N-CSR 1 d176382dncsr.htm SHAREHOLDER REPORT FOR ELFUN TAX-EXEMPT INCOME FUND Shareholder Report for Elfun Tax-Exempt Income Fund
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-02735

 

 

Elfun Tax-Exempt Income Fund

(Exact name of registrant as specified in charter)

 

 

1600 Summer Street

Stamford, Connecticut 06905

(Address of principal executive offices)(Zip code)

 

 

GE Asset Management, Inc.

1600 Summer Street

Stamford, Connecticut 06905

(Name and Address of Agent for Service)

 

 

Registrant’s telephone number, including area code: 800-242-0134

Date of fiscal year end: 12/31

Date of reporting period: 12/31/15

 

 

 


Table of Contents
Item 1. Reports to Stockholders


Table of Contents

Elfun Funds

 

Annual Report

December 31, 2015

 

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Table of Contents

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Notes to Performance

     1   

Manager Reviews and Schedules of Investments

  

Elfun International Equity Fund

     2   

Elfun Trusts

     9   

Elfun Diversified Fund

     14   

Elfun Tax-Exempt Income Fund

     35   

Elfun Income Fund

     44   

Elfun Government Money Market Fund

     60   

Notes to Schedules of Investments

     64   

Financial Statements

  

Financial Highlights

     65   

Statements of Assets and Liabilities

     72   

Statements of Operations

     74   

Statements of Changes in Net Assets

     76   

Notes to Financial Statements

     79   

Report of Independent Registered Public Accounting Firm

     92   

Tax Information

     93   

Advisory Agreement Renewal

     94   

Sub-Advisory Agreement

     97   

Additional Information

     99   

Investment Team

     102   

Shareholder Services

     105   

 

 

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current summary prospectus or prospectus.


Table of Contents

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Information on the following performance pages relates to the Elfun Funds.

Total returns take into account changes in share price and assume reinvestment of all dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at http://www.geam.com for the most recent month-end performance data.

A portion of the Elfun Tax-Exempt Income Fund’s income may be subject to state, federal and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax.

An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.

The Standard & Poor’s (“S&P”) 500® Composite Price Index of stocks (S&P 500 Index), Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE® Index), MSCI® ACWI ex-U.S. Index, Barclays U.S. Aggregate Bond Index, the Barclays U.S. Municipal Bond Index, and the 90 Day U.S. T-Bill are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect the fees, expenses or taxes.

S&P 500 Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.

MSCI® EAFE® Index is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.

 

MSCI ACWI Ex-U.S. Index is a market-capitalization weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S. based companies. The MSCI ACWI Ex-U.S. Index includes both developed and emerging markets.

Barclays U.S. Aggregate Bond Index is a market value-weighted index of taxable investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first-rate bond market.

Barclays U.S. Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed rate securities with maturities of at least eight years and less than twelve years.

The 90 Day U.S. T-Bill is an unmanaged measure/index of the performance of the most recently auctioned 90 Day U.S. Treasury bills (i.e. having a total maturity of 90 days) currently available in the marketplace.

The peer universe of underlying funds used for the peer group average annual total return calculation is based on the blend of Morningstar peer categories, as shown. Morningstar is an independent mutual fund rating service. A Fund’s performance may be compared to or ranked within a universe of mutual funds with investment objectives and policies similar but not necessarily identical to the Fund.

©2016 Morningstar, Inc. All Rights Reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damage or losses relating from any use of this information. Past performance is no guarantee of future results.

The views, expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.

GE Investment Distributors, Inc., member of FINRA, is the principal underwriter and distributor of the Elfun Funds and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Funds.

 

 

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Ralph R. Layman

Executive Vice President and

Chief Investment

Officer Emeritus

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Michael J. Solecki

Senior Vice President and Chief Investment Officer International Equities

The Elfun International Equity Fund is co-managed by Ralph R. Layman and Michael J. Solecki. Messrs. Layman and Solecki both manage the Fund as a collaborative team. Both portfolio managers have the authority to increase or decrease existing positions in the Fund. See portfolio managers’ biographical information beginning on page 98.

 

Q. How did the Elfun International Equity Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2015?

 

A. For the twelve-month period ended December 31, 2015, the Elfun International Equity Fund returned -0.18%. The MSCI EAFE Index, the Fund’s benchmark, returned -0.81% and the Fund’s Morningstar peer group of 821 Foreign Large Blend Funds returned an average of -1.64% over the same period. The Fund performed better than 63% of its Morningstar peer group in 2015.

 

Q. What market factors affected the Fund’s performance?

 

A. 2015 began on an optimistic note, with international equity markets surging strongly ahead, as central banks around the world eased monetary conditions in the face of very low inflation. Fears of slowing global growth, volatility in China, and various geo-political tensions soon began to weigh on the equity markets, which reached a high for the year in mid-May. From peak to trough in mid-September, the MSCI EAFE Index fell over 17%, narrowly avoiding the 20% pull-back that typically defines a bear market (a threshold it would pass in early 2016). The market recovered a bit from its September low but nevertheless finished the year down, the second year in a row of negative returns for the MSCI EAFE Index and the third year in a row that the international developed markets have lagged U.S. large caps.

 

     Underneath the overall market performance number was a significant amount of
  variability by region and industry. Japan, where the Fund was overweight relative to the MSCI EAFE Index, continued to be a bright spot, returning just under 10% and outperforming the broader index for the third year in a row. By contrast, the U.K. and the Pacific region excluding Japan were weak being more exposed to energy and emerging markets. By industry, the energy and materials sectors were predictably the weakest in 2015, impacted by plummeting commodity prices, while the relatively defensive consumer staples and healthcare enjoyed modest positive returns. In the currency markets, the U.S. dollar strengthened in 2015 against all major currencies, reducing realized returns for U.S. based investors in international equities.

 

Q. What were the primary drivers of Fund performance?

 

A. Among sectors, industrials was the biggest contributor to Fund returns, perhaps surprisingly given the negative sentiment around economic growth that existed much of the year. Within industrials, the Fund was overweight relative to the MSCI EAFE Index in areas such as aerospace, airlines, and building products, all of which had solid positive returns. Another positive area was the financial sector, where the Fund did well in insurance and banks both in Japan and the Eurozone. Geographically, the Fund benefitted from its large weight in Japan, where it held just under 30% of its assets on average during 2015, a significantly higher weight than the MSCI EAFE Index. Within Japan, the Fund’s holdings underperformed the MSCI EAFE Index, but still did better than the rest of the world and so helped overall performance.

 

    

Hurting performance this year were the Fund’s holdings in energy and mining. The Fund held only a small percent of its assets in these areas and a lower weight than the MSCI EAFE Index, but any exposure was painful, as the fall in commodity prices hurt

 

 

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  the sector. Related to this, the emerging markets region was under pressure in 2015 and another source of negative returns for the Fund. The Fund had both direct exposure, holding a small weight in companies based in emerging markets, and indirect exposure through developed market companies that sell into emerging market countries.

 

Q. Were there any significant changes to the Fund during the period?

 

A. Geographically, the Fund’s weights in Japan, Canada, and the Eurozone were reduced in 2015, while Continental Europe outside of the Eurozone and the U.K. were increased. These changes did not impact the Fund’s positioning relative to the MSCI EAFE Index, where the Fund’s biggest overweights remain Japan and the emerging markets region and biggest underweights remain the U.K. and the Pacific Basin.

 

     Similarly the Fund’s sector positioning relative to the Index changed little in 2015. The biggest changes were in industrials, which was reduced from a modest to a slight overweight, consumer discretionary, from a slight overweight to modest underweight, and consumer staples, where the Fund’s large underweight was reduced. Within industrials, machinery and professional services were reduced in favor of building products. In consumer discretionary, auto exposure was reduced in favor of leisure. In healthcare, while the overall weight didn’t change significantly, pharma was reduced in favor of healthcare equipment and services.

    

 

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2015.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during

the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

 

July 1, 2015 – December 31, 2015

 

        Account value at
the beginning of
the period ($)
       Account value
at the end of
the period ($)
       Expenses
paid during
the period ($)*
 

Actual Fund Return

       1,000.00           918.90           1.79   

Hypothetical 5% Return
(2.5% for the period)

       1,000.00           1,023.34           1.89   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 0.37%** (for the period July 1, 2015 – December 31, 2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**   May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

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Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income by investing principally in foreign securities consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks and invests primarily (meaning at least 65%) in companies in both developed and emerging market countries outside the United States.

 

Top Ten Largest Holdings

(as a % of Fair Value of Investments of $233,852 (in thousands) on December 31, 2015) (a)(b)

 

Roche Holding AG

     3.11%   

AIA Group Ltd.

     2.43%   

Nidec Corp.

     2.43%   

Continental AG

     2.34%   

Sanofi

     2.12%   

Baidu Inc. ADR

     2.09%   

Vodafone Group PLC

     2.05%   

Anheuser-Busch InBev S.A.

     1.99%   

BNP Paribas S.A.

     1.88%   

Toyota Motor Corp.

     1.85%   

 

Sector Allocation

Portfolio composition as a % of Fair Value of Investments of $233,852 (in thousands) on December 31, 2015 (a)(b)

 

 

 

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Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2015

 

      One
Year
    Five
Year
    Ten
Year
 

Number of funds in peer group

     821        699        529   

Peer group average annual total return

     -1.64     2.54     2.56

Morningstar Category in peer group: U.S. Foreign Large Blend

  

 

Change in Value of a $10,000 Investment

 

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Average Annual Total Return

For the periods ended December 31, 2015

 

(Inception date: 1/1/88)               
     One
Year
  Five
Year
  Ten
Year
  Ending Value of a
$10,000
Investment

Elfun International
Equity Fund

      -0.18%          2.67%          2.99%          $13,424   

MSCI EAFE Index

      -0.81%          3.61%          3.03%          $13,479   
 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Premier Class.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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Elfun International Equity Fund

  December 31, 2015

 

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Elfun International Equity Fund

 

     Number
of Shares
     Fair
Value
     

Common Stock — 95.5%†

  

   

Australia — 1.3%

  

 

Insurance Australia Group Ltd.

     746,565       $ 3,019,988     

Belgium — 2.0%

       

Anheuser-Busch InBev S.A.

     37,415         4,649,664     

Canada — 1.3%

       

Brookfield Asset Management Inc., Class A

     33,715         1,059,434     

Cenovus Energy Inc.

     166,236         2,094,255     
     3,153,689     

China — 2.1%

       

Baidu Inc. ADR

     25,824         4,881,769      (a)

France — 13.4%

       

Airbus Group SE

     18,642         1,255,550     

AXA S.A.

     142,904         3,916,620     

BNP Paribas S.A.

     77,637         4,404,925     

Credit Agricole S.A.

     182,632         2,158,518     

Safran S.A.

     26,294         1,810,048     

Sanofi

     58,134         4,963,666     

Schneider Electric SE

     42,171         2,407,793     

Technip S.A.

     62,762         3,118,137     

Total S.A.

     53,505         2,398,424     

Vivendi S.A.

     103,570         2,234,411     

Zodiac Aerospace

     109,834         2,621,896     
     31,289,988     

Germany — 8.9%

       

Bayer AG

     29,829         3,752,296     

Continental AG

     22,430         5,471,320     

Fresenius SE & Company KGaA

     50,928         3,649,664     

HeidelbergCement AG

     33,256         2,731,848     

Linde AG

     17,354         2,524,236     

SAP SE

     35,063         2,794,966     
     20,924,330     

Hong Kong — 2.4%

       

AIA Group Ltd.

     946,962         5,693,881     

India — 2.0%

       

ICICI Bank Ltd.

     561,369         2,214,716     

Larsen & Toubro Ltd.

     61,477         1,186,677     

Power Grid Corporation of India Ltd.

     621,316         1,331,266     
     4,732,659     

Ireland — 0.8%

       

Kerry Group PLC, Class A

     22,199         1,840,198     
     Number
of Shares
     Fair
Value
     

Italy — 1.4%

       

Intesa Sanpaolo S.p.A.

     962,834       $ 3,229,821     

Japan — 28.0%

       

Astellas Pharma Inc.

     134,800         1,940,282     

East Japan Railway Co.

     30,200         2,874,517     

FANUC Corp.

     18,900         3,311,958     

Fast Retailing Company Ltd.

     5,266         1,866,597     

Fuji Heavy Industries Ltd.

     46,600         1,947,364     

Hitachi Ltd.

     631,000         3,627,221     

Japan Post Holdings Company Ltd.

     76,000         1,178,270      (a)

Kao Corp.

     50,500         2,625,857     

Keyence Corp.

     4,800         2,676,620     

Mitsubishi Estate Company Ltd.

     179,459         3,764,618     

Mitsubishi Heavy Industries Ltd.

     559,000         2,478,197     

Mitsubishi UFJ Financial Group Inc.

     630,700         3,969,433     

Mitsui Fudosan Company Ltd.

     167,118         4,245,502     

Murata Manufacturing Company Ltd.

     17,597         2,570,176     

Nidec Corp.

     77,500         5,693,233     

Rakuten Inc.

     217,597         2,537,833      (a)

Secom Company Ltd.

     24,600         1,685,058     

Shimano Inc.

     8,700         1,349,532     

SoftBank Group Corp.

     72,701         3,710,141     

Sumitomo Mitsui Financial Group Inc.

     93,000         3,560,896     

Tokio Marine Holdings Inc.

     91,500         3,584,089     

Toyota Motor Corp.

     69,482         4,325,044     
     65,522,438     

Mexico — 0.4%

       

Grupo Financiero Banorte SAB de C.V., Class O

     173,832         954,150     

Netherlands — 3.0%

       

ASML Holding N.V.

     42,813         3,839,216     

ING Groep N.V.

     239,758         3,242,591     
     7,081,807     

Norway — 1.1%

       

Statoil ASA

     178,582         2,495,732     

South Korea — 0.9%

       

Samsung Electronics Company Ltd.

     1,955         2,100,806     

Spain — 0.6%

       

Banco Bilbao Vizcaya Argentaria S.A.

     199,324         1,459,166     

Sweden — 5.0%

       

Assa Abloy AB, Class B

     153,618         3,243,423     

Hexagon AB, Class B

     82,026         3,062,864     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun International Equity Fund

  December 31, 2015

 

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     Number
of Shares
     Fair
Value
     

Svenska Cellulosa AB SCA, Class B

     53,416       $ 1,561,816     

Telefonaktiebolaget LM Ericsson, Class B

     405,238         3,955,957     
     11,824,060     

Switzerland — 7.5%

       

Geberit AG

     6,967         2,367,805     

Givaudan S.A.

     1,726         3,143,355     

Nestle S.A.

     33,800         2,517,273     

Roche Holding AG

     26,338         7,272,551     

The Swatch Group AG

     6,219         2,175,718     
     17,476,702     

Taiwan — 1.4%

       

Taiwan Semiconductor Manufacturing Company Ltd.

     777,900         3,386,602     

United Kingdom — 12.0%

       

Barclays PLC

     1,193,380         3,850,282     

BHP Billiton PLC

     113,574         1,272,215     

Capita PLC

     58,199         1,036,217     

HSBC Holdings PLC

     185,477         1,465,834     

International Consolidated Airlines Group S.A.

     166,964         1,502,369     

Johnson Matthey PLC

     51,013         1,997,747     

Prudential PLC

     129,932         2,931,969     

Shire PLC

     38,222         2,646,638     

Smith & Nephew PLC

     218,499         3,890,312     

Vodafone Group PLC

     1,474,875         4,804,139     

WPP PLC

     122,925         2,831,831     
     28,229,553     

Total Common Stock
(Cost $218,447,011)

        223,947,003     
       

Short-Term Investments — 4.2%

  

   

State Street Institutional U.S. Government Money Market Fund — Premier Class

       

0.09%

      $ 9,904,614      (d,h,p)

(Cost $9,904,614)

       

Total Investments
(Cost $228,351,625)

        233,851,617     

Other Assets and Liabilities, net — 0.3%

        596,201     
     

 

 

   

NET ASSETS — 100.0%

      $ 234,447,818     
     

 

 

   
       

Other Information:

The Fund had the following long futures contracts open at December 31, 2015:

 

Description   Expiration
date
  Number
of
Contracts
  Current
Notional
Value
  Unrealized
Appreciation

EURO Stoxx 50 Index Futures

  March 2016       65       $ 2,317,404       $ 12,171  

FTSE 100 Index Futures

  March 2016       7         639,466         17,173  

Topix Index Futures

  March 2016       12         1,543,705         25,723  
             

 

 

 
              $ 55,067  
             

 

 

 

The Fund was invested in the following sectors at December 31, 2015 (unaudited):

 

Sector   Percentage
(based on
Fair Value)

Diversified Banks

      13.05%   

Pharmaceuticals

      8.80%   

Life & Health Insurance

      4.19%   

Electronic Equipment & Instruments

      4.01%   

Diversified Real Estate Activities

      3.88%   

Wireless Telecommunication Services

      3.64%   

Electrical Components & Equipment

      3.46%   

Integrated Oil & Gas

      2.99%   

Property & Casualty Insurance

      2.82%   

Automobile Manufacturers

      2.68%   

Industrial Machinery

      2.48%   

Aerospace & Defense

      2.43%   

Building Products

      2.40%   

Auto Parts & Equipment

      2.34%   

Specialty Chemicals

      2.20%   

Internet Software & Services

      2.09%   

Brewers

      1.99%   

Packaged Foods & Meats

      1.86%   

Communications Equipment

      1.69%   

Multi-Line Insurance

      1.67%   

Healthcare Equipment

      1.66%   

Semiconductor Equipment

      1.64%   

Healthcare Services

      1.56%   

Semiconductors

      1.45%   

Oil & Gas Equipment & Services

      1.33%   

Railroads

      1.23%   

Advertising

      1.21%   

Application Software

      1.19%   

Construction Materials

      1.17%   

Personal Products

      1.12%   

Electronic Components

      1.10%   

Internet Retail

      1.09%   

Industrial Gases

      1.08%   

Movies & Entertainment

      0.96%   

Apparel, Accessories & Luxury Goods

      0.93%   
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun International Equity Fund

  December 31, 2015

 

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Technology Hardware, Storage & Peripherals

      0.90%   

Apparel Retail

      0.80%   

Security & Alarm Services

      0.72%   

Household Products

      0.67%   

Airlines

      0.64%   

Leisure Products

      0.58%   

Electric Utilities

      0.57%   

Diversified Metals & Mining

      0.54%   

Construction & Engineering

      0.51%   

Human Resource & Employment Services

      0.44%   
   

 

 

 
      95.76%   
   

 

 

 
   
Short-Term Investments     

Short-Term Investments

      4.24%   
   

 

 

 
      4.24%   
   

 

 

 
      100.00%   
   

 

 

 

    

 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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David B. Carlson

Chief Investment Officer – U.S. Equities

The Elfun Trusts is managed by David B. Carlson. See portfolio managers’ biographical information beginning on page 98.

 

Q. How did the Elfun Trusts Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2015?

 

A. For the twelve-month period ended December 31, 2015, the Elfun Trusts Fund returned 1.70%. The S&P 500® Index (S&P 500 Index), the Fund’s benchmark, returned 1.38% and the Fund’s Morningstar peer group of 1,744 U.S. Large Cap Growth Funds returned an average of 3.57% over the same period.

 

Q. What market factors affected the Fund’s performance?

 

A. The overall market as measured by the S&P 500 was only up 1.4%, but the dividend yield was approximately 2%, so prices were generally lower for the year. More stocks declined in price than gained for the year. Earnings growth for the S&P 500 was flattish. Energy sector earnings were down sharply and the rest of the market’s earnings grew modestly. Elfun Trusts’ return was slightly better than the S&P 500 Index, but we trailed the median return of our Morningstar peer group of growth funds. In January of this year, Barron’s magazine recognized Elfun Trusts in an article on long term performance noting that Elfun Trusts was one of a small number of funds that have beaten the S&P 500 on a 1, 3, 5, 10, 15, and 25 rolling year basis.

 

Q. What were the primary drivers of Fund performance?

 

A. We look at performance in two buckets: sector allocation and stock selection. Last year, we did better in sector allocation than we did in stock selection, meaning our decision to underweight energy and overweight healthcare was more beneficial than our stock selection within sectors. Energy stocks were down about 20% last year and we owned less than the market.
  Healthcare stocks were up about 6% and make up 20% of the portfolio vs. 15% for the market. We were helped by our overweight in financial stocks which were up about 3% for the year.

 

     The technology sector is our largest weight representing 27% of the portfolio compared with 21% of the S&P 500. Stocks within the tech sector had a very wide range of performance and that was true of our holdings as well. Our holdings of Amazon (+118%) and Google (+45%) helped while our holdings of Qualcomm (-31%) and Baidu (-17%) hurt performance. Our decision to underweight energy, materials, utilities and industrials helped relative performance as all four sectors declined for the year.

 

Q. Were there any significant changes to the Fund during the period?

 

A. Changes in the portfolio were modest and our turnover rate remained below 20%. We continue to focus on the long term in our stock selection. We ended the year with 53 names in the portfolio, up from 51 at the start. We continue to have a growth tilt with overweights in the technology, healthcare and consumer-discretionary sectors. We have a growing weight in internet companies as we believe we are in an era of significant disruption to traditional business models. We are underweighted in cyclicals such as energy, materials and industrials. We have no holdings in the utility sector. It’s been six years since the last recession and bear market, and it’s been the slowest recovery on record in terms of economic growth. We think the slow growth continues and we are concentrated in companies with above-average organic growth, meaning they don’t need a strong economy to meet our growth expectations. We also favor financial strength, market leadership and great management teams. We believe this combination of high-quality characteristics in our companies will lead to long term outperformance in their share prices.
 

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2015.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during

the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

 

July 1, 2015 – December 31, 2015

 

        Account value at
the beginning of
the period ($)
       Account value
at the end of
the period ($)
       Expenses
paid during
the period ($)*
 

Actual Fund Return

       1,000.00           994.40           0.75   

Hypothetical 5% Return
(2.5% for the period)

       1,000.00           1,024.45           0.77   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 0.15%** (for the period July 1, 2015 – December 31, 2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**   May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

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Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income rather than current income. The Fund seeks to achieve its investment objectives by investing in equity securities of U.S. companies, such as common and preferred stocks.

 

Top Ten Largest Holdings

(as a % of Fair Value of Investments of $2,359,040 (in thousands) on December 31, 2015) (a)(b)

 

Visa Inc., Class A

     4.57%   

Allergan PLC

     4.50%   

PepsiCo Inc.

     4.07%   

Amazon.com Inc.

     4.01%   

Baidu Inc. ADR

     3.69%   

CME Group Inc.

     3.57%   

State Street Corp.

     3.38%   

Amgen Inc.

     3.37%   

Liberty Global PLC, Class C

     3.37%   

Comcast Corp., Class A

     3.35%   

 

Sector Allocation

Portfolio composition as a % of Fair Value of Investments of $2,359,040 (in thousands) on December 31, 2015 (a)(b)

 

 

 

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Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2015

 

      One
Year
    Five
Year
    Ten
Year
 

Number of funds in peer group

     1,744        1,547        1,330   

Peer group average annual total return

     3.57     11.37     6.70

Morningstar Category in peer group: U.S. Large Growth

  

 

Change in Value of a $10,000 Investment

 

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LOGO

 

Average Annual Total Return

For the periods ended December 31, 2015

 

(Inception date: 5/27/35)               
     One
Year
  Five
Year
  Ten
Year
  Ending Value of a
$10,000
Investment

Elfun Trusts

      1.70%          13.80%          8.41%          $22,425   

S&P 500 Index

      1.38%          12.57%          7.31%          $20,242   
 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Premier Class.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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Elfun Trusts

  December 31, 2015

 

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Elfun Trusts

 

     Number
of Shares
    

Fair

Value

     

Common Stock — 97.7%†

  

   

Aerospace & Defense — 1.0%

  

 

Hexcel Corp.

     130,000       $ 6,038,500     

Honeywell International Inc.

     160,000         16,571,200     
     22,609,700     

Air Freight & Logistics — 1.0%

  

 

United Parcel Service Inc., Class B

     250,000         24,057,500     

Application Software — 2.2%

  

 

Intuit Inc.

     550,000         53,075,000     

Asset Management & Custody Banks — 3.4%

State Street Corp.

     1,200,000         79,632,000      (e)

Biotechnology — 7.0%

  

 

Alexion Pharmaceuticals Inc.

     160,000         30,520,000      (a)

Amgen Inc.

     490,000         79,541,700     

Gilead Sciences Inc.

     550,000         55,654,500     
     165,716,200     

Broadcasting — 0.6%

  

 

Discovery Communications Inc.,
Class C

     550,000         13,871,000      (a)

Cable & Satellite — 7.5%

       

Comcast Corp., Class A

     1,400,000         79,002,000     

Liberty Global PLC, Class C

     1,950,000         79,501,500      (a)

Sirius XM Holdings Inc.

     4,500,000         18,315,000      (a)
     176,818,500     

Casinos & Gaming — 0.6%

  

 

Las Vegas Sands Corp.

     350,000         15,344,000     

Communications Equipment — 2.5%

QUALCOMM Inc.

     1,200,000         59,982,000     

Data Processing & Outsourced Services — 7.5%

Automatic Data Processing Inc.

     200,000         16,944,000     

Paychex Inc.

     170,000         8,991,300     

PayPal Holdings Inc.

     1,150,000         41,630,000      (a)

Square Inc. Class A

     60,000         785,400      (a)

Visa Inc., Class A

     1,390,000         107,794,500     
     176,145,200     

Diversified Banks — 3.2%

       

JPMorgan Chase & Co.

     1,150,000         75,934,500     
     Number
of Shares
    

Fair

Value

     

Environmental & Facilities Services — 0.2%

Stericycle Inc.

     45,000       $ 5,427,000      (a)

Fertilizers & Agricultural Chemicals — 3.0%

Monsanto Co.

     720,000         70,934,400     

Healthcare Equipment — 4.1%

Abbott Laboratories

     600,000         26,946,000     

Medtronic PLC

     900,000         69,228,000     
     96,174,000     

Healthcare Supplies — 1.2%

       

The Cooper Companies Inc.

     210,000         28,182,000     

Home Improvement Retail — 3.1%

Lowe’s Companies Inc.

     960,000         72,998,400     

Industrial Machinery — 0.7%

       

Dover Corp.

     275,000         16,860,250     

Integrated Oil & Gas — 1.3%

       

Chevron Corp.

     330,000         29,686,800     

Internet Retail — 4.0%

       

Amazon.com Inc.

     140,000         94,624,600      (a)

Internet Software & Services — 11.4%

Alibaba Group Holding Ltd. ADR

     80,000         6,501,600      (a)

Alphabet Inc., Class A

     38,000         29,564,380      (a)

Alphabet Inc., Class C

     83,000         62,987,040      (a)

Baidu Inc. ADR

     460,000         86,958,400      (a)

eBay Inc.

     1,700,000         46,716,000      (a)

Facebook Inc., Class A

     190,000         19,885,400      (a)

LinkedIn Corp., Class A

     70,000         15,755,600      (a)
     268,368,420     

Investment Banking & Brokerage — 2.6%

The Charles Schwab Corp.

     1,880,000         61,908,400     

Movies & Entertainment — 1.3%

The Walt Disney Co.

     300,000         31,524,000     

Oil & Gas Equipment & Services — 3.1%

Schlumberger Ltd.

     1,050,000         73,237,500     

Oil & Gas Exploration & Production — 0.7%

Anadarko Petroleum Corp.

     330,000         16,031,400     

Pharmaceuticals — 7.5%

Allergan PLC

     340,000         106,250,000      (a)

Johnson & Johnson

     460,000         47,251,200     

Merck & Company Inc.

     250,000         13,205,000     

Pfizer Inc.

     300,000         9,684,000     
     176,390,200     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun Trusts

  December 31, 2015

 

LOGO

 

     Number
of Shares
    

Fair

Value

     

Reinsurance — 0.4%

       

Alleghany Corp.

     20,000       $ 9,558,600      (a)

Soft Drinks — 4.1%

       

PepsiCo Inc.

     960,000         95,923,200     

Specialized Finance — 5.6%

CME Group Inc.

     930,000         84,258,000     

McGraw Hill Financial Inc.

     500,000         49,290,000     
     133,548,000     

Specialized REITs — 2.6%

American Tower Corp.

     640,000         62,048,000     

Technology Hardware, Storage & Peripherals — 3.2%

Apple Inc.

     720,000         75,787,200     

Trading Companies & Distributors — 1.1%

United Rentals Inc.

     360,000         26,114,400      (a)

Total Common Stock
(Cost $1,368,999,454)

        2,308,512,370     
       

Short-Term Investments — 2.1%

  

   

State Street Institutional U.S. Government Money Market
Fund — Premier Class

       

0.09%

      $ 50,527,506      (d,p)

(Cost $50,527,506)

       

Total Investments
(Cost $1,419,526,960)

        2,359,039,876     

Other Assets and Liabilities,
net — 0.2%

        5,279,602     
     

 

 

   

NET ASSETS — 100.0%

      $ 2,364,319,478     
     

 

 

   

    

 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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David Wiederecht

President and

Chief Investment

Officer – Investment Solutions

 

LOGO

Jeffrey Palma

Senior Vice President and Chief Market Strategist

The Elfun Diversified Fund is managed by Jeffrey Palma and David Wiederecht. Messrs. Palma and Wiederecht are vested with oversight authority for determining asset allocations for the Fund. Each of the U.S. equity, international equity and fixed income portions of the Fund are managed by separate teams of portfolio managers and analysts. The sub-portfolios underlying the Fund are managed independently of each other, and the portfolio managers have full discretion over their particular sub-portfolio; however, the portfolio management team is collaborative to ensure strict adherence to seek the Fund’s objective. See portfolio managers’ biographical information beginning on page 98.

 

Q. How did the Elfun Diversified Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2015?

 

A. For the twelve-month period ended December 31, 2015, the Elfun Diversified Fund returned -1.25%. The Fund’s broad based benchmarks, the S&P 500® Index (S&P 500 Index), the MSCI All Country World ex-U.S. Index, and the Barclays U.S. Aggregate Bond Index, returned 1.38%, -5.66%, and 0.55%, respectively. The Fund’s Morningstar peer group of 967 U.S. Moderate Allocation funds returned an average of -1.98% over the same period.

 

Q. What market factors affected the Fund’s performance?

 

A. 2015 was a challenging year for markets across asset classes. Indeed, returns were negative or only slightly positive in both equity and fixed income markets. Overall, global growth trends were challenging in 2015 with Global GDP expected to have decelerated to just 3.1% (from 3.4% in 2014). The US and Japan showed little change, Europe fared a bit better, but China and the emerging market complex was clearly weaker. For most of the second half of the year, economic growth surprised to the downside in the US, while Europe was a bit more resilient.
     Global equity market returns for the year were lackluster with only low single-digit total returns in most markets. The overhang of macro and policy uncertainty, weakness in energy markets, and weak earnings (and a strong dollar for US companies) were contributing fundamental factors. Further, PE multiples were unable to provide the support to drive gains. With valuations already above long-term averages, this is not particularly surprising, but underscores an ongoing headwind for equity returns moving forward. Indeed, it is difficult to count on valuations to drive returns higher at this advanced stage of the cycle.

 

     In 2015, most of the major fixed income markets saw rates move higher. In credit, returns struggled all year. With investment grade and high yield spreads both wider through 2015, returns were under pressure, while the rise in Treasury yields further depressed returns.

 

     On top of challenging returns, volatility across markets also presented a difficult market backdrop. The combination of macro weakness and uncertainty, policy shift from the Fed, weakness in commodity and credit markets, and geopolitical unrest created an unsettled environment. Alongside valuations and fundamentals, this combination resulted in low aggregate returns and weak returns in stocks and bonds.

 

Q. What were the primary drivers of Fund performance?

 

A. Soft returns in US equities acted as the biggest drag on performance. Moreover, an underweight allocation to fixed income markets was also a headwind as returns, though modest, were positive. Returns on cash were positive courtesy of tactical asset allocation positions taken on crude oil during the year and downside equity market hedges put in place in the second half of 2015.
 

 

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Q. Were there any significant changes to the Fund during the period?

 

A. Over the course of 2015, our allocation to equity markets declined slightly as we reduced our overweight position in US equity markets to neutral. Our positioning in international equities was relatively constant, though we did add a bit to Emerging Market equities towards the end of the year.

 

     We have maintained an underweight allocation to fixed income markets and a matching overweight position in cash for some time based on our view that valuations in bond markets are relatively unattractive and that tighter Fed policy could exert some upward pressure on bond yields. To that end, we have preferred to hold a larger position in cash than in our benchmark to reflect this view. Looking ahead, we expect another volatile and challenging environment in 2016. As a result, we have reduced our long-standing overweight allocation to equity markets back towards neutral. We believe there will be opportunities to take advantage of volatility through the year but managing downside risk will be a critical element of tactical asset allocation in the year ahead.

    

 

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2015.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during

the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

 

July 1, 2015 – December 31, 2015

 

        Account value at
the beginning of
the period ($)
       Account value
at the end of
the period ($)
      

Expenses

paid during
the period ($)*

 

Actual Fund Return

       1,000.00           964.90           1.78   

Hypothetical 5% Return
(2.5% for the period)

       1,000.00           1,023.39           1.84   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 0.36%** (for the period July 1, 2015 – December 31, 2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**   May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

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Investment Profile

A mutual fund designed for investors who seek the highest total return, composed of income and capital appreciation, as is consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing primarily in a combination of U.S. and foreign (non-U.S.) equity and debt securities and cash. The Fund’s asset allocation process utilizes information from GE Asset Management’s Asset Allocation Committee to diversify holdings across these asset classes and to adjust the asset class weightings based on market and economic conditions.

 

Top Ten Largest Equity Holdings

(as a % of Fair Value of Investments of $212,685 (in thousands) on December 31, 2015) (a)(b)

 

Allergan PLC

     1.14%   

Comcast Corp., Class A

     0.94%   

Amgen Inc.

     0.93%   

JPMorgan Chase & Co.

     0.87%   

Apple Inc.

     0.82%   

Baidu Inc. ADR

     0.80%   

Johnson & Johnson

     0.74%   

Exxon Mobil Corp.

     0.73%   

Cisco Systems Inc.

     0.72%   

Medtronic PLC

     0.70%   

 

Sector Allocation

Portfolio composition as a % of Fair Value of Investments of $212,685 (in thousands) on December 31, 2015 (a)(b)

 

 

 

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Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2015

 

      One
Year
    Five
Year
    Ten
Year
 

Number of funds in peer group

     967        834        670   

Peer group average annual total return

     -1.98     6.05     4.64

Morningstar Category in peer group: U.S. Moderate Allocation

  

 

Change in Value of a $10,000 Investment

 

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Average Annual Total Return

For the periods ended December 31, 2015

 

(Inception date: 1/1/88)

     One
Year
  Five
Year
  Ten
Year
  Ending Value of a
$10,000
Investment

Elfun Diversified Fund

      -1.25%          5.86%          4.50%          $15,525   

S&P 500 Index

      1.38%          12.57%          7.31%          $20,242   

MSCI All Country World Index ex-U.S.

      -5.66%          1.06%          2.92%          $13,338   

Barclays U.S. Aggregate Bond Index

      0.55%          3.25%          4.51%          $15,552   
 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Premier Class.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

Elfun Diversified Fund

 

     Number
of Shares
     Fair
Value
     

Domestic Equity — 31.3%

                     

Common Stock — 31.3%

       

Aerospace & Defense — 1.1%

       

General Dynamics Corp.

     4,206       $ 577,736     

Hexcel Corp.

     11,596         538,634     

Honeywell International Inc.

     8,411         871,127     

The Boeing Co.

     2,443         353,234     
        2,340,731     

Agricultural Products — 0.3%

       

Archer-Daniels-Midland Co.

     16,134         591,795     

Air Freight & Logistics — 0.1%

       

United Parcel Service Inc., Class B

     2,474         238,073     

Airlines — 0.4%

       

Delta Air Lines Inc.

     14,843         752,392     

Application Software — 0.2%

  

    

Intuit Inc.

     5,566         537,119     

Asset Management & Custody Banks — 1.4%

  

 

Ameriprise Financial Inc.

     7,886         839,228     

Invesco Ltd.

     31,184         1,044,040     

State Street Corp.

     15,400         1,021,944      (e)
        2,905,212     

Automobile Manufacturers — 0.2%

  

    

Ford Motor Co.

     30,924         435,719     

Automotive Retail — 0.1%

       

Advance Auto Parts Inc.

