N-Q 1 d231999dnq.htm FORM N-Q - ELFUN TAX EXEMPT INCOME FUND Form N-Q - Elfun Tax Exempt Income Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number

811-02735

 

 

ELFUN TAX-EXEMPT INCOME FUND

(Exact name of registrant as specified in charter)

 

 

STATE STREET FINANCIAL CENTER

ONE LINCOLN STREET

P.O. BOX 5049

BOSTON, MASSACHUSETTS 02111

(Address of principal executive offices) (Zip code)

 

(Name and Address of Agent for Service)

Joshua A. Weinberg, Esq.

Vice President and Managing Counsel

SSGA Funds Management, Inc.

One Lincoln Street

Boston, MA 02111

  

Copy to:

Timothy W. Diggins, Esq.

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199-3600

Registrant’s telephone number, including area code: (617) 664-7037

 

 

Date of fiscal year end: December 31

Date of reporting period: June 30, 2016

 

 

 

Item 1. Schedule of Investments

Elfun Tax-Exempt Income Fund

Schedule of Investments—June 30, 2016 (Unaudited)

 

Municipal Bonds and Notes—99.0% †

           Principal
Amount		      Fair Value  

Alaska—0.2%

         

Alaska Housing Finance Corp.

         

5.00%

      12/01/27       $ 2,500,000       $ 2,969,175   

Arizona—2.0%

         

City of Phoenix

         

5.00%

      07/01/19         5,000,000         5,216,000   

McAllister Academic Village LLC

         

5.00%

      07/01/38 - 07/01/39         4,270,000         5,239,582 (a) 

Phoenix Civic Improvement Corp. (NPFG Insured)

         

5.50%

      07/01/23 - 07/01/24         7,260,000         9,378,347 (b) 

Salt River Project Agricultural Improvement & Power District

         

5.00%

      12/01/21         10,000,000         11,723,300   

University Medical Center Corp.

         

6.50%

      07/01/39         1,000,000         1,166,240 (c) 
           32,723,469   

Arkansas—0.1%

         

University of Arkansas

         

5.00%

      11/01/46         1,250,000         1,557,125   

California—12.5%

         

Alameda Corridor Transportation Authority (AGMC Insured)

         

4.00%

      10/01/37         750,000         831,000 (b) 

California Educational Facilities Authority

         

5.00%

      10/01/32         5,255,000         7,413,334   

5.25%

      10/01/39         6,000,000         6,579,240   

6.13%

      10/01/36         1,500,000         1,841,265   

California Health Facilities Financing Authority

         

5.50%

      08/15/26         5,000,000         5,941,150   

6.00%

      07/01/39         5,000,000         5,748,050   

6.50%

      10/01/33         3,500,000         3,956,260 (c) 

California State Department of Water Resources

         

5.00%

      05/01/21 - 12/01/29         14,735,000         18,259,043   

California State Public Works Board

         

5.00%

      10/01/28         1,500,000         1,782,540   

5.13%

      10/01/31         2,000,000         2,364,840   

5.25%

      09/01/29         10,160,000         12,625,730   

6.00%

      04/01/26         8,475,000         9,667,687   

California State University

         

4.00%

      11/01/45         5,900,000         6,726,826   

Coast Community College District

         

5.00%

      08/01/33         1,260,000         1,586,378   

Coast Community College District (AGMC Insured)

         

5.00%

      08/01/33         8,750,000         9,538,725 (b,c) 

Kaweah Delta Health Care District

         

4.00%

      06/01/45         2,500,000         2,728,725   

Los Angeles Department of Water & Power

         

4.00%

      07/01/46         5,710,000         6,491,299   

5.00%

      07/01/42         3,750,000         4,669,987   

5.00%

      07/01/46         5,000,000         6,207,250   

Los Angeles Harbor Department

         

5.00%

      08/01/26         8,000,000         8,998,560   

Metropolitan Water District of Southern California

         

5.00%

      07/01/35         5,000,000         5,000,000   

San Diego Community College District

         

5.00%

      08/01/41         10,000,000         11,723,600   

San Diego County Water Authority Financing Corp.

