Your deposits are insured by the NCUA; a federal agency. The National Credit Union Administration (NCUA) is the federal agency that administers the National Credit Union Share Insurance Fund (NCUSIF).
The NCUSIF, like the FDIC's Deposit Insurance Fund, is a federal insurance fund backed by the full faith and credit of the U.S. Government. Rest assured that not one penny of insured savings has ever been lost by a member of a federally insured credit union.