     928         139,673     

Biotechnology — 1.8%

  

    

Alexion Pharmaceuticals Inc.

     3,463         660,567      (a)

Amgen Inc.

     12,215         1,982,861     

Gilead Sciences Inc.

     12,265         1,241,096     
        3,884,524     

Broadcasting — 0.1%

       

CBS Corp., Class B

     4,020         189,463     

Cable & Satellite — 1.5%

       

Comcast Corp., Class A

     35,431         1,999,372     

Liberty Global PLC, Class C

     19,482         794,281      (a)

Sirius XM Holdings Inc.

     80,402         327,236      (a)
        3,120,889     

Casinos & Gaming — 0.1%

       

Las Vegas Sands Corp.

     5,133         225,031     
     Number
of Shares
     Fair
Value
     

Communications Equipment — 1.3%

  

    

Cisco Systems Inc.

     56,436       $ 1,532,520     

QUALCOMM Inc.

     22,861         1,142,707     
        2,675,227     

Consumer Finance — 0.5%

       

Discover Financial Services

     18,400         986,608     

Data Processing & Outsourced Services — 0.7%

  

 

PayPal Holdings Inc.

     11,133         403,015      (a)

Visa Inc., Class A

     13,606         1,055,145     
        1,458,160     

Diversified Banks — 2.3%

       

Bank of America Corp.

     82,033         1,380,616     

Citigroup Inc.

     3,711         192,044     

JPMorgan Chase & Co.

     27,938         1,844,746     

Wells Fargo & Co.

     25,976         1,412,055     
        4,829,461     

Diversified Chemicals — 0.1%

  

    

The Dow Chemical Co.

     2,165         111,454     

Drug Retail — 0.1%

       

CVS Health Corp.

     1,546         151,152     

Electric Utilities — 0.2%

       

NextEra Energy Inc.

     4,720         490,361     

Fertilizers & Agricultural Chemicals — 0.3%

  

    

Monsanto Co.

     6,494         639,789     

General Merchandise Stores — 0.3%

  

    

Dollar General Corp.

     9,092         653,442     

Healthcare Distributors — 0.2%

       

Cardinal Health Inc.

     5,566         496,877     

Healthcare Equipment — 0.9%

       

Abbott Laboratories

     14,843         666,599     

Boston Scientific Corp.

     51,643         952,297      (a)

Stryker Corp.

     2,714         252,239     
     1,871,135     

Healthcare Supplies — 0.2%

       

The Cooper Companies Inc.

     3,031         406,760     

Home Improvement
Retail — 0.6%

       

Lowe’s Companies Inc.

     16,173         1,229,795     

Household Products — 0.1%

       

The Procter & Gamble Co.

     2,448         194,396     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

18


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

     Number
of Shares
     Fair
Value
     

Independent Power Producers & Energy Traders — 0.1%

  

 

Calpine Corp.

     9,252       $ 133,876      (a)

Industrial Machinery — 0.4%

       

Ingersoll-Rand PLC

     16,699         923,288     

Integrated Oil & Gas — 1.5%

       

Chevron Corp.

     7,267         653,740     

Exxon Mobil Corp.

     20,038         1,561,962     

Occidental Petroleum Corp.

     14,192         959,521     
     3,175,223     

Integrated Telecommunication Services — 0.2%

  

 

Verizon Communications Inc.

     8,659         400,219     

Internet Retail — 0.5%

       

Amazon.com Inc.

     1,608         1,086,831      (a)

Internet Software & Services — 1.8%

  

    

Alphabet Inc., Class A

     1,273         990,407      (a)

Alphabet Inc., Class C

     1,546         1,173,228      (a)

eBay Inc.

     26,986         741,575      (a)

Facebook Inc., Class A

     5,257         550,198      (a)

LinkedIn Corp., Class A

     1,484         334,019      (a)
     3,789,427     

Investment Banking & Brokerage — 0.3%

  

    

The Charles Schwab Corp.

     22,265         733,186     

IT Consulting & Other Services — 0.1%

  

    

Cognizant Technology Solutions Corp., Class A

     4,112         246,802      (a)

Life & Health Insurance — 0.2%

       

Lincoln National Corp.

     6,803         341,919     

Movies & Entertainment — 0.7%

       

The Walt Disney Co.

     5,937         623,860     

Time Warner Inc.

     13,452         869,941     
     1,493,801     

Multi-Line Insurance — 0.7%

       

American International Group Inc.

     6,497         402,619     

The Hartford Financial Services Group Inc.

     22,977         998,581     
     1,401,200     

Multi-Utilities — 0.3%

       

Dominion Resources Inc.

     8,102         548,019     

Oil & Gas Equipment & Services — 0.5%

  

    

Schlumberger Ltd.

     13,827         964,433     
     Number
of Shares
     Fair
Value
     

Oil & Gas Exploration & Production — 0.4%

  

    

Hess Corp.

     14,952       $ 724,873     

Marathon Oil Corp.

     12,354         155,537     
     880,410     

Packaged Foods & Meats — 0.4%

  

 

Mondelez International Inc., Class A

     17,317         776,494     

Paper Packaging — 0.1%

       

Packaging Corporation of America

     2,165         136,503     

Pharmaceuticals — 2.9%

       

Allergan PLC

     7,789         2,434,062      (a)

Johnson & Johnson

     15,342         1,575,930     

Merck & Company Inc.

     24,430         1,290,393     

Pfizer Inc.

     24,275         783,597     
     6,083,982     

Railroads — 0.1%

       

CSX Corp.

     5,257         136,419     

Regional Banks — 0.1%

       

First Republic Bank

     2,288         151,145     

Research & Consulting Services — 0.4%

  

 

Nielsen Holdings PLC

     19,502         908,793     

Semiconductor Equipment — 0.4%

  

 

Applied Materials Inc.

     42,056         785,186     

Soft Drinks — 0.7%

       

PepsiCo Inc.

     14,503         1,449,140     

Specialized Finance — 0.7%

  

 

CME Group Inc.

     8,349         756,419     

McGraw Hill Financial Inc.

     7,422         731,661     
        1,488,080     

Specialized REITs — 0.7%

       

American Tower Corp.

     12,988         1,259,187     

Extra Space Storage Inc.

     2,474         218,231     
        1,477,418     

Systems Software — 0.5%

       

Microsoft Corp.

     8,195         454,659     

Oracle Corp.

     12,679         463,164     

VMware Inc., Class A

     3,808         215,418      (a)
        1,133,241     

Technology Hardware, Storage & Peripherals — 1.3%

  

 

Apple Inc.

     16,637         1,751,211     

HP Inc.

     36,800         435,712     

Western Digital Corp.

     9,741         584,947     
        2,771,870     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

19


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

     Number
of Shares
     Fair
Value
     

Trading Companies & Distributors — 0.2%

  

 

United Rentals Inc.

     7,422       $ 538,392      (a)

Total Common Stock
(Cost $58,095,321)

        65,510,535     
       

Preferred Stock — 0.0%*

                     

Diversified Banks — 0.0%*

       

Wells Fargo & Co.

     2,735         71,438     

Total Preferred Stock
(Cost $68,375)

        71,438     

Total Domestic Equity
(Cost $58,163,696)

        65,581,973     
       

Foreign Equity — 20.7%

                     

Common Stock — 20.7%

       

Advertising — 0.2%

       

WPP PLC

     21,736         500,734     

Aerospace & Defense — 0.5%

       

Airbus Group SE

     3,296         221,988     

Safran S.A.

     4,649         320,032     

Zodiac Aerospace

     19,421         463,607     
        1,005,627     

Airlines — 0.1%

       

International Consolidated Airlines Group S.A.

     29,523         265,653     

Apparel Retail — 0.2%

       

Fast Retailing Company Ltd.

     914         323,978     

Apparel, Accessories & Luxury Goods — 0.2%

  

 

The Swatch Group AG

     1,100         384,835     

Application Software — 0.2%

       

SAP SE

     6,200         494,219     

Auto Parts & Equipment — 0.7%

       

Continental AG

     3,966         967,421     

Delphi Automotive PLC

     5,659         485,146     
        1,452,567     

Automobile Manufacturers — 0.5%

  

    

Fuji Heavy Industries Ltd.

     8,200         342,669     

Toyota Motor Corp.

     12,330         767,505     
        1,110,174     
     Number
of Shares
     Fair
Value
     

Brewers — 0.4%

       

Anheuser-Busch InBev S.A.

     6,616       $ 822,188     

Building Products — 0.5%

       

Assa Abloy AB, Class B

     27,163         573,508     

Geberit AG

     1,232         418,707     
        992,215     

Communications Equipment — 0.3%

  

    

Telefonaktiebolaget LM Ericsson, Class B

     71,656         699,510     

Construction & Engineering — 0.1%

  

 

Larsen & Toubro Ltd.

     10,870         209,821     

Construction Materials — 0.2%

       

HeidelbergCement AG

     5,880         483,019     

Diversified Banks — 2.6%

       

Banco Bilbao Vizcaya Argentaria S.A.

     35,245         258,014     

Barclays PLC

     211,017         680,818     

BNP Paribas S.A.

     13,747         779,970     

Credit Agricole S.A.

     32,294         381,681     

Grupo Financiero Banorte SAB de C.V., Class O

     30,737         168,713     

HSBC Holdings PLC

     32,797         259,196     

ICICI Bank Ltd.

     99,263         391,613     

ING Groep N.V.

     42,395         573,368     

Intesa Sanpaolo S.p.A.

     170,251         571,106     

Mitsubishi UFJ Financial Group Inc.

     111,500         701,747     

Sumitomo Mitsui Financial Group Inc.

     16,400         627,943     
        5,394,169     

Diversified Metals & Mining — 0.1%

  

 

BHP Billiton PLC

     20,083         224,963     

Diversified Real Estate Activities — 0.8%

  

 

Brookfield Asset Management Inc., Class A

     5,962         187,345     

Mitsubishi Estate Company Ltd.

     31,918         669,563     

Mitsui Fudosan Company Ltd.

     29,306         744,496     
        1,601,404     

Electric Utilities — 0.1%

       

Power Grid Corporation of India Ltd.

     109,861         235,394     

Electrical Components & Equipment — 0.7%

  

 

Nidec Corp.

     13,700         1,006,417     

Schneider Electric SE

     7,457         425,764     
        1,432,181     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

20


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

     Number
of Shares
     Fair
Value
     

Electronic Components — 0.2%

       

Murata Manufacturing Company Ltd.

     3,100       $ 452,779     

Electronic Equipment & Instruments — 0.8%

  

 

Hexagon AB, Class B

     14,504         541,582     

Hitachi Ltd.

     111,500         640,943     

Keyence Corp.

     900         501,866     
        1,684,391     

Healthcare Equipment — 1.0%

       

Medtronic PLC

     19,296         1,484,248     

Smith & Nephew PLC

     38,636         687,903     
        2,172,151     

Healthcare Services — 0.3%

       

Fresenius SE & Company KGaA

     9,005         645,327     

Household Products — 0.1%

       

Svenska Cellulosa AB SCA, Class B

     9,445         276,160     

Human Resource & Employment Services — 0.1%

  

 

Capita PLC

     10,291         183,228     

Industrial Gases — 0.2%

       

Linde AG

     3,069         446,403     

Industrial Machinery — 0.5%

       

FANUC Corp.

     3,300         578,278     

Mitsubishi Heavy Industries Ltd.

     99,000         438,894     
        1,017,172     

Integrated Oil & Gas — 0.8%

       

Cenovus Energy Inc.

     29,506         372,366     

Cenovus Energy Inc.

     29,394         370,308     

Statoil ASA

     31,577         441,297     

Total S.A.

     9,461         424,100     
        1,608,071     

Internet Retail — 0.2%

       

Rakuten Inc.

     38,500         449,025     

Internet Software & Services — 0.8%

  

 

Baidu Inc. ADR

     9,016         1,704,385      (a)

Leisure Products — 0.1%

       

Shimano Inc.

     1,500         232,678     

Life & Health Insurance — 0.8%

       

AIA Group Ltd.

     167,387         1,006,463     

Japan Post Holdings Company Ltd.

     13,200         204,647      (a)
     Number
of Shares
     Fair
Value
     

Prudential PLC

     22,975       $ 518,440     
        1,729,550     

Movies & Entertainment — 0.2%

       

Vivendi S.A.

     18,314         395,105     

Multi-Line Insurance — 0.3%

       

AXA S.A.

     25,269         692,556     

Oil & Gas Equipment & Services — 0.3%

  

    

Technip S.A.

     11,098         551,370     

Packaged Foods & Meats — 0.4%

       

Kerry Group PLC, Class A

     3,981         330,007     

Nestle S.A.

     5,977         445,140     
        775,147     

Personal Products — 0.2%

       

Kao Corp.

     8,900         462,775     

Pharmaceuticals — 1.7%

       

Astellas Pharma Inc.

     23,800         342,572     

Bayer AG

     5,274         663,435     

Roche Holding AG

     4,657         1,285,909     

Sanofi

     10,279         877,654     

Shire PLC

     6,759         468,019     
        3,637,589     

Property & Casualty Insurance — 0.9%

  

    

ACE Ltd.

     5,556         649,219     

Insurance Australia Group Ltd.

     132,010         534,004     

Tokio Marine Holdings Inc.

     16,200         634,560     
        1,817,783     

Railroads — 0.3%

       

East Japan Railway Co.

     5,300         504,468     

Security & Alarm Services — 0.2%

  

 

Secom Company Ltd.

     4,300         294,543     

Semiconductor Equipment — 0.3%

  

 

ASML Holding N.V.

     7,570         678,833     

Semiconductors — 0.3%

       

Taiwan Semiconductor Manufacturing Company Ltd.

     137,484         598,539     

Specialty Chemicals — 0.4%

       

Givaudan S.A.

     305         555,460     

Johnson Matthey PLC

     9,020         353,237     
        908,697     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

21


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

     Number
of Shares
     Fair
Value
     

Technology Hardware, Storage & Peripherals — 0.2%

  

 

Samsung Electronics Company Ltd.

     346       $ 371,805     

Wireless Telecommunication Services — 0.7%

  

 

SoftBank Group Corp.

     12,900         658,324     

Vodafone Group PLC

     260,790         849,476     
        1,507,800     

Total Foreign Equity
(Cost $43,022,492)

        43,430,981     
       
          Principal
Amount
     Fair
Value
     

Bonds and Notes — 31.2%

                     

U.S. Treasuries — 5.0%

  

    

U.S. Treasury Bonds

       
2.50%    02/15/45    $ 220,800       $ 197,703     
3.13%    11/15/41      1,211,000         1,248,532     

U.S. Treasury Notes

       
0.63%    05/31/17      1,987,100         1,978,369      (h)
0.88%    10/15/18      1,230,000         1,216,570      (h)
1.38%    10/31/20      3,287,200         3,229,934      (h)
1.88%    10/31/22      2,664,300         2,630,626      (h)
2.00%    08/15/25      55,200         53,819      (h)
           10,555,553     

Agency Mortgage Backed — 7.8%

  

    

Federal Home Loan Mortgage Corp.

       
4.50%    06/01/33 - 02/01/35      4,192         4,532     
5.00%    07/01/35 - 06/01/41      238,142         265,589     
5.50%    05/01/20 - 04/01/39      61,089         68,877     
6.00%    04/01/17 - 11/01/37      155,150         175,837     
6.50%    11/01/28 - 07/01/29      7,201         8,199     
7.00%    10/01/16 - 08/01/36      23,457         26,355     
7.50%    09/01/33      1,235         1,308     
8.00%    07/01/26 - 11/01/30      2,423         2,658     
8.50%    04/01/30      7,392         8,986     

Federal National Mortgage Assoc.

       
2.22%    04/01/37      533         542      (i)
3.00%    02/01/43 - 06/01/43      2,568,267         2,576,197     
3.50%    11/01/42 - 08/01/45      2,600,410         2,685,213     
4.00%    05/01/19 - 03/01/44      1,401,415         1,489,230     
4.50%    05/01/18 - 01/01/41      1,528,873         1,653,315     
5.00%    07/01/20 - 06/01/41      415,143         465,029     
5.50%    06/01/20 - 01/01/39      280,778         312,871     
6.00%    02/01/20 - 05/01/41      735,696         837,122     
6.50%    08/01/17 - 08/01/36      29,589         32,991     
7.00%    10/01/16 - 12/01/33      2,073         2,155     
7.50%    12/01/26 - 12/01/33      6,310         7,110     
8.00%    06/01/24 - 01/01/33      10,390         10,947     
          Principal
Amount
     Fair
Value
     
9.00%    12/01/17 - 12/01/22    $ 1,910       $ 2,070     
2.50%    TBA      944,461         951,725      (c)
3.00%    TBA      40,000         39,986      (c)
3.50%    TBA      1,026,138         1,058,355      (c)
4.00%    TBA      268,888         284,460      (c)
5.00%    TBA      260,000         286,151      (c)

Government National Mortgage Assoc.

       
3.00%    04/20/43 - 06/20/43      569,152         578,902     
3.50%    05/20/43      523,786         547,344     
4.00%    01/20/41 - 04/20/43      616,410         659,885     
4.50%    08/15/33 - 03/20/41      299,396         326,010     
5.00%    08/15/33      13,350         14,846     
6.00%    07/15/33 - 09/15/36      12,569         14,631     
6.50%    04/15/28 - 07/15/36      16,078         18,393     
7.00%    04/15/28 - 10/15/36      8,411         9,233     
7.50%    07/15/23 - 04/15/28      15,196         15,578     
8.00%    05/15/30      462         523     
8.50%    10/15/17      1,925         1,983     
9.00%    11/15/16 - 12/15/21      2,272         2,374     
3.00%    TBA      473,786         480,038      (c)
5.00%    TBA      400,000         438,158      (c)
5.50%    TBA      50,000         55,545      (c)
           16,421,253     

Agency Collateralized Mortgage Obligations — 0.1%

  

 

Collateralized Mortgage Obligation Trust

       
0.01%    11/01/18      178         177      (d,f)

Federal Home Loan Mortgage Corp.

       
0.08%    09/25/43      207,793         592      (g,i)

Federal Home Loan Mortgage Corp. REMIC

       
3.50%    11/15/24 - 11/15/30      198,301         16,008      (g)
5.50%    06/15/33      10,570         2,211      (g)
6.27%    08/15/25      83,418         8,218      (g,i)
7.50%    07/15/27      8,859         1,173      (g)
8.00%    04/15/20      81         84     

Federal Home Loan Mortgage Corp. STRIPS

       
1.47%    08/01/27      391         355      (d,f)
5.62%    08/15/43      182,272         39,388      (g,i)
8.00%    02/01/23 - 07/01/24      1,564         328      (g)

Federal National Mortgage Assoc. REMIC

       
0.51%    12/25/22      552         534      (d,f)
1.22%    12/25/42      47,594         1,581      (g,i)
5.00%    09/25/40      100,758         10,820      (g)
5.58%    07/25/38      21,757         3,003      (g,i)
7.08%    05/25/18      38,471         2,165      (g,i)
8.00%    05/25/22      2         28      (g)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

22


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Federal National Mortgage Assoc. STRIPS

       
4.50%    08/25/35 - 01/25/36    $ 29,356       $ 5,281      (g)
5.00%    03/25/38 - 05/25/38      16,661         3,016      (g)
5.50%    12/25/33      5,065         990      (g)
6.00%    01/25/35      13,557         2,797      (g)
7.50%    11/25/23      15,170         3,252      (g)
8.00%    08/25/23 - 07/25/24      3,254         691      (g)
8.50%    03/25/17 - 07/25/22      620         74      (g)
9.00%    05/25/22      457         80      (g)

Government National Mortgage Assoc.

       
4.50%    10/20/37 - 08/16/39      146,578         9,994      (g)
5.00%    10/20/37 - 09/20/38      62,980         3,719      (g)
5.85%    02/20/40      77,252         13,218      (g,i)
6.46%    01/16/40      126,101         23,302      (g,i)
           153,079     

Corporate Notes — 14.5%

       

21st Century Fox America Inc.

       
3.70%    10/15/25      23,000         22,959      (b)
4.95%    10/15/45      9,000         8,864      (b)
6.65%    11/15/37      55,000         63,913     

ABB Finance USA Inc.

       
1.63%    05/08/17      76,000         76,054     

AbbVie Inc.

       
1.75%    11/06/17      68,000         67,872     
2.00%    11/06/18      57,000         56,761     
2.50%    05/14/20      95,000         94,061     
3.60%    05/14/25      36,000         35,534     
4.70%    05/14/45      20,000         19,559     

ACCO Brands Corp.

       
6.75%    04/30/20      97,000         99,910     

ACE INA Holdings Inc.

       
2.30%    11/03/20      94,000         93,366     
3.15%    03/15/25      66,000         65,267     
3.35%    05/03/26      66,000         65,810     
4.35%    11/03/45      20,000         20,325     

Actavis Funding SCS

       
1.30%    06/15/17      110,000         108,959     
3.00%    03/12/20      47,000         46,963     
3.45%    03/15/22      66,000         66,105     
3.80%    03/15/25      94,000         93,529     
4.75%    03/15/45      10,000         9,749     

Activision Blizzard Inc.

       
5.63%    09/15/21      98,000         102,655      (b)

Aetna Inc.

       
3.50%    11/15/24      59,000         58,939     

Agrium Inc.

       
3.38%    03/15/25      23,000         20,996     
4.90%    06/01/43      41,000         36,676     

Altria Group Inc.

       
2.95%    05/02/23      39,000         37,957     
          Principal
Amount
     Fair
Value
     
4.50%    05/02/43    $ 39,000       $ 36,989     

American Axle & Manufacturing Inc.

       
6.25%    03/15/21      52,000         53,820     
6.63%    10/15/22      20,000         20,950     

American Campus Communities Operating Partnership LP

       
3.35%    10/01/20      38,000         37,956     
4.13%    07/01/24      28,000         27,805     

American Electric Power Company Inc.

       
2.95%    12/15/22      75,000         74,126     

American Express Co.

       
3.63%    12/05/24      93,000         91,016     

American Express Credit Corp.

       
2.60%    09/14/20      94,000         94,265     

American International Group Inc.

       
3.75%    07/10/25      94,000         93,215     
4.13%    02/15/24      28,000         28,776     
4.50%    07/16/44      19,000         17,572     
4.80%    07/10/45      47,000         45,446     

American Tower Corp. (REIT)

       
3.40%    02/15/19      142,000         145,690     

Amgen Inc.

       
2.20%    05/22/19      188,000         187,791     

Amkor Technology Inc.

       
6.63%    06/01/21      98,000         97,265     

Anadarko Petroleum Corp.

       
3.45%    07/15/24      19,000         16,888     
6.20%    03/15/40      67,000         61,640     

Anheuser-Busch InBev Worldwide Inc.

       
2.50%    07/15/22      155,000         149,197     

Anthem Inc.

       
3.30%    01/15/23      50,000         48,613     

Apache Corp.

       
5.10%    09/01/40      47,000         40,178     

Apple Inc.

       
2.50%    02/09/25      50,000         47,844     
2.85%    05/06/21      145,000         148,561     
3.45%    02/09/45      45,000         38,739     

Aramark Services Inc.

       
5.75%    03/15/20      105,000         108,609     

Ascension Health

       
4.85%    11/15/53      65,000         70,033     

AstraZeneca PLC

       
2.38%    11/16/20      33,000         32,777     
3.38%    11/16/25      47,000         46,664     
4.38%    11/16/45      19,000         19,041     

AT&T Inc.

       
2.38%    11/27/18      134,000         135,033     
2.45%    06/30/20      93,000         91,624     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

23


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
    

Fair

Value

     
3.40%    05/15/25    $ 93,000       $ 89,393     
4.50%    05/15/35      47,000         43,473     
4.75%    05/15/46      22,000         20,139     
4.80%    06/15/44      37,000         33,897     

AutoNation Inc.

       
4.50%    10/01/25      66,000         67,004     

AutoZone Inc.

       
3.25%    04/15/25      94,000         90,963     

Bank of America Corp.

       
1.70%    08/25/17      234,000         233,349     
2.60%    01/15/19      81,000         81,275     
2.63%    10/19/20      47,000         46,429     
3.88%    08/01/25      19,000         19,289     
3.95%    04/21/25      106,000         103,229     
4.00%    01/22/25      48,000         47,027     
4.10%    07/24/23      80,000         82,752     
4.25%    10/22/26      85,000         84,145     

Barclays Bank PLC

       
2.25%    05/10/17      500,000         505,322      (b)

Barrick Gold Corp.

       
4.10%    05/01/23      15,000         12,869     

Baxalta Inc.

       
2.88%    06/23/20      94,000         92,872      (b)
4.00%    06/23/25      71,000         70,300      (b)

Bed Bath & Beyond Inc.

       
4.92%    08/01/34      14,000         12,483     

Berkshire Hathaway Energy Co.

       
6.13%    04/01/36      45,000         52,444     

Berkshire Hathaway Finance Corp.

       
3.00%    05/15/22      49,000         49,865     

Berkshire Hathaway Inc.

       
4.50%    02/11/43      39,000         39,240     

Berry Plastics Corp.

       
5.13%    07/15/23      60,000         58,350     

BHP Billiton Finance USA Ltd.

       
5.00%    09/30/43      26,000         23,561     

Biogen Inc.

       
2.90%    09/15/20      48,000         47,895     
4.05%    09/15/25      48,000         48,249     
5.20%    09/15/45      18,000         18,005     

Bombardier Inc.

       
4.75%    04/15/19      38,000         31,255      (b)
6.00%    10/15/22      37,000         25,937      (b)
7.75%    03/15/20      334,000         269,705      (b)

Boston Scientific Corp.

       
3.85%    05/15/25      45,000         44,285     

BP Capital Markets PLC

       
1.38%    05/10/18      56,000         55,201     
3.81%    02/10/24      49,000         48,991     

Building Materials Corporation of America

       
5.38%    11/15/24      118,000         117,705      (b)
          Principal
Amount
     Fair
Value
     

Burlington Northern Santa Fe LLC

       
3.65%    09/01/25    $ 75,000       $ 76,006     

Calpine Corp.

       
5.75%    01/15/25      57,000         50,303     
5.88%    01/15/24      129,000         132,225      (b)

Calumet Specialty Products Partners LP/Calumet Finance Corp.

       
6.50%    04/15/21      98,000         85,260     

Canadian Pacific Railway Co.

       
2.90%    02/01/25      115,000         108,259     

Capital One Financial Corp.

       
4.20%    10/29/25      94,000         92,859     

Capital One NA

       
2.35%    08/17/18      250,000         250,515     

Caterpillar Inc.

       
4.30%    05/15/44      30,000         28,949     

Catholic Health Initiatives

       
2.60%    08/01/18      30,000         30,124     
4.35%    11/01/42      24,000         22,445     

CBS Corp.

       
3.70%    08/15/24      73,000         71,031     

CCO Safari II LLC

       
3.58%    07/23/20      71,000         70,593      (b)
4.91%    07/23/25      71,000         70,930      (b)
6.38%    10/23/35      9,000         9,083      (b)
6.48%    10/23/45      19,000         19,007      (b)

Celgene Corp.

       
3.88%    08/15/25      94,000         93,701     
5.00%    08/15/45      47,000         47,180     

CenturyLink Inc.

       
5.80%    03/15/22      196,000         179,634     

Cequel Capital Corp.

       
5.13%    12/15/21      96,000         86,400      (b)

Chevron Corp.

       
3.33%    11/17/25      66,000         66,476     

Cigna Corp.

       
3.25%    04/15/25      94,000         92,316     

Cinemark USA Inc.

       
4.88%    06/01/23      98,000         95,550     

Citigroup Inc.

       
1.55%    08/14/17      206,000         205,167     
1.75%    05/01/18      228,000         226,086     
1.85%    11/24/17      45,000         44,936     
2.05%    12/07/18      85,000         84,549     
2.65%    10/26/20      94,000         93,317     
4.40%    06/10/25      47,000         47,493     
4.65%    07/30/45      75,000         75,857     

CMS Energy Corp.

       
4.88%    03/01/44      47,000         47,660     

CNA Financial Corp.

       
5.88%    08/15/20      60,000         66,513     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

24


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Cogeco Cable Inc.

       
4.88%    05/01/20    $ 75,000       $ 74,812      (b)

Colgate-Palmolive Co.

       
4.00%    08/15/45      47,000         47,104     

Columbia Pipeline Group Inc.

       
3.30%    06/01/20      66,000         64,291      (b)
4.50%    06/01/25      47,000         42,600      (b)

Comcast Corp.

       
3.38%    08/15/25      159,000         161,063     
4.20%    08/15/34      48,000         47,541     
4.60%    08/15/45      45,000         45,559     

ConocoPhillips Co.

       
3.35%    11/15/24      94,000         86,007     

Continental Resources Inc.

       
3.80%    06/01/24      20,000         14,094     
4.50%    04/15/23      18,000         12,940     
4.90%    06/01/44      11,000         6,635     

Corp Andina de Fomento

       
4.38%    06/15/22      121,000         128,817     

Crown Americas LLC/Crown Americas Capital Corp. IV

       
4.50%    01/15/23      116,000         113,390     

CSX Corp.

       
4.50%    08/01/54      29,000         26,304     

CubeSmart LP

       
4.00%    11/15/25      26,000         25,816     

CVS Health Corp.

       
2.25%    08/12/19      143,000         142,865     
3.88%    07/20/25      94,000         95,950     
5.13%    07/20/45      69,000         72,687     

Daimler Finance North America LLC

       
2.38%    08/01/18      150,000         150,228      (b)

Danaher Corp.

       
2.40%    09/15/20      46,000         46,004     
3.35%    09/15/25      48,000         48,757     
4.38%    09/15/45      26,000         26,856     

Denbury Resources Inc.

       
5.50%    05/01/22      98,000         32,534     
6.38%    08/15/21      54,000         19,440     

Devon Energy Corp.

       
5.85%    12/15/25      38,000         36,960     

Dexia Credit Local S.A.

       
2.25%    01/30/19      250,000         251,627      (b)

Diageo Investment Corp.

       
2.88%    05/11/22      105,000         104,092     

DigitalGlobe Inc.

       
5.25%    02/01/21      81,000         68,040      (b)

DIRECTV Holdings LLC/DIRECTV Financing Company Inc.

       
4.45%    04/01/24      72,000         73,957     

Dollar General Corp.

       
1.88%    04/15/18      95,000         94,086     
          Principal
Amount
     Fair
Value
     
4.13%    07/15/17    $ 94,000       $ 96,531     
4.15%    11/01/25      47,000         46,721     

Dollar Tree Inc.

       
5.75%    03/01/23      117,000         121,972      (b)

Dominion Resources Inc.

       
1.95%    08/15/16      154,000         154,387     

Dr Pepper Snapple Group Inc.

       
3.40%    11/15/25      94,000         92,347     

Duke Energy Progress LLC

       
4.15%    12/01/44      30,000         29,299     

Eastman Chemical Co.

       
3.60%    08/15/22      93,000         92,596     

Ecopetrol S.A.

       
5.88%    05/28/45      24,000         17,040     

Electricite de France S.A.

       
2.15%    01/22/19      193,000         192,103      (b)

Eli Lilly & Co.

       
3.70%    03/01/45      10,000         9,353     

EMD Finance LLC

       
3.25%    03/19/25      46,000         43,619      (b)

Energizer Holdings Inc.

       
5.50%    06/15/25      98,000         92,120      (b)

Energy Transfer Equity LP

       
5.88%    01/15/24      194,000         158,110     

Energy Transfer Partners LP

       
4.05%    03/15/25      19,000         15,612     
5.15%    03/15/45      33,000         23,327     
6.50%    02/01/42      62,000         50,428     

Ensco PLC

       
4.50%    10/01/24      46,000         31,679     
5.20%    03/15/25      29,000         20,648     
5.75%    10/01/44      17,000         11,200     

Enterprise Products Operating LLC

       
3.70%    02/15/26      95,000         85,286     

Equinix Inc.

       
5.88%    01/15/26      20,000         20,600     

ERP Operating LP

       
4.50%    07/01/44      19,000         19,067     

European Investment Bank

       
4.88%    01/17/17      150,000         155,957     

FedEx Corp.

       
3.20%    02/01/25      30,000         29,203     

Five Corners Funding Trust

       
4.42%    11/15/23      200,000         208,819      (b)

Florida Power & Light Co.

       
4.13%    02/01/42      92,000         91,562     

Freeport-McMoRan Inc.

       
4.55%    11/14/24      26,000         14,885     

Fresenius Medical Care US Finance Inc.

       
5.75%    02/15/21      123,000         131,610      (b)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

25


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Frontier Communications Corp.

       
7.13%    03/15/19    $ 110,000       $ 109,989     
11.00%    09/15/25      89,000         88,110      (b)

General Motors Co.

       
5.20%    04/01/45      9,000         8,473     

General Motors Financial Company Inc.

       
3.15%    01/15/20      66,000         65,413     
3.20%    07/13/20      188,000         185,105     
4.30%    07/13/25      94,000         91,212     

Georgia-Pacific LLC

       
3.60%    03/01/25      140,000         138,448      (b)

Gilead Sciences Inc.

       
2.55%    09/01/20      45,000         45,004     
3.65%    03/01/26      50,000         50,444     
4.80%    04/01/44      51,000         51,161     

Halliburton Co.

       
2.70%    11/15/20      47,000         46,476     
3.80%    11/15/25      47,000         45,794     
5.00%    11/15/45      28,000         27,659     

HCA Inc.

       
4.75%    05/01/23      160,000         158,400     
6.50%    02/15/20      138,000         150,351     

HSBC USA Inc.

       
2.75%    08/07/20      141,000         141,074     

Hyundai Capital America

       
2.13%    10/02/17      35,000         34,792      (b)

Illinois Tool Works Inc.

  

    
3.50%    03/01/24      95,000         97,670     

Ingersoll-Rand Luxembourg Finance S.A.

       
3.55%    11/01/24      65,000         63,640     

Ingles Markets Inc.

  

    
5.75%    06/15/23      92,000         91,770     

Intel Corp.

  

    
2.45%    07/29/20      47,000         47,558     

Intelsat Jackson Holdings S.A.

       
5.50%    08/01/23      96,000         75,360     

Interstate Power & Light Co.

  

    
3.40%    08/15/25      150,000         150,904     

Invesco Finance PLC

  

    
3.13%    11/30/22      107,000         105,558     

JB Poindexter & Company Inc.

       
9.00%    04/01/22      23,000         24,035      (b)

JBS USA LLC/JBS USA Finance Inc.

       
5.75%    06/15/25      78,000         67,860      (b)
5.88%    07/15/24      53,000         47,965      (b)

Jefferies Group LLC

       
5.13%    01/20/23      83,000         82,354     
6.50%    01/20/43      26,000         24,038     

Johnson Controls Inc.

       
4.63%    07/02/44      46,000         38,985     
          Principal
Amount
     Fair
Value
     

JPMorgan Chase & Co.

       
2.55%    10/29/20    $ 94,000       $ 93,163     
3.88%    09/10/24      190,000         189,098     
5.00%    12/29/49      68,000         64,600      (i)
6.10%    10/29/49      110,000         110,561      (i)

KB Home

  

    
7.00%    12/15/21      116,000         114,405     

Keysight Technologies Inc.

       
4.55%    10/30/24      95,000         91,336     

KFW

       
2.00%    10/04/22      246,000         242,033     
4.50%    07/16/18      102,000         109,652     

Kinder Morgan Energy Partners LP

       
3.50%    09/01/23      22,000         18,251     
4.30%    05/01/24      50,000         42,994     

Kinder Morgan Inc.

       
3.05%    12/01/19      19,000         17,591     
4.30%    06/01/25      38,000         32,849     
5.55%    06/01/45      28,000         21,866     

Kinross Gold Corp.

       
6.88%    09/01/41      5,000         2,740     

Kraft Heinz Foods Co.

  

    
2.80%    07/02/20      141,000         140,669      (b)
3.95%    07/15/25      122,000         123,181      (b)

L Brands Inc.

  

    
5.63%    02/15/22      102,000         108,375     

L-3 Communications Corp.

       
1.50%    05/28/17      65,000         64,194     

Lee Enterprises Inc.

  

    
9.50%    03/15/22      78,000         71,760      (b)

Lennar Corp.

       
4.50%    11/15/19      118,000         119,991     
4.75%    05/30/25      39,000         38,123     

Levi Strauss & Co.

  

    
5.00%    05/01/25      59,000         58,705     

Lockheed Martin Corp.

