N-CSR 1 dncsr.htm ELFUN TRUSTS - CERTIFIED SHAREHOLDER REPORT ELFUN TRUSTS - CERTIFIED SHAREHOLDER REPORT
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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 811-00483

ELFUN TRUSTS

(Exact name of registrant as specified in charter)

3001 SUMMER STREET, STAMFORD, CONNECTICUT 06905

(Address of principal executive offices) (Zip code)

GE ASSET MANAGEMENT, INC.

3001 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: 12/31/10

 

 

 

Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.

 

Table of Contents

 

 

Elfun Funds

Annual Report

December 31, 2010

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Notes to Performance

    1   

Manager Reviews and Schedules of Investments

  

Elfun International Equity Fund

     2   

Elfun Trusts

     10   

Elfun Diversified Fund

    16   

Elfun Tax-Exempt Income Fund

     48   

Elfun Income Fund

    61   

Elfun Money Market Fund

    79   

Notes to Schedules of Investments

     85   

Financial Statements

  

Financial Highlights

     87   

Statements of Assets and Liabilities

     90   

Statements of Operations

     92   

Statements of Changes in Net Assets

     94   

Notes to Financial Statements

     96   

Report of Independent Registered Public Accounting Firm

     108   

Tax Information

    109   

Advisory Agreement Renewal

     110   

Additional Information

    113   

Investment Team

    116   

Shareholder Services

    119   

 

 

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

The performance data quoted represent 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), Barclays Capital U.S. Aggregate Bond Index and the Barclays Capital U.S. Municipal Bond Index are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index.

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 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. Barclays Capital 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 Capital 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 T-Bill is an unmanaged measure/index of the performance of U.S. Treasury bills currently available in the marketplace having a remaining maturity of 90 days.

The results shown for the foregoing indices assume the reinvestment of net dividends or interest. The above indices/measures do not reflect the actual costs of investing in the instruments that comprise each index.

The peer universe of underlying funds used in our peer ranking 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.

©2010 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

 

The Elfun International Equity Fund is managed by a team of portfolio managers that includes Brian Hopkinson, Ralph R. Layman (pictured to the left), Paul Nestro, Jonathan L. Passmore and Michael J. Solecki. As lead portfolio manager for the Fund, Mr. Layman oversees the entire team and assigns a portion of the Fund to each manager, including himself. Each portfolio manager is limited to the management of his or her portion of the Fund, the size of the portion which Mr. Layman determines on an annual basis. The portfolio managers do not operate independently of each other, rather, the team operates collaboratively, communicating purchases or sales of securities on behalf of the Fund. See portfolio managers’ biographical information beginning on page 116.

 

Q. How did the Elfun International Equity Fund perform compared to its benchmark for the twelve-month period ended December 31, 2010?

 

A. The Elfun International Equity Fund rose 5.77% in the twelve months ending December 31, 2010. The MSCI EAFE Index, the Fund’s benchmark, returned 7.75% and the Fund’s Morningstar peer group of 851 Foreign Large Blend funds returned an average of 10.25% for the same period.

 

Q. What market conditions impacted the Fund performance?

 

A. Markets were volatile for much of the year as contradictory forces dampened performance early in the year but gave way to strong gains in the second half. The evolving sovereign debt crisis in Europe negatively affected markets concerned
 

about a growing need for austerity but the persistence of low rates, anecdotal evidence of an improving global economy and strong earnings across the globe pushed stocks higher in all major markets. Similarly, doubts regarding much-needed regulatory reform in the financial sector cast a cloud over markets in the first half but increased clarity from bodies such as the Basel 3 Committee regarding bank capitalization, liquidity and leverage provided much-needed transparency to investors later in the year.

 

Q. What were the primary drivers of Fund performance?

 

A.

Positive impact was seen from holdings in materials, energy stocks and telecom services. The steady rise of commodity prices throughout the year was highly beneficial to metals and mining stocks and fertilizer companies leveraged to rising crop prices. A somewhat different result was seen in energy where despite rising oil prices, a combination of the BP crisis and low natural gas prices saw that sector underperform. An underweight in the underperforming telecom sector was also beneficial for performance. The lion’s share of the negative performance in the portfolio came from holdings in the financial sector, mainly in European banks. Although underweight, the portfolio was hit by the assumption that all European banks would be dragged down by the sovereign debt crisis, although direct exposure to the troubled markets of Greece, Ireland and Portugal

 

 

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was insignificant. Japanese holdings, especially those in the export markets also suffered due to a strong Yen.

 

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

 

A. Significant changes occurred during the year, most notably in the information technology and industrial sectors (additions) funded through sales in healthcare, financials, the consumer sectors and utilities. Generally, a growing conviction in a return to economic growth prompted purchases in the more cyclical sectors and disposals in the defensive segment of the portfolio. Stocks in the IT sector appealed for increasing evidence that corporate entities are beginning to spend and industrial companies in Europe gained material advantage from the weakness in the Euro caused by the sovereign debt crisis. While the outlook for the consumer is improving, especially in Emerging Asia, the outlook for consumer staples companies is less robust, as much for valuation reasons than lack of a catalyst. Financials have remained troubled all year with individual stocks in the commercial banking segment paying a steeper price than stocks in insurance for example and particular positions were reduced as a result. Healthcare companies, given the uncertainties surrounding the regulatory environment have offered little appeal and utilities have been challenged by anemic growth and a tough financing environment, despite low rates. The portfolio finished the year overweight IT, materials and industrials, and underweight consumer discretionary, utilities, healthcare, financials and telecom.

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchases payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and services 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 each share class 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, 2010.

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 for your class under the heading “Expenses Paid During 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. 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 for both “Actual” and “Hypothetical” do not reflect any transaction costs, such as sales charges or redemption fees.

 

July 1, 2010 – December 31, 2010

 

        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           1,247.14           1.81   

Hypothetical 5% Return
(2.5% for the period)

        1,000.00           1,023.32           1.63   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.32% (for the period July 1, 2010 - December 31, 2010), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

 

**   Actual Fund Return for the six-month period ended December 31, 2010 was: 24.71%. Past performance does not guarantee future results.

 

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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 invests at least 80% of its net assets under normal circumstances in equity securities, such as common stock 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 of December 31, 2010 as a % of Fair Value(b)(c)

 

Nestle S.A.

      2.82%   

Siemens AG

      2.53%   

HSBC Holdings PLC

      2.30%   

BHP Billiton PLC

      2.23%   

Potash Corporation of Saskatchewan Inc.

      2.16%   

Rio Tinto PLC

      2.09%   

Linde AG

      1.88%   

Suzuki Motor Corp.

      1.85%   

BNP Paribas

      1.84%   

Prudential PLC

      1.82%   

Sector Allocation

as a % of the Fair Value of $308,798 (in thousands) as of December 31, 2010.(b)(c)

 

 

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Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/10

 

     One
Year		     Five
Year		     Ten
Year		  

Number of Funds in peer group

     851        648        502   

Peer group average annual total
return

     10.25 %      2.58 %      2.97 % 

Morningstar category in peer group: Foreign Large Blend

  

Change in Value of a $10,000 Investment(a)

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Average Annual Total Return

for the periods ended December 31, 2010

 

(Inception date: 01/01/88)                          
      One
Year		      Five
Year		      Ten
Year		      Ending value of a
$10,000
investment (a)		  

Elfun International Equity Fund

      5.77%         3.31%         4.16%         15,028   

MSCI EAFE Index

      7.75%         2.46%         3.48%         14,079   

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(a) Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less.

 

(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.

 

(c) Fair value basis is inclusive of Short Term Investment in GE Money Market Fund.

See Notes to Performance on page 1 for further information.

Past performance does not predict future performance. The performance shown on the graph 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    (in thousands) — December 31, 2010

 

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     Number
of  Shares		      Fair
Value 		     
       

Common Stock — 92.2%†

  

             
Australia — 2.2%     

Brambles Ltd.

      267,312       $ 1,951     

Lynas Corporation Ltd.

      1,023,773         2,162      (a)

Paladin Energy Ltd.

      515,971         2,607      (a)
        6,720     
Brazil — 3.0%     

Banco Santander Brasil S.A.

      239,900         3,259     

Petroleo Brasileiro S.A. ADR

      96,913         3,312     

Vale S.A. ADR

      89,238         2,697      (a)
        9,268     
Canada — 4.2%     

Kinross Gold Corp.

      44,906         855     

Potash Corporation of Saskatchewan Inc.

      42,936         6,674     

Research In Motion Ltd.

      53,044         3,100      (a)

Suncor Energy Inc.