         

5.00%

      05/01/38         10,000,000         12,570,900   

State of California

         

5.00%

      02/01/31 - 09/01/45         20,720,000         25,024,847   

5.25%

      04/01/35 - 11/01/40         12,750,000         15,098,495   

University of California

         

5.00%

      05/15/38         4,000,000         4,862,560   

University of California (AMBAC Insured)

         

5.00%

      05/15/34         2,225,000         2,226,068 (b) 
           200,464,359   

Colorado—1.7%

         

Metro Wastewater Reclamation District

         

5.00%

      04/01/27         1,730,000         2,105,116   

Regional Transportation District

         

4.25%

      11/01/36         3,405,000         4,394,016   

5.00%

      11/01/27 - 11/01/29         13,760,000         17,833,367   

5.38%

      06/01/31         2,500,000         2,856,650   
           27,189,149   

Connecticut—5.1%

         

Connecticut State Health & Educational Facility Authority

         

5.00%

      07/01/40 - 07/01/46         13,275,000         15,480,273   

South Central Connecticut Regional Water Authority

         

5.00%

      08/01/27 - 08/01/37         3,695,000         4,570,753   

State of Connecticut

         

5.00%

      01/01/22 - 05/15/27         15,600,000         18,935,742   

State of Connecticut Special Tax Revenue

         

5.00%

      11/01/26 - 09/01/34         35,250,000         42,151,060   

Town of Fairfield

         

5.00%

      08/01/21         1,000,000         1,198,330   
           82,336,158   

Delaware—1.5%

         

County of New Castle

         

5.00%

      07/15/33 - 07/15/39         10,000,000         10,882,200 (c) 

Delaware State Health Facilities Authority

         

5.00%

      10/01/40         6,300,000         7,179,354   

Delaware Transportation Authority

         

5.00%

      06/01/45         4,000,000         4,861,280   

State of Delaware

         

5.00%

      07/01/28         1,000,000         1,155,920   
           24,078,754   

District of Columbia—2.8%

         

District of Columbia

         

5.00%

      06/01/38         3,000,000         3,689,280   

5.50%

      04/01/36         15,000,000         16,404,600   

District of Columbia Water & Sewer Authority

         

5.00%

      10/01/39         15,000,000         18,603,000   

5.25%

      10/01/29         5,000,000         5,507,350 (c) 
           44,204,230   

Florida—0.9%

         

Brevard County Health Facilities Authority

         

7.00%

      04/01/39         1,000,000         1,169,830 (c) 

City of Tampa Water & Wastewater System Revenue

         

5.00%

      10/01/27         8,560,000         10,191,451   

County of Miami-Dade Public Facilities Revenue

         

4.00%

      06/01/34 - 06/01/36         3,470,000         3,798,867   
           15,160,148   

Georgia—7.2%

         

Athens-Clarke County Unified Government Development Authority

         

5.00%

      06/15/31         6,050,000         6,550,819 (c) 

Athens-Clarke County Unified Government Water & Sewerage Revenue

         

5.50%

      01/01/38         7,000,000         7,826,630 (c) 

Atlanta Development Authority

         

5.25%

      07/01/40         8,925,000         11,059,592   

City of Atlanta Department of Aviation

         

5.00%

      01/01/25 - 01/01/34         18,500,000         21,904,190   

City of Atlanta Water & Wastewater Revenue

         

5.25%

      11/01/30         5,690,000         7,074,548   

6.25%

      11/01/39         10,000,000         11,792,500 (c) 

City of Atlanta Water & Wastewater Revenue (AGMC Insured)

         

5.75%

      11/01/27 - 11/01/30         9,500,000         13,605,485 (b) 

DeKalb Newton & Gwinnett Counties Joint Development Authority

         

6.00%

      07/01/34         8,500,000         9,704,025   

Municipal Electric Authority of Georgia

         

5.00%

      01/01/35         5,500,000         6,676,670   

5.25%

      01/01/19         2,490,000         2,761,559   

State of Georgia

         