       
2.50%    11/23/20      66,000         65,768     
3.55%    01/15/26      94,000         94,483     
3.80%    03/01/45      20,000         17,715     
4.70%    05/15/46      21,000         21,609     

Lowe’s Companies Inc.

       
4.38%    09/15/45      35,000         35,975     

LyondellBasell Industries N.V.

       
4.63%    02/26/55      19,000         15,408     

Marathon Petroleum Corp.

  

    
3.63%    09/15/24      95,000         88,572     

Marsh & McLennan Companies Inc.

       
3.50%    03/10/25      68,000         66,983     
3.75%    03/14/26      65,000         65,004     

Mattel Inc.

  

    
2.35%    05/06/19      143,000         141,810     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

26


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

McDonald’s Corp.

       
2.75%    12/09/20    $ 25,000       $ 24,988     
3.70%    01/30/26      59,000         58,966     
4.88%    12/09/45      20,000         20,108     

Mead Johnson Nutrition Co.

  

    
3.00%    11/15/20      66,000         66,010     
4.13%    11/15/25      66,000         66,531     

Medtronic Inc.

  

    
2.50%    03/15/20      28,000         28,206     
3.50%    03/15/25      187,000         189,214     
4.63%    03/15/45      120,000         123,723     

Memorial Sloan-Kettering Cancer Center

       
4.13%    07/01/52      30,000         27,985     

Merck & Company Inc.

  

    
2.75%    02/10/25      95,000         92,492     

MetLife Inc.

  

    
3.60%    11/13/25      47,000         47,362     
4.05%    03/01/45      24,000         22,236     
4.72%    12/15/44      28,000         28,595     

MGM Resorts International

       
5.25%    03/31/20      59,000         58,410     
6.63%    12/15/21      98,000         100,327     

Microsoft Corp.

  

    
4.00%    02/12/55      45,000         40,391     

Mid-America Apartments LP

       
4.00%    11/15/25      47,000         46,694     

Mizuho Bank Ltd.

  

    
2.45%    04/16/19      200,000         200,146      (b)

Monsanto Co.

  

    
4.70%    07/15/64      27,000         20,501     

Morgan Stanley

       
2.65%    01/27/20      45,000         44,893     
3.70%    10/23/24      145,000         145,710     
3.95%    04/23/27      94,000         91,274     
4.00%    07/23/25      46,000         47,409     
4.10%    05/22/23      154,000         155,684     
4.88%    11/01/22      10,000         10,619     
5.00%    11/24/25      36,000         38,238     

Motorola Solutions Inc.

  

    
4.00%    09/01/24      33,000         28,641     

National Retail Properties Inc.

       
4.00%    11/15/25      47,000         46,178     

NCL Corporation Ltd.

  

    
4.63%    11/15/20      49,000         47,982      (b)

Newfield Exploration Co.

       
5.63%    07/01/24      36,000         30,690     
5.75%    01/30/22      89,000         78,765     

Newmont Mining Corp.

  

    
4.88%    03/15/42      37,000         26,433     

Nexen Energy ULC

  

    
6.40%    05/15/37      41,000         45,855     
          Principal
Amount
     Fair
Value
     

NIKE Inc.

       
3.88%    11/01/45    $ 47,000       $ 45,321     

Noble Energy Inc.

  

    
3.90%    11/15/24      56,000         49,870     

Northern States Power Co.

       
2.20%    08/15/20      94,000         93,366     

Northrop Grumman Corp.

       
3.85%    04/15/45      11,000         9,890     

Novartis Capital Corp.

  

    
3.00%    11/20/25      124,000         122,238     
4.00%    11/20/45      62,000         60,670     

NRG Energy Inc.

  

    
6.25%    07/15/22      59,000         51,183     

Occidental Petroleum Corp.

       
3.50%    06/15/25      94,000         91,864     

Omnicom Group Inc.

       
3.63%    05/01/22      31,000         31,303     

Oracle Corp.

       
2.25%    10/08/19      187,000         189,019     
2.95%    05/15/25      95,000         92,754     
4.13%    05/15/45      17,000         16,090     

Owens & Minor Inc.

       
3.88%    09/15/21      95,000         94,630     

Pacific Gas & Electric Co.

       
3.40%    08/15/24      140,000         140,581     

PacifiCorp

          
6.25%    10/15/37      132,000         163,271     

Penn National Gaming Inc.

       
5.88%    11/01/21      58,000         56,260     

PepsiCo Inc.

       
3.10%    07/17/22      24,000         24,614     
4.25%    10/22/44      28,000         27,783     
4.60%    07/17/45      28,000         29,606     

Petrobras Global Finance BV

       
3.50%    02/06/17      76,000         71,060     
3.88%    01/27/16      34,000         33,864     

Petroleos Mexicanos

       
3.50%    01/30/23      41,000         35,773     

Pfizer Inc.

       
4.40%    05/15/44      29,000         29,449     

Philip Morris International Inc.

       
4.13%    03/04/43      39,000         36,870     

Phillips 66 Partners LP

       
2.65%    02/15/20      28,000         26,428     
3.61%    02/15/25      47,000         41,272     

Pitney Bowes Inc.

       
4.63%    03/15/24      81,000         79,388     

Plains All American Pipeline LP/PAA Finance Corp.

       
4.65%    10/15/25      28,000         24,456     

Precision Castparts Corp.

       
4.38%    06/15/45      28,000         28,056     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

27


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Principal Financial Group Inc.

       
4.70%    05/15/55    $ 95,000       $ 94,430      (i)

Prologis LP

       
3.75%    11/01/25      47,000         46,622     

Prudential Financial Inc.

       
5.38%    05/15/45      47,000         46,941      (i)
5.63%    06/15/43      46,000         47,035      (i)

Public Service Electric & Gas Co.

       
2.38%    05/15/23      117,000         112,092     

QUALCOMM Inc.

       
2.25%    05/20/20      37,000         36,657     
3.45%    05/20/25      34,000         32,617     
4.80%    05/20/45      32,000         28,445     

Quest Diagnostics Inc.

       
4.70%    03/30/45      28,000         25,214     

Regency Energy Partners LP/Regency Energy Finance Corp.

       
4.50%    11/01/23      66,000         57,126     

Revlon Consumer Products Corp.

       
5.75%    02/15/21      152,000         147,060     
Reynolds American Inc.        
4.45%    06/12/25      28,000         29,300     

Rio Tinto Finance USA Ltd.

       
3.75%    06/15/25      24,000         21,803     

Rogers Communications Inc.

       
5.00%    03/15/44      30,000         30,182     

Rowan Companies Inc.

       
5.85%    01/15/44      19,000         11,465     

Royal Bank of Canada

       
1.20%    09/19/17      323,000         321,491     

Ryder System Inc.

       
2.45%    09/03/19      116,000         114,316     

Schaeffler Holding Finance BV (6.25% Cash/7.00% PIK)

       
6.25%    11/15/19      200,000         209,000      (b,n)

Schaeffler Holding Finance BV (6.88% Cash/7.63% PIK)

       
6.88%    08/15/18      200,000         206,000      (b,n)

Schlumberger Holdings Corp.

       
3.00%    12/21/20      128,000         126,365      (b)
4.00%    12/21/25      85,000         83,921      (b)

Sealed Air Corp.

       
4.88%    12/01/22      59,000         59,148      (b)
5.13%    12/01/24      59,000         59,000      (b)

Shell International Finance BV

       
2.25%    11/10/20      94,000         92,590     
3.40%    08/12/23      141,000         140,198     

Sinclair Television Group Inc.

       
5.38%    04/01/21      103,000         103,257     

Sinopec Capital 2013 Ltd.

       
3.13%    04/24/23      200,000         190,658      (b)

Southern California Edison Co.

       
2.40%    02/01/22      35,000         34,323     
          Principal
Amount
     Fair
Value
     

Spectra Energy Partners LP

       
4.75%    03/15/24    $ 48,000       $ 46,518     

Sprint Corp.

       
7.25%    09/15/21      52,000         38,740     
7.63%    02/15/25      114,000         83,220     

State Street Corp.

       
3.55%    08/18/25      100,000         103,160      (e)

Statoil ASA

       
3.70%    03/01/24      42,000         42,574     
3.95%    05/15/43      23,000         20,775     

Sunoco LP/Sunoco Finance Corp.

       
5.50%    08/01/20      39,000         36,953      (b)

SUPERVALU Inc.

       
6.75%    06/01/21      97,000         87,785     
T-Mobile USA Inc.        
6.25%    04/01/21      50,000         51,625     
6.50%    01/15/26      29,000         29,275     
6.63%    04/01/23      98,000         99,960     

Tampa Electric Co.

       
4.35%    05/15/44      47,000         46,043     

Target Corp.

       
3.50%    07/01/24      59,000         61,244     

TD Ameritrade Holding Corp.

       
2.95%    04/01/22      48,000         47,578     

Teachers Insurance & Annuity Association of America

       
4.90%    09/15/44      95,000         95,955      (b)

Teck Resources Ltd.

       
2.50%    02/01/18      27,000         20,520     
3.15%    01/15/17      39,000         35,100     

Tenet Healthcare Corp.

       
4.75%    06/01/20      196,000         196,980     
6.00%    10/01/20      96,000         101,040     

The Allstate Corp.

       
5.75%    08/15/53      52,000         53,456      (i)

The Boeing Co.

       
1.65%    10/30/20      47,000         46,012     
2.60%    10/30/25      47,000         45,500     
2.85%    10/30/24      140,000         138,680     

The Coca-Cola Co.

       
2.88%    10/27/25      94,000         92,687     

The Dow Chemical Co.

       
4.25%    10/01/34      43,000         38,800     

The Goldman Sachs Group Inc.

       
2.38%    01/22/18      92,000         92,801     
2.60%    04/23/20      95,000         94,784     
2.63%    01/31/19      53,000         53,386     
2.90%    07/19/18      62,000         63,213     
3.75%    05/22/25      78,000         78,552     
4.00%    03/03/24      47,000         48,265     
4.25%    10/21/25      82,000         81,424     
4.80%    07/08/44      102,000         101,316     
5.15%    05/22/45      47,000         45,623     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

28


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

The Home Depot Inc.

       
3.35%    09/15/25    $ 66,000       $ 67,483     

The Korea Development Bank

       
3.25%    03/09/16      122,000         122,482     

The Kroger Co.

       
2.95%    11/01/21      65,000         64,370     

The Progressive Corp.

       
3.70%    01/26/45      36,000         32,581     

The Toronto-Dominion Bank

       
2.50%    12/14/20      85,000         84,962     

The Walt Disney Co.

       
2.15%    09/17/20      31,000         30,996     
3.15%    09/17/25      14,000         14,161     

The Williams Companies Inc.

       
8.75%    03/15/32      18,000         13,569     

TIAA Asset Management Finance Company LLC

       
4.13%    11/01/24      48,000         48,189      (b)

Time Inc.

       
5.75%    04/15/22      99,000         90,585      (b)

Time Warner Cable Inc.

       
4.50%    09/15/42      9,000         7,063     
6.55%    05/01/37      28,000         28,320     

Time Warner Inc.

       
3.60%    07/15/25      102,000         99,340     
3.88%    01/15/26      86,000         85,293     
5.35%    12/15/43      85,000         84,805     

Tyco Electronics Group S.A.

       
2.35%    08/01/19      95,000         94,689     

Tyco International Finance S.A.

       
5.13%    09/14/45      30,000         31,126     

Tyson Foods Inc.

       
2.65%    08/15/19      48,000         48,039     
3.95%    08/15/24      32,000         32,857     
5.15%    08/15/44      32,000         33,418     

U.S. Bancorp

       
3.44%    02/01/16      118,000         118,151     
5.13%    12/29/49      94,000         94,442      (i)

Ultra Petroleum Corp.

       
6.13%    10/01/24      99,000         22,523      (b)

United Rentals North America Inc.

       
6.13%    06/15/23      77,000         78,732     

UnitedHealth Group Inc.

       
2.70%    07/15/20      111,000         112,206     
4.75%    07/15/45      74,000         77,871     

Valeant Pharmaceuticals International Inc.

       
6.13%    04/15/25      78,000         69,615      (b)
6.38%    10/15/20      71,000         68,515      (b)

Ventas Realty LP

       
4.13%    01/15/26      40,000         39,873     
          Principal
Amount
     Fair
Value
     

Verizon Communications Inc.

       
1.35%    06/09/17    $ 230,000       $ 229,345     
3.50%    11/01/24      46,000         45,457     
4.15%    03/15/24      93,000         95,632     
4.40%    11/01/34      47,000         43,364     
4.67%    03/15/55      32,000         27,759     
4.86%    08/21/46      47,000         44,465     
5.05%    03/15/34      29,000         28,876     
5.15%    09/15/23      68,000         74,762     
6.55%    09/15/43      32,000         37,990     

Visa Inc.

       
2.80%    12/14/22      60,000         60,108     
3.15%    12/14/25      60,000         60,127     
4.30%    12/14/45      28,000         28,380     

Volkswagen Group of America Finance LLC

       
2.13%    05/23/19      234,000         222,062      (b)

W.R. Grace & Co.

       
5.13%    10/01/21      35,000         35,350      (b)
5.63%    10/01/24      98,000         98,980      (b)

Wal-Mart Stores Inc.

       
4.30%    04/22/44      88,000         89,725     

Wells Fargo & Co.

       
2.55%    12/07/20      85,000         84,574     
3.00%    02/19/25      47,000         45,719     
3.90%    05/01/45      47,000         43,334     
4.10%    06/03/26      60,000         60,570     
4.30%    07/22/27      38,000         38,823     
5.88%    12/29/49      66,000         69,465      (i)
5.90%    12/29/49      62,000         62,542      (i)

Williams Partners LP

       
5.40%    03/04/44      9,000         6,030     

Windstream Services LLC

       
6.38%    08/01/23      73,000         52,560     

WMG Acquisition Corp.

       
6.00%    01/15/21      20,000         20,100      (b)

WPP Finance 2010

       
3.75%    09/19/24      95,000         94,559     

WPX Energy Inc.

       
5.25%    01/15/17      75,000         70,125     

XLIT Ltd.

       
5.25%    12/15/43      40,000         41,366     

Zimmer Biomet Holdings Inc.

       
3.55%    04/01/25      47,000         45,696     
     30,359,517     

Non-Agency Collateralized Mortgage Obligations — 3.2%

American Tower Trust I (REIT)

       
1.55%    03/15/43      117,000         114,267      (b)

Banc of America Commercial Mortgage Trust 2006-4

       
5.68%    07/10/46      30,000         30,625     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

29


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Banc of America Commercial Mortgage Trust 2007-1

       
5.48%    01/15/49    $ 160,000       $ 163,836      (i)

Banc of America Commercial Mortgage Trust 2007-4

       
5.74%    02/10/51      17,177         17,871      (i)

Banc of America Commercial Mortgage Trust 2008-1

       
6.22%    02/10/51      189,612         200,801      (i)

Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1

       
5.34%    11/10/42      17,234         17,215      (i)

Banc of America Merrill Lynch Commercial Mortgage Trust 2014-520M

       
4.18%    08/15/46      38,035         39,294      (b,i)

Bear Stearns Commercial Mortgage Securities Trust 2006-T22

       
5.62%    04/12/38      40,000         40,270      (i)

Bear Stearns Commercial Mortgage Securities Trust 2007-PW18

       
6.09%    06/11/50      80,000         84,895      (i)

Citigroup Commercial Mortgage Trust 2014-GC23

       
4.51%    07/10/47      192,000         160,132      (b,i)

Citigroup Commercial Mortgage Trust 2015-GC33

       
3.17%    09/10/58      39,319         27,478     

Citigroup Commercial Mortgage Trust 2015-P1

       
3.72%    09/15/48      161,993         165,080     

COMM 2014-CR14 Mortgage Trust

       
4.53%    02/10/47      55,000         59,008      (i)

COMM 2014-CR19 Mortgage Trust

       
4.72%    08/10/47      100,000         86,502      (b,i)

COMM 2014-CR20 Mortgage Trust

       
4.51%    11/10/47      48,472         47,110      (i)

COMM 2014-CR21 Mortgage Trust

       
3.99%    12/10/47      93,831         96,582     

COMM 2015-CR23 Mortgage Trust

       
4.26%    05/10/48      46,009         42,392      (i)

COMM 2015-CR24 Mortgage Trust

       
3.46%    08/10/55      100,000         74,125     
3.70%    08/10/55      78,578         79,860     
4.37%    08/10/55      70,790         67,398      (i)
          Principal
Amount
     Fair
Value
     

COMM 2015-LC19 Mortgage Trust

       
2.87%    02/10/48    $ 104,000       $ 77,385      (b)

COMM 2015-PC1 Mortgage Trust

       
4.44%    07/10/50      46,053         45,848      (i)

Core Industrial Trust 2015-CALW

       
3.25%    02/10/34      100,000         99,400      (b)

Credit Suisse Commercial Mortgage Trust 2006-C1

       
5.46%    02/15/39      114,614         114,514      (i)

CSAIL 2015-C3 Commercial Mortgage Trust

       
3.36%    08/15/48      47,194         34,116      (i)
4.11%    08/15/48      62,926         61,638      (i)

GS Mortgage Securities Trust 2011-GC5

       
3.00%    08/10/44      78,834         79,228     
5.31%    08/10/44      30,000         33,052      (b,i)

GS Mortgage Securities Trust 2014-GC20

       
4.26%    04/10/47      50,000         52,248     

GS Mortgage Securities Trust 2014-NEW

       
3.79%    01/10/31      100,000         99,823      (b)

GS Mortgage Securities Trust 2015-GC28

       
1.17%    02/10/48      993,504         68,108      (g,i)

GS Mortgage Securities Trust 2015-GC32

       
3.35%    07/10/48      43,241         31,495     
4.41%    07/10/48      20,300         19,540      (i)

GS Mortgage Securities Trust 2015-GC34

       
2.98%    10/10/48      103,476         71,848     

GS Mortgage Securities Trust 2015-GS1

       
3.27%    11/10/48      113,380         82,047     

JP Morgan Chase Commercial Mortgage Securities Trust 2007-CB18

       
5.44%    06/12/47      90,156         92,317     

JPMBB Commercial Mortgage Securities Trust 2013-C12

       
4.03%    07/15/45      25,000         25,981      (i)

JPMBB Commercial Mortgage Securities Trust 2013-C15

       
5.08%    11/15/45      40,000         41,590      (i)

JPMBB Commercial Mortgage Securities Trust 2013-C17

       
4.89%    01/15/47      71,000         71,633      (i)

JPMBB Commercial Mortgage Securities Trust 2014-C18

       
4.81%    02/15/47      50,000         49,901      (i)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

30


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

JPMBB Commercial Mortgage Securities Trust 2015-C29

       
3.70%    05/15/48    $ 85,183       $ 63,584      (i)

JPMBB Commercial Mortgage Securities Trust 2015-C30

       
4.31%    07/15/48      78,620         69,993      (i)

JPMBB Commercial Mortgage Securities Trust 2015-C31

       
3.80%    08/15/48      117,952         120,607     

LB-UBS Commercial Mortgage
Trust 2004-C8

       
0.47%    12/15/39      27,238         141      (b,g,i)

LB-UBS Commercial Mortgage
Trust 2006-C4

       
5.82%    06/15/38      24,769         24,986      (i)

LB-UBS Commercial Mortgage
Trust 2007-C6

       
6.11%    07/15/40      120,000         125,327      (b)
6.11%    07/15/40      52,305         54,623      (i)

MASTR Alternative Loan Trust 2003-5

       
5.00%    08/25/18      4,430         184      (g)

ML-CFC Commercial Mortgage
Trust 2006-3

       
5.46%    07/12/46      110,000         111,802      (i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2013-C10

       
4.08%    07/15/46      89,000         86,549      (i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2014-C15

       
4.90%    04/15/47      200,000         181,397      (b,i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2014-C18

       
3.39%    10/15/47      100,000         77,087      (b)

Morgan Stanley Bank of America
Merrill Lynch Trust 2014-C19

       
3.25%    12/15/47      100,000         74,448      (b)

Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C20

       
1.42%    02/15/48      728,361         62,888      (g,i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C21

       
0.99%    03/15/48      869,643         56,077      (g,i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C22

       
3.88%    04/15/48      82,660         80,736      (i)
4.24%    04/15/48      206,915         167,966      (b,i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C23

       
4.14%    07/15/50      203,800         164,883      (b,i)

Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C24

       
3.73%    05/15/48      183,686         187,292     
4.35%    05/15/48      157,312         155,864      (i)
          Principal
Amount
     Fair
Value
     

Morgan Stanley Capital I Trust 2005-T17

       
4.84%    12/13/41    $ 11,802       $ 11,845      (i)

Morgan Stanley Capital I
Trust 2006-IQ11

       
5.78%    10/15/42      40,000         39,971      (i)

Morgan Stanley Capital I Trust 2006-T21

       
5.27%    10/12/52      40,336         40,313      (i)

Morgan Stanley Capital I Trust 2006-T23

       
5.85%    08/12/41      24,983         25,158      (i)

Morgan Stanley Capital I
Trust 2007-IQ16

       
6.05%    12/12/49      80,000         83,879      (i)

Morgan Stanley Capital I Trust 2008-T29

       
6.27%    01/11/43      50,000         53,570      (i)

Morgan Stanley Capital I Trust 2015-MS1

       
4.03%    05/15/48      100,000         78,562      (b,i)

Morgan Stanley Capital I Trust 2015-UBS8

       
3.81%    12/15/48      171,169         174,089     

Wells Fargo Commercial Mortgage
Trust 2015-C26

       
1.41%    02/15/48      990,077         85,346      (g,i)

Wells Fargo Commercial Mortgage
Trust 2015-C29

       
4.01%    06/15/48      138,309         141,047     
4.22%    06/15/48      64,245         50,475      (i)

Wells Fargo Commercial Mortgage
Trust 2015-C30

       
4.50%    09/15/58      39,326         31,986      (b,i)

Wells Fargo Commercial Mortgage
Trust 2015-C31

       
3.70%    11/15/48      78,643         79,739     

Wells Fargo Commercial Mortgage
Trust 2015-LC22

       
4.54%    09/15/58      39,338         32,153      (i)

Wells Fargo Commercial Mortgage
Trust 2015-NXS2

       
4.25%    07/15/58      39,311         30,972      (i)

Wells Fargo Commercial Mortgage Trust 2015-P2

       
4.90%    12/15/48      199,241         194,868      (i)

Wells Fargo Commercial Mortgage Trust 2015-SG1

       
3.79%    12/15/47      102,189         104,514     
4.47%    12/15/47      39,317         37,050      (i)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

31


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

WFRBS Commercial Mortgage Trust 2013-C17

       
4.26%    12/15/46    $ 55,000       $ 58,137     
5.13%    12/15/46      40,000         38,080      (b,i)

WFRBS Commercial Mortgage Trust 2013-C18

       
4.67%    12/15/46      47,667         44,304      (b,i)

WFRBS Commercial Mortgage Trust 2014-C19

       
4.23%    03/15/47      78,742         66,103      (b)
4.72%    03/15/47      65,000         68,103      (i)

WFRBS Commercial Mortgage Trust 2014-C22

       
3.91%    09/15/57      124,695         100,597      (b,i)

WFRBS Commercial Mortgage Trust 2014-C24

       
3.69%    11/15/47      156,648         120,436      (b)

WFRBS Commercial Mortgage Trust 2014-C25

       
3.80%    11/15/47      23,000         17,591      (b,i)

WFRBS Commercial Mortgage Trust 2014-LC14

       
4.35%    03/15/47      123,000         129,792      (i)
4.59%    03/15/47      130,681         111,893      (b,i)

WFRBS Commercial Mortgage Trust 2015-C31

       
3.85%    11/15/48      19,659         14,443     
     6,797,903     

Sovereign Bonds — 0.4%

       

Government of Argentina

       
2.50%    12/31/38      9         6      (o)

Government of Colombia

       
2.63%    03/15/23      200,000         175,700     

Government of Mexico

       
3.60%    01/30/25      205,000         199,772     
4.00%    10/02/23      46,000         46,598     
4.75%    03/08/44      176,000         160,336     

Government of Peru

       
4.13%    08/25/27      27,000         26,460     
5.63%    11/18/50      15,000         15,300     

Government of Turkey

       
3.25%    03/23/23      200,000         183,211     
     807,383     

Municipal Bonds and Notes — 0.2%

  

    

American Municipal Power Inc.

       
6.27%    02/15/50      50,000         58,146     

Municipal Electric Authority of Georgia

       
6.64%    04/01/57      54,000         64,806     

New Jersey Transportation Trust Fund Authority

       
6.88%    12/15/39      15,000         15,719     
          Principal
Amount
     Fair
Value
     

Port Authority of New York & New Jersey

       
4.46%    10/01/62    $ 95,000       $ 91,302     

South Carolina State Public Service Authority

       
6.45%    01/01/50      40,000         50,103     

State of California

       
5.70%    11/01/21      55,000         64,520     

State of Illinois

       
5.10%    06/01/33      30,000         28,370     
     372,966     

FNMA (TBA) — 0.0%*

       

Lehman TBA

       
5.50%    TBA      38,818         2,135      (o,q)

Total Bonds and Notes
(Cost $66,388,778)

        65,469,789     
          
          Number
of Shares
     Fair
Value
     

Exchange Traded Funds — 4.6%

Financial Select Sector SPDR Fund

     8,884       $ 211,262      (p)

Industrial Select Sector SPDR Fund

     16,195         858,497      (p)

Vanguard FTSE Emerging Markets ETF

     262,019         8,570,641     

Total Exchange Traded Funds
(Cost $10,768,050)

        9,640,400     

Total Investments in Securities
(Cost $178,343,016)

        184,123,143     
          

Short-Term Investments — 13.6%

State Street Institutional U.S. Government Money Market Fund — Premier Class

       

0.09%

      $ 28,561,801      (d,h,p)

(Cost $28,561,801)

       

Total Investments
(Cost $206,904,817)

        212,684,944     

Liabilities in Excess of Other
Assets, net — (1.4)%

        (2,996,687  
        

 

 

   

NET ASSETS — 100.0%

      $ 209,688,257     
        

 

 

   
          
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

32


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

Other Information:

Centrally Cleared Credit Default Swaps – Sell Protection

 

Reference

Entity

  Counterparty   Notional
Amount
(000s
omitted)
  Contract
annual
Fixed Rate
  Termination
Date
  Market
Value
  Unamortized
Upfront
Payments
Received
  Unrealized
Appreciation

Markit CDX North America High Yield Index

  CME Group Inc.     $ 700         5.00 %       12/20/20       $ 8,982       $ (3,746 )     $ 12,728  

The Fund had the following long futures contracts open at December 31, 2015:

 

Description   Expiration
date
  Number
of
Contracts
  Current
Notional
Value
  Unrealized
Appreciation
(Depreciation)

EURO Stoxx 50 Index Futures

  March 2016       23       $ 820,005       $ 4,682  

FTSE 100 Index Futures

  March 2016       3         274,057         7,177  

S&P 500 Emini Index Futures

  March 2016       13         1,323,010         14,584  

S&P Mid 400 Emini Index Futures

  March 2016       46         6,410,100         93,447  

Topix Index Futures

  March 2016       4         514,568         8,571  

U.S. Long Bond Futures

  March 2016       3         461,250         (6,663 )

Ultra Long-Term U.S. Treasury Bond Futures

  March 2016       6         952,125         2,705  

2 Yr. U.S. Treasury Notes Futures

  March 2016       29         6,299,797         (13,253 )

5 Yr. U.S. Treasury Notes Futures

  March 2016       9         1,064,883         (3,485 )
             

 

 

 
          $ 107,765  
             

 

 

 

The Fund had the following short futures contracts open at December 31, 2015:

 

Description   Expiration
date
  Number
of
Contracts
  Current
Notional
Value
  Unrealized
Appreciation
(Depreciation)

S&P 500 Emini Index Futures

  March 2016       45       $ (4,579,650 )     $ (58,159 )

10 Yr. U.S. Treasury Notes Futures

  March 2016       70         (8,813,438 )       57,119  
             

 

 

 
          $ (1,040 )
             

 

 

 
          $ 106,725  
             

 

 

 

The Fund was invested in the following countries/territories at December 31, 2015:

 

Country/Territory  

Percentage
(based on

Fair Value)

United States

      76.44%   

Japan

      5.54%   

United Kingdom

      3.08%   

France

      2.81%   

Germany

      2.14%   

Switzerland

      1.79%   

Canada

      0.99%   

Sweden

      0.98%   

China

      0.91%   

Ireland

      0.85%   

Netherlands

      0.80%   

Hong Kong

      0.47%   

India

      0.39%   

Belgium

      0.39%   

Mexico

      0.29%   

Taiwan

      0.28%   

Luxembourg

      0.28%   

Australia

      0.27%   

Italy

      0.27%   

South Korea

      0.25%   

Norway

      0.24%   

Supranational

      0.13%   

Spain

      0.12%   

Colombia

      0.09%   

Turkey

      0.09%   

Brazil

      0.05%   

Bermuda

      0.02%   

Peru

      0.02%   

Cayman Islands

      0.02%   

Argentina

      0.00% ** 
   

 

 

 
      100.00%   
   

 

 

 
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

33


Table of Contents

Elfun Diversified Fund

  December 31, 2015

 

LOGO

 

The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2015 (unaudited):

 

Industry   Domestic   Foreign   Total

Diversified Banks

      2.30%          2.54%          4.84%   

Pharmaceuticals

      2.86%          1.71%          4.57%   

Exchange Traded Funds

      4.53%          0.00%          4.53%   

Internet Software & Services

      1.79%          0.79%          2.58%   

Integrated Oil & Gas

      1.49%          0.76%          2.25%   

Healthcare Equipment

      0.88%          1.02%          1.90%   

Biotechnology

      1.83%          0.00%          1.83%   

Communications Equipment

      1.26%          0.33%          1.59%   

Aerospace & Defense

      1.10%          0.47%          1.57%   

Technology Hardware, Storage & Peripherals

      1.30%          0.18%          1.48%   

Cable & Satellite

      1.47%          0.00%          1.47%   

Asset Management & Custody Banks

      1.37%          0.00%          1.37%   

Multi-Line Insurance

      0.66%          0.32%          0.98%   

Life & Health Insurance

      0.16%          0.81%          0.97%   

Industrial Machinery

      0.43%          0.48%          0.91%   

Movies & Entertainment

      0.70%          0.19%          0.89%   

Property & Casualty Insurance

      0.00%          0.86%          0.86%   

Electronic Equipment & Instruments

      0.00%          0.79%          0.79%   

Diversified Real Estate Activities

      0.00%          0.75%          0.75%   

Packaged Foods & Meats

      0.37%          0.36%          0.73%   

Automobile Manufacturers

      0.20%          0.53%          0.73%   

Internet Retail

      0.51%          0.21%          0.72%   

Oil & Gas Equipment & Services

      0.45%          0.26%          0.71%   

Wireless Telecommunication Services

      0.00%          0.71%          0.71%   

Specialized Finance

      0.70%          0.00%          0.70%   

Specialized REITs

      0.69%          0.00%          0.69%   

Semiconductor Equipment

      0.37%          0.32%          0.69%   

Data Processing & Outsourced Services

      0.69%          0.00%          0.69%   

Auto Parts & Equipment

      0.00%          0.68%          0.68%   

Soft Drinks

      0.68%          0.00%          0.68%   

Electrical Components & Equipment

      0.00%          0.67%          0.67%   

Home Improvement Retail

      0.58%          0.00%          0.58%   

Systems Software

      0.53%          0.00%          0.53%   

Application Software

      0.25%          0.24%          0.49%   

Airlines

      0.35%          0.13%          0.48%   

Building Products

      0.00%          0.47%          0.47%   

Consumer Finance

      0.46%          0.00%          0.46%   

Research & Consulting Services

      0.43%          0.00%          0.43%   

Specialty Chemicals

      0.00%          0.43%          0.43%   

Oil & Gas Exploration & Production

      0.41%          0.00%          0.41%   

Brewers

      0.00%          0.39%          0.39%   

Investment Banking & Brokerage

      0.34%          0.00%          0.34%   

Electric Utilities

      0.23%          0.11%          0.34%   

General Merchandise Stores

      0.31%          0.00%          0.31%   

Healthcare Services

      0.00%          0.30%          0.30%   

Railroads

      0.06%          0.24%          0.30%   

Fertilizers & Agricultural Chemicals

      0.30%          0.00%          0.30%   

Semiconductors

      0.00%          0.28%          0.28%   

Agricultural Products

      0.28%          0.00%          0.28%   
Industry   Domestic   Foreign   Total

Multi-Utilities

      0.26%          0.00%          0.26%   

Trading Companies & Distributors

      0.25%          0.00%          0.25%   

Advertising

      0.00%          0.24%          0.24%   

Healthcare Distributors

      0.23%          0.00%          0.23%   

Construction Materials

      0.00%          0.23%          0.23%   

Household Products

      0.09%          0.13%          0.22%   

Personal Products

      0.00%          0.22%          0.22%   

Electronic Components

      0.00%          0.21%          0.21%   

Industrial Gases

      0.00%          0.21%          0.21%   

Healthcare Supplies

      0.19%          0.00%          0.19%   

Integrated Telecommunication Services

      0.19%          0.00%          0.19%   

Apparel, Accessories & Luxury Goods

      0.00%          0.18%          0.18%   

Apparel Retail

      0.00%          0.15%          0.15%   

Security & Alarm Services

      0.00%          0.14%          0.14%   

IT Consulting & Other Services

      0.12%          0.00%          0.12%   

Air Freight & Logistics

      0.11%          0.00%          0.11%   

Leisure Products

      0.00%          0.11%          0.11%   

Casinos & Gaming

      0.11%          0.00%          0.11%   

Diversified Metals & Mining

      0.00%          0.11%          0.11%   

Construction & Engineering

      0.00%          0.10%          0.10%   

Broadcasting

      0.09%          0.00%          0.09%   

Human Resource & Employment Services

      0.00%          0.09%          0.09%   

Drug Retail

      0.07%          0.00%          0.07%   

Regional Banks

      0.07%          0.00%          0.07%   

Automotive Retail

      0.07%          0.00%          0.07%   

Paper Packaging

      0.06%          0.00%          0.06%   

Independent Power Producers & Energy Traders

      0.06%          0.00%          0.06%   

Diversified Chemicals

      0.05%          0.00%          0.05%   
           

 

 

 
              55.79%   
           

 

 

 

 

Sector     

Corporate Notes

      14.27%   

Agency Mortgage Backed

      7.72%   

U.S. Treasuries

      4.96%   

Non-Agency Collateralized Mortgage Obligations

      3.20%   

Sovereign Bonds

      0.38%   

Municipal Bonds and Notes

      0.18%   

Agency Collateralized Mortgage Obligations

      0.07%   

FNMA (TBA)

      0.00% ** 
   

 

 

 
      30.78%   
   

 

 

 
Short-Term Investments     

Short-Term Investments

      13.43%   
   

 

 

 
      13.43%   
   

 

 

 
      100.00%   
   

 

 

 
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

34


Table of Contents

(Unaudited)

 

LOGO

 

LOGO

Michael J.Caufield

Senior

Vice President

The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See portfolio managers’ biographical information beginning on page 98.

 

Q. How did the Elfun Tax-Exempt Income Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2015?

 

A. For the twelve-month period ended December 31, 2015, the Elfun Tax-Exempt Income Fund returned 3.21%. The Barclay’s Capital U.S. Municipal Bond Index (the Index), the Fund’s benchmark, returned 3.30% and the Fund’s Morningstar peer group of 198 U.S. Long-term Municipal Bond funds returned an average of 3.05% over the same period.

 

Q. What market conditions affected the Fund’s performance?

 

A. Financial markets across the globe spent the majority of 2015 in the” hurry up and wait mode” for a return to higher interest rates in the U.S. After several false alarms, the Federal Open Market Committee finally acted in December, raising the target range of the Fed funds rate by 25 basis points, signaling that rate policy would likely be gradual and economic data dependent. Most asset class sectors lacked conviction and experienced modest losses or close to break-even returns over the course of 2015. The tax-exempt bond market was the exception to the case however. The tax-exempt sector was the best returning market, outperforming taxable securities substantially on the year, given modest new issue supply, strong mutual fund flows and a stable macro credit profile. Municipal supply increased by 19% over 2015 yet given low historical rates and favorable relationships with treasuries, many issuers chose to refund their debt while shortening their debt exposure, leading to a demand/supply imbalance. The municipal yield curve, given such compelling technical fundamentals, flattened late in the year with bonds held in the intermediate sector representing the Fund’s largest exposure, being a key driver of returns.
Q. What were the primary drivers of Fund performance?