      62,437         2,405     
        13,034     
Chile — 0.3%     

Sociedad Quimica y Minera de Chile S.A. ADR

      16,946         990     
China — 1.8%     

Baidu Inc. ADR

      22,542         2,176      (a)

Bank of China Ltd.

      2,708,976         1,432     

CSR Corp Ltd.

      1,478,539         1,944     
        5,552     
Denmark — 0.6%     

AP Moller - Maersk A/S

      200         1,819     
France — 10.9%     

AXA S.A.

      159,013         2,656     

BNP Paribas

      88,790         5,671     

Cap Gemini S.A.

      47,421         2,222     

Cie Generale d’Optique Essilor International S.A.

      73,335         4,740     

Credit Agricole S.A.

      91,683         1,169     

European Aeronautic Defence and Space Company N.V.

      100,051         2,341     
     Number
of  Shares		      Fair
Value 		     
       

Safran S.A.

      72,634       $ 2,582     

Schneider Electric S.A.

      33,411         5,020     

Total S.A.

      59,580         3,169     

Veolia Environnement S.A.

      73,434         2,155     

Vinci S.A.

      37,313         2,036     
        33,761     
Germany — 11.2%     

Adidas AG

      33,524         2,199     

Bayer AG

      34,808         2,582     

Daimler AG

      52,972         3,605     

Deutsche Boerse AG

      56,415         3,920     

Linde AG

      38,182         5,816     

Metro AG

      59,834         4,325     

SAP AG

      42,202         2,157     

Siemens AG

      62,780         7,807     

ThyssenKrupp AG

      51,302         2,132     
        34,543     
Hong Kong — 1.6%     

AIA Group Ltd.

      457,927         1,287      (a)

Esprit Holdings Ltd.

      226,067         1,073     

Hutchison Whampoa Ltd.

      266,048         2,745     
        5,105     
India — 1.2%        

Larsen & Toubro Ltd.

      62,728         2,775     

Power Grid Corporation of India Ltd.

      404,897         890     
        3,665     
Ireland — 0.6%     

CRH PLC

      83,627         1,756     
Italy — 1.3%        

ENI S.p.A.

      51,043         1,119     

UniCredit S.p.A.

      1,334,928         2,772     
        3,891     
Japan — 13.7%     

Daikin Industries Ltd.

      52,000         1,845     

FANUC Corp.

      16,500         2,537     

Mitsubishi Corp.

      95,000         2,575     

Mitsubishi Estate Company Ltd. (REIT)

      89,946         1,670     

 


 

 

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

 

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Elfun International Equity Fund    (in thousands) — December 31, 2010

 

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     Number
of  Shares		      Fair
Value 		     
       

Mitsubishi UFJ Financial Group Inc.

      570,269       $ 3,087     

Nomura Holdings Inc.

      646,413         4,105     

SMC Corp.

      13,800         2,367     

Sony Financial Holdings Inc.

      896         3,629     

Sumitomo Metal Industries Ltd.

      1,410,923         3,479     

Sumitomo Realty & Development Company Ltd. (REIT)

      59,000         1,411     

Suzuki Motor Corp.

      232,031         5,722     

Taiyo Nippon Sanso Corp.

      162,977         1,441     

The Bank of Yokohama Ltd.

      420,007         2,180     

Toyota Motor Corp.

      70,482         2,798     

Unicharm Corp.

      92,700         3,692     
        42,538     
Mexico — 0.8%     

America Movil SAB de C.V. ADR

      41,120         2,358     
Netherlands — 2.8%     

Koninklijke Ahold N.V.

      126,756         1,679     

Koninklijke Philips Electronics N.V.

      159,899         4,917     

Unilever N.V., CVA

      66,944         2,093     
        8,689     
Russian Federation — 0.5%     

Mobile Telesystems OJSC ADR

      74,460         1,554     
South Africa — 0.9%     

MTN Group Ltd.

      133,297         2,708     
South Korea — 1.5%     

Samsung Electronics Company Ltd.

      5,480         4,582     
Spain — 2.4%     

Banco Santander S.A.

      443,639         4,718      (h)

Telefonica S.A.

      125,616         2,859     
        7,577     
Sweden — 0.7%     

Telefonaktiebolaget LM Ericsson

      198,031         2,302     
     Number
of  Shares		      Fair
Value 		     
       
Switzerland — 7.9%     

Credit Suisse Group AG

      83,744       $ 3,384     

Nestle S.A.

      148,513         8,723     

Novartis AG

      56,950         3,357     

Roche Holding AG

      23,066         3,390     

Syngenta AG

      13,470         3,952     

Zurich Financial Services AG

      5,953         1,547     
        24,353     
Taiwan — 2.8%     

Delta Electronics Inc.

      571,000         2,791     

Taiwan Semiconductor Manufacturing
Company Ltd.

      2,157,400         5,254     

Taiwan Semiconductor Manufacturing
Company Ltd. ADR

      43,822         550     
        8,595     
United Kingdom — 19.3%     

Autonomy Corporation PLC

      75,375         1,776      (a)

BG Group PLC

      194,844         3,954     

BHP Billiton PLC

      172,260         6,880      (h)

Diageo PLC

      68,417         1,269     

G4S PLC

      512,431         2,055     

HSBC Holdings PLC

      696,782         7,103     

Lloyds Banking Group PLC

      3,467,287         3,567      (a)

National Grid PLC

      418,884         3,627     

Prudential PLC

      537,808         5,625     

Reckitt Benckiser Group PLC

      72,678         4,011     

Rio Tinto PLC

      91,993         6,462     

Royal Dutch Shell PLC

      160,877         5,386     

Tesco PLC

      575,271         3,828     

The Capita Group PLC

      160,987         1,756     

Vodafone Group PLC

      997,263         2,589     
        59,888     

Total Common Stock
(Cost $249,250)

         285,248     

 

 

 

 

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

 

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Elfun International Equity Fund    (in thousands) — December 31, 2010

 

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     Number
of  Shares		      Fair
Value 		     
       

 

Preferred Stock — 2.5%

Fresenius SE

      30,370       $ 2,610     

Volkswagen AG

      31,152         5,074     

Total Preferred Stock
(Cost $5,443)

               7,684       

Other Investments — 0.0%*

  

    

GEI Investment Fund
(Cost $99)

         94      (k)

Total Investments in Securities
(Cost $254,792)

               293,026       

Short-Term Investments — 5.1%

  

    
Short-Term Investments — 4.5%        

GE Money Market Fund Institutional Class

  

     

0.00%

         13,822      (d,k)
          Principal
Amount		          

 

Time Deposit — 0.6%       

State Street Corp.

  

    
0.01%    01/03/11    $ 1,950      1,950   (e)

Total Short-Term Investments
(Cost $15,772)

      15,772  

Total Investments
(Cost $270,564)

      308,798  

Other Assets and Liabilities
net — 0.2%

      675  
           

NET ASSETS—100.0%

      $309,473  
           

 

Other Information

 

The Fund had the following long futures contracts open at December 31, 2010:

 

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

DJ Euro Stoxx 50 Index Futures

   March 2011     134      $ 5,023      $     (132)   

FTSE 100 Index Futures

   March 2011     50        4,613        (33)   

Topix Index Futures

   March 2011     22        2,430        (9)   
             
        $ (174)   
             

 

 

 

 

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

 

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Elfun International Equity Fund    December 31, 2010

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The Fund was invested in the following categories at December 31, 2010 as a % of Fair Value:

 

Industry      

Diversified Financial Services

     10.61%   

Integrated Oil & Gas

     6.26%   

Automobile Manufacturers

     5.57%   

Diversified Metals & Mining

     5.02%   

Industrial Conglomerates

     5.01%   

Fertilizers & Agricultural Chemicals

     3.76%   

Packaged Foods & Meats

     3.50%   

Life & Health Insurance

     3.41%   

Semiconductors

     3.36%   

Pharmaceuticals

     3.02%   

Wireless Telecommunication Services

     2.98%   

Steel

     2.69%   

Household Products

     2.49%   

Industrial Gases

     2.35%   

Multi-Utilities

     1.87%   

Food Retail

     1.78%   

Communications Equipment

     1.75%   

Electrical Components & Equipment

     1.63%   

Aerospace & Defense

     1.59%   

Industrial Machinery

     1.59%   

Construction & Engineering

     1.56%   

Healthcare Supplies

     1.54%   

Hypermarkets & Super Centers

     1.40%   

Multi-Line Insurance

     1.36%   

Investment Banking & Brokerage

     1.33%   

Application Software

     1.27%   

Specialized Finance

     1.27%   

Diversified Capital Markets

     1.10%   

Diversified Real Estate Activities

     1.00%   

 

Integrated Telecommunication Services

     0.93%   

Electronic Components

     0.90%   

Healthcare Services

     0.85%   

Coal & Consumable Fuels

     0.84%   

Trading Companies & Distributors

     0.83%   

IT Consulting & Other Services

     0.72%   

Apparel, Accessories & Luxury Goods

     0.71%   

Internet Software & Services

     0.71%   

Regional Banks

     0.71%   

Security & Alarm Services

     0.67%   

Construction & Farm Machinery & Heavy Trucks

     0.63%   

Diversified Support Services

     0.63%   

Building Products

     0.60%   

Marine

     0.59%   

Construction Materials

     0.57%   

Human Resource & Employment Services

     0.57%   

Distillers & Vintners

     0.41%   

Apparel Retail

     0.35%   

Electric Utilities

     0.29%   

Gold

     0.28%   
         
    94.86%   
         

 

Short-Term and Other Investments      

Short-Term

     5.11%   

Other Investments

     0.03%   
       
    5.14%   
       
    100.00%   
       

 

 

 

 

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

 

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David B. Carlson

 

The Elfun Trusts is managed by David B. Carlson. See portfolio managers’ biographical information beginning on page 116.