4.00%

      07/01/32         3,350,000         3,792,904   

4.50%

      01/01/29         3,000,000         3,254,880   

5.00%

      08/01/22         7,000,000         7,333,200 (c) 

5.00%

      01/01/26         2,250,000         2,480,985   
           115,817,987   

Hawaii—1.9%

         

City & County of Honolulu

         

5.00%

      04/01/33         10,000,000         11,157,400 (c) 

State of Hawaii Airports System Revenue

         

5.25%

      07/01/24         15,800,000         18,451,398   
     29,608,798   

Idaho—0.3%

         

Idaho Health Facilities Authority

         

6.75%

      11/01/37         4,000,000         4,516,080   

Illinois—2.8%

         

City of Chicago O’Hare International Airport Revenue

         

5.00%

      01/01/46         1,000,000         1,186,730   

5.63%

      01/01/35         5,000,000         5,848,900   

5.75%

      01/01/39         11,500,000         13,530,670   

Illinois State Toll Highway Authority

         

5.00%

      12/01/32         8,050,000         10,001,481   

Metropolitan Pier & Exposition Authority (NPFG Insured)

         

5.40%

      06/15/19         1,065,000         1,123,831 (b,c) 

5.40%

      06/15/19         2,935,000         3,086,798 (b) 

5.65%

      06/15/22         375,000         449,430 (b,d) 

5.65%

      06/15/22         3,930,000         4,427,813 (b) 

Southwestern Illinois Development Authority (NPFG Insured)

         

5.00%

      10/01/21         4,000,000         4,724,480 (b) 
     44,380,133   

Indiana—0.7%

         

Indiana Municipal Power Agency

         

5.50%

      01/01/27         2,500,000         2,795,225 (c) 

Indianapolis Local Public Improvement Bond Bank

         

5.75%

      01/01/38         7,000,000         7,765,030   
     10,560,255   

Kentucky—2.1%

         

Kentucky State Property & Building Commission

         

5.00%

      02/01/33 - 02/01/34         4,180,000         5,067,169   

Kentucky State Property & Building Commission (AGC Insured)

         

5.25%

      02/01/27         9,450,000         10,540,435 (b,c) 

5.25%

      02/01/27         1,215,000         1,339,781 (b) 

Louisville & Jefferson County Metropolitan Sewer District

         

5.00%

      05/15/30         14,340,000         16,914,604   
     33,861,989   

Louisiana—1.2%

         

City of New Orleans Sewerage Service Revenue

         

5.00%

    06/01/44 - 06/01/45      5,900,000         6,953,074   

Louisiana Public Facilities Authority

         

5.00%

    05/15/47      1,000,000         1,194,050   

State of Louisiana

         

5.00%

    09/01/19      10,050,000         11,341,324 (d) 
     19,488,448   

Maine—0.3%

         

Maine Health & Higher Educational Facilities Authority

         

5.25%

    07/01/21      315,000         368,727 (c) 

5.25%

    07/01/21      1,475,000         1,713,080   

Maine Turnpike Authority

         

5.00%

    07/01/42      1,000,000         1,180,820   

6.00%

    07/01/34      1,250,000         1,445,438 (c) 
     4,708,065   

Maryland—2.6%

         

City of Baltimore

         

5.00%

    07/01/38      9,375,000         11,270,813   

County of Prince George’s

         

5.00%

    09/15/24 - 09/15/25      8,790,000         10,526,902   

Maryland Economic Development Corp.

         

5.75%

    06/01/35      3,000,000         3,348,480   

Maryland Health & Higher Educational Facilities Authority

         

5.00%

    07/01/34 - 08/15/41      3,300,000         3,698,433   

State of Maryland

         

5.00%

    11/01/18      4,000,000         4,399,880   

Washington Suburban Sanitary Commission

         

4.50%

    06/01/26      8,470,000         9,093,985 (c) 
     42,338,493   

Massachusetts—6.0%

         

Commonwealth of Massachusetts

         

5.00%

    06/15/27      14,000,000         17,872,120   

Massachusetts Department of Transportation

         