 

A. Curve placement and a longer duration strategy were key elements in our approach to maximize tax-exempt income in the Fund. Given the relative steepness of the curve inside of eight years, which did not offer sufficient yield for our objectives, we concentrated exposure within the intermediate sector of the curve and managed exposure to both long dated securities and lower rated issuers, both of which were underweighted to the Index. The fund’s long-term preference for structure and quality supported competitive with minimal risk while differentiating the Fund from its peers.

 

Q. Were there any significant changes to the Fund during the period?

 

A. Over the course of the year, the Fund duration was managed within a tight range varying from neutral in early 2015 to long 8% by year-end. Fund positioning was strongly biased to a flattening yield curve scenario which began late in 2015 as tax-exempt bonds rallied into year-end. The Fund was positioned throughout the year with income and capital preservation objectives paramount. Our adherence to a conservative investment process continued to provide low volatility and contribute to consistent long-term returns.
 

 

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(Unaudited)

 

LOGO

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2015.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during

the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

 

July 1, 2015 – December 31, 2015

 

       

Account value at

the beginning of

the period ($)

      

Account value

at the end of
the period ($)

      

Expenses

paid during

the period ($)*

 

Actual Fund Return

       1,000.00           1,033.00           0.77   

Hypothetical 5% Return
(2.5% for the period)

       1,000.00           1,024.45           0.77   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 0.15%** (for the period July 1, 2015 – December 31, 2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**   May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

36


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(Unaudited)

 

LOGO

 

Investment Profile

A mutual fund designed for investors who seek as high a level of current interest income exempt from federal income taxation as is available from a concentration of investments in municipal bonds consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing primarily in investment-grade municipal obligations.

 

Quality Ratings

(as a % of Fair Value of Investments of $1,598,346 (in thousands) on December 31, 2015) (a)(b)

 

Moody’s / S&P /Rating *   

Percentage of

Fair Value

 

Aaa / AAA

     12.6%   

Aa / AA

     51.7%   

A / A

     31.5%   

Baa / BBB

     1.4%   

Ba / BB and lower

     1.0%   

NR / Other

     1.8%   

 

Sector Allocation

Portfolio composition as a % of Fair Value of Investments of $1,598,346 (in thousands) on December 31, 2015 (a)(b)

 

 

 

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2015

 

     

One

Year

   

Five

Year

   

Ten

Year

 

Number of funds in peer group

     198        190        180   

Peer group average annual total return

     3.05     5.53     4.14

Morningstar Category in peer group: Muni National Long

  

 

Change in Value of a $10,000 Investment

LOGO

 

LOGO

 

Average Annual Total Return

For the periods ended December 31, 2015

 

(Inception date: 1/1/80)                
     One
Year
    Five
Year
    Ten
Year
   

Ending Value of a

$10,000

Investment

 

Elfun Tax-Exempt Income Fund

    3.21%        5.26%        4.64%        $15,739   

Barclays U.S. Municipal Bond Index

    3.30%        5.35%        4.72%        $15,853   
 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Premier Class.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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Elfun Tax-Exempt Income Fund

  December 31, 2015

 

LOGO

 

Elfun Tax-Exempt Income Fund

 

         

Principal

Amount

    

Fair

Value

     

Municipal Bonds and Notes — 98.1%†

Alaska — 0.2%

Alaska Housing Finance Corp.

       
5.00%    12/01/27    $ 2,500,000       $ 2,942,000     

Arizona — 1.7%

       

City of Phoenix

       
5.00%    07/01/19      5,000,000         5,321,900     

Phoenix Civic Improvement Corp. (FGIC Insured)

       
5.50%    07/01/23 - 07/01/24      7,260,000         9,222,560      (m)

Salt River Project Agricultural Improvement & Power District

       
5.00%    12/01/21      10,000,000         11,668,900     

University Medical Center Corp.

       
6.50%    07/01/39      1,000,000         1,179,670      (l)
           27,393,030     

California — 10.9%

       

Bay Area Toll Authority

       
5.00%    04/01/31      10,000,000         10,113,500      (l)

California Educational Facilities Authority

       
5.00%    10/01/32      5,255,000         6,907,014     
5.25%    10/01/39      6,000,000         6,660,600     
6.13%    10/01/36      1,500,000         1,792,365     

California Health Facilities Financing Authority

       
5.50%    08/15/26      5,000,000         5,933,850     
6.00%    07/01/39      5,000,000         5,730,200     
6.50%    10/01/33      3,500,000         4,027,450      (l)

California State Department of Water Resources

       
5.00%    05/01/21 - 12/01/21      6,585,000         7,866,883     

California State Public Works Board

       
5.00%    10/01/28      1,500,000         1,755,090     
5.13%    10/01/31      2,000,000         2,341,780     
5.25%    09/01/29      10,160,000         12,188,749     
6.00%    04/01/26      8,475,000         9,706,926     

Coast Community College District

       
5.00%    08/01/33      1,260,000         1,520,644     

Coast Community College District (AGMC Insured)

       
5.00%    08/01/33      8,750,000         9,656,762      (l,m)

Kaweah Delta Health Care District

       
4.00%    06/01/45      2,500,000         2,499,925     

Los Angeles Harbor Department

       
5.00%    08/01/26      8,000,000         9,002,240     

Marin Healthcare District

       
4.00%    08/01/45      2,000,000         2,077,380     
         

Principal

Amount

    

Fair

Value

     

Metropolitan Water District of Southern California

       
5.00%    07/01/35 - 07/01/40    $ 9,000,000       $ 9,831,290     

San Diego Community College District

       
5.00%    08/01/41      10,000,000         11,253,300     

State of California

       
5.00%    02/01/31 - 12/01/43      18,220,000         21,084,947     
5.25%    04/01/35 - 11/01/40      12,750,000         14,934,972     

State of California Department of Water Resources

       
5.00%    12/01/29      8,150,000         9,912,193     

University of California

       
5.00%    05/15/38      4,000,000         4,636,160     

University of California (AMBAC Insured)

       
5.00%    05/15/34      2,225,000         2,225,757      (m)
           173,659,977     

Colorado — 1.6%

       

Metro Wastewater Reclamation District

       
5.00%    04/01/27      1,730,000         2,037,248     

Regional Transportation District

       
4.25%    11/01/36      3,405,000         3,967,915     
5.00%    11/01/27 - 11/01/29      13,760,000         17,062,252     
5.38%    06/01/31      2,500,000         2,814,500     
           25,881,915     

Connecticut — 4.6%

       

Connecticut State Health & Educational Facility Authority

       
5.00%    07/01/40      6,775,000         7,414,221     

Hartford County Metropolitan District

       
5.00%    11/01/42      9,000,000         10,423,170     

South Central Connecticut Regional Water Authority

       
5.00%    08/01/27 - 08/01/28      3,295,000         3,871,366     

State of Connecticut

       
5.00%    01/01/22 - 01/01/24      8,600,000         10,029,560     

State of Connecticut Special Tax Revenue

       
5.00%    11/01/26 - 09/01/34      35,250,000         40,983,148     

Town of Fairfield

       
5.00%    08/01/21      1,000,000         1,186,920     
           73,908,385     

Delaware — 1.5%

       

County of New Castle

       
5.00%    07/15/33 - 07/15/39      10,000,000         11,018,600      (l)

Delaware State Health Facilities Authority

       
5.00%    10/01/40      6,300,000         7,008,057     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Table of Contents

Elfun Tax-Exempt Income Fund

  December 31, 2015

 

LOGO

 

         

Principal

Amount

    

Fair

Value

     

Delaware Transportation Authority Rev.,

       
5.00%    06/01/45    $ 4,000,000       $ 4,594,560     

State of Delaware

       
5.00%    07/01/28      1,000,000         1,154,590     
           23,775,807     

District of Columbia — 1.6%

       

District of Columbia

       
5.00%    06/01/38      3,000,000         3,481,290     
5.50%    04/01/36      15,000,000         16,525,650     

District of Columbia Water & Sewer Authority

       
5.25%    10/01/29      5,000,000         5,577,800      (l)
           25,584,740     

Florida — 1.0%

       

Brevard County Health Facilities Authority

       
7.00%    04/01/39      1,000,000         1,184,580      (l)

City of Tampa Water & Wastewater System Revenue

       
5.00%    10/01/27      8,560,000         10,066,646     

County of Miami-Dade Public Facilities Revenue

       
4.00%    06/01/34 - 06/01/36      4,970,000         5,097,589     
           16,348,815     

Georgia — 7.4%

       

Athens-Clarke County Unified Government Development Authority

       
5.00%    06/15/31      6,050,000         6,564,855     

Athens-Clarke County Unified Government Water & Sewerage Revenue

       
5.50%    01/01/38      7,000,000         7,908,950      (l)

Atlanta Development Authority

       
5.25%    07/01/40      8,925,000         10,427,613     

City of Atlanta Department of Aviation

       
5.00%    01/01/25 - 01/01/34      20,500,000         23,713,195     

City of Atlanta Water & Wastewater Revenue

       
5.25%    11/01/30      5,690,000         6,786,008     
6.25%    11/01/39      10,000,000         11,891,900      (l)

City of Atlanta Water & Wastewater Revenue (AGMC Insured)

       
5.75%    11/01/27 - 11/01/30      9,500,000         12,704,475      (m)

DeKalb Newton & Gwinnett Counties Joint Development Authority

       
6.00%    07/01/34      8,500,000         9,673,255     
         

Principal

Amount

    

Fair

Value

     

Fayette County School District (AGMC Insured)

       
4.80%    03/01/22    $ 2,520,000       $ 2,537,615      (l,m)
4.85%    03/01/23      2,290,000         2,306,190      (l,m)

Municipal Electric Authority of Georgia

       
5.00%    01/01/35      2,500,000         2,880,650     
5.25%    01/01/19      2,490,000         2,781,803     

State of Georgia

       
4.00%    07/01/32      3,350,000         3,670,159     
4.50%    01/01/29      3,000,000         3,277,500     
5.00%    08/01/22      4,460,000         4,760,247      (l)
5.00%    08/01/22 - 01/01/26      4,790,000         5,208,246     
           117,092,661     

Hawaii — 1.9%

       

City & County of Honolulu

       
5.00%    04/01/33      10,000,000         11,229,600      (l)

State of Hawaii Airports System Revenue

       
5.25%    07/01/24      15,800,000         18,496,112     
           29,725,712     

Idaho — 1.4%

Idaho Health Facilities Authority

       
6.75%    11/01/37      4,000,000         4,540,640     

Idaho Housing & Finance Assoc. (NPFG Insured)

       
5.00%    07/15/22 - 07/15/24      17,625,000         18,050,644      (l,m)
           22,591,284     

Illinois — 3.2%

City of Chicago O’Hare International Airport Revenue

       
5.00%    01/01/46      1,000,000         1,109,910     
5.63%    01/01/35      5,000,000         5,773,850     
5.75%    01/01/39      11,500,000         13,364,840     

Illinois State Toll Highway Authority

       
5.00%    12/01/32      10,050,000         11,826,840      (c)
5.00%    01/01/40      5,000,000         5,727,300     

Metropolitan Pier & Exposition Authority (NPFG Insured)

       
5.40%    06/15/19      1,065,000         1,146,728      (l,m)
5.40%    06/15/19      2,935,000         3,114,123      (m)
5.65%    06/15/22      375,000         435,225      (j,k,m)
5.65%    06/15/22      3,930,000         4,306,887      (j,m)

Southwestern Illinois Development Authority (NPFG Insured)

       
5.00%    10/01/21      4,000,000         4,666,040      (m)
           51,471,743     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

39


Table of Contents

Elfun Tax-Exempt Income Fund

  December 31, 2015

 

LOGO

 

         

Principal

Amount

    

Fair

Value

     

Indiana — 1.2%

Indiana Municipal Power Agency

       
5.00%    01/01/42    $ 7,000,000       $ 8,039,220      (c)
5.50%    01/01/27      2,500,000         2,780,875     

Indianapolis Local Public Improvement Bond Bank

       
5.75%    01/01/38      7,000,000         7,848,120     
           18,668,215     

Iowa — 0.8%

Iowa Finance Authority

       
5.00%    12/01/19      7,500,000         7,906,800     
5.25%    12/01/25      5,000,000         5,433,850     
           13,340,650     

Kentucky — 1.8%

Kentucky State Property & Building Commission (AGC Insured)

       
5.25%    02/01/27      10,665,000         11,826,312      (m)

Louisville & Jefferson County Metropolitan Sewer District

       
5.00%    05/15/30      14,340,000         16,603,569     
           28,429,881     

Louisiana — 2.0%

City of New Orleans LA Sewerage Service Revenue

       
5.00%    06/01/44      7,100,000         7,891,153     
5.00%    06/01/45      1,800,000         2,008,566     

East Baton Rouge Sewerage Commission

       
5.00%    02/01/39      4,000,000         4,596,760     

Louisiana Local Government Environmental Facilities & Community Development Authority

       
5.00%    02/01/44      5,165,000         5,739,968     

State of Louisiana

       
5.00%    09/01/19      10,050,000         11,375,997     
           31,612,444     

Maine — 0.3%

Maine Health & Higher Educational Facilities Authority

       
5.25%    07/01/21      315,000         369,545      (l)
5.25%    07/01/21      1,475,000         1,712,018     

Maine Turnpike Authority

       
5.00%    07/01/42      1,000,000         1,139,200     
6.00%    07/01/34      1,250,000         1,460,325      (l)
           4,681,088     
         

Principal

Amount

    

Fair

Value

     

Maryland — 3.2%

City of Baltimore

       
5.00%    07/01/38    $ 9,375,000       $ 10,712,062     

County of Baltimore

       
5.00%    02/01/23      7,525,000         9,023,228     

County of Prince George’s

       
5.00%    09/15/24 - 09/15/25      8,790,000         10,439,892     

Maryland Economic Development Corp.

       
5.75%    06/01/35      3,000,000         3,282,060     

Maryland Health & Higher Educational Facilities Authority

       
5.00%    07/01/34 - 08/15/41      3,300,000         3,608,522     

State of Maryland

       
5.00%    11/01/18      4,000,000         4,443,680     

Washington Suburban Sanitary Commission

       
4.50%    06/01/26      8,470,000         9,190,966      (l)
           50,700,410     

Massachusetts — 5.9%

Commonwealth of Massachusetts

       
5.00%    06/15/27      14,000,000         17,125,500     

Massachusetts Bay Transportation Authority

       
5.00%    07/01/45      5,000,000         5,824,750     

Massachusetts Department of Transportation

       
5.00%    01/01/37      11,130,000         12,357,973     

Massachusetts Development Finance Agency

       
5.00%    10/01/46      4,250,000         4,893,153     

Massachusetts Health & Educational Facilities Authority

       
5.00%    07/01/34      10,000,000         11,180,800     
5.50%    11/15/36      4,000,000         4,505,920     
5.75%    07/01/39      5,000,000         5,549,850      (l)

Massachusetts School Building Authority

       
5.00%    08/15/28      5,000,000         5,958,250     

Massachusetts Water Resources Authority

       
5.00%    08/01/32 - 08/01/41      7,140,000         8,325,323     
6.50%    07/15/19      8,160,000         8,902,723      (k)

University of Massachusetts Building Authority

       
5.00%    11/01/31      7,450,000         9,012,041     
           93,636,283     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

40


Table of Contents

Elfun Tax-Exempt Income Fund

  December 31, 2015

 

LOGO

 

         

Principal

Amount

    

Fair

Value

     

Michigan — 1.1%

Lansing Board of Water & Light

       
5.00%    07/01/37    $ 3,500,000       $ 3,923,080     

State of Michigan (AGMC Insured)

       
5.25%    09/15/27      5,000,000         5,329,300      (m)

State of Michigan Trunk Line Revenue

       
5.50%    11/01/18      6,000,000         6,730,800     

University of Michigan Revenue

       
5.00%    04/01/46      1,000,000         1,182,850     
           17,166,030     

Missouri — 1.5%

Bi-State Development Agency of the Missouri-Illinois Metropolitan District

       
5.00%    10/01/44      8,010,000         8,918,174     

Metropolitan St. Louis Sewer District

       
5.00%    05/01/45      1,500,000         1,758,240     

Missouri Highway & Transportation Commission

       
5.00%    05/01/21      4,610,000         5,330,451     

Missouri Joint Municipal Electric Utility Commission

       
5.00%    01/01/34      1,950,000         2,217,716     
5.75%    01/01/29      4,500,000         4,500,000      (l)

Missouri State Environmental Improvement & Energy Resources Authority

       
5.00%    01/01/24      525,000         526,418     
           23,250,999     

Nebraska — 0.7%

Omaha Public Power District

       
4.00%    02/01/34 - 02/01/36      10,250,000         10,903,547     

Nevada — 0.1%

City of Las Vegas (AGMC Insured)

       
5.55%    06/01/16      985,000         1,004,700      (m)

New Jersey — 5.7%

Cape May County Municipal Utilities Authority (AGMC Insured)

       
5.75%    01/01/16      3,500,000         3,500,000      (m)

New Jersey Economic Development Authority

       
5.50%    12/15/29      5,000,000         5,460,550     

New Jersey Educational Facilities Authority

       
6.00%    12/01/17      10,000,000         10,728,700      (k)
         

Principal

Amount

    

Fair

Value

     

New Jersey Educational Facilities Authority (AGMC Insured)

       
4.00%    07/01/33    $ 2,500,000       $ 2,567,600      (m)

New Jersey Healthcare Facilities Financing Authority (AGMC Insured)

       
4.13%    07/01/38      1,000,000         1,018,490      (m)

New Jersey Higher Education Student Assistance Authority

       
5.63%    06/01/30      7,500,000         8,195,625     

New Jersey State Economic Develpoment Authority

       
5.25%    06/15/40      4,000,000         4,163,000     

New Jersey State Turnpike Authority

       
5.00%    01/01/33 - 01/01/45      21,000,000         24,003,650     
5.25%    01/01/40      10,000,000         11,103,500     

New Jersey State Turnpike Authority (AMBAC Insured)

       
6.50%    01/01/16      6,805,000         6,805,000      (k,m)
6.50%    01/01/16      5,135,000         5,135,000      (m)

New Jersey Transportation Trust Fund Authority

       
5.00%    06/15/45      2,250,000         2,348,010     
5.25%    06/15/36      5,000,000         5,297,800     
           90,326,925     

New Mexico — 1.4%

New Mexico Finance Authority

       
5.00%    06/15/18 - 06/15/23      9,200,000         10,334,920     
5.00%    12/15/26      12,000,000         12,500,880      (l)
           22,835,800     

New York — 10.2%

Long Island Power Authority

       
6.00%    05/01/33      7,500,000         8,683,875      (l)

Metropolitan Transportation Authority

       
5.00%    11/15/29 - 11/15/45      14,920,000         17,269,786     

Nassau County Sewer & Storm Water Finance Authority

       
5.00%    10/01/30      1,690,000         2,025,533     

New York City Transitional Finance Authority Building Aid Revenue

       
5.50%    07/15/31      10,000,000         11,090,100     

New York City Transitional Finance Authority Future Tax Secured Revenue

       
5.00%    11/01/21 - 02/01/41      30,220,000         35,013,029     

New York City Water & Sewer System

       
5.00%    06/15/36      9,000,000         10,471,950     

New York Convention Center Development Corp.

       
5.00%    11/15/40      5,000,000         5,778,500     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

41


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Elfun Tax-Exempt Income Fund

  December 31, 2015

 

LOGO

 

         

Principal

Amount

    

Fair

Value

     

New York Liberty Development Corp.

       
5.00%    11/15/44    $ 5,000,000       $ 5,584,650     
5.13%    01/15/44      10,000,000         11,063,800     

New York State Dormitory Authority

       
5.00%    03/15/36 - 10/01/45      15,000,000         18,571,700     
5.50%    05/01/37      2,500,000         2,858,425      (l)
6.00%    07/01/40      2,000,000         2,321,480     

New York State Thruway Authority

       
5.00%    05/01/19      6,000,000         6,727,200     

New York State Urban Development Corp.

       
5.50%    01/01/19      9,000,000         10,154,430     

Triborough Bridge & Tunnel Authority

       
5.00%    11/15/26      10,000,000         11,112,300     

Westchester County Healthcare Corp.

       
6.13%    11/01/37      2,500,000         2,854,050     
           161,580,808     

North Carolina — 1.3%

City of Charlotte

       
5.00%    06/01/23      4,320,000         4,985,755     

City of Charlotte Water & Sewer System Revenue

       
5.00%    07/01/38      5,000,000         5,411,450     

North Carolina Eastern Municipal Power Agency

       
5.00%    01/01/26      5,000,000         5,583,800      (l)

State of North Carolina

       
4.75%    05/01/30      4,130,000         4,628,574     
           20,609,579     

Ohio — 4.1%

American Municipal Power Inc.

       
5.00%    02/15/38      295,000         312,296     
5.00%    02/15/38      4,705,000         5,111,088      (l)

City of Cincinnati Water System Revenue

       
5.00%    12/01/36      2,500,000         2,873,500     

City of Columbus

       
5.00%    07/01/26 - 08/15/30      18,055,000         21,907,495     

City of Columbus Sewerage Revenue

       
4.50%    06/01/32      700,000         748,391      (l)
4.75%    06/01/31      5,000,000         5,369,200      (l)

Cuyahoga Community College District

       
5.00%    08/01/26      1,800,000         2,050,074     

Northeast Ohio Regional Sewer District

       
5.00%    11/15/38      12,000,000         13,839,000     
         

Principal

Amount

    

Fair

Value

     

Ohio Higher Educational Facility Commission

       
6.25%    05/01/38    $ 5,000,000       $ 5,733,900      (l)

Ohio State Turnpike Commission

       
5.25%    02/15/39      6,000,000         6,837,660     
           64,782,604     

Oklahoma — 0.8%

Oklahoma Capital Improvement Authority

       
5.00%    07/01/28 - 07/01/29      5,000,000         5,933,760     

Oklahoma Municipal Power Authority (FGIC Insured)

       
4.50%    01/01/47      2,000,000         2,014,000      (m)

Oklahoma Turnpike Authority

       
5.00%    01/01/28      3,500,000         4,057,165     
           12,004,925     

Pennsylvania — 4.7%

City of Philadelphia Water & Wastewater Revenue

       
5.00%    01/01/36      8,000,000         8,856,880     

Delaware County Authority

       
4.00%    08/01/40      1,200,000         1,262,376     

Delaware River Port Authority

       
5.00%    01/01/29      5,000,000         5,840,700     

Pennsylvania Economic Development Financing Authority

       
4.00%    03/15/40      4,000,000         4,093,520     

Pennsylvania Higher Educational Facilities Authority

       
5.25%    08/15/25      1,750,000         2,059,417     

Pennsylvania Turnpike Commission

       
5.00%    06/01/29 - 12/01/45      21,500,000         23,889,770     
5.25%    06/01/39      9,500,000         10,346,925     
6.00%    12/01/34      12,000,000         14,169,240      (j)

Philadelphia Authority for Industrial Development

       
5.00%    07/01/42      4,000,000         4,513,600     
           75,032,428     

Puerto Rico — 0.1%

Puerto Rico Sales Tax Financing Corp.

       
5.50%    08/01/28      5,000,000         2,125,000     

Rhode Island — 0.2%

Rhode Island Health & Educational Building Corp.

       
6.25%    09/15/34      1,300,000         1,463,735     
6.50%    09/15/28      1,000,000         1,139,660     
           2,603,395     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun Tax-Exempt Income Fund

  December 31, 2015

 

LOGO

 

         

Principal

Amount

    

Fair

Value

     

South Carolina — 1.6%

Piedmont Municipal Power Agency

       
5.00%    01/01/25    $ 2,315,000       $ 2,636,299     

Piedmont Municipal Power Agency (AGC Insured)

       
5.75%    01/01/34      5,500,000         6,472,730      (m)

South Carolina State Public Service Authority

       
5.50%    01/01/38      1,190,000         1,346,402      (l)
5.50%    01/01/38      13,780,000         15,281,331     
           25,736,762     

Tennessee — 1.8%

County of Shelby

       
5.00%    03/01/21      3,500,000         4,032,560     

Metropolitan Government of Nashville & Davidson County

       
5.00%    05/15/25      10,000,000         10,590,100      (l)

State of Tennessee

       
5.00%    05/01/19      1,000,000         1,093,650      (l)

Tennessee State School Bond Authority

       
5.00%    11/01/37 - 11/01/40      11,150,000         13,133,866     
           28,850,176     

Texas — 8.3%

City of Austin Water & Wastewater System Revenue

       
5.00%    11/15/42      13,595,000         15,367,652     

City of Austin Water & Wastewater System Revenue (AMBAC Insured)

       
5.50%    11/15/16      5,450,000         5,684,023      (m)

City of Houston Utility System Revenue

       
5.00%    05/15/28 - 11/15/33      10,470,000         12,162,193     
5.25%    11/15/30 - 11/15/31      12,000,000         13,941,720     

Dallas/Fort Worth International Airport

       
5.25%    11/01/29      5,000,000         5,978,800     

Harris County-Houston Sports Authority

       
5.00%    11/15/30      2,000,000         2,307,380     

North Texas Tollway Authority

       
5.00%    09/01/31 - 01/01/38      5,500,000         6,270,650     
5.75%    01/01/38 - 01/01/40      16,470,000         18,013,150      (l)
5.75%    01/01/40      5,005,000         5,378,823     
6.00%    01/01/38      5,000,000         5,882,250     

Tarrant Regional Water District

       
5.00%    03/01/29      14,000,000         16,898,000     

Texas Transportation Commission State Highway Fund

       
5.00%    04/01/23      9,750,000         11,924,348     
         

Principal

Amount

    

Fair

Value

     

The University of Texas System

       
5.00%    08/15/26    $ 10,000,000       $ 12,592,900     
           132,401,889     

Utah – 1.8%

County of Utah Transportation Sales Tax Revenue (AGMC Insured)

       
4.00%    12/01/37 - 12/01/38      11,830,000         12,392,456      (m)

Utah State Board of Regents

       
5.00%    11/01/30      4,000,000         4,566,400     

Utah Transit Authority

       
5.00%    06/15/42      10,000,000         11,225,700     
           28,184,556     

Virginia – 0.5%

Virginia Resources Authority

       
5.25%    11/01/38      2,390,000         2,663,870      (l)
5.25%    11/01/38      2,610,000         2,862,439     

Wise County Industrial Development Authority

       
1.88%    11/01/40      2,000,000         2,010,540     
     7,536,849     

Total Municipal Bonds and Notes
(Cost $1,446,747,853)

        1,558,382,012     
          

Short-Term Investments – 2.5%

State Street Institutional U.S. Government Money Market Fund — Premier Class

       

0.09%

      $ 39,963,873      (d,p)

(Cost $39,963,873)

       

Total Investments
(Cost $1,486,711,726)

        1,598,345,885     

Liabilities in Excess of Other Assets, net — (0.6)%

        (10,073,599  
        

 

 

   

NET ASSETS — 100.0%

      $ 1,588,272,286     
        

 

 

   
          
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

43


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(Unaudited)

 

LOGO

 

LOGO

William M. Healey

Senior Vice President and Chief Investment Officer — Core Fixed Income Investments

 

LOGO

Mark H. Johnson

Senior Vice President and Chief Investment Officer — Insurance and Long Duration

 

The Elfun Income Fund is co-managed by William M. Healey and Mark H. Johnson. Messrs. Healey and Johnson are each responsible for a portion of the Fund, the size of which is determined by consensus and adjusted on a periodic basis, if necessary. Although each portfolio manager manages his portion of the fund independent of the other, they are highly collaborative and communicative. See portfolio managers’ biographical information beginning on page 98.

 

Q. How did the Elfun Income Fund perform compared to its benchmark for the twelve-month period ended December 31, 2015?

 

A. For the twelve-month period ended December 31, 2015, the Elfun Income Fund returned 0.22%. The Barclays Capital U.S. Aggregate Bond Index, the Fund’s benchmark, returned 0.55% and the Fund’s Morningstar peer group of 1,086 U.S. Intermediate-Term Funds returned an average of -0.27% over the same period.

 

Q. What market factors affected the Fund’s performance?

 

A. The two major factors which affected the Fund’s performance were the movement in interest rates and credit spreads. The 10-year US Treasury note finished the year at 2.3%, up just 10 bps but traded down to 1.65% in January, then moved to 2.5% by the end of June before drifting down by year end as inflation remained well below the Fed’s target of 2%. The 2-year treasury yield, basically unchanged for the first nine months of the year, jumped from 0.65% to 1.05% in the fourth quarter as expectations for a Fed Funds rate hike became reality in December. Economic growth in the US slowed from 3% in Q1 to 2% (Bloomberg estimate) in Q4 as the price of oil plummeted over 30% and the US dollar rose 9% versus a basket of major world currencies. As economic growth decelerated, credit spreads widened putting pressure on corporate bond prices. The option-adjusted spread (OAS) of the Barclays Investment Grade Bond Index widened 35
  bps beginning in May and the OAS of Barclays US High Yield Index hurt primarily by the energy sector widened 180 bps.

 

Q. What were the primary drivers of Fund performance?

 

A. The primary driver of the Fund’s underperformance versus its benchmark was the allocation to high yield securities which are not in the index. The significant widening of credit spreads resulted in a negative return for the high yield market of -4.5% and while the Fund was not heavily exposed to energy companies, the allocation was the largest performance detractor. The overweight in high grade corporate bonds also negatively impacted the Fund’s total return. Security selection among the high grade credit sector, primarily underweight commodity-related sectors and overweight financials, and residential mortgage-backed securities contributed positively to the Fund’s performance. Tactically trading the Fund’s duration relative to the index, as treasury yields bounced within a range, also benefited the Fund.

 

Q. Were there any significant changes to the Fund during the period?

 

A. The most significant change to the Fund was a general increase in the allocation to spread sectors during the year. The allocation to high grade credit started the year slightly overweight and ended the year 10% overweight by market value, which added roughly 0.3 years to the Fund’s spread duration. The allocation to commercial mortgage-backed securities was also increased from 3% to 10% overweight by market value and from 0.1 to 0.5 spread duration contribution. The Fund’s duration was tactically traded within neutral to 0.5 years long relative to the benchmark during the period.
 

 

44


Table of Contents

(Unaudited)

 

LOGO

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2015.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during

the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

 

July 1, 2015 – December 31, 2015

 

        Account value at
the beginning of
the period  ($)
       Account value
at the end of
the period  ($)
       Expenses
paid during
the period ($)*
 

Actual Fund Return

       1,000.00           1,002.70           1.26   

Hypothetical 5% Return
(2.5% for the period)

       1,000.00           1,023.95           1.28   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 0.25%** (for the period July 1, 2015 – December 31, 2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**   May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

45


Table of Contents

(Unaudited)

 

LOGO

 

Investment Profile

A mutual fund designed for investors who seek a high level of income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in debt securities. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.

 

Quality Ratings

(as a % of Fair Value of Investments of $302,338 (in thousands) on December 31, 2015) (a)(b)

 

Moody’s / S&P /Rating *    Percentage of
Fair Value
 

Aaa / AAA

     8.8%   

Aa / AA

     43.4%   

A / A

     9.9%   

Baa / BBB

     21.5%   

Ba / BB and lower

     10.7%   

NR / Other

     5.7%   

 

Sector Allocation

Portfolio composition as a % of Fair Value of Investments of $302,338 (in thousands) on December 31, 2015 (a)(b)

 

 

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2015

 

      One
Year
    Five
Year
    Ten
Year
 

Number of funds in peer group

     1,086        990        860   

Peer group average annual total return

     -0.27     3.17     3.98

Morningstar Category in peer group: U.S. Intermediate-Term Bond

  

 

Change in Value of a $10,000 Investment

LOGO

LOGO

 

Average Annual Total Return

For the periods ended December 31, 2015

 

(Inception date: 12/31/84)                    
     One
Year
  Five
Year
  Ten
Year
  Ending value of a
$10,000
investment

Elfun Income Fund

      0.22%          3.71%          4.34%          $15,288   

Barclays U.S. Aggregate
Bond Index

      0.55%          3.25%          4.51%          $15,552   
 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Premier Class.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

46


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

Elfun Income Fund

 

          Principal
Amount
     Fair
Value
     

Bonds and Notes – 99.1%†

U.S. Treasuries — 15.9%

U.S. Treasury Bonds

       
2.50%    02/15/45    $ 203,000       $ 181,765     
3.13%    11/15/41      6,057,000         6,244,725     
U.S. Treasury Notes        
0.63%    05/31/17      3,318,100         3,303,520      (h)
0.75%    12/31/17      2,500,000         2,483,313      (h)
0.88%    10/15/18      3,434,000         3,396,504      (h)
1.38%    10/31/20      13,847,700         13,606,459      (h)
1.88%    10/31/22      12,956,300         12,792,545      (h)
2.00%    08/15/25      4,189,900         4,085,085      (h)
           46,093,916     

Agency Mortgage Backed — 24.4%

Federal Home Loan Mortgage Corp.

       
4.50%    06/01/33 - 02/01/35      22,438         24,258      (h)
5.00%    07/01/35 - 06/01/41      1,299,629         1,449,139      (h)
5.50%    05/01/20 - 01/01/38      328,076         370,374     
5.50%    04/01/39      67,597         74,653      (h)
6.00%    04/01/17 - 06/01/37      226,010         255,576     
6.00%    04/01/29 - 11/01/37      562,991         639,346      (h)
6.50%    07/01/29      2,107         2,399      (h)
7.00%    10/01/16      326         328     
7.00%    01/01/27 - 08/01/36      133,169         149,716      (h)
7.50%    11/01/29 - 09/01/33      8,351         8,901      (h)
8.00%    11/01/30      4,551         4,886      (h)

Federal National Mortgage Assoc.

       
2.22%    04/01/37      2,777         2,829      (i)
3.00%    02/01/43 - 06/01/43      12,921,839         12,963,097      (h)
3.50%    11/01/42 - 08/01/45      7,349,458         7,587,184      (h)
4.00%    05/01/19 - 06/01/19      54,917         57,247     
4.00%    01/01/41 - 03/01/44      6,504,957         6,912,560      (h)
4.50%    05/01/18 - 08/01/20      96,232         100,002     
4.50%    07/01/33 - 01/01/41      5,758,638         6,230,864      (h)
5.00%    07/01/20      33,234         35,342     
5.00%    03/01/34 - 06/01/41      2,112,884         2,370,442      (h)
5.50%    06/01/20 - 11/01/35      288,733         308,919     
5.50%    12/01/32 - 01/01/39      1,372,754         1,541,520      (h)
6.00%    05/01/19 - 09/01/21      36,579         38,414     
6.00%    01/01/29 - 05/01/41      3,025,973         3,445,916      (h)
6.50%    07/01/17 - 05/01/21      22,630         23,540     
6.50%    05/01/24 - 08/01/36      160,853         183,842      (h)
7.00%    10/01/16 - 08/01/17      6,298         6,447     
7.00%    10/01/32 - 02/01/34      14,629         15,574      (h)
7.50%    12/01/26 - 12/01/33      77,577         88,331      (h)
8.00%    06/01/24 - 01/01/33      25,817         28,912      (h)
8.50%    04/01/30      4,120         5,205      (h)
9.00%    12/01/17 - 12/01/22      7,689         8,326      (h)
2.50%    TBA      3,774,641         3,796,741      (c)
          Principal
Amount
     Fair
Value
     
3.50%    TBA    $ 2,503,500       $ 2,582,100      (c)
4.00%    TBA      1,228,691         1,299,845      (c)

Government National Mortgage Assoc.

       
3.00%    04/20/43      1,457,211         1,482,174     
3.00%    06/20/43      759,734         772,748      (h)
3.50%    05/20/43      2,811,831         2,938,294      (h)
4.00%    01/20/41 - 04/20/43      3,324,928         3,559,462      (h)
4.50%    08/15/33 - 09/15/34      198,959         216,066     
4.50%    05/20/40 - 03/20/41      1,497,577         1,631,058      (h)
5.00%    08/15/33      83,580         92,947     
6.00%    04/15/27 - 09/15/36      346,683         396,922     
6.50%    04/15/19 - 09/15/36      138,302         157,896     
7.00%    11/15/27 - 10/15/36      87,269         95,961     
7.50%    03/15/23 - 11/15/31      34,242         35,738     
8.00%    09/15/27 - 06/15/30      32,043         33,488     
8.50%    10/15/17      3,851         3,965     
9.00%    11/15/16 - 12/15/21      9,609         10,034     
3.00%    TBA      2,031,275         2,058,078      (c)
4.00%    TBA      2,628,537         2,787,591      (c)
5.00%    TBA      1,167,000         1,278,327      (c)
5.50%    TBA      435,000         483,243      (c)
           70,646,767     

Agency Collateralized Mortgage Obligations — 0.3%

Collateralized Mortgage Obligation Trust

       
0.01%    11/01/18      1,492         1,483      (d,f)

Federal Home Loan Mortgage Corp.