 

Q. How did the Elfun Trusts Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2010?

 

A. The Elfun Trusts had a return of 13.07% for the twelve-month period ended December 31, 2010. The S&P 500 Index returned 15.06%, while the Fund’s Morningstar peer group of 1,771 US Large-Cap Growth funds returned 15.40% over the same period.

 

Q. What market conditions impacted the Fund performance?

 

A. While the market posted a nice gain for the year, it was a roller-coaster ride as the year unfolded. The market rose in the first quarter, then plunged in the second as European sovereign debt fears flared. The market meandered in the third quarter and then finished strong in the fourth as economic indicators improved. Aggregate earnings rose at a double-digit pace for the year, in line with stock prices, leaving the price/earnings ratio (P/E) essentially unchanged for the year. Earnings estimates by Wall Street analysts were gradually revised higher throughout the year.

The cyclical sectors were the strongest performers with consumer-cyclical, industrial, and materials sectors all up in excess of 20%. Technology was an exception, rising only 10% for the year.

Other sectors lagging the market included healthcare, up 3% and utilities, up 6%.

 

Q. What were the primary drivers of Fund performance?

 

A. Technology is the largest sector overweight in Elfun Trusts comprising about 31% of the portfolio. Despite improving industry conditions, tech stocks lagged the market, especially the large cap tech bellwethers such as Cisco and Microsoft. Overall, Elfun Trusts’ tech holding rose 9% for the year, underperforming the market. We had a wide range of performance in our tech holdings with Baidu (+135%) and Intuit (+60%) the best performers and Visa (-19%) and Cisco (-16%) the worst performers. Most tech companies met or exceeded their earnings expectations, but negative sentiment around long term growth rates weighed on the valuations.

The second largest weighting in the portfolio is the consumer-discretionary sector, comprising about 17% of the portfolio. Holdings in this sector rose 32%, positively contributing to overall results. Liberty Global was the best performer in this sector with a gain of 55%. The energy and materials sectors outperformed the market, but Elfun Trusts was underweighed in these sectors.

 

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

 

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A. We ended the year with 51 stocks in the portfolio, coincidently the same as last year, but we added 8 new names and eliminated 8 over the course of the year. Portfolio turnover remains low, coming in at 13% for the year. New positions include Apple (better late than never), Praxair, Discovery Holdings, Sirius XM Radio, and Covidien. We eliminated Transocean after the rig explosion in the gulf in April. Other sales include Berkshire-Hathaway, Medtronic, and Corning. Overall, the portfolio still consists of high quality, above-average growers with strong financial characteristics. We continue to be overweighted in the tech sector due to its global reach, above-average growth, strong balance sheets, and attractive valuation.

 

Q. What is your outlook for the Fund for this year?

 

A. We have a constructive view of the market at the start of the year. Stimulus remains strong, both fiscal and monetary, and estimates of economic growth have been revised up in recent months.

But the macro fears are still significant and will result in continued market volatility. Topping our list of worries are the sovereign debt woes of Europe, the massive fiscal deficit in the US, and the fragile US consumer. Corporate America is in good shape, with strong balance sheets and free cash flow, but global macro issues will likely flare up and negatively impact the US stock market. In a market that will be buffeted by macro concerns, we will continue to focus on high quality companies that can innovate and grow at above-average rates over the long term.

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchases payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and services 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 each share class 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, 2010.

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 for your class under the heading “Expenses Paid During 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. 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 for both “Actual” and “Hypothetical” do not reflect any transaction costs, such as sales charges or redemption fees.

 

July 1, 2010 – December 31, 2010

 

        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           1,231.75           1.18   

Hypothetical 5% Return
(2.5% for the period)

        1,000.00           1,023.87           1.07   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.21% (for the period July 1, 2010 - December 31, 2010), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

 

**   Actual Fund Return for the six-month period ended December 31, 2010 was: 23.18%. Past performance does not guarantee future results.

 

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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 by investing in equity securities of U.S. companies, such as common and preferred stocks.

Top Ten Largest Holdings

as of December 31, 2010 as a % of Fair Value(b)(c)

 

Schlumberger Ltd.      4.82%   
QUALCOMM Inc.      4.43%   
The Western Union Co.      4.04%   
PepsiCo Inc.      3.96%   
Dover Corp.      3.95%   
DIRECTV      3.64%   
Bed Bath & Beyond Inc.      3.58%   
CME Group Inc.      3.53%   
Liberty Global Inc.      3.39%   
Amgen Inc.      3.33%   

Sector Allocation

as a % of the Fair Value of $1,731,905 (in thousands) as of December 31, 2010.(b)(c)

 

 

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Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/10

 

     One
Year		     Five
Year		     Ten
Year		  

Number of Funds in peer group

     1771        1589        1299   

Peer group average annual total return

     15.40 %      2.22 %      -0.69 % 

Morningstar category in peer group: Large Growth

 

  

Change in Value of a $10,000 Investment(a)

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Average Annual Total Return

for the periods ended December 31, 2010

 

(Inception date: 05/27/35)                          
      One
Year		      Five
Year		      Ten
Year		      Ending value of a
$10,000
investment (a)		  

Elfun Trusts

      13.07%         3.28%         1.70%         11,837   

S&P 500 Index

 

      15.06%         2.29%         1.41%         11,508   

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(a) Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less.

 

(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.

 

(c) Fair value basis is inclusive of Short Term Investment in GE Money Market Fund.

See Notes to Performance on page 1 for further information.

Past performance does not predict future performance. The performance shown on the graph 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    (in thousands) — December 31, 2010

 

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     Number
of  Shares		      Fair
Value 		        
        

Common Stock — 97.1%†

  

         
Application Software — 1.4%      

Intuit Inc.

      510,000       $ 25,143         (a)    
Asset Management & Custody Banks — 3.1%      

State Street Corp.

      1,170,000         54,218         (e)    
Biotechnology — 3.8%      

Amgen Inc.

      1,050,000         57,645         (a)    

Gilead Sciences Inc.

      220,000         7,973         (a)    
        65,618      
Broadcasting — 0.3%      

Discovery Communications Inc.

      140,000         5,137         (a)    
Cable & Satellite — 9.5%      

Comcast Corp.

      1,850,000         38,498      

DIRECTV

      1,580,000         63,089         (a)    

Liberty Global Inc.

      1,730,000         58,630         (a)    

Sirius XM Radio Inc.

      3,000,000         4,920         (a)    
        165,137      
Communications Equipment — 7.7%      

Cisco Systems Inc.

      1,900,000         38,437         (a)    

QUALCOMM Inc.

      1,550,000         76,709      

Research In Motion Ltd.

      300,000         17,439         (a)    
        132,585      
Computer Hardware — 3.3%      

Apple Inc.

      175,000         56,448         (a)    
Data Processing & Outsourced Services — 9.7%      

Automatic Data Processing Inc.

      225,000         10,413      

Paychex Inc.

      1,350,000         41,729      

The Western Union Co.

      3,770,000         70,009      

Visa Inc.

      650,000         45,747      
        167,898      
Diversified Financial Services — 1.0%      

JPMorgan Chase & Co.

      420,000         17,816      
     Number
of  Shares		      Fair
Value 		        
        
Diversified Support Services — 1.2%      

Iron Mountain Inc.

      800,000       $ 20,008      
Electronic Manufacturing Services — 0.9%      

Molex Inc.

      870,000         16,417      
Environmental & Facilities Services — 0.2%      

Stericycle Inc.

      45,000         3,641         (a)    
Fertilizers & Agricultural Chemicals — 2.6%      

Monsanto Co.

