pool # 166291
CMO (A)
6.669%, 06/01/22 1,345 1,380
FNMA Pool # 354900
CMO (A)
7.141%, 08/01/26 130 133
FNMA Pool # 359751
CMO (A)
7.610%, 09/01/26 409 419
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Par Value
Description (000) (000)
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FNMA Pool # 364612
CMO (A)
7.139%, 11/01/26 $ 246 $ 250
FNMA Series 1993-96,
Class PE
5.600%, 11/25/16 153 153
FNMA Series 1993-106,
Class C
6.200%, 02/25/11 3,821 3,808
FNMA Series 1993-168,
Class B
6.000%, 08/25/00 226 225
FNMA Series 1993-170,
Class E
5.750%, 08/25/06 1,210 1,203
FNMA Series 1993-202,
Class E
5.750%, 12/25/16 2,590 2,576
FNMA Series 1993-229,
Class PD
5.600%, 07/25/06 423 421
FNMA Series 1994-75,
Class E
6.600%, 09/25/18 3,364 3,361
FNMA Series 1995-19,
Class A
6.500%, 10/25/00 415 414
FNMA Series 1997-70,
Class FA (A)
5.950%, 07/18/20 631 631
FNMA Series G93-25,
Class JB
6.500%, 02/25/01 983 980
FNMA Series 1993,
Class 204 CMO
5.500%, 10/25/02 500 487
FNMA Series 1993,
Class C CMO
6.500%, 09/25/08 1,000 997
FNMA Series 1993-168,
Class FG CMO (A)
5.662%, 09/25/23 632 623
FNMA Series 1993-194,
Class F CMO
5.994%, 06/25/08 873 871
FNMA Series 1993-201,
Class G CMO
3.500%, 05/25/19 1,000 942
FNMA Series 1992-28,
Class F REMIC (A)
6.094%, 05/25/07 395 396
FNMA Series 1992-150,
Class FV REMIC (A)
5.562%, 05/25/21 820 816
5
<PAGE>
STATEMENT OF NET ASSETS CUFUND
November 30, 1999 (Unaudited)
ADJUSTABLE RATE PORTFOLIO (continued)
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Par Value
Description (000) (000)
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FNMA Series 1993-14,
Class G REMIC
6.000%, 06/25/19 $ 572 $ 568
FNMA Series 1993-58,
Class E REMIC
5.500%, 07/25/18 80 80
FNMA Series 1993-72,
Class F REMIC (A)
5.462%, 05/25/08 1,000 974
FNMA Series 1993-95,
Class PD REMIC
6.000%, 12/25/06 365 365
FNMA Series 1993-115,
Class E REMIC
5.500%, 04/25/19 298 297
FNMA Series 1993-116,
Class FA REMIC (A)
5.062%, 07/25/22 3,218 3,130
FNMA Series 1993-127,
Class EA REMIC
5.650%, 10/25/16 307 307
FNMA Series 1993-138,
Class E REMIC
5.750%, 12/25/16 603 601
FNMA Series 1993-168,
Class PE REMIC
6.000%, 08/25/17 855 852
FNMA Series 1993-209,
Class E REMIC
5.750%, 07/25/05 176 176
FNMA Series 1993-209,
Class FG REMIC (A)
5.462%, 08/25/08 2,095 2,063
FNMA Series 1993-210,
Class FB REMIC
5.994%, 10/25/22 2,020 2,025
FNMA Series 1993-212,
Class E REMIC
5.300%, 11/25/00 1,459 1,447
FNMA Series 1993-221,
Class F REMIC (A)
5.412%, 03/25/08 2,026 1,981
FNMA Series 1994-42,
Class FN REMIC (A)
5.062%, 03/25/23 2,868 2,749
FNMA Series 1994-87,
Class F REMIC (A)
6.044%, 03/25/09 917 913
FNMA Series 1997-20,
Class F REMIC (A)
5.230%, 03/25/27 6,813 6,749
GNMA Series 99-24,
Class FE (A)
5.659%, 04/20/25 5,000 4,970
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Par Value
Description (000) (000)
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GNMA Series 31,
Class FC REMIC (A)
6.025%, 08/25/23 $1,182 $ 1,188
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Total U.S. Agency Mortgage-
Backed Obligations
(Cost $104,823) 104,155
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NON-AGENCY MORTGAGE-BACKED OBLIGATIONS (7.4%)
DLJ Mortgage Acceptance
Series 1994-Q1,
Class 1A1 REMIC (A)
7.504%, 03/25/24 619 616
Fund America Investors II
Series 1993-J,
Class M REMIC (A)
7.523%, 11/25/23 454 452
Merrill Lynch Mortgage
Investments Series 1991-F,
Class A2 REMIC (A)
6.075%, 06/15/16 1,099 1,114
Merrill Lynch Mortgage
Investments Series 1992-C,
Class A2 REMIC (A)
6.288%, 06/15/17 1,686 1,685
Norwest Asset Securities
Series 1999-16,
Class A5 (A)
5.683%, 06/25/29 2,000 1,980
Resolution Trust Series 1992-3,
Class A4 REMIC (A)
5.988%, 09/25/30 257 257
Salomon Brothers Mortgage
Securities VII Series 1992-2,
Class A4 REMIC (A)
6.844%, 06/25/22 762 766
Salomon Brothers Mortgage
Securities VII Series 1992-4,
Class A5 REMIC (A)
6.980%, 09/25/22 354 347
Salomon Brothers Mortgage
Securities VII Series 1992-6,
Class A1 REMIC (A)
6.935%, 11/25/22 947 948
Securitized Assets Sales
Series 1993-8,
Class A2 REMIC (A)
7.012%, 12/26/23 466 460
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Total Non-Agency Mortgage-
Backed Obligations
(Cost $8,637) 8,625
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6
<PAGE>
STATEMENT OF NET ASSETS CUFUND
November 30, 1999 (Unaudited)
ADJUSTABLE RATE PORTFOLIO (concluded)
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Par Value
Description (000) (000)
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U.S. GOVERNMENT AGENCY OBLIGATIONS (0.9%)
Federal Farm Credit Bank
5.256%, 07/03/00 (A) $1,000 $ 998
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Total U.S. Government Agency
Obligations
(Cost $1,000) 998