       
0.08%    09/25/43      1,419,387         4,041      (g,i)

Federal Home Loan Mortgage Corp. REMIC

       
3.50%    11/15/24 - 11/15/30      1,041,769         84,295      (g)
5.00%    02/15/38      11,268         199      (g)
5.50%    06/15/33      75,161         15,722      (g)
6.27%    08/15/25      393,512         38,768      (g,i)
8.00%    04/15/20      777         804     

Federal Home Loan Mortgage Corp. STRIPS

       
1.47%    08/01/27      1,410         1,282      (d,f)
5.62%    08/15/43      785,669         169,777      (g,i)
8.00%    02/01/23 - 07/01/24      5,182         1,089      (g)

Federal National Mortgage Assoc. REMIC

       
0.51%    12/25/22      3,222         3,117      (d,f)
1.22%    12/25/42      333,157         11,069      (g,i)
5.00%    02/25/40 - 09/25/40      526,128         57,438      (g)
5.58%    07/25/38      103,865         14,334      (g,i)
8.00%    05/25/22      7         113      (g)

Federal National Mortgage Assoc. STRIPS

       
1.87%    12/25/34      83,874         77,565      (d,f)
4.50%    08/25/35 - 01/25/36      179,599         32,234      (g)
5.00%    03/25/38 - 05/25/38      98,804         17,897      (g)
5.50%    12/25/33      24,406         4,770      (g)
6.00%    01/25/35      90,304         18,633      (g)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

47


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     
7.50%    11/25/23    $ 15,563       $ 3,336      (g)
8.00%    08/25/23 - 07/25/24      10,472         2,223      (g)
8.50%    03/25/17 - 07/25/22      4,877         574      (g)
9.00%    05/25/22      2,665         467      (g)

Government National Mortgage Assoc.

       
4.50%    10/20/37 - 08/16/39      833,848         55,261      (g)
5.00%    10/20/37 - 09/20/38      429,307         25,385      (g)
5.85%    02/20/40      325,528         55,698      (g,i)
6.46%    01/16/40      544,008         100,527      (g,i)
           798,101     

Asset Backed — 0.3%

Capital One Multi-Asset Execution Trust 2006-B1

       
0.61%    01/15/19      500,000         499,691      (i)

Chase Funding Trust 2004-1

       
3.99%    11/25/33      274,709         280,537      (j)
           780,228     

Corporate Notes — 45.2%

21st Century Fox America Inc.

       
3.70%    10/15/25      104,000         103,812      (b)
4.95%    10/15/45      42,000         41,366      (b)
6.65%    11/15/37      248,000         288,191     

ABB Finance USA Inc.

       
1.63%    05/08/17      392,000         392,279     

AbbVie Inc.

       
1.75%    11/06/17      372,000         371,297     
2.00%    11/06/18      423,000         421,223     
2.50%    05/14/20      415,000         410,897     
3.60%    05/14/25      167,000         164,839     
4.70%    05/14/45      85,000         83,125     

ACCO Brands Corp.

       
6.75%    04/30/20      426,000         438,780     

ACE INA Holdings Inc.

       
2.30%    11/03/20      416,000         413,196     
3.15%    03/15/25      292,000         288,756     
3.35%    05/03/26      291,000         290,161     
4.35%    11/03/45      87,000         88,413     

Actavis Funding SCS

       
1.30%    06/15/17      489,000         484,371     
3.00%    03/12/20      208,000         207,834     
3.45%    03/15/22      292,000         292,466     
3.80%    03/15/25      217,000         215,912     
4.75%    03/15/45      41,000         39,969     

Activision Blizzard Inc.

       
5.63%    09/15/21      428,000         448,330      (b)

Aetna Inc.

       
3.50%    11/15/24      260,000         259,730     

Agrium Inc.

       
3.38%    03/15/25      104,000         94,940     
4.90%    06/01/43      189,000         169,069     

Alibaba Group Holding Ltd.

       
4.50%    11/28/34      205,000         196,136     
          Principal
Amount
     Fair
Value
     

Altria Group Inc.

       
2.95%    05/02/23    $ 210,000       $ 204,386     
4.50%    05/02/43      210,000         199,174     

America Movil SAB de C.V.

       
3.13%    07/16/22      205,000         201,426     
5.00%    03/30/20      317,000         344,015     

American Axle & Manufacturing Inc.

       
6.25%    03/15/21      279,000         288,765     
6.63%    10/15/22      84,000         87,990     

American Campus Communities Operating Partnership LP

       
3.35%    10/01/20      167,000         166,805     
4.13%    07/01/24      124,000         123,135     

American Electric Power Company Inc.

       
2.95%    12/15/22      332,000         328,132     

American Express Co.

       
3.63%    12/05/24      215,000         210,414     

American Express Credit Corp.

       
2.60%    09/14/20      417,000         418,174     

American International Group Inc.

       
3.75%    07/10/25      417,000         413,516     
4.13%    02/15/24      125,000         128,465     
4.50%    07/16/44      83,000         76,762     
4.80%    07/10/45      208,000         201,125     

American Tower Corp. (REIT)

       
3.40%    02/15/19      513,000         526,332     

Amgen Inc.

       
2.20%    05/22/19      612,000         611,321     

Amkor Technology Inc.

       
6.63%    06/01/21      429,000         425,783     

Anadarko Petroleum Corp.

       
3.45%    07/15/24      83,000         73,772     
6.20%    03/15/40      221,000         203,320     

Anheuser-Busch InBev Worldwide Inc.

       
2.50%    07/15/22      515,000         495,719     

Anthem Inc.

       
3.30%    01/15/23      211,000         205,149     

Apache Corp.

       
5.10%    09/01/40      208,000         177,811     

Apple Inc.

       
2.85%    05/06/21      634,000         649,572     
3.45%    02/09/45      210,000         180,782     

Aramark Services Inc.

       
5.75%    03/15/20      457,000         472,709     

Ascension Health

       
4.85%    11/15/53      326,000         351,245     

AstraZeneca PLC

       
2.38%    11/16/20      147,000         146,006     
3.38%    11/16/25      209,000         207,507     
4.38%    11/16/45      83,000         83,180     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

48


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

AT&T Inc.

       
2.38%    11/27/18    $ 458,000       $ 461,529     
2.45%    06/30/20      418,000         411,815     
3.40%    05/15/25      421,000         404,672     
4.50%    05/15/35      208,000         192,391     
4.75%    05/15/46      106,000         97,035     
4.80%    06/15/44      163,000         149,330     

AutoNation Inc.

       
4.50%    10/01/25      292,000         296,440     

AutoZone Inc.

       
3.25%    04/15/25      217,000         209,989     

Bank of America Corp.

       
1.70%    08/25/17      1,050,000         1,047,081     
2.60%    01/15/19      147,000         147,499     
3.88%    08/01/25      82,000         83,248     
3.95%    04/21/25      251,000         244,439     
4.00%    01/22/25      207,000         202,805     
4.10%    07/24/23      218,000         225,500     
4.25%    10/22/26      375,000         371,226     

Barclays Bank PLC

       
2.25%    05/10/17      1,186,000         1,198,625      (b)

Barclays PLC

       
5.25%    08/17/45      205,000         206,493     

Barrick Gold Corp.

       
4.10%    05/01/23      66,000         56,623     

Baxalta Inc.

       
2.88%    06/23/20      417,000         411,996      (b)
4.00%    06/23/25      313,000         309,916      (b)

Bed Bath & Beyond Inc.

       
4.92%    08/01/34      61,000         54,392     

Berkshire Hathaway Energy Co.

       
6.13%    04/01/36      330,000         384,587     

Berkshire Hathaway Finance Corp.

       
3.00%    05/15/22      194,000         197,424     

Berkshire Hathaway Inc.

       
4.50%    02/11/43      3,000         3,018     

Berry Plastics Corp.

       
5.13%    07/15/23      260,000         252,850     
6.00%    10/15/22      200,000         203,500      (b)

BHP Billiton Finance USA Ltd.

       
5.00%    09/30/43      115,000         104,211     

Biogen Inc.

       
2.90%    09/15/20      207,000         206,546     
4.05%    09/15/25      207,000         208,074     
5.20%    09/15/45      82,000         82,023     

Bombardier Inc.

       
4.75%    04/15/19      164,000         134,890      (b)
6.00%    10/15/22      164,000         114,964      (b)
7.75%    03/15/20      212,000         171,190      (b)

Boston Scientific Corp.

       
3.85%    05/15/25      210,000         206,663     

BP Capital Markets PLC

       
1.38%    05/10/18      211,000         207,989     
3.81%    02/10/24      200,000         199,961     
          Principal
Amount
     Fair
Value
     

Branch Banking & Trust Co.

       
3.63%    09/16/25    $ 430,000       $ 434,258     

Building Materials Corporation of America

       
5.38%    11/15/24      516,000         514,710      (b)

Burlington Northern Santa Fe LLC

       
3.65%    09/01/25      145,000         146,945     

Calpine Corp.

       
5.75%    01/15/25      251,000         221,508     
5.88%    01/15/24      565,000         579,125      (b)

Calumet Specialty Products Partners LP/Calumet Finance Corp.

       
6.50%    04/15/21      431,000         374,970     

Canadian Pacific Railway Co.

       
2.90%    02/01/25      150,000         141,207     

Capital One Financial Corp.

       
4.20%    10/29/25      416,000         410,952     

Caterpillar Inc.

       
4.30%    05/15/44      133,000         128,342     

Catholic Health Initiatives

       
2.60%    08/01/18      125,000         125,517     
4.35%    11/01/42      130,000         121,575     

CBS Corp.

       
3.70%    08/15/24      319,000         310,397     

CCO Safari II LLC

       
3.58%    07/23/20      313,000         311,207      (b)
4.91%    07/23/25      313,000         312,692      (b)
6.38%    10/23/35      42,000         42,388      (b)
6.48%    10/23/45      83,000         83,029      (b)

Celgene Corp.

       
3.88%    08/15/25      417,000         415,675     
5.00%    08/15/45      208,000         208,796     

CenturyLink Inc.

       
5.80%    03/15/22      862,000         790,023     

Cequel Capital Corp.

       
5.13%    12/15/21      484,000         435,600      (b)

Chevron Corp.

       
3.33%    11/17/25      292,000         294,105     

Cigna Corp.

       
3.25%    04/15/25      417,000         409,530     

Cinemark USA Inc.

       
4.88%    06/01/23      431,000         420,225     

Citigroup Inc.

       
1.55%    08/14/17      917,000         913,293     
1.75%    05/01/18      419,000         415,483     
1.85%    11/24/17      200,000         199,715     
2.05%    12/07/18      378,000         375,995     
2.65%    10/26/20      207,000         205,497     
4.40%    06/10/25      209,000         211,190     
4.65%    07/30/45      333,000         336,805     

CMS Energy Corp.

       
4.88%    03/01/44      209,000         211,934     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

49


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

CNA Financial Corp.

       
5.88%    08/15/20    $ 326,000       $ 361,387     

CNOOC Nexen Finance 2014 ULC

       
4.25%    04/30/24      423,000         426,352     

Cogeco Cable Inc.

       
4.88%    05/01/20      400,000         399,000      (b)

Colgate-Palmolive Co.

       
4.00%    08/15/45      208,000         208,461     

Columbia Pipeline Group Inc.

       
3.30%    06/01/20      292,000         284,437      (b)
4.50%    06/01/25      209,000         189,434      (b)

Comcast Corp.

       
3.38%    08/15/25      709,000         718,198     
4.20%    08/15/34      206,000         204,030     
4.60%    08/15/45      210,000         212,609     

ConocoPhillips Co.

       
3.35%    11/15/24      416,000         380,625     

Continental Resources Inc.

       
3.80%    06/01/24      91,000         64,127     
4.50%    04/15/23      82,000         58,948     
4.90%    06/01/44      47,000         28,349     

Corp Andina de Fomento

       
4.38%    06/15/22      604,000         643,018     

Credit Suisse AG

       
1.70%    04/27/18      411,000         408,075     
2.60%    05/27/16      405,000         407,167      (b)

Credit Suisse Group Funding Guernsey Ltd.

       
3.75%    03/26/25      252,000         243,456      (b)

Crown Americas LLC/Crown Americas Capital Corp. IV

       
4.50%    01/15/23      511,000         499,503     

CSX Corp.

       
4.50%    08/01/54      124,000         112,474     

CubeSmart LP

       
4.00%    11/15/25      116,000         115,177     

CVS Health Corp.

       
2.25%    08/12/19      618,000         617,417     
3.88%    07/20/25      417,000         425,651     
5.13%    07/20/45      312,000         328,671     

Daimler Finance North America LLC

       
2.38%    08/01/18      628,000         628,956      (b)

Danaher Corp.

       
2.40%    09/15/20      207,000         207,016     
3.35%    09/15/25      207,000         210,263     
4.38%    09/15/45      112,000         115,688     

Denbury Resources Inc.

       
5.50%    05/01/22      431,000         143,083     
6.38%    08/15/21      276,000         99,360     

Deutsche Bank AG

       
4.50%    04/01/25      423,000         389,169     

Devon Energy Corp.

       
5.85%    12/15/25      171,000         166,320     
          Principal
Amount
     Fair
Value
     

Dexia Credit Local S.A.

       
2.25%    01/30/19    $ 843,000       $ 848,487      (b)

Diageo Investment Corp.

       
2.88%    05/11/22      506,000         501,626     

DigitalGlobe Inc.

       
5.25%    02/01/21      427,000         358,680      (b)

DIRECTV Holdings LLC/DIRECTV Financing Company Inc.

       
4.45%    04/01/24      319,000         327,669     

Discover Bank

       
3.10%    06/04/20      291,000         291,797     

Dollar General Corp.

       
1.88%    04/15/18      410,000         406,056     
4.13%    07/15/17      412,000         423,095     
4.15%    11/01/25      208,000         206,767     

Dollar Tree Inc.

       
5.75%    03/01/23      517,000         538,973      (b)

Dominion Resources Inc.

       
1.95%    08/15/16      783,000         784,967     

Dr Pepper Snapple Group Inc.

       
3.40%    11/15/25      416,000         408,683     

Duke Energy Progress LLC

       
4.15%    12/01/44      125,000         122,079     

Eastman Chemical Co.

       
3.60%    08/15/22      416,000         414,195     

Ecopetrol S.A.

       
5.88%    05/28/45      104,000         73,840     

Electricite de France S.A.

       
2.15%    01/22/19      838,000         834,106      (b)

Eli Lilly & Co.

       
3.70%    03/01/45      41,000         38,348     

EMD Finance LLC

       
3.25%    03/19/25      208,000         197,233      (b)

Energizer Holdings Inc.

       
5.50%    06/15/25      433,000         407,020      (b)

Energy Transfer Equity LP

       
5.88%    01/15/24      844,000         687,860     

Energy Transfer Partners LP

       
4.05%    03/15/25      83,000         68,202     
5.15%    03/15/45      146,000         103,206     
6.50%    02/01/42      344,000         279,793     

Ensco PLC

       
4.50%    10/01/24      209,000         143,932     
5.20%    03/15/25      125,000         89,001     
5.75%    10/01/44      86,000         56,659     

Enterprise Products Operating LLC

       
3.70%    02/15/26      415,000         372,565     

Equinix Inc.

       
5.88%    01/15/26      85,000         87,550     

ERP Operating LP

       
4.50%    07/01/44      83,000         83,291     

European Investment Bank

       
4.88%    01/17/17      850,000         883,759     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

50


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

FedEx Corp.

       
3.20%    02/01/25    $ 130,000       $ 126,547     
4.10%    02/01/45      2,000         1,781     

Fiat Chrysler Automobiles N.V.

       
4.50%    04/15/20      265,000         268,313     
5.25%    04/15/23      200,000         196,500     

Five Corners Funding Trust

       
4.42%    11/15/23      457,000         477,152      (b)

Florida Power & Light Co.

       
4.13%    02/01/42      222,000         220,942     

Ford Motor Credit Company LLC

       
3.20%    01/15/21      439,000         436,064     
3.22%    01/09/22      440,000         430,797     
5.88%    08/02/21      318,000         354,627     

Fresenius Medical Care US Finance Inc.

       
5.75%    02/15/21      344,000         368,080      (b)

Frontier Communications Corp.

       
7.13%    03/15/19      526,000         525,947     
11.00%    09/15/25      393,000         389,070      (b)

General Motors Co.

       
5.20%    04/01/45      42,000         39,540     

General Motors Financial Company Inc.

       
3.15%    01/15/20      292,000         289,404     
3.20%    07/13/20      834,000         821,157     
4.30%    07/13/25      417,000         404,634     

Georgia-Pacific LLC

       
3.60%    03/01/25      625,000         618,069      (b)

Gilead Sciences Inc.

       
2.55%    09/01/20      210,000         210,019     
3.65%    03/01/26      235,000         237,088     
4.80%    04/01/44      94,000         94,296     

Grupo Televisa SAB

       
5.00%    05/13/45      204,000         175,272     

Halliburton Co.

       
2.70%    11/15/20      208,000         205,682     
3.80%    11/15/25      210,000         204,612     
5.00%    11/15/45      125,000         123,479     

HCA Inc.

       
4.75%    05/01/23      693,000         686,070     
6.50%    02/15/20      392,000         427,084     

HSBC Holdings PLC

       
4.25%    08/18/25      201,000         199,507     

HSBC USA Inc.

       
2.75%    08/07/20      624,000         624,329     

Hyundai Capital America

       
2.13%    10/02/17      189,000         187,876      (b)

Illinois Tool Works Inc.

       
3.50%    03/01/24      418,000         429,747     

ING Bank N.V.

       
2.70%    08/17/20      200,000         200,976      (b)
          Principal
Amount
     Fair
Value
     

Ingersoll-Rand Luxembourg Finance S.A.

       
3.55%    11/01/24    $ 291,000       $ 284,911     

Ingles Markets Inc.

       
5.75%    06/15/23      551,000         549,623     

Intel Corp.

       
2.45%    07/29/20      208,000         210,469     

Intelsat Jackson Holdings S.A.

       
5.50%    08/01/23      417,000         327,345     

International Business Machines Corp.

       
3.63%    02/12/24      426,000         438,748     

Interstate Power & Light Co.

       
3.40%    08/15/25      415,000         417,500     

Intesa Sanpaolo S.p.A.

       
5.02%    06/26/24      126,000         124,028      (b)

Invesco Finance PLC

       
3.13%    11/30/22      573,000         565,277     

JB Poindexter & Company Inc.

       
9.00%    04/01/22      120,000         125,400      (b)

JBS USA LLC/JBS USA Finance Inc.

       
5.75%    06/15/25      345,000         300,150      (b)
5.88%    07/15/24      232,000         209,960      (b)

Jefferies Group LLC

       
5.13%    01/20/23      168,000         166,693     
6.50%    01/20/43      140,000         129,434     

Johnson Controls Inc.

       
4.63%    07/02/44      204,000         172,888     

JPMorgan Chase & Co.

       
2.55%    10/29/20      207,000         205,157     
3.88%    09/10/24      617,000         614,070     
5.00%    12/29/49      299,000         284,050      (i)
6.10%    10/29/49      500,000         502,550      (i)

KB Home

       
7.00%    12/15/21      506,000         499,043     

Keysight Technologies Inc.

       
4.55%    10/30/24      415,000         398,993     

KFW

       
2.00%    10/04/22      929,000         914,017     
4.50%    07/16/18      238,000         255,855     

Kinder Morgan Energy Partners LP

       
3.50%    09/01/23      137,000         113,653     
4.30%    05/01/24      214,000         184,015     

Kinder Morgan Inc.

       
3.05%    12/01/19      83,000         76,845     
4.30%    06/01/25      166,000         143,500     
5.55%    06/01/45      125,000         97,614     

Kinross Gold Corp.

       
6.88%    09/01/41      30,000         16,438     

Kraft Heinz Foods Co.

       
2.80%    07/02/20      626,000         624,533      (b)
3.95%    07/15/25      543,000         548,257      (b)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

L Brands Inc.

       
5.63%    02/15/22    $ 443,000       $ 470,688     

L-3 Communications Corp.

       
1.50%    05/28/17      286,000         282,452     

Lee Enterprises Inc.

       
9.50%    03/15/22      347,000         319,240      (b)

Lennar Corp.

       
4.50%    11/15/19      516,000         524,708     
4.75%    05/30/25      174,000         170,085     

Levi Strauss & Co.

       
5.00%    05/01/25      259,000         257,705     

Lockheed Martin Corp.

       
2.50%    11/23/20      292,000         290,972     
3.55%    01/15/26      417,000         419,141     
4.70%    05/15/46      94,000         96,728     

Lowe’s Companies Inc.

       
4.38%    09/15/45      165,000         169,596     

LyondellBasell Industries N.V.

       
4.63%    02/26/55      83,000         67,309     

Macquarie Bank Ltd.

       
4.88%    06/10/25      423,000         417,714      (b)

Marathon Petroleum Corp.

       
3.63%    09/15/24      415,000         386,922     

Marsh & McLennan Companies Inc.

       
3.50%    03/10/25      288,000         283,693     
3.75%    03/14/26      290,000         290,018     

Mattel Inc.

       
2.35%    05/06/19      633,000         627,730     

McDonald’s Corp.

       
2.75%    12/09/20      113,000         112,944     
3.70%    01/30/26      265,000         264,848     
4.88%    12/09/45      87,000         87,469     

Mead Johnson Nutrition Co.

       
3.00%    11/15/20      291,000         291,043     
4.13%    11/15/25      291,000         293,339     

Medtronic Inc.

       
2.50%    03/15/20      125,000         125,920     
3.50%    03/15/25      500,000         505,920     
4.63%    03/15/45      210,000         216,516     

Memorial Sloan-Kettering Cancer Center

       
4.13%    07/01/52      165,000         153,916     

Merck & Company Inc.

       
2.75%    02/10/25      215,000         209,324     

MetLife Inc.

       
3.60%    11/13/25      208,000         209,602     
4.05%    03/01/45      104,000         96,355     
4.72%    12/15/44      128,000         130,720     

MGM Resorts International

       
5.25%    03/31/20      258,000         255,420     
6.63%    12/15/21      431,000         441,236     

Microsoft Corp.

       
4.00%    02/12/55      217,000         194,776     
          Principal
Amount
     Fair
Value
     

Mid-America Apartments LP

       
4.00%    11/15/25    $ 209,000       $ 207,639     

Mizuho Bank Ltd.

       
2.45%    04/16/19      508,000         508,372      (b)

Monsanto Co.

       
4.70%    07/15/64      120,000         91,115     

Morgan Stanley

       
2.65%    01/27/20      210,000         209,502     
3.70%    10/23/24      416,000         418,038     
3.95%    04/23/27      417,000         404,905     
4.10%    05/22/23      680,000         687,434     
4.88%    11/01/22      116,000         123,181     
5.00%    11/24/25      161,000         171,009     

Motorola Solutions Inc.

       
4.00%    09/01/24      141,000         122,376     

National Agricultural Cooperative Federation

       
4.25%    01/28/16      231,000         231,379      (b)

National Retail Properties Inc.

       
4.00%    11/15/25      208,000         204,362     

NCL Corporation Ltd.

       
4.63%    11/15/20      217,000         212,491      (b)

Newfield Exploration Co.

       
5.63%    07/01/24      445,000         379,363     
5.75%    01/30/22      451,000         399,135     

Newmont Mining Corp.

       
4.88%    03/15/42      158,000         112,874     

Nexen Energy ULC

       
6.40%    05/15/37      223,000         249,405     

NIKE Inc.

       
3.88%    11/01/45      208,000         200,571     

Noble Energy Inc.

       
3.90%    11/15/24      249,000         221,743     

Northern States Power Co.

       
2.20%    08/15/20      417,000         414,186     

Northrop Grumman Corp.

       
3.85%    04/15/45      49,000         44,057     

Novartis Capital Corp.

       
3.00%    11/20/25      552,000         544,158     
4.00%    11/20/45      276,000         270,077     

NRG Energy Inc.

       
6.25%    07/15/22      257,000         222,948     

Occidental Petroleum Corp.

       
3.50%    06/15/25      417,000         407,525     

Omnicom Group Inc.

       
3.63%    05/01/22      170,000         171,664     

Oracle Corp.

       
2.25%    10/08/19      818,000         826,833     
2.95%    05/15/25      215,000         209,916     
4.13%    05/15/45      85,000         80,448     

Owens & Minor Inc.

       
3.88%    09/15/21      415,000         413,384     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

52


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Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Pacific Gas & Electric Co.

       
3.40%    08/15/24    $ 617,000       $ 619,560     

PacifiCorp

       
6.25%    10/15/37      8,000         9,895     

Penn National Gaming Inc.

       
5.88%    11/01/21      261,000         253,170     

People’s United Bank NA

       
4.00%    07/15/24      478,000         472,708     

PepsiCo Inc.

       
3.10%    07/17/22      105,000         107,686     
4.25%    10/22/44      123,000         122,045     
4.60%    07/17/45      125,000         132,170     

Petrobras Global Finance BV

       
3.88%    01/27/16      159,000         158,364     

Petroleos Mexicanos

       
3.50%    01/30/23      197,000         171,883     

Pfizer Inc.

       
4.40%    05/15/44      131,000         133,028     

Philip Morris International Inc.

       
4.13%    03/04/43      209,000         197,584     

Phillips 66 Partners LP

       
2.65%    02/15/20      125,000         117,981     
3.61%    02/15/25      208,000         182,648     

Pitney Bowes Inc.

       
4.63%    03/15/24      358,000         350,876     

Plains All American Pipeline LP/PAA Finance Corp.

       
4.65%    10/15/25      125,000         109,180     

PNC Bank NA

       
2.40%    10/18/19      440,000         441,731     

Precision Castparts Corp.

       
4.38%    06/15/45      125,000         125,252     

Principal Financial Group Inc.

       
4.70%    05/15/55      415,000         412,510      (i)

Prologis LP

       
3.75%    11/01/25      208,000         206,328     

Prudential Financial Inc.

       
5.38%    05/15/45      209,000         208,739      (i)
5.63%    06/15/43      257,000         262,783      (i)

Public Service Electric & Gas Co.

       
2.38%    05/15/23      632,000         605,486     

QUALCOMM Inc.

       
2.25%    05/20/20      166,000         164,460     
3.45%    05/20/25      148,000         141,979     
4.80%    05/20/45      149,000         132,448     

Quest Diagnostics Inc.

       
4.70%    03/30/45      125,000         112,563     

Regency Energy Partners LP/Regency Energy Finance Corp.

       
4.50%    11/01/23      292,000         252,740     

Revlon Consumer Products Corp.

       
5.75%    02/15/21      1,308,000         1,265,490     
          Principal
Amount
     Fair
Value
     

Reynolds American Inc.

       
4.45%    06/12/25    $ 126,000       $ 131,849     

Rio Tinto Finance USA Ltd.

       
3.75%    06/15/25      104,000         94,480     

Roche Holdings Inc.

       
3.35%    09/30/24      245,000         250,879      (b)

Rogers Communications Inc.

       
5.00%    03/15/44      132,000         132,799     

Rowan Companies Inc.

       
5.85%    01/15/44      84,000         50,686     

Royal Bank of Canada

       
1.20%    09/19/17      663,000         659,903     

Ryder System Inc.

       
2.45%    09/03/19      507,000         499,638     

Santander Bank NA

       
2.00%    01/12/18      508,000         504,310     

Santander UK Group Holdings PLC

       
4.75%    09/15/25      200,000         197,361      (b)

Schaeffler Holding Finance BV (6.25% Cash/7.00% PIK)

       
6.25%    11/15/19      225,000         235,125      (b,n)

Schaeffler Holding Finance BV (6.88% Cash/7.63% PIK)

       
6.88%    08/15/18      240,000         247,200      (b,n)

Schlumberger Holdings Corp.

       
3.00%    12/21/20      567,000         559,759      (b)
4.00%    12/21/25      378,000         373,203      (b)

Sealed Air Corp.

       
4.88%    12/01/22      258,000         258,645      (b)
5.13%    12/01/24      258,000         258,000      (b)

Shell International Finance BV

       
2.25%    11/10/20      417,000         410,745     
3.40%    08/12/23      642,000         638,350     

Sinclair Television Group Inc.

       
5.38%    04/01/21      452,000         453,130     

Sinopec Capital 2013 Ltd.

       
3.13%    04/24/23      336,000         320,305      (b)

Southern California Edison Co.

       
2.40%    02/01/22      165,000         161,809     

Spectra Energy Partners LP

       
4.75%    03/15/24      205,000         198,672     

Sprint Corp.

       
7.25%    09/15/21      235,000         175,075     
7.63%    02/15/25      472,000         344,560     

State Street Corp.

       
3.55%    08/18/25      415,000         428,114      (e)

Statoil ASA

       
3.70%    03/01/24      190,000         192,597     
3.95%    05/15/43      104,000         93,941     

Sunoco LP/Sunoco Finance Corp.

       
5.50%    08/01/20      173,000         163,918      (b)

SUPERVALU Inc.

       
6.75%    06/01/21      433,000         391,865     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

53


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

T-Mobile USA Inc.

       
6.25%    04/01/21    $ 69,000       $ 71,243     
6.50%    01/15/26      130,000         131,234     
6.63%    04/01/23      431,000         439,620     

Tampa Electric Co.

       
4.35%    05/15/44      204,000         199,845     

Target Corp.

       
3.50%    07/01/24      60,000         62,282     

TD Ameritrade Holding Corp.

       
2.95%    04/01/22      207,000         205,179     

Teachers Insurance & Annuity Association of America

       
4.90%    09/15/44      415,000         419,172      (b)

Teck Resources Ltd.

       
2.50%    02/01/18      122,000         92,720     
3.15%    01/15/17      174,000         156,600     

Telecom Italia S.p.A.

       
5.30%    05/30/24      850,000         839,375      (b)

Tenet Healthcare Corp.

       
4.75%    06/01/20      158,000         158,790     
6.00%    10/01/20      416,000         437,840     

The Allstate Corp.

       
5.75%    08/15/53      235,000         241,580      (i)

The Bank of Tokyo-Mitsubishi UFJ Ltd.

       
2.30%    03/10/19      600,000         597,615      (b)

The Boeing Co.

       
1.65%    10/30/20      208,000         203,630     
2.60%    10/30/25      208,000         201,363     
2.85%    10/30/24      291,000         288,256     

The Coca-Cola Co.

       
2.88%    10/27/25      416,000         410,188     

The Dow Chemical Co.

       
4.25%    10/01/34      213,000         192,197     

The Goldman Sachs Group Inc.

       
2.38%    01/22/18      501,000         505,362     
2.60%    04/23/20      415,000         414,058     
2.63%    01/31/19      207,000         208,509     
2.90%    07/19/18      179,000         182,501     
3.75%    05/22/25      356,000         358,517     
4.00%    03/03/24      208,000         213,597     
4.25%    10/21/25      69,000         68,515     
4.80%    07/08/44      452,000         448,968     
5.15%    05/22/45      209,000         202,878     

The Home Depot Inc.

       
3.35%    09/15/25      292,000         298,563     

The Korea Development Bank

       
3.25%    03/09/16      380,000         381,502     
3.38%    09/16/25      205,000         208,724     
4.00%    09/09/16      220,000         224,093     

The Kroger Co.

       
2.95%    11/01/21      291,000         288,179     

The Progressive Corp.

       
3.70%    01/26/45      168,000         152,043     
          Principal
Amount
     Fair
Value
     

The Toronto-Dominion Bank

       
2.50%    12/14/20    $ 378,000       $ 377,831     

The Williams Companies Inc.

       
8.75%    03/15/32      82,000         61,814     

TIAA Asset Management Finance Company LLC

       
4.13%    11/01/24      208,000         208,820      (b)

Time Inc.

       
5.75%    04/15/22      433,000         396,195      (b)

Time Warner Cable Inc.

       
4.50%    09/15/42      42,000         32,959     
6.55%    05/01/37      123,000         124,407     

Time Warner Inc.

       
3.60%    07/15/25      229,000         223,027     
3.88%    01/15/26      382,000         378,861     
5.35%    12/15/43      359,000         358,175     

Tyco Electronics Group S.A.

       
2.35%    08/01/19      413,000         411,650     

Tyco International Finance S.A.

       
5.13%    09/14/45      125,000         129,690     

Tyson Foods Inc.

       
2.65%    08/15/19      206,000         206,166     
3.95%    08/15/24      137,000         140,671     
5.15%    08/15/44      137,000         143,069     

U.S. Bancorp

       
3.44%    02/01/16      645,000         645,824     
5.13%    12/29/49      417,000         418,960      (i)

UBS Group Funding Jersey Ltd.

       
2.95%    09/24/20      200,000         198,154      (b)
4.13%    09/24/25      250,000         249,897      (b)

Ultra Petroleum Corp.

       
6.13%    10/01/24      428,000         97,370      (b)

United Rentals North America Inc.

       
6.13%    06/15/23      340,000         347,650     

UnitedHealth Group Inc.

       
2.70%    07/15/20      501,000         506,445     
4.75%    07/15/45      332,000         349,369     

US Bank NA

       
2.80%    01/27/25      310,000         301,849     

Valeant Pharmaceuticals International Inc.

       
6.13%    04/15/25      345,000         307,913      (b)
6.38%    10/15/20      229,000         220,985      (b)

Ventas Realty LP

       
4.13%    01/15/26      169,000         168,463     

Verizon Communications Inc.

       
1.35%    06/09/17      1,018,000         1,015,102     
3.50%    11/01/24      207,000         204,555     
4.15%    03/15/24      415,000         426,745     
4.40%    11/01/34      208,000         191,907     
4.67%    03/15/55      146,000         126,650     
4.86%    08/21/46      208,000         196,782     
5.05%    03/15/34      128,000         127,455     
5.15%    09/15/23      229,000         251,772     
6.55%    09/15/43      141,000         167,392     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

54


Table of Contents

Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Virgin Media Finance PLC

       
5.75%    01/15/25    $ 435,000       $ 418,688      (b)

Visa Inc.

       
2.80%    12/14/22      265,000         265,476     
3.15%    12/14/25      265,000         265,560     
4.30%    12/14/45      124,000         125,685     

Volkswagen Group of America Finance LLC

       
0.81%    11/20/17      206,000         197,949      (b,i)
2.13%    05/23/19      152,000         144,246      (b)
2.45%    11/20/19      205,000         196,574      (b)

W.R. Grace & Co.

       
5.13%    10/01/21      160,000         161,600      (b)
5.63%    10/01/24      428,000         432,280      (b)

Wal-Mart Stores Inc.

       
4.30%    04/22/44      179,000         182,508     

Wells Fargo & Co.

       
2.55%    12/07/20      378,000         376,104     
3.00%    02/19/25      208,000         202,332     
3.90%    05/01/45      208,000         191,778     
4.10%    06/03/26      266,000         268,526     
4.30%    07/22/27      167,000         170,615     
5.88%    12/29/49      290,000         305,225      (i)
5.90%    12/29/49      273,000         275,389      (i)

Williams Partners LP

       
5.40%    03/04/44      42,000         28,138     

Windstream Services LLC

       
6.38%    08/01/23      400,000         288,000     

WMG Acquisition Corp.

       
6.00%    01/15/21      90,000         90,450      (b)

WPP Finance 2010

       
3.75%    09/19/24      415,000         413,074     

WPX Energy Inc.

       
5.25%    01/15/17      399,000         373,065     

XLIT Ltd.

       
5.25%    12/15/43      175,000         180,975     

Zimmer Biomet Holdings Inc.