      650,000         45,266      
Healthcare Equipment — 1.4%      

Becton Dickinson and Co.

      110,000         9,297      

Covidien PLC

      340,000         15,524      
        24,821      
Healthcare Facilities — 0.6%      

VCA Antech Inc.

      430,000         10,015         (a)    
Healthcare Services — 4.1%      

Express Scripts Inc.

      800,000         43,240         (a)    

Lincare Holdings Inc.

      1,020,000         27,367      
        70,607      
Healthcare Supplies — 0.1%      

DENTSPLY International Inc.

      60,000         2,050      
Home Improvement Retail — 2.3%      

Lowe’s Companies Inc.

      1,580,000         39,626      
Homebuilding — 0.1%      

MDC Holdings Inc.

      60,000         1,726      
Homefurnishing Retail — 3.6%      

Bed Bath & Beyond Inc.

      1,260,000         61,929         (a)    
Hotels, Resorts & Cruise Lines — 2.0%      

Carnival Corp.

      760,000         35,044      
Industrial Gases — 0.4%      

Praxair Inc.

      70,000         6,683      

 

 

 

 

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

 

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Elfun Trusts    (in thousands) — December 31, 2010

 

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     Number
of  Shares		      Fair
Value 		        
        
Industrial Machinery — 3.9%      

Dover Corp.

      1,170,000       $ 68,387      
Integrated Oil & Gas — 1.8%      

Exxon Mobil Corp.

      300,000         21,936      

Suncor Energy Inc.

      220,000         8,424      
        30,360      
Internet Software & Services — 4.4%      

Baidu Inc. ADR

      400,000         38,612         (a)    

eBay Inc.

      1,350,000         37,571         (a)    
        76,183      
Investment Banking & Brokerage — 2.8%      

The Goldman Sachs Group Inc.

      285,000         47,926      
Life & Health Insurance — 1.5%      

Aflac Inc.

      450,000         25,393      
Oil & Gas Equipment & Services — 4.8%      

Schlumberger Ltd.

      1,000,000         83,500      
Pharmaceuticals — 2.6%      

Abbott Laboratories

      220,000         10,540      

Hospira Inc.

      50,000         2,784         (a)    

Johnson & Johnson

      500,000         30,925      
        44,249      
Property & Casualty Insurance — 0.7%      

Alleghany Corp.

      38,000         11,642         (a)    
Real Estate Services — 2.1%      

CB Richard Ellis Group Inc. (REIT)

      1,800,000         36,864         (a)    
Soft Drinks — 4.0%      

PepsiCo Inc.

      1,050,000         68,597      
Specialized Finance — 3.5%      

CME Group Inc.

      190,000         61,132      
     Number
of  Shares		      Fair
Value 		        
        
Specialty Chemicals — 0.4%      

Ecolab Inc.

      150,000       $ 7,563      
Systems Software — 3.2%      

Microsoft Corp.

      2,000,000         55,840      
Wireless Telecommunication Services — 2.1%      

American Tower Corp.

      700,000         36,148         (a)    

Total Common Stock
(Cost $1,293,261)

               1,681,617            

Other Investments — 0.0%*

  

                  

GEI Investment Fund
(Cost $457)

         435         (k)    

Total Investments in Securities (Cost $1,293,718)

               1,682,052            

Short-Term Investments — 2.9%

  

                  

GE Money Market Fund Institutional

  

      

Class 0.00%

         49,853         (d,k)    

(Cost $49,853)

         

Total Investments
(Cost $1,343,571)

         1,731,905      

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

         (189)      
              

NET ASSETS — 100.0%

       $ 1,731,716      
              

 

 

 

 

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

 

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Paul M. Colonna

  

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Greg Hartch

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Ralph R. Layman

  

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Thomas R. Lincoln

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Diane M. Wehner

  

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David Wiederecht

The Elfun Diversified Fund is managed by a team of portfolio managers that includes Paul M. Colonna, Greg Hartch, Ralph R. Layman, Thomas R. Lincoln, Diane M. Wehner and David Wiederecht. Mr. Hartch and Mr. David Wiederecht are each vested with oversight authority for determining asset allocations for the Fund, while each of the other portfolio managers is responsible for managing one of four sub-portfolios: U.S. equity, U.S. mid-cap equity, international equity and fixed income. A sub-portfolio refers to the portion of the Fund’s assets that are allocated to, and managed by, a particular portfolio manager on the Fund’s portfolio management team. Mr. Lincoln manages the U.S. equity portion, Ms. Wehner manages the U.S. mid-cap equity portion, Mr. Layman manages the international equity portion and Mr. Colonna manages the fixed income portion, each with a team of portfolio managers and analysts. The sub-portfolios underlying this 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 the Fund’s objectives. See portfolio managers’ biographical information beginning on page 116.

 

Q. How did the Elfun Diversified Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2010?

 

A. For the twelve-month period ended December 31, 2010, the Elfun Diversified Fund returned 9.98%. The Fund’s broad based benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 15.06% and 6.54%, respectively. The Fund’s Morningstar peer group of 1098 U.S. Moderate Allocation funds returned an average of 11.73% for the same period.
 

 

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Q. What market conditions impacted the performance of the Fund and what were the primary drivers of Fund performance?

 

A. The absolute performance of the Fund for the twelve-month period ended December 31, 2010 was primarily driven by the Fund’s allocation to U.S. and international equity markets and fixed income markets. The Fund’s top performing asset classes were its exposure to mid cap and small cap U.S. equity markets which posted gains of 27.0% and 26.8% in 2010. All other asset classes provided positive returns, although International equities lagged U.S. large cap equities by several hundred basis points and cash produced only a nominal return.

The Fund has traditionally had a higher allocation to international equities than its peer group. In 2010, the underperformance of international equities relative to U.S. equities was a key driver in the performance of the Fund relative to its peer group. Other factors that contributed to the relative performance were (i) positive contributions from allocations to mid cap and small cap U.S. equity markets; (ii) negative contributions from security selection within several of the Fund’s equity strategies which underperformed their benchmarks; and (iii) positive contributions from security selection within the Fund’s fixed income and U.S. mid cap strategies which outperformed their benchmarks.

As of December 31, 2010, the Fund’s four largest allocations by asset class were: (i) fixed income core plus (30.7% of the Fund; benchmark Barclays Capital U.S. Aggregate), (ii) U.S. large cap equities (27.1% of the Fund; benchmark S&P 500), (iii) international equities (22.4% of the Fund; benchmark MSCI EAFE), and (iv) U.S. mid cap equities (11.2% of the Fund; benchmark Russell Mid

Cap). A summary of these four markets and their contribution to performance are summarized below.

Fixed Income Markets and Performance

The fixed income market benefited from both declining interest rates and spread compression over the last fiscal period, producing positive price returns which added to income generated from coupon interest. U.S. 2-year and 10-year Treasury note yields ended the year at 0.59% and 3.29% respectively, down 54 basis points each. The U.S. 30-year bond finished the year yielding 4.33%, down 31 basis points. As the U.S. economy recovered in 2010 and growth expectations for 2011 picked up, non-treasury securities outperformed treasury securities during the period due to tightening spreads. The Barclays Capital U.S. Credit Index yield spread narrowed 11 basis points, which contributed to a total return of 8.47% last year, while the broader Barclays Capital U.S. Aggregate Index returned 6.54%. Commercial mortgage-backed securities experienced the largest spread compression and led all sectors with an annual return of 20.4%. Yield spreads on high yield and emerging market debt also narrowed contributing to double digit returns for both (BC High Yield Index returned 15.12% and JPM EMBI-GD Index returned 12.24%).

The Fund’s fixed income core plus strategy allocation returned 8.01%, outperforming its benchmark by 1.47%. The largest contributor to the fixed income allocation’s performance on an absolute basis and relative to its benchmark was the overweight positions in investment grade credit and commercial mortgage-backed securities plus non-index allocations to high yield and emerging market debt. Security selection within the agency

 

 

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and commercial MBS sectors added value as did an overweight in financial versus non-corporate issuers in investment grade credit. Duration positioning had a negative effect on performance, primarily in April and May when the fund’s duration was shorter than that of the benchmark and U.S. interest rates fell significantly in a flight to quality away from risky assets brought on by the fiscal crises among the European peripheral countries, namely Greece, Ireland, Portugal and Spain.