5.00%

    01/01/37      10,000,000         11,162,800   

Massachusetts Health & Educational Facilities Authority

         

5.00%

    07/01/34      10,000,000         11,211,600   

5.50%

    11/15/36      4,000,000         4,454,280   

5.75%

    07/01/39      5,000,000         5,637,050 (c) 

Massachusetts School Building Authority

         

5.00%

    08/15/28      5,000,000         6,096,000   

Massachusetts Water Resources Authority

         

5.00%

    08/01/32 - 08/01/41      17,140,000         21,265,296   

6.50%

    07/15/19      8,160,000         8,697,173 (d) 

University of Massachusetts Building Authority

         

5.00%

    11/01/31      7,450,000         9,494,131   
     95,890,450   

Michigan—1.1%

         

Lansing Board of Water & Light

         

5.00%

    07/01/37      3,500,000         4,003,055   

State of Michigan (AGMC Insured)

         

5.25%

    09/15/27      5,000,000         5,230,850 (b) 

State of Michigan Trunk Line Revenue

         

5.50%

    11/01/18      6,000,000         6,651,120   

University of Michigan Revenue

         

5.00%

    04/01/46      1,000,000         1,250,120   
     17,135,145   

Minnesota—0.1%

         

Saint Cloud Health Care Revenue

         

5.00%

    05/01/46      1,000,000         1,223,770   

Missouri—1.8%

         

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

         

5.00%

      10/01/44         8,010,000         9,453,242   

Health & Educational Facilities Authority of the State of Missouri

         

4.00%

      11/15/42 - 01/01/50         6,000,000         6,612,250   

Kansas City Sanitary Sewer System Revenue

         

4.00%

      01/01/40         1,725,000         1,937,175   

Metropolitan St. Louis Sewer District

         

5.00%

      05/01/45         1,500,000         1,856,670   

Missouri Highway & Transportation Commission

         

5.00%

      05/01/21         4,610,000         5,323,674   

Missouri Joint Municipal Electric Utility Commission

         

5.00%

      01/01/34         1,950,000         2,314,591   

Missouri State Environmental Improvement & Energy Resources Authority

         

5.00%

      01/01/24         525,000         526,586   
     28,024,188   

Nebraska—0.7%

         

Omaha Public Power District

         

4.00%

      02/01/34 - 02/01/36         10,250,000         11,461,222   
     11,461,222   

New Jersey—5.6%

         

New Jersey Economic Development Authority

         

5.25%

      06/15/40         4,000,000         4,543,240   

5.50%

      12/15/29         5,000,000         5,480,900   

New Jersey Educational Facilities Authority

         

4.00%

      07/01/34         500,000         561,685   

6.00%

      12/01/17         10,000,000         10,482,900 (d) 

New Jersey Health Care Facilities Financing Authority

         

4.00%

      07/01/41         6,200,000         6,742,748   

5.00%

      07/01/39         1,500,000         1,795,860   

New Jersey Health Care Facilities Financing Authority (AGMC Insured)

         

4.13%

      07/01/38         6,215,000         6,875,654 (b) 

New Jersey Higher Education Student Assistance Authority

         

5.63%

      06/01/30         7,500,000         8,236,125   

New Jersey State Turnpike Authority

         

5.00%

      01/01/33 - 01/01/45         21,000,000         25,285,130   

5.25%

      01/01/40         10,000,000         11,067,100   

New Jersey Transportation Trust Fund Authority

         

5.00%

      06/15/45         2,250,000         2,514,488   

5.25%

      06/15/36         5,000,000         5,554,250   
     89,140,080   

New Mexico—1.4%

         

New Mexico Finance Authority

         

5.00%

      06/15/18 - 06/15/23         9,200,000         10,275,320   

5.00%

      12/15/26         12,000,000         12,237,840 (c) 
     22,513,160   

New York—9.0%

         

Dutchess County Local Development Corp.