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U.S. TREASURY OBLIGATIONS (1.6%)
U.S. Treasury Notes
4.250%, 11/15/03 2,000 1,873
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Total U.S. Treasury Obligations
(Cost $1,942) 1,873
--------
CASH EQUIVALENT (0.7%)
SEI Daily Income Trust
Treasury Fund 764 764
--------
Total Cash Equivalent
(Cost $764) 764
--------
TOTAL INVESTMENTS (100.1%)
(Cost $117,166) 116,415
--------
OTHER ASSETS AND LIABILITIES,
NET (-0.1%) (62)
--------
NET ASSETS:
Portfolio Shares -- (unlimited
authorization -- no par value)
based on 11,746,830 outstanding
shares of beneficial interest 117,743
Undistributed net investment income 37
Accumulated net realized loss
on investments (676)
Net unrealized depreciation of
investments (751)
--------
TOTAL NET ASSETS (100.0%) $116,353
========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE $9.91
========
CMO -- Collateralized Mortgage Obligation
DLJ -- Donaldson, Lufkin, & Jenrette
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
(A) Adjustable Rate Features. Rate shown on the Statement of Net Assets is the
rate in effect on November 30, 1999.
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
STATEMENT OF OPERATIONS CUFUND
For the period ended November 30, 1999 (Unaudited)
(IN THOUSANDS)
----------------------------------------------
SHORT-TERM MATURITY ADJUSTABLE RATE
PORTFOLIO PORTFOLIO
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Investment Income $ 792 $3,256
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Expenses:
Investment Advisory Fees 45 188
Waiver of Investment Advisory Fees (37) (143)
Administrator Fees 27 99
Custodian Fees 2 7
Professional Fees 8 34
Registration Fees 1 3
Insurance Expenses -- 1
Trustee Fees 2 8
Printing Fees 6 26
Transfer Agent Fees -- 2
Other 1 5
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Total Expenses 55 230
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Net Investment Income 737 3,026
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Net Unrealized Depreciation
0f Investments (197) (542)
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Net Realized and Unrealized
Loss on Investments (197) (542)
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Net Increase in Net Assets
Resulting from Operations 540 2,484
===============================================================================
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS CUFUND
(Unaudited)
<TABLE>
(IN THOUSANDS)
----------------------------------------------
SHORT-TERM MATURITY ADJUSTABLE RATE
PORTFOLIO PORTFOLIO
------------------------ ---------------------
06/01/99 06/01/98 06/01/99 06/01/98
TO 11/30/99 TO 05/31/99 TO 11/30/99 TO 05/31/99
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Activities:
Net Investment Income $ 737 $ 1,522 $ 3,026 $ 6,529
Net Realized Gain/(Loss) on Investments -- 158 -- (2)
Net Unrealized Depreciation of Investments (197) (78) (542) (659)
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Net Increase in Net Assets Resulting from Operations 540 1,602 2,484 5,868
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Distributions to Shareholders:
Net Investment Income (753) (1,534) (2,957) (6,511)
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Share Transactions:
Shares Issued in Lieu of Cash Distributions 30 76 276 575
Cost of Shares Redeemed -- (1,363) (1,031) (7,749)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase/(Decrease) in Net Assets from
Capital Share Transactions 30 (1,287) (755) (7,174)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Decrease in Net Assets (183) (1,219) (1,228) (7,817)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Beginning of Period 28,326 29,545 117,581 125,398
- -----------------------------------------------------------------------------------------------------------------------------------
End of Period (1) $28,143 $28,326 $116,353 $117,581
===================================================================================================================================
Capital Share Transactions:
Shares Issued in Lieu of Cash Distributions 3 8 28 58
Shares Redeemed -- (137) (104) (774)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Capital Share Transactions 3 (129) (76) (716)
===================================================================================================================================
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) Including undistributed net investment income (distributions in excess of
net investment income) (000) of $(35) and $(19) for Short-Term Maturity
Portfolio, $37 and $(32) for Adjustable Rate Portfolio at November 30, 1999
and May 31, 1999, respectively.