U.S Large Cap Equity Markets and Performance

2010’s 15% advance did not feel like an easy climb for the S&P 500, amid ongoing debate around the durability of the economic expansion. Indeed, all U.S. equity indices were in negative territory at mid-year and over much of the summer, beset by concerns about the European debt crisis, persistently high unemployment levels and skyrocketing government debt. However, reassurances that the Fed would purchase additional treasury bonds in a $600B “quantitative easing-2” program ignited a mighty second-half rally. In this environment, cyclical sectors generally outperformed, while defensive sectors lagged. For the year, the S&P 500 consumer discretionary, industrials, materials and energy each advanced over 20%, while health care, utilities and IT lagged.

2010 was a challenging investment environment for large cap, high quality investors. Small and mid cap companies led—typical in the early innings of economic recovery. Smaller companies also benefitted from increased M&A activity as larger companies looked to spend excess balance sheet cash on strategic acquisitions. Low quality also outperformed high quality, with an approximately 22% increase in S&P 500 C-rated companies, while the high-quality A-rated companies rose only 15%.

Our large cap equity portfolio managers generally prefer to invest in high quality companies, and acknowledge that relative performance may be challenged in the early stages of an economic recovery, when higher-risk (i.e., lower quality) companies get re-rated. We continue to believe that higher quality companies make the best long-term investments, and a diversified portfolio of high quality large caps has the potential to outperform over a full market cycle.

Amid the year’s uncertainties, correlations of performance among S&P 500 stocks reached levels unseen since the Great Depression. It was difficult for the active manager to differentiate as top-down factors moved the markets, with fundamentals largely ignored. For example, Microsoft achieved and raised earnings estimates throughout the year, yet suffered severe multiple contraction. This seeming disconnect between fundamentals, valuations and performance created a source of frustration for many large-cap active managers.

In 2010, the Fund had significant allocations to two U.S. large cap equity strategies, large cap growth and U.S. core, both of which underperformed the S&P 500 Index. U.S. large cap growth returned 9.68%, underperforming by 5.38% while U.S. core returned 12.54%, underperforming by 2.52%.

International Equity Markets and Performance

Markets were volatile for much of the year as contradictory forces dampened performance early in the year but gave way to strong gains in the second half. The evolving sovereign debt crisis in Europe negatively affected markets concerned about a growing need for austerity but the persistence of low rates, anecdotal evidence of an improving global economy and strong earnings

 

 

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across the globe pushed stocks higher in all major markets. Similarly, doubts regarding much-needed regulatory reform in the financial sector cast a cloud over markets in the first half but increased clarity from bodies such as the Basel 3 Committee regarding bank capitalization, liquidity and leverage provided much-needed transparency to investors later in the year.

The Fund’s allocation to international equity returned 6.15% while the MSCI EAFE benchmark returned 7.75%. Positive impact was seen from holdings in materials, energy stocks and telecom services. The steady rise of commodity prices throughout the year was highly beneficial to metals and mining stocks and fertilizer companies leveraged to rising crop prices. A somewhat different result was seen in energy where despite rising oil prices, a combination of the BP crisis and low natural gas prices saw that sector underperform. An underweight in the underperforming telecom sector was also beneficial for performance.

Most of the negative performance in the portfolio came from holdings in the financial sector, mainly in European banks. Although underweight, the portfolio was hit by the assumption that all European banks would be dragged down by the sovereign debt crisis, although direct exposure to the troubled markets of Greece, Ireland and Portugal was insignificant. Japanese holdings, especially those in the export markets also suffered due to a strong Yen.

U.S. Mid Cap Equity Markets and Performance

In general, correlations of performance among midcap stocks reached historically high levels in 2010. It was difficult for active managers to

differentiate as top-down factors moved the markets, with fundamentals largely ignored. An offset to this lack of differentiation has increased M&A activity as larger companies looked to spend excess balance sheet cash on strategic acquisitions. The Fund benefited from consolidation with several companies being acquired in the latter part of the year. Growth stocks outperformed Value by a small margin during the year which helped performance given our skew towards companies with growth-at-a-reasonable-price. From a sector perspective, information technology, though it underperformed the overall market was the most additive to performance due to good stock selection. Meanwhile, though new investments in the industrial and basic materials sectors participated in the year-end rally, performance was dominated by lower quality, higher beta, more cyclical companies. Finally, within the financial sector our underweight in regional banks/thrifts detracted from performance along with underperformance in individual stocks within the insurance and exchanges industries.

The Fund’s allocation to mid cap stocks returned 27.0%, outperforming the Russell Mid Cap Index which returned 25.5% during the twelve-month period, due to solid stock selection within the information technology, utilities, and consumer staples sectors. Within information technology, several software names meaningfully outperformed the overall market. Specifically, Rovi Corporation (+95%) benefited as investors continue to recognize its strong technology position and view the company as a play on the future of digital entertainment and connected devices. Citrix Systems (+65%) performed well as the company benefited from the trend towards desktop virtualization. Arcsight Inc. (+65%) a developer of security software was acquired by Hewlett

 

 

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Packard. Also, within information technology, the Fund was positively impacted by Baidu (+135%), a Chinese internet search engine company which benefited from its dominant position within the fast-growing Chinese internet industry. The Fund’s underweight in the utility sector along with good stock selection added to Fund performance with investments such as Northeast Utilities (+28%). Consumer staple stocks were also strong contributors. For example, Mead Johnson Nutrition (+45%), a global leader in the pediatric-nutrition market, outperformed in part due to its large exposure to emerging markets and its attractiveness as a takeout candidate.

Detracting from performance were some of our more defensive investments within the industrial, materials, and financial sectors. Within the industrial sector, Alliant Techsystems (-16%) detracted from performance amid ongoing concerns about its NASA contract and its exposure to defense budgets. In the financial sector, diversified insurance company HCC (+6%) lagged, as overall pricing in the property and casualty industry remains under pressure. Among banks, People’s United Financial (-12%) is considered one of the highest quality thrifts in the industry having avoided the missteps of its competition in the residential real estate debacle. With an increased appetite for risk, investors favored lower quality regional banks with more leverage to an economic recovery. Meanwhile, basic materials company Monsanto (-13%) corrected as the company restructured its chemical business in response to overcapacity and competitive pricing resulting in a near-term hit to earnings.

As of December 31, 2010, the Fund also had smaller allocations to emerging market equities,

small cap U.S. equities, REITs, and cash. None of these allocations exceeded 5% of the Fund as of December 31, 2010.

 

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

 

A.

During the past year, we did make certain tactical changes to the Fund. As the year progressed and we became more confident that the economy would avoid a double dip, we gradually reduced cash in the portfolio, increasing both equity and fixed income allocations. In September, we made a tactical decision to reduce our exposure slightly to emerging market equities in favor of U.S. large cap equities on the belief that a stronger U.S. recovery would result in U.S. equities outperforming in the 4th quarter of 2010. This change also added to performance as U.S. equities outperformed emerging market equities. In November, we added a 1% real estate exposure to the Fund in the form of a REIT ETF. The allocation to REITs returned 4.1% from funding to year end. Finally, in mid December, we added a third U.S. equity large cap strategy, equity yield at a 4% allocation, on the belief that companies with higher existing dividends or with dividends that are likely to grow will outperform in 2011. As of December 31, 2010, the Fund was overweight equities with 67.5% of the Fund invested in equity strategies.

Finally, Judy Studer, GEAM’s Chief Marktet Strategist and portfolio manager responsible for asset allocation for the Fund, retired from GE Asset Management as of December 31, 2010. She is replaced by David Wiederecht, President and CIO of Investment Strategies for GEAM and Greg Hartch, Senior Vice President, Tactical Asset Allocation and Total Return Fund Portfolio Manager, starting January 1, 2011.

 

 

20

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LOGO

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchases payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and services 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 each share class 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, 2010.

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 for your class under the heading “Expenses Paid During 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. 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 for both “Actual” and “ Hypothetical” do not reflect any transaction costs, such as sales charges or redemption fees.

 

July 1, 2010 – December 31, 2010

 

        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           1,165.73           2.62   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,022.54           2.45   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.48% (for the period July 1, 2010 - December 31, 2010), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

 

**   Actual Fund Return for the six-month period ended December 31, 2010 was: 16.57%. Past performance does not guarantee future results.

 

21

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LOGO

 

Investment Profile

A mutual fund designed for investors who seek the highest total return consistent with prudent investment management and the preservation of capital (total return includes both income and capital appreciation) by investing primarily in a combination of U.S. and foreign equity and debt securities and cash.

Top Ten Largest Holdings

as of December 31, 2010 as a % of Fair Value(b)(c)

 

U.S. Treasury Notes 3.00%, 08/15/20

      2.77%   

FNMA, 4.50%, TBA.

      1.91%   

FNMA, 4.50%, 05/01/18 - 11/01/40

      1.81%   

U.S. Treasury Bonds 3.88%, 08/15/40

      1.55%   

FNMA, 5.00%, TBA.