         

4.00%

      07/01/41         3,000,000         3,284,520 (a) 

Long Island Power Authority

         

6.00%

      05/01/33         7,500,000         8,607,750 (c) 

Metropolitan Transportation Authority

         

5.00%

      11/15/29 - 11/15/41         13,750,000         16,861,573   

New York City Transitional Finance Authority Building Aid Revenue

         

5.50%

      07/15/31         10,000,000         10,965,600   

New York City Transitional Finance Authority Future Tax Secured Revenue

         

5.00%

      11/01/21 - 02/01/41         25,000,000         29,738,750   

New York Liberty Development Corp.

         

5.00%

      11/15/44         5,000,000         5,797,050   

5.13%

      01/15/44         10,000,000         11,328,500   

New York State Dormitory Authority

         

4.00%

      07/01/40         1,000,000         1,117,770   

5.00%

      03/15/36 - 10/01/45         15,000,000         20,198,000   

5.50%

      05/01/37         2,500,000         2,830,650 (c) 

6.00%

      07/01/40         2,000,000         2,405,460 (c) 

New York State Thruway Authority

         

5.00%

      05/01/19         6,000,000         6,690,360   

New York State Urban Development Corp.

         

5.50%

      01/01/19         9,000,000         10,051,020   

Triborough Bridge & Tunnel Authority

         

5.00%

      11/15/26         6,170,000         6,781,755 (c) 

5.00%

      11/15/26         3,830,000         4,214,494   

Westchester County Healthcare Corp.

         

6.13%

      11/01/37         2,220,000         2,710,309 (c) 

6.13%

      11/01/37         280,000         327,684   
     143,911,245   

North Carolina—1.4%

         

Cape Fear Public Utility Authority

         

4.00%

      08/01/33         1,800,000         2,128,644   

City of Charlotte

         

5.00%

      06/01/23         4,320,000         4,999,536   

City of Charlotte Water & Sewer System Revenue

         

5.00%

      07/01/38         5,000,000         5,381,000   

North Carolina Eastern Municipal Power Agency

         

5.00%

      01/01/26         5,000,000         5,522,450 (c) 

State of North Carolina

         

4.75%

      05/01/30         4,130,000         4,660,829   
     22,692,459   

Ohio—4.4%

         

American Municipal Power Inc.

         

5.00%

      02/15/38         4,705,000         5,030,304 (c) 

5.00%

      02/15/38         295,000         311,779   

City of Cincinnati Water System Revenue

         

5.00%

      12/01/36         2,500,000         2,955,275   

City of Columbus

         

5.00%

      07/01/26         15,130,000         19,029,455 (c) 

5.00%

      08/15/29 - 08/15/30         2,925,000         3,643,923   

City of Columbus Sewerage Revenue

         

4.50%

      06/01/32         700,000         738,178 (c) 

4.75%

      06/01/31         5,000,000         5,290,100 (c) 

Cuyahoga Community College District

         

5.00%

      08/01/26         1,800,000         2,065,500 (c) 

Northeast Ohio Regional Sewer District

         

5.00%

      11/15/38         12,000,000         14,449,680   

Ohio Higher Educational Facility Commission

         

6.25%

      05/01/38         5,000,000         5,639,750 (c) 

Ohio State Turnpike Commission

         

5.25%

      02/15/39         6,000,000         7,201,380   

University of Cincinnati

         

5.00%

      06/01/46         4,000,000         4,923,600   
     71,278,924   

Oklahoma—0.6%

         

Oklahoma Capital Improvement Authority

         

5.00%

      07/01/28 - 07/01/29         5,000,000         6,211,260   

Oklahoma Turnpike Authority

         

5.00%

      01/01/28         3,500,000         4,069,205   
     10,280,465   

Oregon—0.1%

         

Eugene Water Revenue

         

4.00%

      08/01/45         1,850,000         2,127,630   

Pennsylvania—3.4%

         

City of Philadelphia Water & Wastewater Revenue

         

5.00%

      01/01/36         8,000,000         9,120,800   

Delaware River Port Authority

         

5.00%

      01/01/29         5,000,000         6,147,350   

Pennsylvania State University

         

5.00%

      09/01/41         1,200,000         1,502,952   

Pennsylvania Turnpike Commission

         

5.00%

      06/01/29         10,000,000         11,221,100 (c) 

5.00%

      12/01/32         1,500,000         1,740,180   

5.25%

      06/01/39         615,000         693,554 (c) 

5.25%

      06/01/39         8,885,000         9,787,805   

6.00%

      12/01/34         1,720,000         2,094,478 (c) 

6.00%

      12/01/34         10,280,000         12,306,702   
     54,614,921   

Rhode Island—0.3%

         

Rhode Island Health & Educational Building Corp.