       
3.55%    04/01/25      208,000         202,228     
     131,080,864     

Non-Agency Collateralized Mortgage Obligations — 11.2%

  

 

American Tower Trust I (REIT)

  

 
1.55%    03/15/43      627,000         612,356      (b)

Banc of America Commercial Mortgage Trust 2006-4

       
5.68%    07/10/46      190,000         193,959     

Banc of America Commercial Mortgage Trust 2007-1

       
5.48%    01/15/49      880,000         901,099      (i)

Banc of America Commercial Mortgage Trust 2007-4

       
5.74%    02/10/51      27,484         28,594      (i)

Banc of America Commercial Mortgage Trust 2008-1

       
6.22%    02/10/51      142,209         150,600      (i)
          Principal
Amount
     Fair
Value
     

Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1

       
5.34%    11/10/42    $ 96,019       $ 95,912      (i)

Banc of America Merrill Lynch Commercial Mortgage Trust 2014-520M

       
4.18%    08/15/46      165,040         170,505      (b,i)

Bear Stearns Commercial Mortgage Securities Trust 2006-T22

       
5.62%    04/12/38      210,000         211,416      (i)

Bear Stearns Commercial Mortgage Securities Trust 2007-PW18

       
6.09%    06/11/50      430,000         456,312      (i)

Citigroup Commercial Mortgage Trust 2014-GC23

       
4.51%    07/10/47      834,000         695,573      (b,i)

Citigroup Commercial Mortgage Trust 2015-GC33

       
3.17%    09/10/58      200,411         140,055     

Citigroup Commercial Mortgage Trust 2015-P1

       
3.72%    09/15/48      825,222         840,949     

COMM 2013-CR12 Mortgage Trust

       
5.08%    10/10/46      100,000         93,926      (b,i)

COMM 2013-LC13 Mortgage Trust

       
4.56%    08/10/46      170,000         182,649      (b,i)

COMM 2014-CR14 Mortgage Trust

       
4.53%    02/10/47      240,000         257,488      (i)

COMM 2014-CR19 Mortgage Trust

       
4.72%    08/10/47      195,777         169,351      (b,i)

COMM 2014-CR20 Mortgage Trust

       
4.51%    11/10/47      204,175         198,437      (i)

COMM 2014-CR21 Mortgage Trust

       
3.99%    12/10/47      403,396         415,223     

COMM 2015-CR23 Mortgage Trust

       
4.26%    05/10/48      197,046         181,555      (i)

COMM 2015-CR24 Mortgage Trust

       
3.46%    08/10/55      401,080         297,300     
3.70%    08/10/55      400,511         407,044     
4.37%    08/10/55      360,571         343,292      (i)

COMM 2015-LC19 Mortgage Trust

       
2.87%    02/10/48      312,000         232,156      (b)

COMM 2015-PC1 Mortgage Trust

       
4.44%    07/10/50      196,196         195,324      (i)

Core Industrial Trust 2015-CALW

       
3.25%    02/10/34      395,784         393,409      (b)

Credit Suisse Commercial Mortgage Trust 2006-C1

       
5.46%    02/15/39      512,183         511,735      (i)

CSAIL 2015-C2 Commercial Mortgage Trust

       
4.21%    06/15/57      135,000         104,427      (i)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

CSAIL 2015-C3 Commercial Mortgage Trust

       
3.36%    08/15/48    $ 240,335       $ 173,737      (i)
4.11%    08/15/48      320,447         313,887      (i)

GS Mortgage Securities Corp. II 2012-GCJ9

       
2.33%    11/10/45      951,262         91,595      (g,i)

GS Mortgage Securities Corp. Trust 2012-ALOH

       
3.55%    04/10/34      210,000         215,849      (b)

GS Mortgage Securities Trust 2011-GC5

       
3.00%    08/10/44      404,023         406,043     
5.31%    08/10/44      190,000         209,329      (b,i)

GS Mortgage Securities Trust 2014-GC20

       
4.26%    04/10/47      215,000         224,668     

GS Mortgage Securities Trust 2014-NEW

       
3.79%    01/10/31      420,000         419,259      (b)

GS Mortgage Securities Trust 2015-GC28

       
1.17%    02/10/48      2,736,928         187,625      (g,i)

GS Mortgage Securities Trust 2015-GC32

       
3.35%    07/10/48      220,408         160,537     
4.41%    07/10/48      103,472         99,596      (i)

GS Mortgage Securities Trust 2015-GC34

       
2.98%    10/10/48      460,912         320,034     

GS Mortgage Securities Trust 2015-GS1

       
3.27%    11/10/48      556,028         402,367     

Impac CMB Trust Series 2004-5

       
1.14%    10/25/34      137,563         129,630      (i)

JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9

       
1.87%    12/15/47      1,233,892         94,164      (g,i)

JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8

       
5.44%    05/15/45      270,000         274,702     

JP Morgan Chase Commercial Mortgage Securities Trust 2007-CB18

       
5.44%    06/12/47      640,106         655,450     

JPMBB Commercial Mortgage Securities Trust 2013-C12

       
4.03%    07/15/45      125,000         129,905      (i)

JPMBB Commercial Mortgage Securities Trust 2013-C15

       
5.08%    11/15/45      170,000         176,758      (i)

JPMBB Commercial Mortgage Securities Trust 2013-C17

       
4.89%    01/15/47      310,000         312,765      (i)
          Principal
Amount
     Fair
Value
     

JPMBB Commercial Mortgage Securities Trust 2014-C18

       
4.81%    02/15/47    $ 125,901       $ 109,239      (b,i)
4.81%    02/15/47      210,000         209,585      (i)

JPMBB Commercial Mortgage Securities Trust 2015-C29

       
3.70%    05/15/48      394,870         294,746      (i)

JPMBB Commercial Mortgage Securities Trust 2015-C30

       
4.31%    07/15/48      400,742         356,768      (i)

JPMBB Commercial Mortgage Securities Trust 2015-C31

       
3.80%    08/15/48      600,916         614,444     

LB-UBS Commercial Mortgage Trust 2004-C8

       
0.47%    12/15/39      172,925         894      (b,g,i)

LB-UBS Commercial Mortgage Trust 2006-C4

       
5.82%    06/15/38      156,871         158,245      (i)

LB-UBS Commercial Mortgage Trust 2007-C6

       
6.11%    07/15/40      243,078         253,850      (i)
6.11%    07/15/40      520,000         543,085      (b)

MASTR Alternative Loan Trust 2003-5

       
5.00%    08/25/18      30,121         1,254      (g)

ML-CFC Commercial Mortgage Trust 2006-3

       
5.46%    07/12/46      570,000         579,336      (i)

Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10

       
4.08%    07/15/46      388,000         377,316      (i)

Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9

       
4.16%    05/15/46      152,326         137,884      (b,i)

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14

       
4.83%    02/15/47      219,667         203,971      (b,i)

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15

       
4.90%    04/15/47      585,125         530,700      (b,i)

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18

       
3.39%    10/15/47      843,762         650,430      (b)

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19

       
3.25%    12/15/47      242,461         180,506      (b)

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20

       
1.42%    02/15/48      3,137,524         270,901      (g,i)

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21

       
0.99%    03/15/48      3,743,993         241,422      (g,i)

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22

       
3.88%    04/15/48      355,828         347,547      (i)
4.24%    04/15/48      990,221         803,823      (b,i)
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23

       
4.14%    07/15/50    $ 1,039,616       $ 841,096      (b,i)

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24

       
3.73%    05/15/48      777,954         793,225     
4.35%    05/15/48      801,268         793,893      (i)

Morgan Stanley Capital I Trust 2005-T17

       
4.84%    12/13/41      65,448         65,685      (i)

Morgan Stanley Capital I Trust 2006-IQ11

       
5.78%    10/15/42      250,000         249,820      (i)

Morgan Stanley Capital I Trust 2006-T21

       
5.27%    10/12/52      234,684         234,548      (i)

Morgan Stanley Capital I Trust 2006-T23

       
5.85%    08/12/41      133,241         134,175      (i)

Morgan Stanley Capital I Trust 2007-IQ16

       
6.05%    12/12/49      430,000         450,849      (i)

Morgan Stanley Capital I Trust 2008-T29

       
6.27%    01/11/43      210,000         224,995      (i)

Morgan Stanley Capital I Trust 2012-C4

       
5.21%    03/15/45      190,000         204,547      (b,i)

Morgan Stanley Capital I Trust 2015-MS1

       
4.03%    05/15/48      270,000         212,116      (b,i)

Morgan Stanley Capital I Trust 2015-UBS8

       
3.81%    12/15/48      730,575         743,039     

Wells Fargo Commercial Mortgage Trust 2015-C26

       
1.41%    02/15/48      3,184,875         274,539      (g,i)

Wells Fargo Commercial Mortgage Trust 2015-C29

       
4.01%    06/15/48      589,167         600,831     
4.22%    06/15/48      327,315         257,158      (i)

Wells Fargo Commercial Mortgage Trust 2015-C30

       
4.50%    09/15/58      200,306         162,918      (b,i)

Wells Fargo Commercial Mortgage Trust 2015-C31

       
3.70%    11/15/48      400,660         406,245     

Wells Fargo Commercial Mortgage Trust 2015-LC22

       
4.54%    09/15/58      200,550         163,923      (i)

Wells Fargo Commercial Mortgage Trust 2015-NXS2

       
4.25%    07/15/58      200,441         157,922      (i)

Wells Fargo Commercial Mortgage Trust 2015-P2

       
4.90%    12/15/48      1,016,442         994,131      (i)
          Principal
Amount
     Fair
Value
     

Wells Fargo Commercial Mortgage Trust 2015-SG1

       
3.79%    12/15/47    $ 520,937       $ 532,790     
4.47%    12/15/47      200,305         188,756      (i)

Wells Fargo Mortgage Backed Securities Trust 2006-3

       
5.50%    03/25/36      107,679         4,323     

WFRBS Commercial Mortgage Trust 2013-C17

       
4.26%    12/15/46      235,000         248,403     
5.13%    12/15/46      170,000         161,841      (b,i)

WFRBS Commercial Mortgage Trust 2013-C18

       
4.67%    12/15/46      230,603         214,332      (b,i)

WFRBS Commercial Mortgage Trust 2014-C19

       
4.23%    03/15/47      400,926         336,572      (b)
4.72%    03/15/47      290,000         303,842      (i)

WFRBS Commercial Mortgage Trust 2014-C22

       
3.91%    09/15/57      535,456         431,975      (b,i)

WFRBS Commercial Mortgage Trust 2014-C24

       
3.69%    11/15/47      769,611         591,701      (b)

WFRBS Commercial Mortgage Trust 2014-C25

       
3.80%    11/15/47      96,000         73,422      (b,i)

WFRBS Commercial Mortgage Trust 2014-LC14

       
4.35%    03/15/47      533,000         562,433      (i)
4.59%    03/15/47      590,543         505,641      (b,i)

WFRBS Commercial Mortgage Trust 2015-C31

       
3.85%    11/15/48      100,165         73,590     
     32,539,768     

Sovereign Bonds — 1.1%

       

Government of Colombia

       
2.63%    03/15/23      323,000         283,756     
5.63%    02/26/44      334,000         304,775     

Government of Mexico

       
3.60%    01/30/25      319,000         310,866     
4.00%    10/02/23      208,000         210,704     
4.60%    01/23/46      300,000         265,500     
4.75%    03/08/44      398,000         362,578     

Government of Panama

       
4.00%    09/22/24      200,000         200,000     

Government of Peru

       
4.13%    08/25/27      123,000         120,540     
5.63%    11/18/50      67,000         68,340     

Government of Philippines

       
3.95%    01/20/40      200,000         202,327     
4.20%    01/21/24      200,000         216,637     
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun Income Fund

  December 31, 2015

 

LOGO

 

          Principal
Amount
     Fair
Value
     

Government of Turkey

       
3.25%    03/23/23    $ 293,000       $ 268,404     
4.88%    04/16/43      206,000         181,280     
6.63%    02/17/45      137,000         153,522     
           3,149,229     

Municipal Bonds and Notes — 0.7%

  

 

American Municipal Power Inc.

       
6.27%    02/15/50      275,000         319,806     

Municipal Electric Authority of Georgia

       
6.64%    04/01/57      317,000         380,435     

New Jersey Transportation Trust Fund Authority

       
6.88%    12/15/39      165,000         172,907     

Port Authority of New York & New Jersey

       
4.46%    10/01/62      520,000         499,756     

South Carolina State Public Service Authority

       
6.45%    01/01/50      200,000         250,514     

State of California

       
5.70%    11/01/21      280,000         328,468     

State of Illinois

       
5.10%    06/01/33      125,000         118,206     
           2,070,092     

FNMA (TBA) — 0.0%*

       

Lehman TBA

       
5.50%    TBA      155,556         8,556      (o,q)

Total Bonds and Notes
(Cost $290,865,806)

        287,167,521     
     Number
of Shares
   Fair
Value
     

Domestic Equity — 0.1%

Preferred Stock — 0.1%

Wells Fargo & Co.

       

(Cost $322,150)

   12,886    $ 336,582     

Total Investments in Securities
(Cost $291,187,956)

        287,504,103     
       

Short-Term Investments — 5.1%

                 

State Street Institutional U.S. Government Money Market Fund — Premier Class

       

0.09%

      $ 14,834,395      (d,h,p)

(Cost $14,834,395)

       

Total Investments
(Cost $306,022,351)

        302,338,498     

Liabilities in Excess of Other
Assets, net — (4.3)%

        (12,466,060  
     

 

 

   

NET ASSETS — 100.0%

      $ 289,872,438     
     

 

 

   
       
 

Other Information:

Centrally Cleared Credit Default Swaps – Sell Protection

 

Reference
Entity
  Counterparty   Notional
Amount
(000s
omitted)
  Contract
annual
Fixed Rate
  Termination
Date
  Market
Value
  Unamortized
Upfront
Payments
Received
  Unrealized
Appreciation

Markit CDX North America High Yield Index

  CME Group Inc.     $ 3,300         5.00 %       12/20/20       $ 42,342       $ (17,656 )     $ 59,998  
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Elfun Income Fund

  December 31, 2015

 

LOGO

 

The Fund had the following long futures contracts open at December 31, 2015:

 

Description   Expiration
date
  Number
of
Contracts
  Current
Notional
Value
  Unrealized
Appreciation
(Depreciation)

Ultra Long-Term U.S. Treasury Bond Futures

  March 2016       24       $ 3,808,500       $ 8,510  

2 Yr. U.S. Treasury Notes Futures

  March 2016       160         34,757,500         (72,283 )
             

 

 

 
              $ (63,773 )
             

 

 

 

The Fund had the following short futures contracts open at December 31, 2015:

 

Description   Expiration
date
  Number
of
Contracts
  Current
Notional
Value
  Unrealized
Appreciation
(Depreciation)

U.S. Long Bond Futures

  March 2016       2       $ (307,500 )     $ (1,317 )

5 Yr. U.S. Treasury Notes Futures

  March 2016       49         (5,797,695 )       9,051  

10 Yr. U.S. Treasury Notes Futures

  March 2016       276         (34,750,125 )       221,840  
             

 

 

 
          $ 229,574  
             

 

 

 
          $ 165,801  
             

 

 

 

    

 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

59


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(Unaudited)

 

LOGO

 

SSgA Funds Management, Inc. (“SSgA FM”) is the sub-adviser to the Elfun Government Money Market Fund. SSgA FM is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940, as amended, and is a wholly owned subsidiary of State Street Corporation (State Street), a publicly held bank holding company. SSgA FM, and other advisory affiliates of State Street make up State Street Global Advisors (SSgA), the investment management arm of State Street. The Fund is managed by a team of portfolio managers and the key professionals involved in the day-to-day portfolio management for the Fund include: Jeff A. St. Peters and Todd N. Bean. See portfolio managers’ biographical information beginning on page 98.

 

Q. How did the Elfun Government Money Market Fund perform compared to its benchmark for the twelve-month period ended December 31, 2015?

 

A. For the twelve-month period ended December 31, 2015, the Elfun Government Money Market Fund returned 0.08%. The 90-day Treasury Bill, the Fund’s benchmark, returned 0.05% over the same period.

 

Q. What market factors affected the Fund’s performance?

 

A. There were two market factors that affected the Fund’s performance. First the Federal Reserve’s rate hike and second the debt ceiling debate.

 

     It was anticipated the Fed would raise their benchmark interest rate at some point in 2015. Early in the year market participants expected rates to rise at the June meeting. Hopes were dashed as winter weather dampened economic output and put the Fed on hold. As spring and summer took hold once again the Fed’s possible hike at their September meeting became a likely scenario. But global fears took over and put the Fed on hold once again. It was not until we received strong economic data in the fourth quarter coupled with comments by Fed officials that a December hike became a reality.

 

     The second challenge for the short term markets was the debt ceiling debate. Given the negotiations in Washington took longer than expected the US treasury began paying down their Treasury Bill issuance. 1 month Bills auctions shrank to as little as $5 billion in size from $30 billion. This caused all Treasury Bills from 1 week to 12 weeks to trade at negative yields at certain points in the cycle.
Q. What were the primary drivers of Fund performance?

 

A. The primary drivers of the Fund’s performance were the use of floating rate notes. Both US Treasury and US Government Agency Floating rate notes were used in the portfolio and continue to be core positions. These floating rate notes can offer a pickup in yield to fixed rate offerings while allowing the portfolio manager to manage duration risk more closely.

 

     The portfolio manager also purchased US treasury coupons and US government agency coupons when they saw a relative value advantage to the equivalent discounted securities.

 

Q. Were there any significant changes to the Fund during the period?

 

A. There were no significant changes to the Fund during the period. The Fund abides by the SEC’s Rule 2a-7 for Government Money Market Fund strategies. The holdings were balanced throughout the year and did not see any significant shift in investment type.
 

 

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LOGO

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2015.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during

the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

 

July 1, 2015 – December 31, 2015

 

        Account value at
the beginning of
the period  ($)
       Account value
at the end of
the period  ($)
       Expenses
paid during
the period ($)*
 

Actual Fund Return

       1,000.00           1,000.80           0.55   

Hypothetical 5% Return
(2.5% for the period)

       1,000.00           1,024.65           0.56   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 0.11%** (for the period July 1, 2015 – December 31, 2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**   May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

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Investment Profile

A mutual fund designed for investors who seek a high level of current income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 99.5% of its assets under normal circumstances in short-term, U.S. Government securities, cash and/or repurchase agreements that are collateralized by cash or government securities.

 

Sector Allocation

Portfolio composition as a % of Fair Value of Investments of $130,929 (in thousands) on December 31, 2015 (a)

 

 

 

LOGO

 

 

Change in Value of a $10,000 Investment

 

LOGO

 

LOGO

 

Average Annual Total Return

For the Periods Ended December 31, 2015

 

(Inception date: 6/13/90)               
     One
Year
  Five
Year
  Ten
Year
  Ending Value of a
$10,000
Investment

Elfun Government Money Market Fund

      0.08%          0.05%          1.34%          $11,420   

90 Day U.S. T-Bill

      0.05%          0.06%          1.11%          $11,235   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

An investment in the Elfun Government Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance

Corporation or by any other Government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per

unit, it is possible to lose money by investing in the Fund.

 

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Elfun Government Money Market Fund

  December 31, 2015

 

LOGO

 

Elfun Government Money Market Fund

 

          Principal
Amount
     Amortized
Cost
      

Short-Term Investments — 101.5%

  

    

U.S. Treasuries — 22.6%

  

  

U.S. Treasury Bills

        
0.06%    01/07/16    $ 13,000,000       $ 12,999,875       (d)
0.07%    01/14/16      5,000,000         4,999,872       (d)
0.12%    02/04/16      5,000,000         4,999,455       (d)
0.14%    02/25/16      3,000,000         2,999,358       (d)
0.15%    02/18/16      3,000,000         2,999,420       (d)
0.18%    03/17/16      125,000         124,953       (d)
           29,122,933      

U.S. Government Agency Obligations — 63.3%

  

     

Fannie Mae Discount Notes

        
0.06%    01/27/16      200,000         199,991       (d)
0.07%    02/03/16      350,000         349,979       (d)
0.08%    01/13/16 - 01/20/16      1,300,000         1,299,952       (d)
0.09%    01/06/16 - 01/08/16      2,100,000         2,099,970       (d)
0.15%    02/17/16      500,000         499,902       (d)
0.20%    02/24/16      750,000         749,775       (d)
0.34%    03/30/16      400,000         399,669       (d)
0.38%    04/06/16      1,500,000         1,498,480       (d)
0.40%    03/16/16      1,000,000         999,167       (d)

Federal Farm Credit Banks

        
0.24%    01/05/16      750,000         750,000       (i)
0.27%    01/11/16      725,000         725,000       (i)
0.28%    09/09/16      400,000         400,004       (i)
0.32%    02/18/16      1,000,000         999,988       (i)
0.41%    10/26/16      700,000         700,000       (i)

Federal Farm Credit Discount Notes

        
0.09%    01/19/16      300,000         299,986       (d)
0.18%    01/21/16 - 01/28/16      400,000         399,951       (d)

Federal Home Loan Bank Discount Notes

        
0.10%    01/05/16      700,000         699,993       (d)
0.11%    01/04/16 - 01/13/16      14,900,000         14,899,670       (d)
0.12%    01/15/16 - 01/27/16      5,500,000         5,499,688       (d)
0.15%    01/28/16      600,000         599,935       (d)
0.17%    02/05/16      1,000,000         999,839       (d)
0.37%    04/01/16      2,500,000         2,497,678       (d)
0.38%    03/30/16      1,000,000         999,073       (d)
0.40%    03/23/16      3,000,000         2,997,280       (d)

Federal Home Loan Banks

        
0.23%    07/08/16      1,000,000         1,000,000       (i)
0.26%    08/12/16      2,000,000         2,000,000       (i)
0.28%    07/15/16      2,000,000         2,000,000       (i)
0.37%    06/24/16      2,665,000         2,665,000       (i)
0.39%    09/20/16      1,000,000         1,000,000       (i)
0.40%    01/25/16      1,000,000         1,000,000       (i)
          Principal
Amount
     Amortized
Cost
     

Federal Home Loan Mortgage Corp.

       
0.30%    08/17/16    $ 1,200,000       $ 1,200,000      (i)
0.37%    08/24/16      1,250,000         1,250,000      (i)

Freddie Mac Discount Notes

       
0.07%    01/25/16      200,000         199,991      (d)
0.09%    01/14/16 - 01/20/16      6,600,000         6,599,729      (d)
0.10%    01/04/16      200,000         199,998      (d)
0.12%    01/07/16      3,000,000         2,999,940      (d)
0.14%    01/15/16 - 02/11/16      4,100,000         4,099,668      (d)
0.15%    03/04/16      800,000         799,790      (d)
0.18%    02/09/16      1,000,000         999,810      (d)
0.20%    02/17/16      2,000,000         1,999,478      (d)
0.23%    01/08/16 - 03/09/16      4,500,000         4,498,680      (d)
0.27%    02/26/16      2,200,000         2,199,079      (d)
0.28%    03/14/16      1,400,000         1,399,205      (d)
0.43%    03/08/16      1,000,000         999,200      (d)
0.45%    04/11/16      1,000,000         998,737      (d)
             81,673,275     

Repurchase Agreements — 15.6%

  

    

Citigroup Global Markets, Inc. U.S. Treasury Repo 0.32% dated 12/31/15, to be repurchased at $9,000,080 on 01/04/16 collateralized by $9,180,019 U.S. Treasury Note, 2.00%, maturing on 09/30/20, respectively. 01/04/16

     9,000,000         9,000,000     

Merrill Lynch, Pierce, Fenner & Smith, Inc. U.S. Treasury Repo 0.29% dated 12/31/15, to be repurchased at $11,133,090 on 01/04/16 collateralized by $11,355,750 U.S. Treasury Note, 1.38%, maturing on 02/29/20. 01/04/16

     11,133,000         11,133,000     
           20,133,000     

Total Short-Term Investments
(Cost $130,929,208)

        130,929,208     

Liabilities in Excess of Other Assets, net — (1.5)%

        (1,890,440  
        

 

 

   

NET ASSETS — 100.0%

      $ 129,038,768     
        

 

 

   
 
     

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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December 31, 2015

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Funds’ summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, these securities amounted to $7,916,176 and $34,949,769 or 3.78% and 12.06% of the net assets of the Elfun Diversified Fund and Elfun Income Fund, respectively. These securities have been determined to be liquid using procedures established by the Fund’s Board of Directors.

 

(c) Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (TBA) in the future.

 

(d) Coupon amount represents effective yield.

 

(e) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

 

(f) Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.

 

(g) Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.

 

(h) At December 31, 2015, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBA’s.

 

(i) Variable or floating rate security. The stated rate represents the rate at December 31, 2015.

 

(j) Step coupon bond.

 

(k) Escrowed to maturity Bonds are collateralized by U.S. Treasury securities which are held in escrow by a trustee and are used to pay principal and interest on such bonds.
(l) Pre-refunded Bonds are collateralized by U.S. Treasury securities, which are held in escrow by a trustee and are used to pay principal and interest on the tax-exempt issue to retire the bonds at the earliest refunding date.

 

(m) The security is insured by AGC, AGMC, AMBAC, FGIC or NPFG. The Elfun Tax-Exempt Fund had no insurance concentrations of 5% or greater as of December 31, 2015 (as a percentage of net assets).

 

(n) Represents a payment-in-kind security which may pay all or a portion of interest in additional par.

 

(o) Security is in default.

 

(p) Sponsored by SSGA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

 

(q) Security is fair valued by the Valuation Committee, in accordance with the procedures approved by GEAM’s Board of Trustees.

 

Percentages are based on net assets as of December 31, 2015.

 

* Less than 0.05%

 

** Less than 0.005%

Abbreviations:

 

ADR     American Depositary Receipt
AGC     Assured Guaranty Corporation
AGMC     Assured Guaranty Municipal Company
AMBAC     AMBAC Indemnity Corporation
FGIC     Financial Guaranty Insurance Corporation
NPFG     National Public Finance Guaranty Corporation
REIT     Real Estate Investment Trust
REMIC     Real Estate Mortgage Investment Conduit
SPDR     Standard and Poor’s Depositary Receipt
STRIPS     Separate Trading of Registered Interest and Principal of Security
TBA     To Be Announced
 

 

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Selected data based on a share outstanding throughout the fiscal years indicated

 

Elfun International Equity Fund    12/31/15      12/31/14     12/31/13     12/31/12     12/31/11  
Inception date                     1/1/88  

Net asset value, beginning of period

   $ 19.70       $ 21.93      $ 18.31      $ 15.43      $ 18.92   

Income/(loss) from investment operations:

           

Net investment income

     0.34         0.58        0.37        0.35        0.44   

Net realized and unrealized gains/(losses) on investments

     (0.37)         (2.24)        3.62        2.88        (3.48)   

Total income/(loss) from investment operations

     (0.03)         (1.66)        3.99        3.23        (3.04)   

Less distributions from:

           

Net investment income

     0.36         0.57        0.37        0.35        0.44   

Return of capital

                           0.00     0.01   

Total distributions

     0.36         0.57        0.37        0.35        0.45   

Net asset value, end of period

   $ 19.31       $ 19.70      $ 21.93      $ 18.31      $ 15.43   

TOTAL RETURN(a)

     (0.18)%         (7.62)%        21.81%        20.95%        (16.02)%   

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (in thousands)

   $ 234,448       $ 254,310      $ 306,922      $ 260,728      $ 240,572   

Ratios to average net assets:

           

Net expenses

     0.35%         0.33% (b)      0.31% (b)      0.45% (b)      0.30% (b) 

Gross expenses

     0.35%         0.33%        0.31%        0.45%        0.31%   

Net investment income

     1.59%         2.54%        1.83%        1.98%        2.34%   

Portfolio turnover rate

     24%         36%        49%        47%        39%   

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(b) Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.
* Rounds to less than $0.005.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Selected data based on a share outstanding throughout the fiscal years indicated

 

Elfun Trusts    12/31/15      12/31/14     12/31/13     12/31/12     12/31/11  
Inception date                     5/27/35  

Net asset value, beginning of period

   $ 58.02       $ 56.07      $ 44.06      $ 40.35      $ 41.38   

Income/(loss) from investment operations:

           

Net investment income

     0.80         0.75        0.71        0.77        0.48   

Net realized and unrealized gains/(losses) on investments

     0.25         6.67        14.68        7.77        0.06   

Total income from investment operations

     1.05         7.42        15.39        8.54        0.54   

Less distributions from:

           

Net investment income

     0.80         0.75        0.72        0.76        0.48   

Net realized gains

     3.68         4.72        2.66        4.07        1.09   

Total distributions

     4.48         5.47        3.38        4.83        1.57   

Net asset value, end of period

   $ 54.59       $ 58.02      $ 56.07      $ 44.06      $ 40.35   

TOTAL RETURN(a)

     1.70%         13.13%        34.98%        21.27%        1.33%   

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (in thousands)

   $ 2,364,319       $ 2,476,637      $ 2,326,948      $ 1,820,262      $ 1,647,396   

Ratios to average net assets:

           

Net expenses

     0.16%         0.18% (b)      0.15% (b)      0.19% (b)      0.21% (b) 

Gross expenses

     0.16%         0.18%        0.15%        0.19%        0.21%   

Net investment income

     1.32%         1.26%        1.36%        1.60%        1.09%   

Portfolio turnover rate

     11%         13%        12%        11%        16%   

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Selected data based on a share outstanding throughout the fiscal years indicated

 

Elfun Diversified Fund    12/31/15      12/31/14     12/31/13     12/31/12     12/31/11  
Inception date                     1/1/88  

Net asset value, beginning of period

   $ 18.78       $ 19.84      $ 18.30      $ 16.53      $ 17.41   

Income/(loss) from investment operations:

           

Net investment income

     0.34         0.37        0.36        0.33        0.38   

Net realized and unrealized gains/(losses) on investments

     (0.57)         0.62        2.70        1.78        (0.83)   

Total income/(loss) from investment operations

     (0.23)         0.99        3.06        2.11        (0.45)   

Less distributions from:

           

Net investment income

     0.34         0.37        0.35        0.34        0.43   

Net realized gains

     0.71         1.65        1.17                 

Return of capital

             0.03                        

Total distributions

     1.05         2.05        1.52        0.34        0.43   

Net asset value, end of period

   $ 17.50       $ 18.78      $ 19.84      $ 18.30      $ 16.53   

TOTAL RETURN(a)

     (1.25)%         4.95%        16.79%        12.77%        (2.60)%   

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (in thousands)

   $ 209,688       $ 230,123      $ 235,903      $ 213,168      $ 210,095   

Ratios to average net assets:

           

Net expenses

     0.37%         0.39% (b)      0.33% (b)      0.46% (b)      0.40% (b) 

Gross expenses

     0.37%         0.39%        0.34%        0.47%        0.41%   

Net investment income

     1.69%         1.79%        1.78%        1.75%        2.11%   

Portfolio turnover rate

     123%         176%        144%        173%        197%   

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Selected data based on a share outstanding throughout the fiscal years indicated

 

Elfun Tax-Exempt Income Fund    12/31/15      12/31/14      12/31/13     12/31/12      12/31/11  
Inception date                       1/1/80  

Net asset value, beginning of period

   $ 11.97       $ 11.34       $ 12.32      $ 11.97       $ 11.33   

Income/(loss) from investment operations:

             

Net investment income

     0.46         0.47         0.49        0.51         0.53   

Net realized and unrealized gains/(losses) on investments

     (0.09)         0.63         (0.98)        0.37         0.64   

Total income/(loss) from investment operations

     0.37         1.10         (0.49)        0.88         1.17   

Less distributions from:

             

Net investment income

     0.46         0.47         0.49        0.51         0.53   

Net realized gains

                     0.00     0.02           

Total distributions

     0.46         0.47         0.49        0.53         0.53   

Net asset value, end of period

   $ 11.88       $ 11.97       $ 11.34      $ 12.32       $ 11.97   

TOTAL RETURN(a)

     3.21%         9.85%         (4.06)%        7.45%         10.57%   

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period (in thousands)

   $ 1,588,272       $ 1,624,266       $ 1,568,533      $ 1,785,176       $ 1,730,904   

Ratios to average net assets:

             

Net expenses

     0.18%         0.21%         0.23%        0.18%         0.19%   

Gross expenses

     0.18%         0.21%         0.23%        0.18%         0.19%   

Net investment income

     3.92%         4.01%         4.14%        4.18%         4.56%   

Portfolio turnover rate

     22%         34%         28%        28%         31%   

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
* Rounds to less than $0.005.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Selected data based on a share outstanding throughout the fiscal years indicated

 

Elfun Income Fund    12/31/15      12/31/14     12/31/13     12/31/12     12/31/11  
Inception date                     12/31/84  

Net asset value, beginning of period

   $ 11.57       $ 11.22      $ 11.65      $ 11.58      $ 11.18   

Income/(loss) from investment operations:

           

Net investment income

     0.32         0.29        0.29        0.26        0.39   

Net realized and unrealized gains/(losses) on investments

     (0.29)         0.35        (0.40)        0.42        0.48   

Total income/(loss) from investment operations

     0.03         0.64        (0.11)        0.68        0.87   

Less distributions from:

           

Net investment income

     0.32         0.29        0.29        0.26        0.38   

Net realized gains

     0.02         0.00     0.03        0.35        0.09   

Total distributions

     0.34         0.29        0.32        0.61        0.47   

Net asset value, end of period

   $ 11.26       $ 11.57      $ 11.22      $ 11.65      $ 11.58   

TOTAL RETURN(a)

     0.22%         5.75%        (0.95)%        5.94%        7.87%   

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (in thousands)

   $ 289,872       $ 312,756      $ 319,994      $ 364,407      $ 363,029   

Ratios to average net assets:

           

Net expenses

     0.28%         0.29% (b)      0.28% (b)      0.23% (b)      0.24% (b) 

Gross expenses

     0.28%         0.29%        0.29%        0.25%        0.26%   

Net investment income

     2.71%         2.50%        2.53%        2.20%        3.39%   

Portfolio turnover rate

     278%         326%        330%        402%        438%   

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.
* Rounds to less than $0.005.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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LOGO

Selected data based on a share outstanding throughout the fiscal years indicated

 

Elfun Government Money Market Fund    12/31/15     12/31/14     12/31/13     12/31/12     12/31/11  
Inception date                    6/13/90  

Net asset value, beginning of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00   

Income/(loss) from investment operations:

          

Net investment income

                                 0.00

Total income from investment operations

                                 0.00

Less distributions from:

          

Net investment income

     0.00     0.00                   0.00

Net realized gains

                   0.00              

Total distributions

     0.00     0.00     0.00            0.00

Net asset value, end of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00   

TOTAL RETURN(a)

     0.08%        0.05%        0.04%        0.00%        0.07%   

RATIOS/SUPPLEMENTAL DATA:

          

Net assets, end of period (in thousands)

   $ 129,039      $ 139,218      $ 166,530      $ 164,529      $ 177,378   

Ratios to average net assets:

          

Net expenses

     0.09% **      0.05% **      0.11% **      0.18% **      0.23% ** 

Gross expenses

     0.25%        0.36%        0.34%        0.32%        0.32%   

Net investment income

     —%        —%        —%        —%        0.01%   

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
* Rounds to less than $0.005.
** GEAM has voluntarily undertaken to reduce its management fee and/or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized yield of 0.00%.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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LOGO

 

 

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71


Table of Contents

Statements of Assets and Liabilities

December 31, 2015

   ELFUN
INTERNATIONAL
EQUITY FUND
  

ELFUN

TRUSTS

   

ASSETS

           

Investments in securities, at fair value (cost $218,447,011; $1,368,999,454; $178,343,016; $1,446,747,853; $291,187,956 and $0, respectively)

     $ 223,947,003        $ 2,308,512,370    

Short-term investments, at Amortized Cost

       9,904,614          50,527,506    

Repurchase agreements

                   

Cash

                   

Restricted cash(1)

       389,039             

Foreign currency (cost $16,951; $0; $3,049; $0; $0 and $0, respectively)

       16,946             

Receivable from GEAM

                   

Receivable for investments sold

                   

Income receivables

       450,321          5,425,666    

Receivable for fund shares sold

       15,608          757,236    

Receivable for variation margin on open centrally cleared swap contracts

                   

Other assets

                46,611    

Total assets

       234,723,531          2,365,269,389    

LIABILITIES

           

Distribution payable to shareholders

                   

Payable for investments purchased

                   

Payable for fund shares redeemed

       54,142          421,453    

Payable to GEAM

       67,680          142,862    

Accrued other expenses

       150,761          385,596    

Variation margin payable on open futures contracts

       375             

Accrued foreign capital gains tax

       2,755             

Total liabilities

       275,713          949,911    

NET ASSETS

     $ 234,447,818        $ 2,364,319,478    

NET ASSETS CONSIST OF:

           

Capital paid in

     $ 243,991,584        $ 1,424,730,859    

Undistributed (distributions in excess of) net investment income

                   

Accumulated net realized gain (loss)

       (15,068,007 )        75,703    

Net unrealized appreciation (depreciation) on:

           

Investments

       5,497,237          939,512,916    

Futures

       55,067             

Swap contracts

                   

Foreign currency related transactions

       (28,063 )           

NET ASSETS

     $ 234,447,818        $ 2,364,319,478    

Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized)

       12,141,072          43,307,307    

Net asset value, offering and redemption price per share

       $19.31          $54.59    

 

(1) Deposits at broker for futures contracts.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Table of Contents
     ELFUN
DIVERSIFIED
FUND
   ELFUN
TAX-EXEMPT
INCOME FUND
   ELFUN
INCOME FUND
  

ELFUN

GOVERNMENT
MONEY MARKET FUND

                   
     $ 184,123,143        $ 1,558,382,012        $ 287,504,103        $  
       28,561,801          39,963,873          14,834,395          110,796,208  
                                  20,133,000  
       9,579                            973  
       409,200                             
       3,049                             
                                  4,751  
                         4,222,391           
       650,544          20,176,428          1,979,795          2,034  
       11,528          141,117          90,093          978,139  
       308                   1,462           
                10,648                    
       213,769,152          1,618,674,078          308,632,239          131,915,105  
                   
                1,657,637          202,184           
       3,601,900          27,965,751          18,124,117          2,497,678  
       170,124          448,437          177,077          274,497  
       21,825          66,671          10,760          1,600  
       246,383          263,296          181,366          102,562  
       40,663                   64,297           
                                   
       4,080,895          30,401,792          18,759,801          2,876,337  
     $ 209,688,257        $ 1,588,272,286        $ 289,872,438        $ 129,038,768  
                   
       205,210,013          1,497,243,832          293,500,638          129,046,990  
                62,821          359,740          (8,222 )
       (1,415,667 )        (20,668,526 )        (529,886 )         
                   
       5,780,127          111,634,159          (3,683,853 )         
       106,725                   165,801           
       12,728                   59,998           
       (5,669 )                           
     $ 209,688,257        $ 1,588,272,286        $ 289,872,438        $ 129,038,768  
       11,981,915          133,727,714          25,747,104          129,235,307  
       $17.50          $11.88          $11.26          $1.00  

 

 

The accompanying Notes are an integral part of these financial statements.