      1.03%   

Vanguard REIT ETF

      0.99%   

Microsoft Corp.

      0.90%   

FNMA 5.00%, 07/01/20 - 11/01/40

      0.85%   

FNMA 4.00%, 05/01/19 - 10/01/40

      0.81%   

FNMA 4.00%, 10/01/40

      0.78%   

Sector Allocation

as a % of the Fair Value of $235,991 (in thousands) as of December 31, 2010.(b)(c)

 

 

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/10

 

     One
Year		     Five
Year		     Ten
Year		  

Number of Funds in peer group

     1098        858        645   

Peer group average annual total
return

     11.73 %      3.24 %      3.03 % 

Morningstar category in peer group: Moderate Allocation

  

Change in Value of a $10,000 Investment(a)

LOGO

Average Annual Total Return

for the periods ended December 31, 2010

 

(Inception date: 01/01/88)                       
     One
Year		     Five
Year		     Ten
Year		     Ending value of a
$10,000
investment (a)		  

Elfun Diversified Fund

     9.98%        3.15%        3.53%        14,155   

S&P 500® Index

     15.06%        2.29%        1.41%        11,508   

Barclays Capital U.S. Aggregate Bond Index

     6.54%        5.80%        5.84%        17,633   

LOGO

 

 

(a) Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less.

 

(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.

 

(c) Fair value basis is inclusive of Short Term Investment in GE Money Market Fund.

See Notes to Performance on page 1 for further information.

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

 

22

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       

Domestic Equity — 35.1%†

Advertising — 0.5%     

Omnicom Group Inc.

      24,136       $ 1,105     
Aerospace & Defense — 0.7%     

Alliant Techsystems Inc.

      4,311         321      (a)

Hexcel Corp.

      23,026         417      (a)

Honeywell International Inc.

      15,543         826     

Rockwell Collins Inc.

      1,453         85     
        1,649     
Agricultural Products — 0.1%     

Archer-Daniels-Midland Co.

      6,680         201     
Air Freight & Logistics — 0.1%     

FedEx Corp.

      1,789         166     

UTi Worldwide Inc.

      5,987         127     
        293     
Apparel Retail — 0.1%     

Urban Outfitters Inc.

      7,393         265      (a)
Apparel, Accessories & Luxury Goods — 0.2%

Coach Inc.

      8,736         483     
Application Software — 0.3%     

Blackboard Inc.

      5,402         223      (a)

Citrix Systems Inc.

      6,201         424      (a)
        647     
Asset Management & Custody Banks — 1.5%

Affiliated Managers Group Inc.

      5,020         498      (a)

Ameriprise Financial Inc.

      8,337         480     

Franklin Resources Inc.

      374         42     

Invesco Ltd.

      37,085         893     

State Street Corp.

      28,029         1,299      (e)

The Bank of New York Mellon Corp.

      9,722         294     
        3,506     
Automobile Manufacturers — 0.2%     

O’Reilly Automotive Inc.

      6,529         394     
     Number
of  Shares		      Fair
Value 		     
       
Biotechnology — 1.4%     

Alexion Pharmaceuticals Inc.

      3,324       $ 268      (a)

Amgen Inc.

      21,639         1,188      (a)

Gilead Sciences Inc.

      32,970         1,195      (a)

Human Genome Sciences Inc.

      6,894         165      (a)

Incyte Corp Ltd.

      9,571         159      (a)

Vertex Pharmaceuticals Inc.

      6,702         235      (a)
        3,210     
Brewers — 0.0%*     

Molson Coors Brewing Co.

      1,403         70     
Broadcasting — 0.1%     

Discovery Communications Inc.

      6,571         254      (a)
Cable & Satellite — 0.5%     

DIRECTV

      17,133         684      (a)

Liberty Global Inc.

      16,154         548      (a)
        1,232     
Casinos & Gaming — 0.1%     

Penn National Gaming Inc.

      9,650         339      (a)
Coal & Consumable Fuels — 0.1%     

Peabody Energy Corp.

      4,830         309     
Communications Equipment — 1.3%     

Cisco Systems Inc.

      48,864         988      (a)

Juniper Networks Inc.

      11,683         431      (a)

QUALCOMM Inc.

      33,561         1,661     
        3,080     
Computer Hardware — 0.6%     

Apple Inc.

      4,064         1,311      (a)

Hewlett-Packard Co.

      4,051         171     
        1,482     
Computer Storage & Peripherals — 0.2%     

Synaptics Inc.

      12,612         371      (a)
Construction & Engineering — 0.1%     

Quanta Services Inc.

      7,898         157      (a)

 

 

 

 

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

 

23

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       
Construction & Farm Machinery & Heavy Trucks — 0.3%     

Cummins Inc.

      2,110       $ 232     

Deere & Co.

      4,543         378     
        610     
Consumer Finance — 0.1%     

American Express Co.

      4,749         204     
Data Processing & Outsourced Services — 0.8%     

Automatic Data Processing Inc.

      1,403         65     

The Western Union Co.

      47,545         883     

Visa Inc.

      11,918         839     
        1,787     
Department Stores — 0.0%*     

Macy’s Inc.

      4,456         113     
Distributors — 0.0%*     

Genuine Parts Co.

      1,518         78     
Diversified Chemicals — 0.0%*     

EI du Pont de Nemours & Co.

      1,751         87     
Diversified Financial Services — 0.9%     

Bank of America Corp.

      24,005         320     

Citigroup Inc.

      36,684         174      (a)

JPMorgan Chase & Co.

      23,334         990     

US BanCorp

      5,249         142     

Wells Fargo & Co.

      16,546         513     
        2,139     
Diversified Metals & Mining — 0.1%     

Freeport-McMoRan Copper & Gold Inc.

      1,841         221     
Diversified Support Services — 0.1%     

Iron Mountain Inc.

      7,281         182     
Drug Retail — 0.0%*     

CVS Caremark Corp.

      2,684         93     
Electric Utilities — 0.7%     

Edison International

      3,830         147     
     Number
of  Shares		      Fair
Value 		     
       

Entergy Corp.

      1,491       $ 106     

ITC Holdings Corp.

      10,769         667     

NextEra Energy Inc.

      2,778         144     

Northeast Utilities

      12,782         407     

Southern Co.

      2,992         114     
        1,585     
Electrical Components & Equipment — 0.3%

Cooper Industries PLC

      9,241         539     

Emerson Electric Co.

      3,039         174     
        713     
Electronic Components — 0.1%     

Corning Inc.

      7,523         145     
Environmental & Facilities Services — 0.1%

Stericycle Inc.

      1,544         125      (a)
Fertilizers & Agricultural Chemicals — 0.5%

Intrepid Potash Inc.

      7,547         281      (a)

Monsanto Co.

      12,977         903     
        1,184     
Food Distributors — 0.0%*     

Sysco Corp.

      2,572         76     
General Merchandise Stores — 0.5%     

Dollar General Corp.

      6,970         214      (a)

Target Corp.

      13,754         827     
        1,041     
Healthcare Distributors — 0.0%*     

Cardinal Health Inc.

      2,684         103     
Healthcare Equipment — 1.0%     

Becton Dickinson and Co.

      775         66     

Covidien PLC

      20,970         958     

Gen-Probe Inc.

      4,148         242      (a)

Masimo Corp.

      13,467         391     

ResMed Inc.

      16,158         560      (a)
        2,217     
Healthcare Services — 0.8%     

Catalyst Health Solutions Inc.

      9,662         449      (a)

 

 

 

 

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

 

24

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       

Express Scripts Inc.

      20,943       $ 1,132      (a)

Medco Health Solutions Inc.

      1,372         84      (a)

Omnicare Inc.

      7,812         198     
        1,863     
Healthcare Technology — 0.1%     

MedAssets Inc.

      13,594         274      (a)
Home Entertainment Software — 0.2%     

Activision Blizzard Inc.

      32,295         402     
Home Improvement Retail — 0.5%     

Home Depot Inc.

      3,273         115     

Lowe’s companies Inc.

      45,358         1,137     
        1,252     
Homebuilding — 0.1%     

MDC Holdings Inc.

      4,734         136     
Homefurnishing Retail — 0.2%     

Bed Bath & Beyond Inc.

      9,693         476      (a)
Hotels, Resorts & Cruise Lines — 0.2%     

Carnival Corp.

      9,197         424     

Marriott International Inc.

      2,392         99     
        523     
Household Products — 0.5%     

Clorox Co.

      5,581         353     

Kimberly-Clark Corp.

      1,852         117     

The Procter & Gamble Co.

      11,160         718     
        1,188     
Hypermarkets & Super Centers — 0.0%*     

Wal-Mart Stores Inc.