         

6.25%

      09/15/34         1,300,000         1,447,563   

6.50%

      09/15/28         1,000,000         1,121,480   

Rhode Island Infrastructure Bank Water Pollution Control Revenue

         

5.00%

      10/01/28         2,200,000         2,820,224   
     5,389,267   

South Carolina—2.5%

         

Piedmont Municipal Power Agency

         

5.00%

      01/01/25         2,315,000         2,729,478   

Piedmont Municipal Power Agency (AGC Insured)

         

5.75%

      01/01/34         5,500,000         6,566,340 (b) 

South Carolina State Public Service Authority

         

5.00%

      12/01/37 - 12/01/38         12,000,000         14,599,380   

5.50%

      01/01/38         14,970,000         16,737,807 (c) 
     40,633,005   

Tennessee—1.7%

         

County of Shelby

         

5.00%

      03/01/21         3,500,000         4,018,560   

Metropolitan Government of Nashville & Davidson County

         

5.00%

      05/15/25         10,000,000         10,375,200 (c) 

State of Tennessee

         

5.00%

      05/01/19         1,000,000         1,079,680 (c) 

Tennessee State School Bond Authority

         

5.00%

      11/01/40         10,000,000         12,395,000   
     27,868,440   

Texas—10.7%

         

City of Austin Water & Wastewater System Revenue

         

5.00%

      11/15/42 - 11/15/45         18,595,000         22,343,232   

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

         

5.50%

      11/15/16         5,450,000         5,547,991 (b) 

City of Houston Utility System Revenue

         

5.00%

      05/15/28 - 11/15/36         20,470,000         25,093,431   

5.25%

      11/15/30 - 11/15/31         12,000,000         14,099,380   

County of Harris Rev., Series 2016 A,

         

5.00%

      08/15/41         3,000,000         3,734,910 (a) 

Dallas Area Rapid Transit

         

5.00%

      12/01/41         13,160,000         16,261,549   

Dallas/Fort Worth International Airport

         

5.25%

      11/01/29         5,000,000         6,220,550   

Harris County-Houston Sports Authority

         

5.00%

      11/15/30         2,000,000         2,427,080   

North Texas Tollway Authority

         

5.00%

      09/01/31 - 01/01/39         4,500,000         5,331,265   

5.75%

      01/01/38 - 01/01/40         16,470,000         17,716,556 (c) 

5.75%

      01/01/40         3,775,000         4,061,598 (c) 

5.75%

      01/01/40         1,230,000         1,318,240   

6.00%

      01/01/38         5,000,000         5,924,850   

Tarrant Regional Water District

         

5.00%

      03/01/29         12,500,000         15,680,125   

Texas Transportation Commission State Highway Fund

         

5.00%

      04/01/23         9,750,000         12,090,585   

The University of Texas System

         

5.00%

      08/15/26         10,000,000         13,271,200   
     171,122,542   

Utah—1.2%

         

County of Utah Transportation Sales Tax Revenue (AGMC Insured)

  

      

4.00%

      12/01/37         5,000,000         5,498,850 (b) 

Utah State Board of Regents

         

5.00%

      11/01/30         4,000,000         4,621,440   

Utah Transit Authority

         

5.00%

      06/15/42         7,500,000         8,786,625   
     18,906,915   

Virginia—1.1%

         

County of Henrico Water & Sewer Revenue

         

5.00%

      05/01/46         2,530,000         3,185,574   

Virginia Resources Authority

         