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
FINANCIAL HIGHLIGHTS CUFUND
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
RATIO RATIO OF RATIO OR RATIO OF NET
NET OF NET EXPENSES INVESTMENT
NET REALIZED AND DIVIDENDS NET EXPENSES INVEST- TO AVERAGE INCOME
ASSET NET UNREALIZED FROM NET CAPITAL ASSET ASSETS TO MENT NET ASSETS TO AVERAGE
VALUE INVEST- GAINS INVEST- GAINS VALUE END OF AVERAGE INCOME EXCLUD- NET ASSETS PORTFOLIO
BEGINNING MENT (LOSSES)ON MENT DISTRI- END OF TOTAL PERIOD NET TO AVERAGE ING (EXCLUDING TURNOVER
OF PERIOD INCOME INVESTMENTS INCOME BUTIONS PERIOD RETURN (000) ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Short-Term Maturity Portfolio
For the six month period ended November 30: (Unaudited)
1999* $ 9.88 0.26 (0.08) (0.26) -- $ 9.80 1.87%+ $ 28,143 0.39% 5.21% 0.65% 4.95% 46%
For the years ended May 31:
1999 $ 9.86 0.52 0.03 (0.53) -- $ 9.88 5.67% $ 28,326 0.39% 5.28% 0.61% 5.06% 130%
1998 9.80 0.53 0.06 (0.53) -- 9.86 6.17 29,545 0.39 5.37 0.59 5.17 76
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
Adjustable Rate Portfolio
For the six month period ended November 30: (Unaudited)
1999* $ 9.94 0.26 (0.04) (0.25) -- $ 9.91 2.24%+ $116,353 0.39% 5.14% 0.63% 4.90% 15%
For the years ended May 31:
1999 $10.00 0.54 (0.06) (0.54) -- $ 9.94 4.93% $117,581 0.39% 5.44% 0.60% 5.23% 35%
1998 10.01 0.56 (0.01) (0.56) -- 10.00 5.63 125,398 0.39 5.58 0.59 5.38 31
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
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
*Ratios for the period have been annualized.
+Returns are for the period indicated and have not been annualized.
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
NOTES TO FINANCIAL STATEMENTS CUFUND
November 30, 1999 (Unaudited)
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 Investments Mutual Funds Services
(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--Pursuant to policies established by the Board of
Trustees of the Trust, the Administrator values the securities of each
Portfolio based upon valuations provided by brokers or an independent
pricing service. The pricing services rely primarily on prices of actual
market transactions as well as trader quotations. However, the service may
also use a matrix system to determine valuations of fixed income
securities, which considers such factors as security prices, yields,
maturities, call features, ratings and developments relating to specific
securities in arriving at valuation. Debt obligations with sixty days or
less remaining until maturity may be valued at their amortized cost.
Investment securities for which market prices are either (i) not readily
available or not obtained, or (ii) deemed by the Adviser to be materially
inaccurate, are valued at fair value as determined in good faith under
procedures established 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.
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.
11
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded) CUFUND
November 30, 1999 (Unaudited)
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. Effective October 26, 1998, the minimum annual fee of $214,000 was
increased to $250,000. 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 CuSource, LLC (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. At
November 30, 1999, the Adviser is the record owner of 84.10% and 90.41% of the
outstanding shares of the Short-Term Maturity and Adjustable Rate Portfolios,
respectively.
The Trust and First Union National Bank, (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 period ended November 30, 1999, 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 $6,126 $ 4,867 -- $ 892
Adjustable
Rate
Portfolio $6,308 $13,395 -- $6,079
The total cost of securities held for federal income tax purposes at November
30, 1999 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
$(261,270), which was composed of gross unrealized appreciation of $1,439 and
gross unrealized depreciation of $(262,709) for tax purposes. The Adjustable
Rate Portfolio had net unrealized depreciation of $(751,191), which was composed
of gross unrealized appreciation of $143,000 and gross unrealized depreciation
of $(894,191) for tax purposes.
6. 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.
12
<PAGE>
NOTES
<PAGE>
INVESTMENT ADVISER
CUSOURCE, LLC
7920 Belt Line Road, Suite 1100
Dallas, TX 75240
ADMINISTRATOR
SEI Investments Mutual Funds Services
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-009-04
<PAGE>