      1,904         103     
Independent Power Producers & Energy Traders — 0.1%     

Calpine Corp.

      4,861         65      (a)

The AES Corp.

      5,249         64      (a)
        129     
Industrial Conglomerates — 0.0%*     

3M Co.

      725         63     
     Number
of  Shares		      Fair
Value 		     
       
Industrial Gases — 0.5%     

Praxair Inc.

      12,177       $ 1,162     
Industrial Machinery — 0.3%     

Eaton Corp.

      1,808         183     

Harsco Corp.

      18,003         510     
        693     
Integrated Oil & Gas — 1.0%     

Chevron Corp.

      10,090         921     

ConocoPhillips

      3,694         252     

Exxon Mobil Corp.

      10,155         742      (h)

Marathon Oil Corp.

      5,016         186     

Occidental Petroleum Corp.

      1,449         142     
        2,243     
Integrated Telecommunication Services — 0.4%

AT&T Inc.

      17,777         522     

Verizon Communications Inc.

      10,889         389     

Windstream Corp.

      3,556         50     
        961     
Internet Software & Services — 0.7%     

Equinix Inc.

      7,059         574      (a)

Google Inc.

      1,294         769      (a)

MercadoLibre Inc.

      3,858         257      (a)
        1,600     
Investment Banking & Brokerage — 0.6%     

Morgan Stanley

      6,366         173     

The Goldman Sachs Group Inc.

      7,482         1,258     
        1,431     
IT Consulting & Other Services — 0.4%     

International Business Machines Corp.

      6,344         931      (h)
Life & Health Insurance — 0.6%     

Aflac Inc.

      7,376         416     

MetLife Inc.

      7,219         321     

Principal Financial Group Inc.

      6,944         226     

Prudential Financial Inc.

      7,238         425     
        1,388     

 

 

 

 

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

 

25

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       
Life Sciences Tools & Services — 0.9%     

Covance Inc.

      6,172       $ 317      (a)

Illumina Inc.

      7,329         464      (a)

Life Technologies Corp.

      4,864         270      (a)

Mettler-Toledo International Inc.

      2,634         398      (a)

Thermo Fisher Scientific Inc.

      11,266         624      (a)
        2,073     
Movies & Entertainment — 0.5%     

News Corp.

      17,824         260     

Regal Entertainment Group

      11,132         131     

The Walt Disney Co.

      6,655         250     

Time Warner Inc.

      16,658         536     
        1,177     
Multi-Line Insurance — 0.3%     

HCC Insurance Holdings Inc.

      19,919         576     
Multi-Utilities — 0.2%     

Dominion Resources Inc.

      9,664         413     

Xcel Energy Inc.

      2,217         52     
        465     
Office REITs — 0.2%     

Douglas Emmett Inc.

      11,938         198     

SL Green Realty Corp.

      2,493         168     
        366     
Oil & Gas Equipment & Services — 1.3%     

Dresser-Rand Group Inc.

      7,761         331      (a)

Halliburton Co.

      1,736         71     

McDermott International Inc.

      8,501         176      (a)

National Oilwell Varco Inc.

      1,491         100     

Schlumberger Ltd.

      21,955         1,833     

Weatherford International Ltd.

      18,005         411      (a)
        2,922     
Oil & Gas Exploration & Production — 0.9%

Apache Corp.

      6,146         732     

Devon Energy Corp.

      1,620         127     

EQT Corp.

      5,908         265     

Petrohawk Energy Corp.

      15,544         284      (a)

Pioneer Natural Resources Co.

      3,562         309     
     Number
of  Shares		      Fair
Value 		     
       

Range Resources Corp.

      5,226       $ 235     

Southwestern Energy Co.

      3,129         117      (a)
        2,069     
Oil & Gas Storage & Transportation — 0.2%

El Paso Corp.

      23,127         318     

Spectra Energy Corp.

      7,034         176     
        494     
Packaged Foods & Meats — 0.5%     

Kellogg Co.

      1,777         91     

Kraft Foods Inc.

      16,175         510     

McCormick & Company Inc.

      6,678         310     

Mead Johnson Nutrition Co.

      3,793         236     
        1,147     
Personal Products — 0.1%     

Avon Products Inc.

      4,155         121     
Pharmaceuticals — 0.8%     

Abbott Laboratories

      1,636         78     

Bristol-Myers Squibb Co.

      11,949         316     

Hospira Inc.

      5,188         289      (a)

Johnson & Johnson

      12,153         751     

Merck & Company Inc.

      3,207         116     

Pfizer Inc.

      22,958         402     
        1,952     
Property & Casualty Insurance — 0.3%     

ACE Ltd.

      9,028         562     

The Travelers Companies Inc.

      1,683         94     
        656     
Railroads — 0.2%     

Union Pacific Corp.

      4,613         428     
Real Estate Services — 0.4%     

CB Richard Ellis Group Inc. (REIT)

      40,113         822      (a,h)
Regional Banks — 0.2%     

Regions Financial Corp.

      22,655         159     

Zions Bancorp.

      8,358         203     
        362     

 

 

 

 

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

 

26

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       
Reinsurance — 0.1%     

PartnerRe Ltd.

      2,327       $ 187     
Research & Consulting Services — 0.2%     

IHS Inc.

      4,936         397      (a)
Restaurants — 0.1%     

McDonald’s Corp.

      3,086         237     
Security & Alarm Services — 0.4%     

Corrections Corporation of America

      31,703         795      (a)
Semiconductor Equipment — 0.1%     

KLA-Tencor Corp.

      6,679         258     
Semiconductors — 1.1%     

Cree Inc.

      2,315         153      (a)

Hittite Microwave Corp.

      6,856         418      (a)

Intel Corp.

      48,496         1,019      (h)

Marvell Technology Group Ltd.

      21,193         393      (a)

Microchip Technology Inc.

      5,469         187     

Texas Instruments Inc.

      13,183         428     
        2,598     
Soft Drinks — 0.8%     

Coca-Cola Enterprises Inc.

      10,091         253     

PepsiCo Inc.

      24,748         1,617     
        1,870     
Specialized Finance — 0.8%     

CBOE Holdings Inc.

      7,735         177     

CME Group Inc.

      4,170         1,342     

MSCI Inc.

      5,170         201      (a)
        1,720     
Specialized REITs — 0.1%     

Healthcare Inc.

      1,262         60     

Public Storage

      701         71     

Rayonier Inc.

      728         38     
        169     
     Number
of  Shares		      Fair
Value 		     
       
Specialty Chemicals — 0.0%*     

Cytec Industries Inc.

      1,568       $ 83     
Steel — 0.7%     

Allegheny Technologies Inc.

      21,887         1,207     

Steel Dynamics Inc.

      15,148         277     
        1,484     
Systems Software — 1.6%     

Microsoft Corp.

      75,767         2,115     

Oracle Corp.

      20,213         633     

Rovi Corp.

      15,587         967      (a)
        3,715     
Thrifts & Mortgage Finance — 0.2%     

People’s United Financial Inc.

      28,502         399     
Tobacco — 0.1%     

Philip Morris International Inc.

      2,936         172     
Trading Companies & Distributors — 0.1%     

MSC Industrial Direct Co.

      4,069         263     
Water Utilities — 0.0%*     

American Water Works Company Inc.

      2,057         52     
Wireless Telecommunication Services — 0.9%

American Tower Corp.

      9,142         472      (a)

NII Holdings Inc.

      34,232         1,529      (a)

Syniverse Holdings Inc.

      1,598         49      (a)
        2,050     

Total Domestic Equity
(Cost $68,682)

               80,647       

Foreign Equity — 25.8%

  

    
Aerospace & Defense — 0.6%     

CAE Inc.

      35,823         415     

European Aeronautic Defence and Space Company N.V.

      17,149         401     

 

 

 

 

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

 

27

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       

Safran S.A.

      12,450       $ 443     
        1,259     
Agricultural Products — 0.1%     

China Agri-Industries Holdings Ltd.

      37,652         43     

Cosan SA Industria e Comercio

      5,699         95     

Global Bio-Chem Technology Group Company Ltd.

      172,258         26     

IOI Corporation Bhd

      18,622         35     
        199     
Apparel Retail — 0.1%     

Esprit Holdings Ltd.

      40,647         193     
Apparel, Accessories & Luxury Goods — 0.2%

Adidas AG

      5,746         377     

China Dongxiang Group Company

      32,035         14     

Ports Design Ltd.