4.00%

      11/01/41         5,585,000         6,397,394   

5.00%

      11/01/46         1,720,000         2,171,448   

5.25%

      11/01/38         2,390,000         2,637,986 (c) 

5.25%

      11/01/38         2,610,000         2,860,508   
     17,252,910   

Total Municipal Bonds and Notes
(Cost $1,442,774,473)

   

      1,587,429,553   

Short-Term Investments—1.0%

         

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

  

      15,948,448 (e,f) 

0.29%

  

   

(Cost $15,948,448)

  

   

Total Investments
(Cost $1,458,722,921)

   

      1,603,378,001   

Liabilities in Excess of Other Assets, net—(0.0)% *

  

      (616,563 ) 
        

 

 

  

NET ASSETS—100.0%

  

    $ 1,602,761,438   
        

 

 

  

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 Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (TBA) in the future.

 

(b) The security is insured by AGC, AGMC, AMBAC, or NPFG. The Elfun Tax-Exempt Fund had no insurance concentrations of 6% or greater as of June 30, 2016 (as a percentage of net assets).

 

(c) 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.

 

(d) 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.

 

(e) Coupon amount represents effective yield.

 

(f) Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, effective July 1, 2016, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

 

† Percentages are based on net assets as of June 30, 2016.

 

* Less than 0.05%.

Abbreviations:

 

AGC    Assured Guaranty Corporation
AGMC    Assured Guaranty Municipal Company
AMBAC    American Municipal Bond Assurance Corporation
NPFG    National Public Finance Guaranty Corporation
TBA    To Be Announced

Notes to Financial Statements

Security Valuation

The Fund utilizes various methods to measure the fair value of most of its 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. The investment adviser performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

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. During the period ended June 30, 2016, the Fund invested in futures contracts on bonds and notes to manage duration of fixed income securities. Buying futures tends to increase the Fund’s exposure to the underlying instrument while selling futures tends to decrease the Fund’s exposure to the underlying instrument, or hedge other Fund investments. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The 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, the 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 the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Fair Value Measurement

The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

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. Thus, certain securities may not be priced using quoted prices, 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 Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.

The 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 Fund has 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 Fund’s Board of Directors 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 the investment adviser. 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.

Fair value determinations generally are used for securities whose value is affected by a significant event 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 the 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 the Fund could sell a portfolio security for the value established for it at any time and it is possible that the 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 Fund uses 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 table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2016:

 

Investments

    Level 1      Level 2      Level 3      Total  

Investments in Securities†

            

Municipal Bonds and Notes

    $ —         $ 1,587,429,553       $ —         $ 1,587,429,553   

Short-Term Investments

      15,948,448         —           —           15,948,448   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 15,948,448       $ 1,587,429,553       $ —         $ 1,603,378,001   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

† See Schedule of Investments for Industry Classification.

There were no transfers between fair value levels during the period. Transfers between fair value levels are considered to occur at the beginning of the period.

Income Taxes

At June 30, 2016, information on the tax cost of investments was as follows:

 

Cost of Investments for
Tax Purposes		     Gross Tax Appreciation     Gross Tax Depreciation     Net Tax Appreciation/
(Depreciation)		  
$ 1,458,766,598      $ 144,926,347      $ (314,944 )    $ 144,611,403   

Investment Adviser and Administrator

Effective July 1, 2016, SSGA Funds Management, Inc. became the investment adviser and administrator to the Fund. Prior to July 1, 2016, GE Asset Management Incorporated served as the adviser and administrator to the Fund.

ITEM 2. 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 Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))), are effective as of a date within 90 days prior to the filing date of this report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(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 (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

Separate certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached: EX-99 CERT

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Elfun Tax-Exempt Income Fund

By:   /S/    ELLEN M. NEEDHAM        
  Ellen M. Needham
  President

Date: August 26, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:   /S/    ELLEN M. NEEDHAM        
  Ellen M. Needham
  President (Principal Executive Officer)

Date: August 26, 2016

 

By:   /S/    BRUCE ROSENBERG        
  Bruce Rosenberg
  Treasurer (Principal Financial Officer)

Date: August 26, 2016