 

73


Table of Contents

Statements of Operations

For the year ended December 31, 2015

   ELFUN
INTERNATIONAL
EQUITY FUND
   ELFUN
TRUSTS
   

INVESTMENT INCOME

           

Income

           

Dividend

     $ 5,500,357        $ 36,522,628    

Interest

       1,096          14,014    

Less: Foreign taxes withheld

       (547,279 )           

Total income

       4,954,174          36,536,642    

Expenses

           

Advisory and administration fees

       553,510          3,053,498    

Blue Sky fees

       10,222          16,709    

Transfer agent fees

       151,768          563,436    

Custody and accounting expenses

       102,924          98,059    

Professional fees

       27,570          42,617    

Other expenses

       47,248          141,120    

Total expenses before waivers

       893,242          3,915,439    

Less: Fees waived by the adviser

                   

Total expenses

       893,242          3,915,439    

Net investment income

       4,060,932          32,621,203    

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

           

Realized gain (loss) on:

           

Investments

       9,326,514          145,937,417    

Futures

       245,720             

Swap contracts

                   

Foreign currency transactions

       (81,419 )           

Increase (decrease) in unrealized appreciation/depreciation on:

           

Investments

       (12,970,991 )        (134,802,483 )  

Futures

       59,843             

Swap contracts

                   

Foreign currency translations

       814             

Net realized and unrealized gain (loss) on investments

       (3,419,519 )        11,134,934    

Net increase (decrease) in net assets resulting from operations

     $ 641,413        $ 43,756,137    

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Table of Contents
     ELFUN
DIVERSIFIED
FUND
   ELFUN
TAX-EXEMPT
INCOME FUND
   ELFUN
INCOME FUND
   ELFUN
GOVERNMENT MONEY
MARKET FUND
                   
                   
     $ 2,745,426        $        $ 20,853        $  
       2,048,965          65,621,525          9,078,173          121,463  
       (106,324 )                           
       4,688,067          65,621,525          9,099,026          121,463  
                   
       355,562          2,446,145          469,900          121,428  
       6,898          14,477          9,511          13,902  
       117,790          252,014          139,503          82,814  
       291,979          92,367          178,064          61,188  
       30,721          29,323          22,867          22,357  
       38,467          98,214          33,194          23,664  
       841,417          2,932,540          853,039          325,353  
                                  (203,890 )
       841,417          2,932,540          853,039          121,463  
       3,846,650          62,688,985          8,245,987           
                   
                   
       7,296,596          5,292,646          (932,811 )        533  
       285,664          (713,594 )        628,434           
       24,652                   120,017           
       (5,925 )                           
                   
       (14,045,949 )        (16,826,936 )        (7,435,365 )         
       (38,357 )                 196,009           
       12,728                   59,998           
       41                             
       (6,470,550 )        (12,247,884 )        (7,363,718 )        533  
     $ (2,623,900 )      $ 50,441,101        $ 882,269        $ 533  

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Statements of Changes

in Net Assets

   ELFUN
INTERNATIONAL
EQUITY FUND
   ELFUN
TRUSTS
   
     

YEAR ENDED

DECEMBER 31,
2015

  

YEAR ENDED

DECEMBER 31,
2014

  

YEAR ENDED

DECEMBER 31,
2015

  

YEAR ENDED

DECEMBER 31,
2014

   

INCREASE (DECREASE) IN NET ASSETS

                     

Operations:

                     

Net investment income

     $ 4,060,932        $ 7,245,178        $ 32,621,203        $ 29,857,133    

Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions

       9,490,815          20,303,790          145,937,417          191,149,342    

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations

       (12,910,334 )        (49,641,721 )        (134,802,483 )        76,152,832    

Net increase (decrease) from operations

       641,413          (22,092,753 )        43,756,137          297,159,307    

Distributions to shareholders from:

                     

Net investment income

       (4,270,754 )        (7,173,676 )        (32,631,167 )        (29,624,777 )  

Net realized gains

                         (149,723,012 )        (187,625,045 )  

Return of capital

                                     

Total distributions

       (4,270,754 )        (7,173,676 )        (182,354,179 )        (217,249,822 )  

Increase (decrease) in assets from operations and distributions

       (3,629,341 )        (29,266,429 )        (138,598,042 )        79,909,485    

Share transactions:

                     

Proceeds from sale of shares

       7,687,967          5,989,812          52,198,319          53,464,351    

Value of distributions reinvested

       3,767,932          6,310,419          145,097,677          173,632,057    

Cost of shares redeemed

       (27,688,653 )        (35,645,662 )        (171,015,568 )        (157,316,644 )  

Net increase (decrease) from share transactions

       (16,232,754 )        (23,345,431 )        26,280,428          69,779,764    

Total increase (decrease) in net assets

       (19,862,095 )        (52,611,860 )        (112,317,614 )        149,689,249    

NET ASSETS

                     

Beginning of year

       254,309,913          306,921,773          2,476,637,092          2,326,947,843    

End of year

     $ 234,447,818        $ 254,309,913        $ 2,364,319,478        $ 2,476,637,092    

Undistributed (distributions in excess of) net investment income, end of year

     $        $ 32        $        $ 80,067    
                     

CHANGES IN FUND SHARES

                       

Shares sold

       373,067          281,667          891,191          922,288    

Shares issued for distributions reinvested

       193,525          315,205          2,617,674          2,962,497    

Shares redeemed

       (1,332,620 )        (1,685,316 )        (2,888,958 )        (2,698,432 )  

Net increase (decrease) in fund shares

       (766,028 )        (1,088,444 )        619,907          1,186,353    

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Table of Contents
     ELFUN
DIVERSIFIED
FUND
   ELFUN
TAX-EXEMPT
INCOME FUND
    

YEAR ENDED

DECEMBER 31,
2015

  

YEAR ENDED

DECEMBER 31,
2014

  

YEAR ENDED

DECEMBER 31,
2015

  

YEAR ENDED

DECEMBER 31,
2014

                   
                   
     $ 3,846,650        $ 4,267,269        $ 62,688,985        $ 64,658,213  
      
 
    
7,600,987
 
 
       18,531,504          4,579,052          (8,346,408 )
    

 

(14,071,537

)

       (11,411,179 )        (16,826,936 )        93,958,249  
       (2,623,900 )        11,387,594          50,441,101          150,270,054  
                   
       (3,857,222 )        (4,188,445 )        (62,688,948 )        (64,658,255 )
       (8,123,421 )        (18,371,427 )                  
                (379,499 )                  
       (11,980,643 )        (22,939,371 )        (62,688,948 )        (64,658,255 )
    

 

(14,604,543

)

       (11,551,777 )        (12,247,847 )        85,611,799  
                   
       7,810,219          11,842,915          43,503,495          47,814,369  
       10,589,249          20,221,724          42,770,187          43,941,692  
       (24,229,945 )        (26,292,570 )        (110,019,309 )        (121,634,739 )
    

 

(5,830,477

)

       5,772,069          (23,745,627 )        (29,878,678 )
       (20,435,020 )        (5,779,708 )        (35,993,474 )        55,733,121  
                   
       230,123,277          235,902,985          1,624,265,760          1,568,532,639  
     $ 209,688,257        $ 230,123,277        $ 1,588,272,286        $ 1,624,265,760  
    

$

 

     $ 24        $ 62,821        $ 62,784  
                   
                     
       410,432          592,677          3,667,801          4,057,975  
       600,638          1,070,499          3,606,297          3,720,994  
       (1,284,679 )        (1,295,036 )        (9,286,454 )        (10,321,944 )
       (273,609 )        368,140          (2,012,356 )        (2,542,975 )

 

 

The accompanying Notes are an integral part of these financial statements.

 

77


Table of Contents

Statements of Changes

in Net Assets

  Elfun
Income
Fund
    Elfun
Government
Money Market Fund
 
    

YEAR ENDED

DECEMBER 31,
2015

   

YEAR ENDED

DECEMBER 31,
2014

   

YEAR ENDED

DECEMBER 31,
2015

   

YEAR ENDED

DECEMBER 31,
2014

 

INCREASE (DECREASE) IN NET ASSETS

       

Operations:

       

Net investment income

  $ 8,245,987      $ 7,960,569      $      $   

Net realized gain (loss) on investments, futures and swap contracts

    (184,360     1,332,147        533        1,213   

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts

    (7,179,358     8,371,037                 

Net increase (decrease) from operations

    882,269        17,663,753        533        1,213   

Distributions to shareholders from:

       

Net investment income

    (8,344,196     (7,994,297     (104,346     (62,739

Net realized gains

    (558,783     (58,810              

Total distributions

    (8,902,979     (8,053,107     (104,346     (62,739

Increase (decrease) in assets from operations and distributions

    (8,020,710     9,610,646        (103,813     (61,526

Share transactions:

       

Proceeds from sale of shares

    12,735,564        12,278,351        51,231,809        62,655,321   

Value of distributions reinvested

    6,651,913        5,997,828        94,069        56,986   

Cost of shares redeemed

    (34,250,663     (35,124,433     (61,401,374     (89,963,152

Net increase (decrease) from share transactions

    (14,863,186     (16,848,254     (10,075,496     (27,250,845

Total increase (decrease) in net assets

    (22,883,896     (7,237,608     (10,179,309     (27,312,371

NET ASSETS

       

Beginning of year

    312,756,334        319,993,942        139,218,077        166,530,448   

End of year

  $ 289,872,438      $ 312,756,334      $ 129,038,768      $ 139,218,077   

Undistributed (distributions in excess of) net investment income, end of year

  $ 359,740      $ 331,472      $ (8,222   $   
       

CHANGES IN FUND SHARES

                       

Shares sold

    1,106,849        1,071,105        51,126,809        62,592,321   

Shares issued for distributions reinvested

    579,525        522,120        94,069        56,986   

Shares redeemed

    (2,981,124     (3,064,658     (61,401,374     (89,963,152

Net decrease in fund shares

    (1,294,750     (1,471,433     (10,180,496     (27,313,845

 

 

The accompanying Notes are an integral part of these financial statements.

 

78


Table of Contents

December 31, 2015

LOGO

 

1. Organization of the Funds

The Elfun Funds (each a “Fund” and collectively the “Funds”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. The Funds operate as Employees’ Securities Companies (as defined in the 1940 Act) and as such are exempt from certain provisions of the 1940 Act. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies.

GE Asset Management Incorporated (“GEAM”), the Funds’ investment adviser, is a wholly owned subsidiary of General Electric Company.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. There are no items to report.

The following summarizes the significant accounting policies of the Funds:

Securities Valuation and Transactions  All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

Repurchase Agreements  Some of the Funds engage in repurchase agreement transactions with respect to instruments that are consistent with the Fund’s

investment objectives or policies. The Funds’ custodian takes possession of the collateral pledged for investments in repurchase agreements on behalf of the Funds. The Funds value the underlying collateral daily on a mark-to-market basis to determine that the value, including accrued interest, is at least equal to 102% for domestic securities and 105% for international securities of the repurchase price. In the event the seller defaults and the value of the security declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.

At December 31, 2015, the Elfun Government Money Market Fund had investments in repurchase agreements with a gross value of $20,133,000, which is included as part of repurchase agreements on the Statement of Assets and Liabilities. The value of the related collateral exceeded the value of the repurchase agreements at December 31, 2015.

Foreign Currency  Accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions.

All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m., Eastern time.

The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other

 

 

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assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.

Derivatives  The Funds are subject to equity price risk, interest rate risk, credit risk, and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. Certain Funds entered into derivative transactions (such as options, futures, options on future, interest rate futures, interest rate swaps and credit default swaps) to gain or hedge exposure to certain types of securities as an alternative to investing directly in or selling such securities, or to manage: yield, interest rate exposure (also known as duration), exposure to credit quality, and to gain exposure to certain market segments.

Futures Contracts  A futures contract is an agreement to buy or sell a specific amount of a commodity, financial instrument, currency or index at a particular price and future date. Certain Funds may invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. During the year ended December 31, 2015, the Elfun International Equity Fund entered into stock index futures contracts for the purpose of gaining market exposure and investing residual cash positions. The Elfun Diversified Fund entered into futures contracts on various stock indices, bonds and notes for the purposes of gaining market exposure, investing residual cash positions and managing duration of fixed income investments. The Elfun Tax-Exempt Income Fund and Elfun Income Fund invested in futures contracts on bonds and notes for to manage duration of fixed income securities. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. With futures contracts, there is minimal counterparty credit risk to a Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures

contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuation in the fair value of the underlying security. A Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. A Fund recognize a realized gain or loss on the expiration or closing of a futures contract.

When-Issued Securities and Forward Commitments  The Elfun Income Fund and Elfun Diversified Fund may purchase or sell securities on a when-issued or forward commitment basis. These transactions are arrangements in which a Fund purchases and sells securities with payment and delivery scheduled a month or more after entering into the transaction. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the commitments. In connection with such purchases, a Fund maintains cash or liquid assets in an amount equal to the purchase commitments for such underlying securities until settlement date and for sales commitments a Fund maintains equivalent deliverable securities as “cover” for the transaction. Unsettled commitments are valued at the current market value of the underlying security. Daily fluctuations in the value of such commitments are recorded as unrealized gains or losses. The Funds will not enter into such commitments for the purpose of investment leverage.

Credit Default Swaps  During the year ended December 31, 2015, the Elfun Diversified Fund and the Elfun Income Fund engaged in credit default swaps to manage credit risk. When a Fund is the buyer in a credit default swap contract, a Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations)

 

 

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from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by a Fund for the same referenced obligation. As the seller, a Fund may create economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization.

For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if a Fund had invested in the referenced debt obligation directly. If a Fund is a buyer of a credit default swap and no credit event occurs, a Fund will not earn any return on its investment. If a Fund is a seller of a credit default swap, a Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject a Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

Forward Foreign Currency Exchange Contracts  Certain Funds may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage currency exposure. Forward foreign currency exchange contracts are valued at the mean between the bid and the offered forward rates as last quoted by a recognized dealer. The aggregate principal amounts of the contracts are not recorded in a Fund’s financial statements. Such amounts appear under the caption Forward Foreign Currency Contracts in the Schedules of Investments. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (or liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains or losses on foreign currency related transactions. A Fund’s risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contracts’ terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of a Fund’s total assets committed to the consummation of the forward contract. If the value of the segregated securities declines, additional cash or securities are segregated so

 

 

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that the value of the account will equal the amount of a Fund’s commitment with respect to the contract.

Investments in Foreign Markets  Investments in foreign markets involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile.

A Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. Such taxes are generally based upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned.

Investment Income  Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes on foreign dividends, if any, have been provided for in accordance with a Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses  Fund specific expenses are charged to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the Fund are generally paid directly by the Fund; however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes  The Funds intend to comply with all sections of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”) applicable to regulated investment companies, including the distribution of substantially all of their taxable net investment income, tax-exempt income and net realized

capital gains to their shareholders. Therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.

 

3. Security Valuation and Transactions

The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 – Quoted prices for identical investments in active markets.

Level 2 – Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 – Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

 

 

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Fair Value Measurement  The following section describes the valuation methodologies the Funds use to measure different financial investments at fair value.

A Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities, which may not necessarily represent the last sales price. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund typically classifies the investment securities in Level 2.

Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services are derived from market observable sources, which may include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing service may use other available information such as benchmark curves, benchmarking of similar securities, sector groupings, and matrix pricing, as applicable. Thus, certain securities may not be priced using market quotations, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.

A Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.

Short-term securities of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

Investments in registered investment companies are valued at the published daily net asset value (“NAV”) and classified in Level 1.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Funds’ Board of Trustees that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of any Fund in the appropriate circumstances.

Foreign securities may be valued with the assistance of an independent fair value pricing service in circumstances where it is believed that they have been or would be materially affected by events occurring after the close of the portfolio security’s primary market and before the close of regular trading on the New York Stock Exchange (“NYSE”). In these circumstances, the Funds classify the investment securities in Level 2. This independent fair value pricing service uses a proprietary model to identify affected securities, taking into consideration various factors, and the fair value of such securities may be something other than the last available quotation or other market price.

All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.

Fair value determinations generally are used for securities whose value is affected by a significant event

 

 

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that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of a Fund’s NAV.

The value established for such a portfolio security valued other than by use of a market quotation (as described above) may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Funds use closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

 

The following tables present each Fund’s investments measured at fair value on a recurring basis at December 31, 2015:

 

Fund   Investments   Level 1     Level 2     Level 3     Total  
Elfun International Equity Fund   Investments in Securities†        
 

Common Stock

  $ 223,947,003      $      $      $ 223,947,003   
 

Short-Term Investments

    9,904,614                      9,904,614   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Investments in Securities   $ 233,851,617      $      $      $ 233,851,617   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Other Financial Instruments*        
 

Long Futures Contracts — Unrealized Appreciation

  $ 55,067      $      $      $ 55,067   
   

 

 

   

 

 

   

 

 

   

 

 

 
                                     
Elfun Trusts   Investments in Securities†        
 

Common Stock

  $ 2,308,512,370      $      $      $ 2,308,512,370   
 

Short-Term Investments

    50,527,506                      50,527,506   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Investments in Securities   $ 2,359,039,876      $      $      $ 2,359,039,876   
   

 

 

   

 

 

   

 

 

   

 

 

 
                                     
Elfun Diversified Fund   Investments in Securities†      
 

Domestic Equity

  $ 65,581,973      $      $      $ 65,581,973   
 

Foreign Equity

    43,430,981                      43,430,981   
 

U.S. Treasuries

           10,555,553               10,555,553   
 

Agency Mortgage Backed

           16,421,253               16,421,253   
 

Agency Collateralized Mortgage Obligations

           153,079               153,079   
 

Corporate Notes

           30,359,517               30,359,517   
 

Non-Agency Collateralized Mortgage Obligations

           6,797,903               6,797,903   
 

Sovereign Bonds

           807,383               807,383   
 

Municipal Bonds and Notes

           372,966               372,966   
 

FNMA (TBA)

                  2,135        2,135   
 

Exchange Traded Funds

    9,640,400                      9,640,400   
 

Short-Term Investments

    28,561,801                      28,561,801   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Investments in Securities   $ 147,215,155      $ 65,467,654      $ 2,135      $ 212,684,944   
   

 

 

   

 

 

   

 

 

   

 

 

 

 

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Fund   Investments   Level 1     Level 2     Level 3     Total  
  Other Financial Instruments*      
 

Credit Default Swap Contracts
— Unrealized Appreciation

  $      $ 12,728      $      $ 12,728   
 

Long Futures Contracts — Unrealized Appreciation

    131,166                      131,166   
 

Long Futures Contracts — Unrealized Depreciation

    (23,401                   (23,401
 

Short Futures Contracts — Unrealized Appreciation

    57,119                      57,119   
 

Short Futures Contracts — Unrealized Depreciation

    (58,159                   (58,159
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Other Financial Instruments   $ 106,725      $ 12,728      $      $ 119,453   
   

 

 

   

 

 

   

 

 

   

 

 

 
                                     
Elfun Tax-Exempt Income Fund   Investments in Securities†        
 

Municipal Bonds and Notes

  $      $ 1,558,382,012      $      $ 1,558,382,012   
 

Short-Term Investments

    39,963,873                      39,963,873   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Investments in Securities   $ 39,963,873      $ 1,558,382,012      $      $ 1,598,345,885   
   

 

 

   

 

 

   

 

 

   

 

 

 
                                     
Elfun Income Fund   Investments in Securities†      
 

U.S. Treasuries

  $      $ 46,093,916      $      $ 46,093,916   
 

Agency Mortgage Backed

           70,646,767               70,646,767   
 

Agency Collateralized Mortgage Obligations

           798,101               798,101   
 

Asset Backed

           780,228               780,228   
 

Corporate Notes

           131,080,864               131,080,864   
 

Non-Agency Collateralized Mortgage Obligations

           32,539,768               32,539,768   
 

Sovereign Bonds

           3,149,229               3,149,229   
 

Municipal Bonds and Notes

           2,070,092               2,070,092   
 

FNMA (TBA)

                  8,556        8,556   
 

Preferred Stock

    336,582                      336,582   
 

Short-Term Investments

    14,834,395                      14,834,395   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Investments in Securities   $ 15,170,977      $ 287,158,965      $ 8,556      $ 302,338,498   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Other Financial Instruments*      
 

Credit Default Swap Contracts — Unrealized Appreciation

  $      $ 59,998      $      $ 59,998   
 

Long Futures Contracts — Unrealized Appreciation

    8,510                      8,510   
 

Long Futures Contracts — Unrealized Depreciation

    (72,283                   (72,283
 

Short Futures Contracts — Unrealized Appreciation

    230,891                      230,891   
 

Short Futures Contracts — Unrealized Depreciation

    (1,317                   (1,317
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Other Financial Instruments   $ 165,801      $ 59,998      $      $ 225,799   
   

 

 

   

 

 

   

 

 

   

 

 

 
                                     

 

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Fund   Investments   Level 1     Level 2     Level 3     Total  
Elfun Government Money Market Fund   Investments in Securities†        
 

U.S. Treasuries

  $      $ 29,122,933      $      $ 29,122,933   
 

U.S. Government Agency Obligations

           81,673,275               81,673,275   
 

Repurchase Agreements

           20,133,000               20,133,000   
   

 

 

   

 

 

   

 

 

   

 

 

 
  Total Investments in Securities   $      $ 130,929,208      $      $ 130,929,208   
   

 

 

   

 

 

   

 

 

   

 

 

 
                                     

 

See Schedules of Investments for Industry Classification.

 

* Other financial instruments include derivative instruments such as futures contracts and credit default swaps. Amounts shown represent unrealized appreciation (depreciation), at period end.

The Elfun International Equity Fund and the Elfun Diversified Fund utilized the fair value pricing service on December 31, 2014 due to events occurring after the close of foreign local markets and before the close of regular trading on the NYSE, which resulted in certain foreign securities being classified as Level 2 at the beginning of the period that were classified as Level 1 at December 31, 2015. The value of securities that were transferred to Level 2 from Level 1 as a result was $214,575,522 and $37,780,873 for the Elfun International Equity Fund and Elfun Diversified Fund, respectively. There were no other significant transfers between fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended December 31, 2015 is not presented.

 

4. Derivatives Disclosure

Shown below are the derivative contracts entered into by each Fund, summarized by primary risk exposure as they appear on the Statements of Assets and Liabilities, none of which are accounted for as hedging instruments under FASB ASC No. 815 Derivatives and Hedging (“ASC 815”) as of December 31, 2015.

 

   

Asset Derivatives December 31, 2015

   

Liability Derivatives December 31, 2015

 

Derivatives not accounted for as

hedging instruments under ASC 815

  Location in the Statements
of Assets and Liabilities
  Fair
Value ($)
    Location in the Statements
of Assets and Liabilities
  Fair
Value ($)
 
Elfun International Equity Fund        

Equity Contracts

  Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     55,067   Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures       
Elfun Diversified Fund   

Equity Contracts

  Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     128,461   Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     (58,159 )* 

Interest Rate Contracts

  Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     59,824   Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     (23,401 )* 

Credit Risk Contracts

  Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts     12,728   Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts       
Elfun Income Fund   

Interest Rate Contracts

  Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     239,401   Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures     (73,600 )* 

Credit Risk Contracts

  Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts     59,998   Liabilites, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts       

 

* Includes cumulative unrealized appreciation/(depreciation) of futures and credit default swap contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

 

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Shown below are the effects of derivative instruments on each Fund’s Statements of Operation, summarized by primary risk exposure, none of which are accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted

for as hedging instruments

under ASC 815

   Location in the
Statements of Operations
   Total
Notional Amount of
Futures Contracts
Purchased/(Sold) ($)
   Realized Gain (Loss) on
Derivatives Recognized
in Income ($)
    Change in Unrealized
Appreciation (Depreciation)
on Derivatives
Recognized in Income ($)
 
Elfun International Equity Fund     

Equity Contracts

   Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures    34,121,584/
(31,292,919)
     245,720        59,843   
Elfun Diversified Fund   

Equity Contracts

   Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures    55,971,627/
(58,521,450)
     142,512        (107,029

Interest Rate Contracts

   Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures    250,542,182/
(253,678,697)
     143,152        68,672   

Credit Risk Contracts

   Realized gain/(loss) on Swap Contracts Increase/ (decrease) in unrealized appreciation/(depreciation) on Swap Contracts    —/—      24,652        12,728   
Elfun Tax-Exempt Income Fund   

Interest Rate Contracts

   Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures    81,188,828/
(80,475,585)
     (713,594       
Elfun Income Fund   

Interest Rate Contracts

   Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures    1,109,623,204/
(1,118,788,938)
     628,434        196,009   

Credit Risk Contracts

   Realized gain/(loss) on Swap Contracts Increase/ (decrease) in unrealized appreciation/(depreciation) on Swap Contracts    —/—      120,017        59,998   

During the year ended December 31, 2015, the Funds had an average notional value of long and short futures contracts as shown below. The Elfun Diversifed and Elfun Income Fund had average notional values of $1,638,028 and $7,180,789 on credit default swaps, respectively. Please refer to the table following the Schedule of Investments for open futures contracts and open swap contracts at December 31, 2015.

 

Fund    Long Futures
Contracts
     Short Futures
Contracts
 

Elfun International Equity Fund

   $ 2,650,686       $ (1,053,327

Elfun Diversified Fund

     13,611,792         (10,282,569

Elfun Tax-Exempt Income Fund

             (45,117,188

Elfun Income Fund

     21,781,084         (34,465,528

 

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5. Line of Credit

The Funds (excluding Elfun Government Money Market Fund) share a revolving credit facility of up to $150 million with a number of their affiliates. The credit facility is with the Funds’ custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.20% (0.125% prior to October 28, 2015) per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by each Fund generally is borne proportionally based upon net assets. In addition, the Funds had a $100 million uncommitted, unsecured line of credit with State Street which expired effective October 28, 2015. Generally, borrowings under the credit facilities would accrue interest at the higher of the 1-Month LIBOR plus 1.25% and the Overnight Federal Funds Rate plus 1.25% and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) its prospectus limitation or (ii) 20% of its net assets. The credit facilities were not utilized by the Funds during the year ended December 31, 2015.

 

6. Compensation and Fees paid to Affiliates

During 2015, the Funds incurred expenses for the cost of services rendered by GEAM as investment adviser and administrator.

These expenses are included as advisory and administration fees (“Management Fees”) in the Statements of Operations. The Trustees received no compensation as Trustees for the Elfun Funds.

GEAM may, from time to time, voluntarily subsidize certain expenses of the Elfun Government Money Market Fund (the “Fund”) and, to the extent necessary, reduce its management expense in order to maintain a minimum annualized net yield of 0.00% for the Fund. GEAM may, in its sole and absolute discretion, discontinue any subsidy of Fund expenses or reduction in management expenses

at any time by providing notice to the Trust and by the Board of Trustees.

GEAM may, from time to time, voluntarily subsidize certain expenses of the Elfun Government Money Market Fund (the “Fund”) and, to the extent necessary, reduce its management expense in order to maintain a minimum annualized net yield of 0.00% for the Fund (collectively known as “fee waivers”). GEAM may, in its sole and absolute discretion, discontinue any fee waivers at any time by providing notice to the Fund and its Board of Trustees.

Pursuant to an agreement between GEAM and the Fund, the Fund has agreed to reimburse GEAM for such fee waivers for a period of up to three years from the date of such fee waivers, as long as the Fund’s total operating expense ratio does not exceed 0.60% for the fiscal year in which the reimbursement is made.

Fee waivers subject to potential reimbursement to GEAM by year of expiration are as follows:

 

Year    Amount ($)  

2018

     203,890   

2017

     674,381   

2016

     1,051,482   

As of December 31, 2015, the Fund had not reimbursed any fee waivers previously made by GEAM.

 

7. Sub-Advisory Fees

Pursuant to an investment sub-advisory agreement with GEAM SSGA Funds Management, Inc. (“SSGA FM”) is the sub-adviser to the Elfun Government Money Market Fund. SSGA FM is responsible for the day-to-day portfolio management of the assets of the Elfun Government Money Market Fund, including the responsibility for making decisions to buy, sell or hold a particular security, under the general supervision of GEAM and the Board. For its services, GEAM pays SSGA FM monthly sub-advisory fees which are calculated as a percentage of the average daily net assets of the Elfun Government Money Market Fund.

 

 

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8. Investment Transactions

Purchases and Sales of Securities

The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the year ended December 31, 2015, were as follows:

 

     U.S. Government Securities        Other Securities  
Fund    Purchases        Sales        Purchases        Sales  

Elfun International Equity Fund

   $         $         $ 59,606,076         $ 80,717,961   

Elfun Trusts

                         257,439,314           366,912,458   

Elfun Diversified Fund

     174,178,072           182,296,006           73,926,820           79,876,938   

Elfun Tax-Exempt Income Fund

                         346,113,592           380,395,953   

Elfun Income Fund

     720,826,293           754,007,232           117,731,516           98,528,293   

 

9. Income Taxes

The Funds are subject to ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken

in the course of preparing each Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to any Fund’s net assets required under ASC 740. Each Fund’s 2012, 2013, 2014 and 2015 fiscal year tax returns are still open to examination by the Federal and applicable state tax authorities.

 

 

At December 31, 2015, information on the tax cost of investments and distributable earnings on a tax basis was as follows:

 

Fund

  Cost of
Investment
for Tax
Purposes
    Gross Tax     Net Tax Appreciation/
(Depreciation)
    Undistributed     Late-Year
Losses
 
    Appreciation     Depreciation     Investments    

Derivatives/

Currency

    Income     Accum. Capital
Gain/(Loss)
   

Elfun International Equity Fund

  $ 230,223,929      $ 26,600,840      $ (22,975,907   $ 3,624,933      $ 27,004      $      $ (13,166,355   $   

Elfun Trusts

    1,419,451,969        965,796,554        (26,208,647     939,587,907                      712          

Elfun Diversified Fund

    208,347,208        14,288,683        (9,950,947     4,337,736        113,784        33,364        92,580          

Elfun Tax-Exempt Income Fund

    1,486,755,403        114,217,983        (2,627,501     111,590,482               62,821        (20,624,849       

Elfun Income Fund

    306,046,148        2,799,401        (6,507,051     (3,707,650     225,799        359,740        (40,119     (295,128

Elfun Government Money Market Fund

    130,929,208                                    8,294                 

 

During the year ended December 31, 2015, the Funds utilized prior year capital loss carryovers as follows:

 

Fund    Amount  

Elfun International Equity

   $ 10,005,376   

Elfun Tax-Exempt Income Fund

   $ 3,645,615   

Any qualified late-year loss is deemed to arise on the first day of a Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, a Fund can elect

to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The following Funds elected to defer qualified late-year losses for the year ended December 31, 2015 as follows:

 

Fund    Capital     Ordinary  

Elfun Income Fund

   $ (295,128   $   
 

 

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As of December 31, 2015, the following Funds have capital loss carryovers as indicated below. The capital loss carryover is available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains offset will not be distributed to shareholders.

 

       Amount           
Fund      Short-Term        Long-Term        Expires  

Elfun International Equity Fund

     $ 13,166,355         $           12/31/18   

Elfun Income Fund

                 40,119           Unlimited   

Elfun Tax-Exempt Income Fund

       18,068,222           2,556,627           Unlimited   

These amounts will be available to offset future taxable capital gains. Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The tax character of distributions paid during the year ended December 31, 2015, were as follows:

 

Fund    Exempt
Income
       Ordinary
Income
       Long-Term
Capital Gains
       Return of
Capital
       Total  

Elfun International Equity Fund

   $         $ 4,270,754         $         $         $ 4,270,754   

Elfun Trusts

               32,340,902           150,013,277                     182,354,179   

Elfun Diversified Fund

               4,151,007           7,829,636                     11,980,643   

Elfun Tax-Exempt Income Fund

     61,714,924           974,024                               62,688,948   

Elfun Income Fund

               8,902,979                               8,902,979   

Elfun Government Money Market Fund

               104,346                               104,346   

The tax character of distributions paid during the year ended December 31, 2014, were as follows:

 

Fund    Exempt
Income
       Ordinary
Income
       Long-Term
Capital Gains
       Return of
Capital
       Total  

Elfun International Equity Fund

   $         $ 7,173,676         $         $         $ 7,173,676   

Elfun Trusts

               30,164,147           187,085,675                     217,249,822   

Elfun Diversified Fund

               5,932,099           16,627,773           379,499           22,939,371   

Elfun Tax-Exempt Income Fund

     63,284,972           1,373,283                               64,658,255   

Elfun Income Fund

               8,053,107                               8,053,107   

Elfun Government Money Market Fund

               62,739                               62,739   

Distributions to Shareholders

Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund declare net investment income dividends daily and pay them monthly. All other Funds declare and pay dividends from net investment income, if any, annually. All Funds declare and pay net realized capital gains distributions, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP. These differences include (but are not limited to) treatment of realized and unrealized gains (losses) on foreign currency contracts, investments in futures, late year loss deferrals, unused capital losses, distribution re-designations, investments in swaps, distributions from real estate investment trusts (“REITs”) and other equity investments, distributions in excess of earnings, litigation proceeds, corporate actions, mixed straddles, return of capital distribution from securities, and losses deferred due to wash sale transactions. Reclassifications are made to a Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or NAV of any of the Funds. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

 

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The reclassifications for the year ended December 31, 2015 were as follows:

 

Fund   Undistributed
Net Investment
Income
    Accumulated
Net Realized
Gain (Loss)
    Paid In
Capital
 

Elfun International Equity Fund

  $ 209,790      $ (148,475   $ (61,315

Elfun Trusts

    (70,103     70,103          

Elfun Diversified Fund

    10,548        (12,176     1,628   

Elfun Income Fund

    126,477        (126,477       

Elfun Government Money Market Fund

    96,124        (1,746     (94,378

    

 

 

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The Unitholders and Board of Trustees

Elfun Funds:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, and Elfun Government Money Market Fund, each a series of Elfun Funds (collectively the “Funds”) as of December 31, 2015, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). 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 December 31, 2015, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, and Elfun Government Money Market Fund as of December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

 

LOGO

Boston, Massachusetts

February 24, 2016

 

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For the year ended December 31, 2015

 

The following Funds intend to make an election under Internal Revenue Code Section 853. The election will allow shareholders to treat their attributable share of foreign taxes paid by the Funds to be paid by them directly. For the fiscal year ended December 31, 2015, the total amount of income received by the Funds from sources within foreign countries and possessions of the United States and the total amount of taxes paid by the Funds follows:

 

     Total Foreign
Source Income
  Total Foreign
Taxes Paid

Elfun International Equity Fund

    $ 5,727,962       $ 547,279  

For the year ended December 31, 2015, the following Funds hereby designate as capital gain dividends the amounts set forth, or the amount ultimately treated as capital gain net income:

 

Fund    Gross
Amount

Elfun Trusts

     $ 150,013,277  

Elfun Diversfied Fund

       7,829,636  

For the fiscal year ended December 31, 2015, certain dividends paid by the Funds may be subject to a maximum income tax rate of 20% as provided for by the American Taxpayer Relief Act of 2012. The following represent the amounts that may be considered qualified dividend income:

 

Fund    Qualified
Dividend
Income

Elfun International Equity Fund

     $ 4,818,033  

Elfun Trusts

       35,318,700  

Elfun Diversified Fund

       2,403,744  

For corporate shareholders the following represent the percentages of respective fund distributions that may be eligible for the dividends received deduction:

 

Fund    Dividends
Received
Deduction

Elfun Trusts

       98.96%  

Elfun Diversified Fund

       29.51%  

For the year ended December 31, 2015, the following Fund hereby designates as exempt-interest dividends the amounts set forth, or the amount ultimately treated as exempt-interest dividends:

 

Fund    Gross
Amount

Elfun Tax-Exempt Income Fund

     $ 61,714,924  

The amounts presented herein may differ from amounts presented elsewhere in the financial statements due to differences between tax and financial accounting principles. Please consult a tax advisor if you have any questions about Federal or State income tax laws or on how to prepare your tax returns. If you have specific questions about your Fund account, please consult your investment representative.

 

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The Board of Trustees of the Elfun Funds1 (the “Board”) considered and all those that were present unanimously approved the continuance for an additional year of each of the Funds’ investment advisory agreements with GE Asset Management Incorporated (“GEAM”); and with respect to the Elfun Government Money Market Fund, the continuance of the investment sub-advisory agreement with SSGA Funds Management, Inc. (“SSGA FM”), at a meeting held on December 14, 2015.

In considering whether to approve the Funds’ investment advisory agreements and the Elfun Government Money Market Fund’s investment sub-advisory agreement, the Board members considered and discussed a substantial amount of information and analysis provided by GEAM and SSGA FM. The Board members also considered detailed information regarding performance and expenses of other investment companies, including those with similar investment strategies and sizes, which was prepared by an independent third party provider, Morningstar, Inc. (“Morningstar”). The Board members reviewed the fees charged by GEAM for other mutual funds and investment products other than mutual funds that employ similar investment strategies as the Funds. The Board had the opportunity to ask questions and request additional information in connection with its considerations.

Before approving each Fund’s investment advisory agreement and the Elfun Government Money Market Fund’s sub-advisory agreement, the Board members received and considered memoranda prepared by GEAM personnel that set forth detailed information, including numerous exhibits and other materials related to GEAM’s business and the services it provides to each Fund. Also, in advance of the meeting, the Board members received from SSGA FM a written response to a letter of inquiry prepared by GEAM at the Board’s request, which included substantial exhibits and other materials related to the business of, and services provided by, SSGA FM. The Board members also reviewed materials discussing the legal standards for the consideration of the proposed continuances. The Board members reviewed and discussed the proposed continuance of the agreements with GEAM personnel, including representatives from the legal, compliance and finance departments and senior

members of each relevant investment group (e.g., equity, fixed income), and heard presentations by these representatives. The Board members posed questions to these representatives and engaged in substantive discussions with them concerning the Funds’ operations and each of their investment processes. The Board members took into account that many of them possess multi-year experience as Board members and that all of them possess a great deal of knowledge about GEAM and the Funds in their capacities as senior officers of GEAM. They also took into account their consideration of these types of agreements in recent years. The information was presented in a manner to facilitate comparisons to prior periods and to reflect certain enhancements to GEAM’s infrastructure, systems, research and analytics capabilities and shareholder servicing model. To focus their review, the Board members asked GEAM personnel and SSGA FM, in their oral presentations and/or written materials, to highlight material differences from the information presented in recent years.

In reaching their determinations relating to the continuance of the Funds’ investment advisory agreements and the Elfun Government Money Market Fund’s investment sub-advisory agreement, the Board members considered all factors that they deemed relevant, including the factors discussed below. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Board member may have attributed different weights to the various factors. The Board members evaluated this information, and all other information available to them, for each Fund separately, and their determinations were made separately in respect of each Fund. In particular, the Board members focused on the following with respect to each Fund:

The Nature, Extent And Quality Of Services Provided

The Board members reviewed the services provided by GEAM and concurred that GEAM provides high quality advisory and administrative services to the Funds. The Board members also reviewed the services provided to the Elfun Government Money Market Fund by SSGA FM, taking into account their past experiences with SSGA FM. In connection with their consideration of GEAM’s services, the Board members focused on the favorable attributes of GEAM, including (i) an investment philosophy oriented toward long-term performance; (ii) effective processes

 

 

 

1 The Elfun Funds include the Elfun Trusts, Elfun International Equity Fund, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, Elfun Government Money Market Fund (each, a “Fund” and collectively, the “Funds”).

 

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used for selecting investments and brokers; with respect to the Elfun Government Money Market Fund, effective processes used for overseeing sub-advisers; (iii) effective processes used for providing Fund administration, including controllership and compliance functions, the optimization of its Fund administration platform and the continued oversight of the performance of other companies that provide services to the Funds; (iv) highly skilled professionals, including analysts, research professionals, traders and portfolio managers with a depth of experience relevant to the Funds; (v) access to significant and enhanced technological resources from which the Funds may benefit, including a platform that increases the quality and efficiency of analytics and research; and (vi) a favorable history and reputation. The Board members noted that each Fund represents only a small amount of the overall assets managed by GEAM, but benefits from a full array of services and resources provided by GEAM. In particular, the Board members discussed that the Funds benefit from a large staff of research analysts employed by GEAM.

In connection with their consideration of the services provided to the Elfun Government Money Market Fund by SSGA FM, the Board members focused on SSGA FM’s favorable attributes, including its substantial experience managing funds of this type, investment philosophy and discipline, experienced investment and trading personnel, systems and other resources, and favorable history and reputation.

In light of the foregoing, the Board members concluded that the services provided by GEAM and SSGA FM continue to be satisfactory.

Investment Performance Of The Funds And The Sub-Adviser

The Board members considered the investment performance of the Funds for various periods. The Board members reviewed detailed comparisons of the performance of the Funds with the relevant securities indices and peer and category groupings of mutual funds prepared by Morningstar with respect to various periods. The Board members also engaged in discussions with GEAM personnel regarding the investment process and performance results for each Fund. These discussions focused on each Fund’s investment objective, the number and experience of portfolio management and supporting research personnel, the investment style and approach

employed, the likely market cycles for the investment style and, in some instances, relative underperformance of certain Funds in certain periods. The Board members discussed GEAM’s investment approach with respect to each of the Funds, and the reasons for certain Funds’ relative underperformance.

The Board members concluded that the Funds’ performance was acceptable overall, taking into consideration the factors discussed above.

Cost Of The Services Provided To The Funds

The Board members considered the cost of the services provided by GEAM, noting that, pursuant to each investment advisory agreement, GEAM is reimbursed for its reasonable costs incurred in providing the services contemplated by those agreements and is not paid a management fee. The Board also noted that GE Investment Distributors, Inc. (“GEID”), a subsidiary of GEAM, is reimbursed for its reasonable costs incurred in providing services specified in its agreement with the Funds as unitholder servicing agent and is not paid a unitholder servicing fee. The Board members considered that the charges resulting from this arrangement involve all of the expenses incurred by GEAM and GEID with respect to the management and unitholder operations of the Funds, including, without limitation, indirect allocable overhead costs and the direct and indirect costs of GEAM and GEID personnel providing investment management and other services to the Funds. The Board members noted and discussed the additional services provided by GEAM to the Funds compared to other investment products managed by GEAM and the charges that result from those services. The Board members also noted that none of the charges resulting from the Funds’ arrangements with GEAM and GEID may include any element of profit.

The Board members also noted that the Board had in prior years reviewed with GEAM personnel the underlying assumptions and methods of cost allocation used by GEAM in allocating its costs and those of the other Fund service providers, including GEID, to the Funds, and considered the new cost allocation method that was implemented for the Funds in the second half of 2015. The Board members also discussed with GEAM personnel the basis for their belief that the methods of allocation used by GEAM continue to be reasonable for each area of GEAM’s business.

 

 

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The Board members considered the fees paid to SSGA FM by the Elfun Government Money Market Fund, and the cost of the services provided by SSGA FM to the Elfun Government Money Market Fund. The Board members considered the information they had requested from SSGA FM concerning its profitability. Information was presented regarding SSGA FM’s financial condition for various past periods. The Board members determined that SSGA FM should be entitled to earn a reasonable level of profit for the services it provides to the Elfun Government Money Market Fund.

Based on their review, the Board members concluded that they were satisfied that the assumptions and methods used in cost allocation and the level of expenses incurred by the Funds, as well as the level of profitability to SSGA FM from its relationship with the Elfun Government Money Market Fund, were not unreasonable or excessive.

The Extent To Which Economies Of Scale Would Be Realized For The Benefit Of Fund Shareholders As The Funds Grow

Although the Funds did not experience an increase in assets over the past year, the Board members considered the extent to which economies of scale would be realized for the benefit of Fund investors as the Funds grow. The Board noted that the Funds continue to enjoy fee and expense levels within or below the group of lowest fee and expense funds in their respective peer group comparisons. The Board also noted that, with respect to the Elfun Government Money Market Fund, GEAM voluntarily undertook to reduce its management fee or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized net yield of 0.00%.

The Board members recognized the significant benefits to the Funds resulting from their arrangement with GEAM, which causes them to bear only the reasonable costs incurred by GEAM and GEID, without any element of profit, for the substantial services they provide to the Funds. The Board members also recognized the benefits to the Funds of being able to leverage a favorable cost structure achieved with respect to the Funds’ other operating expenses as a result of GEAM’s large overall base of assets under management and its vendor management practices.

Comparison Of Services To Be Rendered And Costs To Be Incurred

The Board members discussed the services provided to the Funds by GEAM and to the Elfun Government Money Market Fund by SSGA FM, and the costs incurred by the Funds for those services, including the services required of GEAM to oversee the services provided by SSGA FM, the sub-adviser to the Elfun Government Money Market Fund. The Board members reviewed information concerning the Funds’ expense ratios, and comparative information with respect to peer groupings of mutual funds prepared by Morningstar. They discussed that, in all cases, the Funds enjoy expense levels within or below the group of lowest cost funds in each peer group comparison. In connection with the Elfun Government Money Market Fund, the Board members reviewed comparative mutual fund and/or other account fee information provided by SSGA FM. In light of this information, the Board members determined that the level of expenses incurred and, with respect to the Elfun Government Money Market Fund, the sub-advisory fees paid to SSGA GM, considered in relation to the services provided to the Funds, supported the Board’s approval of the investment advisory and sub-advisory agreements.

Fall-Out Benefits

The Board members considered other actual and potential financial benefits that GEAM and SSGA FM may derive from their relationship with the Funds, including, where applicable, soft dollar commission benefits generated through Fund portfolio transactions. The Board members noted, however, that the Funds benefit from the vast array of resources available through GEAM, and that each Fund represents only a small amount of the overall assets managed by GEAM.

Conclusion

No single factor was determinative to the Board’s decision. Based on their discussion and such other matters as were deemed relevant, the Board members concluded that the proposed level of cost reimbursement to GEAM and projected total expense ratios for the Funds are reasonable in relation to the services provided. In view of these facts, the Board members concluded that the renewal of each investment advisory agreement and the sub-advisory agreement with SSGA FM was in the best interests of the Funds.

 

 

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Matters Considered by the Board in Approving a Sub-Advisory Agreement with SSgA FM

At a Board meeting held on June 9, 2014 (the “Board Meeting”), members of the Board who were present at the Board Meeting considered and unanimously approved the Proposed Sub-Advisory Agreement with SSgA Funds Management, Inc. (“SSgA FM”). In advance of the Board Meeting, the Board received materials from both GE Asset Management Incorporated (“GEAM”) and SSgA FM, and had the opportunity to ask questions and request additional information in connection with its consideration. The materials detailed, among other things, information about SSgA FM and its professional staff, SSgA FM’s historical performance in managing money market funds for its other clients, and information detailing SSgA FM’s investment experience and expertise in managing money market funds and in servicing institutional clients.

During a series of meetings prior to the Board Meeting, representatives of GEAM had explained and discussed with the Board the specific reasons why GEAM was recommending SSgA FM and responded to questions raised by the Board. The Board members posed questions to these representatives and engaged in substantive discussions.

In approving the Proposed Sub-Advisory Agreement with SSgA FM, the Board members considered those factors it deemed relevant, including the nature, quality and extent of services expected to be provided by SSgA FM. In its deliberations, the Board did not identify any single factor that was dispositive and each Board member may have attributed different weights to the various factors. The Board members evaluated this information and all other information made available to them by GEAM and SSgA FM, as well as the presentations and discussions that occurred at the Board Meeting.

The material factors and conclusions that formed the basis for the Board’s determinations to approve the Proposed Sub-Advisory Agreement with SSgA FM are as discussed below.

The Nature, Extent and Quality of Services Expected to be Provided.

The Board members reviewed the services expected to be provided to the Elfun Government Money Market Fund (the “Money Market Fund”) by SSgA FM. The Board

considered SSgA FM’s favorable attributes, including its substantial experience managing funds of this type, investment philosophy and discipline, experienced investment and trading personnel, systems and other resources, and favorable history and reputation.

In light of the foregoing, the Board concluded that the services expected to be provided by SSgA FM would be satisfactory and would have the potential to benefit the Money Market Fund.

Investment Performance of SSgA FM.

The Board members considered the investment performance of SSgA FM for various periods focusing on SSgA FM’s investment performance with respect to registered investment companies that have an investment objective similar to that of the Money Market Fund. The Board members reviewed detailed information provided by GEAM management and SSgA FM comparing SSgA FM’s performance to that of similarly managed accounts over these periods. The Board also engaged in detailed discussions with GEAM about SSgA FM’s investment processes, focusing on the number and experience of portfolio management and supporting research personnel and SSgA FM’s investment style and approach employed. The Board discussed the extent to which the expected investment style and approach would be consistent with GEAM’s articulated long-term approach and overall investment philosophy.

Taking these factors into consideration, the Board concluded the investment performance of SSgA FM to be satisfactory.

Cost of the Services to be Provided to the Fund.

The Board members considered the proposed fees that would be paid to SSgA FM by the Money Market Fund and the cost of the services that would be provided by SSgA FM to the Money Market Fund. The Board members also reviewed actual and pro forma information concerning the fees and expenses for the Money Market Fund if SSgA FM were to be retained as a sub-adviser. The Board considered that the proposed fees to be paid to SSgA FM by the Money Market Fund had been negotiated at arm’s-length, and that GEAM had used its influence with respect to the total assets it proposes to be managed by SSgA FM to obtain what it regards as a favorable and highly competitive fee arrangement. Given the arm’s-length nature of the negotiations, the Board did not

 

 

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examine the specific levels of profitability for SSgA FM with respect to the Money Market Fund at this time.

The Extent to Which Economies of Scale Would be Realized as the Fund Grows and Whether Fee Levels Would Reflect Such Economies of Scale.

The Board members considered and noted the limited economies of scale that unitholders would realize as the Money Market Fund grows and recognized that various economies of scale are already reflected in the very competitive sub-advisory fee rate for SSgA FM given the existing scale of the management of similar assets.

Comparison of Services to be Rendered and Fees to be Paid.

The Board discussed the services expected to be provided to the Money Market Fund by SSgA FM, and SSgA FM’s proposed fees to be charged to the Money Market Fund for those services. The Board members reviewed information regarding the proposed sub-advisory fees.

The Board concluded that based on this information, the proposed sub-advisory fees would be reasonable in relation to the services expected to be provided to the Money Market Fund.

Fall-Out Benefits.

The Board considered that there might be financial benefits that SSgA FM could derive from its relationship with GEAM and the Money Market Fund. The Board did not view this consideration as having a material effect on its overall view of the reasonableness of the proposed fees for the Money Market Fund.

Conclusion

No single factor was determinative to the Board’s decision. Based on their discussion and such other matters as were deemed relevant, the Board members concluded that the approval of the Proposed Sub-Advisory Agreement with SSgA FM was in the best interests of the Money Market Fund and its unitholders.

    

 

 

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Information about Trustees and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Trustees. Information pertaining to the Trustees and officers of the Funds is set forth below.

Interested Trustees and Executive Officers

 

 

Dmitri Stockton

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  51

Position(s) Held with Fund  Chairman of the Board and President

Term of Office and Length of Time Served  Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 Years  President and Chief Executive Officer of GEAM since May 2011; President and Chief Executive Officer of GE Capital’s Global Banking unit from January 2009 to April 2011; President and CEO of GE Money’s Central and Eastern European Banking Group from January 2005 to December 2008.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Director of Synchrony Financial since February 2014; Director of GEAM since May 2011; Member of the Board of GE Foundation since November 2009; Member of the Executive Advisory Council at North Carolina A&T State University School of Business and Economics since March 2011; Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since May 2011 and Member of the National Board of Directors of A Better Chance since January 2012.

 

 

George A. Bicher

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  57

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 Years  Chief Investment Officer – Emerging Markets Equities since February 2014; Chief Risk Officer of GEAM from March 2011 to February 2014; Senior Vice President and Portfolio Manager of GEAM from 2009 to 2011; Director of U.S. Equity Research and Portfolio Manager of GEAM from 2006 to 2009; U.S. equity research analyst of GEAM from 2002 to 2006.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust and Director of GEAM since March 2011.

 

JoonWon Choe

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  46

Position(s) Held with Fund  Assistant Secretary

Term of Office and Length of Time Served  Until successor is elected and qualified – 5 years

Principal Occupation(s) During Past 5 Years  Senior Vice President and Deputy General Counsel of GEAM since March 2011; Vice President and Secretary of GE Institutional Funds and GE Investments Funds, Inc. since September 2010; Vice President and Assistant Secretary of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since September 2010; Senior Vice President and Associate General Counsel of GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010; and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer  N/A

Other Directorships Held by Officer  N/A

 

 

Paul M. Colonna

 

Address  c/o GEAM, 1600 Summer St. Stamford, CT 06905

Age  47

Position Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years  President and Chief Investment Officer – Public Investments of GEAM since March 2012; President and Chief Investment Officer – Fixed Income Investments at GEAM from March 2007 to March 2012; Executive Vice President of GEAM from February 2007 to March 2007; Senior Vice President – Total Return Management of GEAM from March 2005 to March 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since February 2007; Director of GEAM since March 2007; and Director of GE Asset Management Limited since December 2007.

 

 

Gregory B. Hartch

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  46

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 Years  Chief Risk Officer of GEAM since February 2014; Executive Vice President and Strategy and Business Development Leader of GEAM from December 2011 to February 2014; Senior Vice President – Tactical Asset Allocation from 2010 to December 2011; Managing Director – International Real Estate from 2007 to 2010; and Director of Fixed Income Research from 2004 to 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since January 2012.

 

 

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Arthur A. Jensen

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  49

Position(s) Held with Fund  Treasurer

Term of Office and Length of Time Served  Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 Years  Treasurer of GE Institutional Funds, GE Investments Funds, Inc. and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010; and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer  N/A

Other Directorships Held by Officer  N/A

 

 

Jeanne M. La Porta

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  50

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years  Senior Vice President and Commercial Operations Leader at GEAM since March 2014; President of GE Institutional Funds and GE Investments Funds, Inc. since April 2014; President and Trustee of GEAM’s UCITs Funds since March 2014; Senior Vice President and Commercial Administrative Officer at GEAM from April 2010 to March 2014; Vice President of GE Investments Funds, Inc. and GE Institutional Funds since July 2003; Vice President of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and Elfun Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of GE Funds from September 2003 to July 2007 and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  24

Other Directorships Held by Trustee  Director of GE Investments Funds, Inc. since 2014; Trustee of GE Institutional Funds since 2014; Trustee of GE Retirement Savings Funds and General Electric Pension Trust since 2014; Director of GE Investment Distributors, Inc. since June 2011.

 

Ralph R. Layman

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  59

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 24 years

Principal Occupation(s) During Past 5 Years  Executive Vice President and Chief Investment Officer – Emeritus of GEAM since March 2012; President and Chief Investment Officer – Public Equity Investments of GEAM from June 2009 to March 2012; President – International Equities from March 2007 to July 2009; Executive Vice President – International Equity Investments of GEAM from 1992 to March 2007 and Senior Vice President International Investments from 1991 to 1992.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since 1993; Director of GE Asset Management Limited since September 2005 and Director of GEAM since July 2009.

 

 

Matthew J. Simpson

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  54

Position(s) Held with Fund  Trustee and Secretary

Term of Office and Length of Time Served  8 years

Principal Occupation(s) During Past 5 Years  Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  24

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since July 2007; Trustee of GE Institutional Funds since July 2007; Director of GE Investments Funds, Inc. and GEAM since July 2007; and Trustee of GE Funds from July 2007 to February 2011.

 

 

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Donald W. Torey

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  58

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 22 years

Principal Occupation(s) During Past 5 years  President and Chief Investment Officer – Alternative Investments of GEAM since March 2007; Executive Vice President of GEAM from 1997 to March 2007; Executive Vice President – Alternative Investments of GEIC from 1997 to March 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since 1993 and Director of GEAM since 1997.

 

 

David Wiederecht

 

Address  c/o GEAM, 1600 Summer St. Stamford, CT 06905

Age  59

Position Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 7 years

Principal Occupation(s) During Past 5 Years  President and Chief Investment Officer – Investment Solutions of GEAM since February 2008; Portfolio Manager – GE Institutional Funds since September 2010; Managing Director – Alternative Investments from 2004 to 2008; Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since 2008; Director of GEAM since August 2008 and Director of Edmunds Holding Company since 1999.

 

 

Matthew Zakrzewski

 

Address  c/o GEAM 1600 Summer St. Stamford, CT 06905

Age  55

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 3 years

Principal Occupation(s) During Past 5 Years  Executive Vice President and Chief Financial Officer of GEAM since August 2013; formerly, Chief Financial Officer for GE Ventures from 2012 to 2013 and Chief Financial Officer for GE Risk, Insurance and Corporate Financing from 2006 to 2012.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension Trust since September 2013 and Director of GEAM since September 2013.

    

 

 

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Portfolio Manager Biographies

 

The following sets forth biographical information for those individuals who are primarily responsible for managing the specified Fund’s investments. The portfolio managers may change from time to time.

David B. Carlson is Chief Investment Officer – U.S. Equities at GEAM. He manages the overall U.S. equity investments for GEAM. Mr. Carlson has served as the portfolio manager for Elfun Trusts since 1988. Mr. Carlson joined GEAM in 1982 as a securities analyst for investment operations. He became a Vice President for Mutual Fund Portfolios in 1987, a Senior Vice President in 1989 and an Executive Vice President in 2003.

Michael J. Caufield is a Senior Vice President of GEAM. He is the portfolio manager of the Elfun Tax-Exempt Income Fund and has served in that capacity since October 2000. Mr. Caufield joined GEAM in 1987 as Vice President, Manager of Fixed Income Research & Analysis and was promoted to Senior Vice President in 1994.

William M. Healey is a Senior Vice President and Chief Investment Officer – Core Fixed Income Investments of GEAM. He has served on the portfolio management team for the Elfun Income Fund since joining GEAM in 1996. Mr. Healey became Vice President in June 2001, Senior Vice President in January 2007 and Chief Investment Officer – Core Fixed Income Investments in April 2012. Prior to joining GEAM, Mr. Healey spent over 11 years in the fixed income group at MetLife.

Mark H. Johnson is a Senior Vice President and Chief Investment Officer – Insurance and Long Duration of GEAM. He has been a member of the portfolio management team for the Elfun Income Fund since 2007. Mr. Johnson joined GE in 1998 and GEAM as a Vice President and portfolio manager in 2002. He became Senior Vice President in September 2007 and Chief Investment Officer – Insurance and Long Duration in April 2012. Prior to joining GEAM, Mr. Johnson held positions at various insurance companies and public accounting firms.

Ralph R. Layman is an Executive Vice President, Chief Investment Officer Emeritus and a Director of GEAM. Mr. Layman has served as a portfolio manager of the

Elfun International Equity Fund since 1991. Mr. Layman joined GEAM in 1991 as a Senior Vice President for International Investments, became an Executive Vice

President in 1992, served as President – International Equities from March 2007 to July 2009, President and Chief Investment Officer – Public Equities from July 2009 to March 2012, and has served as Chief Investment Officer Emeritus since March 2012.

Jeffrey Palma is a Senior Vice President and Chief Market Strategist of GEAM, and a portfolio manager of the Elfun Diversified Fund. He became a member of the portfolio management team for the Elfun Diversified Fund in May 2013. Prior to joining GE Asset Management in 2012, Mr. Palma worked for UBS Investment Bank where he held a variety of global research and macro strategy roles supporting UBS’ global equities and fixed income businesses including Managing Director, Head of Global Equity Strategy rom 2007 to 2012, Executive Director, Global Asset Allocation Strategist from 2001 to 2007 and Director, U.S. Economist from 1999 to 2001.

Michael J. Solecki is a Senior Vice President and Chief Investment Officer – International Equities at GEAM. He has served as a portfolio manager of the Elfun International Equity Fund since August 1999. He joined GEAM in 1990 as an international equity analyst. He became a Vice President for international equity portfolios in 1996, Senior Vice President in 2000, Co-Chief Investment Officer – International Equities in March 2009 and Chief Investment Officer – International Equities in March 2012.

David Wiederecht is the President and Chief Investment Officer – Investment Solutions and a Director at GEAM. He has served as a portfolio manager to the Elfun Diversified Fund since January 2011. Mr. Wiederecht joined GEAM in 1988 and has held various positions at GEAM including Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004, Managing Director – Alternative Investments from 2004 to 2008, and President and Chief Investment Officer – Investment Solutions since 2008.

Todd N. Bean, CFA is a Vice President and Senior Portfolio Manager of State Street Global Advisors in the firm’s US Cash Management Group. Mr. Bean has served as portfolio manager of the Elfun Government Money Market Fund since September 2014. Mr. Bean began his career at State Street in 1999, joining the firm as an analyst in the firm’s custody and settlements area.

 

 

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Portfolio Manager Biographies  (continued)

 

Following a stint on the money markets operations staff, he joined the Cash Management Group in 2004.

Jeff A. St. Peters is a Managing Director of State Street Global Advisors and the head of U.S. Cash Management within the Global Cash Management division. Mr. St. Peters has served as portfolio manager of the Elfun Government Money Market Fund since September 2014. Mr. St. Peters manages a team of portfolio managers that focus on traditional money market and securities lending cash collateral funds. He is also a Senior Portfolio Manager responsible for several securities lending, enhanced cash, offshore, and SSgA’s registered money market portfolios for both retail and institutional clients. Mr. St. Peters has been managing short duration cash and securities lending portfolios at SSgA for over 12 years. He is a member of SSgA’s Senior Leadership Team.

Prior to joining SSgA, Jeff was employed nearly 9 years with Fidelity Investments, the latter years within the Fidelity Management and Research Company, where he worked as a trader within the Money Market area of the Fixed Income division. In addition, he held several positions within Fidelity’s Investment Technology area, where he assisted in designing and implementing an internal proprietary trading system.

    

 

 

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Portfolio Managers

Elfun International Equity Fund

Ralph R. Layman

Michael J. Solecki

Elfun Trusts

David B. Carlson

Elfun Diversified Fund

David Wiederecht

Jeffrey Palma

Elfun Tax-Exempt Income Fund

Michael Caufield

Elfun Income Fund

William M. Healey

Mark H. Johnson

Elfun Government Money Market Fund

SSGA Funds Management, Inc.

Investment Adviser

GE Asset Management Incorporated

Independent Registered Public Accounting Firm

KPMG LLP

Custodian

State Street Bank & Trust Company

Unitholder Servicing Agent

Address all inquiries to:

Elfun Mutual Funds

c/o U.S. Bancorp Fund Services, LLC

P.O. Box 701

Milwaukee, WI 53201-0701

 

 

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Online Service

Your Elfun Mutual Fund accounts can now be accessed on the Internet at www.geam.com.

Here are some of the online services:

 

  View account balance and transaction history

 

  Make exchanges

 

  Redeem shares

 

  Purchase shares
  View and order tax forms

 

  View quarterly statements

 

  Change address

 

  Re-order money market checks
 

Telephone Service

Our GE Mutual Funds Shareholder Service Associates are available Monday to Friday from 9:00 AM to 8:00 PM Eastern Standard Time. Call toll-free, 1-800-242-0134, for assistance.

Automated Voice Response System

You can also access your account anytime during the day, 7 days a week by dialing 1-800-242-0134. Simply follow the menu to obtain information or make certain transactions.

Contact Us By Mail

If you’d like to write to us, address your inquiries regarding your account(s) to:

Elfun Mutual Funds

c/o U.S. Bancorp Fund Services, LLC

P.O. Box 701

Milwaukee, WI 53201-0701

 

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M O R N I N G S T A R  R A T I N G S TM  Through December 31, 2015

 

FUND (CATEGORY)   NUMBER OF
FUNDS IN CATEGORY
     STAR
RATING
Elfun International Equity (Foreign Large Blend)
Overall   891         

3 year

  772         

5 year

  699         

10 year

  529        
Elfun Trusts (Large Growth)
Overall   1,779          

3 year

  1,702         

5 year

  1,547          

10 year

  1,330         
Elfun Diversified (Moderate Allocation)
Overall   993         

3 year

  933         

5 year

  834         

10 year

  670       
Elfun Tax-Exempt Income (Muni National Long)
Overall   210          

3 year

  190         

5 year

  190         

10 year

  180          
Elfun Income (Intermediate-Term Bond)
Overall   1,107          

3 year

  1,040          

5 year

  990          

10 year

  860        

 

 

Morningstar is an independent fund rating company that seeks to provide a non-biased rating system used in making investment decisions. A fund is rated in its broad asset class on a scale of one to five stars through the evaluation of the historical balance of risk and return after 3 years of performance.

Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top ten percent of the funds in each category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The ratings are subject to change every month. The overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten year (if applicable) Morningstar Rating metrics.

Investment return and principal value of an investment will fluctuate and you may have a gain or loss when you sell your shares. Returns assume changes in share price and reinvestment of dividends and capital gains.

Past performance is no guarantee of future results.

 

This does not constitute a part of the Funds’ Shareholder Report


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Elfun Funds

c/o U.S. Bancorp Fund Services, Ltd.

PO Box 701

Milwaukee, WI 53201-0701

Distributor

GE Investment Distributors Inc.

Member FINRA and SIPC

1600 Summer Street

PO Box 7900

Stamford, CT 06904-7900

 

PRSRT STD

U.S. POSTAGE

PAID

Permit No. 1793
Lancaster, PA

 

 

The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds’ website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC — information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 


 

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Item 2. Code of Ethics.

The Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR and is included in the following link:

https://www.geam.com/ExternalWar/common/docs/pdf/Spirit_Letter.pdf

There have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition set forth in paragraph (b) of Item 2 of Form N-CSR during the period covered by this report.

 

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has determined that Matthew Zakrzewski and Donald W. Torey are designated as the audit committee financial experts for the Registrant; and further that it is the finding of the Board of Trustees that Messrs. Zakrzewski and Torey qualify as audit committee financial experts and are deemed to be “interested persons” of the Registrant as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

 

Item 4. Principal Accountant Fees and Services.

(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods were $20,400 in 2014 and $20,800 in 2015.

(b) AUDIT RELATED FEES. There were no fees billed by the Auditor for assurance and related services that were related to the performance of the audit of the Registrant during the Reporting Periods.

(c) TAX FEES. There were no fees billed for professional services rendered by the Auditor for tax compliance, tax advice or tax planning for the Registrant during the Reporting Periods.

(d) ALL OTHER FEES. There were no fees billed for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item for the Registrant during the Reporting Periods.


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(e)(1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.

The Audit Committee of the Elfun Funds (the “Funds”) Board of Trustees is responsible for, among other things, the appointment, compensation and oversight of the work of the Funds’ Auditor. As part of this responsibility and to ensure that the Auditor’s independence is not impaired, the Audit Committee (1) pre-approves the audit and non-audit services provided to the Funds by the Auditor, and (2) all non-audit services provided to the Funds’ investment adviser and Covered Affiliates (as defined in the Audit Committee Charter) that provide ongoing services to the Funds if the services directly impact the Funds’ operations or financial reporting, in accordance with the Audit Committee Charter. The following excerpt from the Audit Committee Charter sets forth the pre-approval policies and procedures:

Pre-Approval of Audit Related Services and Permissible Non-Audit Services. The Audit Committee shall pre-approve both audit (including audit, review, and attest) services and permissible non-audit services provided to the Fund and, if the nature of the engagement relates directly to the operations and financial reporting of the Fund, permissible non-audit services provided to any Covered Affiliate.

The Audit Committee may determine to delegate the authority to grant pre-approvals to one or more Audit Committee members, each acting on behalf of the Audit Committee. In this event, the member of the Audit Committee so delegated shall report each delegated pre-approval to the Audit Committee at its next regularly scheduled meeting. The Audit Committee may also adopt and follow, in lieu of explicit pre-approval described above, written policies and procedures detailed as to the particular service, designed to safeguard the continued independence of the Auditor, consistent with the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”), and SEC regulations there under.

Notwithstanding the foregoing, the pre-approval requirement concerning permissible non-audit services provided to the Fund or any Covered Affiliate is waived if: (1) the aggregate amount of all such non-audit services provided constitutes no more than five percent (5%) of the total amount of revenues paid to the Auditor by the Fund and the Covered Affiliates during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee, (2) the non-audit services were not recognized as non-audit services at the time of the engagement, and (3) such non-audit services are promptly brought to the attention of the Audit Committee and approved by the Audit Committee or one or more designated members of the Audit Committee prior to the completion of the audit.

(2) PERCENTAGE OF SERVICES DESCRIBED IN PARAGRAPHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during the Reporting Periods for audit related, tax or other services as indicated in sections (b) through (d) of this Item.


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(f) Not applicable.

(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the Registrant’s adviser (“Service Affiliates”), for the Reporting Periods were $0 in 2014 and $0 in 2015.

(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to Service Affiliates during the Reporting Periods that were not pre-approved.

 

Item 5. Audit Committee of Listed Registrants.

Applicable only to Closed-End Management Investment Companies.

 

Item 6. Schedule of Investments.

(a) Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Applicable only to Closed-End Management Investment Companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Applicable only to Closed-End Management Investment Companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Applicable only to Closed-End Management Investment Companies.

 

Item 10. Submission of Matters to a Vote of Security Holders.

During the reporting period, there have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.

 

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective as of a date within 90 days of the filing date of the report included in Item 1 of this Form N-CSR, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.


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(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this Form N-CSR that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

(a)(1) The Code of Ethics that applies to the Registrant’s principal executive officer and principal financial officer is attached hereto.

(a)(2) The certifications required by Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002, are attached hereto.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the below Registrants have duly caused each report to be signed on their behalf by the undersigned, thereunto duly authorized.

 

Elfun International Equity Fund
Elfun Trusts
Elfun Diversified Fund
Elfun Tax-Exempt Income Fund
Elfun Income Fund
Elfun Government Money Market Fund
By:  

/s/ Dmitri L. Stockton

  Dmitri L. Stockton
  Trustee, President and Chief Executive Officer
  GE Asset Management Incorporated
Date: February 18, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each report has been signed below by the following persons on behalf of the Registrants and in the capacities and on the dates indicated.

 

By:  

/s/ Dmitri L. Stockton

  Dmitri L. Stockton
  Trustee, President and Chief Executive Officer
  GE Asset Management Incorporated
Date: February 18, 2016
By:  

/s/ Arthur A. Jensen

  Arthur A. Jensen
  Treasurer, Elfun Funds
Date: February 18, 2016