      24,225         67     
        458     
Application Software — 0.4%     

Autonomy Corporation PLC

      12,918         304      (a)

Longtop Financial Technologies Ltd. ADR

      4,293         155      (a)

SAP AG

      7,233         370     
        829     
Asset Management & Custody Banks — 0.0%*

Mirae Asset Securities Company Ltd.

      1,065         56     
Automobile Manufacturers — 1.0%     

Daimler AG

      9,006         613     

Hyundai Motor Company

      320         49      (a)

Mahindra & Mahindra Ltd.

      2,025         35     

Suzuki Motor Corp.

      40,466         998     

Toyota Motor Corp.

      12,130         482     
        2,177     
Brewers — 0.0%*        

Anadolu Efes Biracilik Ve Malt Sanayii AS

      3,459         53     
     Number
of  Shares		      Fair
Value 		     
       
Broadcasting — 0.1%     

Grupo Televisa S.A. ADR

      2,404       $ 62      (a)

Zee Entertainment Enterprises Ltd.

      14,678         48     

Zee Learn Ltd.

      1,835         1      (a)
        111     
Building Products — 0.1%        

Daikin Industries Ltd.

      8,000         284     
Casinos & Gaming — 0.0%*        

Genting Bhd

      9,900         36     
Coal & Consumable Fuels — 0.2%

Paladin Energy Ltd.

      88,426         447      (a)
Communications Equipment — 0.6%     

HTC Corp.

      3,000         93     

Research In Motion Ltd.

      13,402         782      (a)

Telefonaktiebolaget LM Ericsson

      33,939         395     

ZTE Corp.

      3,602         14     
        1,284     
Construction & Engineering — 0.4%     

China State Construction International Holdings Ltd.

      65,794         62     

Doosan Heavy Industries and Construction Company Ltd.

      1,161         88      (a)

Larsen & Toubro Ltd.

      11,948         529     

Vinci S.A.

      6,395         349     
        1,028     
Construction & Farm Machinery & Heavy Trucks — 0.2%     

CSR Corp Ltd.

      276,906         364     

First Tractor Company Ltd.

      21,643         24     

Sany Heavy Equipment International Holdings Company Ltd.

      64,096         95     

United Tractors Tbk PT

      19,499         52     
        535     
Construction Materials — 0.1%        

CRH PLC

      14,333         301     

 

 

 

 

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

 

28

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       
Consumer Electronics — 0.0%*        

LG Electronics Inc.

      176       $ 18      (a)
Distillers & Vintners — 0.1%     

Diageo PLC

      11,723         217     

Diageo PLC ADR

      957         71     
        288     
Diversified Capital Markets — 0.2%     

Credit Suisse Group AG

      14,353         580     
Diversified Financial Services — 2.9%     

Axis Bank Ltd.

      2,796         84     

Banco Santander Brasil S.A.

      51,500         699     

Banco Santander S.A.

      76,032         809     

Bank of China Ltd.

      800,996         423     

Bank Rakyat Indonesia Persero Tbk PT

      68,500         80     

BNP Paribas

      15,216         972     

Credit Agricole S.A.

      15,714         200     

Grupo Financiero Banorte SAB de C.V.

      8,527         41     

Halyk Savings Bank of Kazakhstan JSC GDR

      3,370         34      (a)

HSBC Holdings PLC

      119,416         1,217     

ICICI Bank Ltd.

      1,807         46     

Industrial & Commercial Bank of China

      70,222         52     

Kasikornbank PCL

      22,910         99     

KB Financial Group Inc.

      759         40      (a)

Lloyds Banking Group PLC

      594,255         611      (a)

Metropolitan Bank & Trust

      50,970         84     

Mitsubishi UFJ Financial Group Inc.

      97,738         529     

Standard Bank Group Ltd.

      4,073         66     

UniCredit S.p.A.

      228,790         475     

Yapi ve Kredi Bankasi AS

      29,918         94      (a)
        6,655     
Diversified Metals & Mining — 1.3%     

Anglo American PLC

      1,712         89     

Antofagasta PLC

      5,176         131     

BHP Billiton PLC

      29,523         1,179     

China Molybdenum Company Ltd.

      37,914         35     
     Number
of  Shares		      Fair
Value 		     
       

Eurasian Natural Resources Corporation PLC

      5,005       $ 82     

Lynas Corporation Ltd.

      175,410         370      (a)

New World Resources N.V.

      5,471         82     

Rio Tinto PLC

      15,766         1,107     
        3,075     
Diversified Real Estate Activities — 0.2%     

Mitsubishi Estate Company Ltd. (REIT)

      14,982         278     

Sumitomo Realty & Development Company Ltd. (REIT)

      10,000         239     
        517     
Diversified Support Services — 0.1%        

Brambles Ltd.

      45,815         334     
Education Services — 0.0%*     

MegaStudy Company Ltd.

      276         43      (a)
Electric Utilities — 0.1%     

Power Grid Corporation of India Ltd.

      69,343         152     
Electrical Components & Equipment — 0.4%     

Schneider Electric S.A.

      5,726         860     

Zhuzhou CSR Times Electric Company Ltd.

      19,606         77     
        937     
Electronic Components — 0.3%     

Delta Electronics Inc.

      135,296         661     

Samsung SDI Company Ltd.

      410         61      (a)
        722     
Electronic Equipment & Instruments — 0.0%*     

China Security & Surveillance Technology Inc.

      6,359         34      (a)

Wasion Group Holdings Ltd.

      45,228         30     
        64     
Electronic Manufacturing Services — 0.1%     

Hon Hai Precision Industry Company Ltd.

      31,296         126     

 

 

 

 

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

 

29

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       
Fertilizers & Agricultural Chemicals — 1.0%     

Potash Corporation of Saskatchewan Inc.

      7,358       $ 1,144     

Potash Corporation of Saskatchewan Inc.

      1,100         170     

Sinofert Holdings Ltd.

      40,616         21     

Sociedad Quimica y Minera de Chile S.A. ADR

      4,411         258     

Syngenta AG

      2,308         677     

Taiwan Fertilizer Company Ltd.

      13,377         50     
        2,320     
Food Distributors — 0.0%*     

Alliance Global Group Inc.

      160,721         46     
Food Retail — 0.5%     

Koninklijke Ahold N.V.

      21,724         288     

Shoprite Holdings Ltd.

      4,664         70     

Tesco PLC

      98,593         656     

X5 Retail Group N.V. GDR

      1,182         55      (a)
        1,069     
Gold — 0.1%     

Barrick Gold Corp.

      3,388         180     

Kinross Gold Corp.

      7,696         146     
        326     
Healthcare Distributors — 0.1%     

Sinopharm Group Co.

      6,000         21     
Healthcare Services — 0.0%*     

Fleury S.A.

      5,077         82     
Healthcare Supplies — 0.4%     

Cie Generale d’Optique Essilor International S.A.

      12,569         812     

Shandong Weigao Group Medical Polymer Company Ltd.

      16,470         47     
        859     
Heavy Electrical Equipment — 0.0%*     

Xinjiang Goldwind Science & Technology Company Ltd.

      10,529         22      (a)
     Number
of  Shares		      Fair
Value 		     
       
Hotels, Resorts & Cruise Lines — 0.0%*     

Minor International PCL

      98,700       $ 39     
Household Appliances — 0.0%*     

Techtronic Industries Co.

      38,000         50     
Household Products — 0.6%     

Reckitt Benckiser Group PLC

      12,458         688     

Unicharm Corp.

      16,100         641     
        1,329     
Human Resource & Employment Services — 0.1%     

The Capita Group PLC

      27,593         301     
Hypermarkets & Super Centers — 0.3%     

Metro AG

      10,255         741     
Independent Power Producers & Energy Traders — 0.0%*     

China WindPower Group Ltd.

      158,153         16      (a)
Industrial Conglomerates — 1.2%     

Chongqing Machinery & Electric Company Ltd.

      150,001         56     

Hutchison Whampoa Ltd.

      45,584         470     

Koninklijke Philips Electronics N.V.

      27,404         843     

Siemens AG

      10,761         1,338     
        2,707     
Industrial Gases — 0.6%     

Linde AG

      6,544         997     

OCI Materials Company Ltd.

      768         69      (a)

Taiyo Nippon Sanso Corp.

      27,996         247     
        1,313     
Industrial Machinery — 0.4%     

FANUC Corp.

      2,800         430     

Mitsubishi Heavy Industries Ltd.

      1,000         4     

SMC Corp.

      2,400         412     
        846     

 

 

 

 

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

 

30

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       
Integrated Oil & Gas — 2.0%     

BG Group PLC

      33,393       $ 678     

ENI S.p.A.

      8,751         192     

Gazprom OAO ADR

      3,848         98     

Lukoil OAO ADR

      2,371         136     

Petroleo Brasileiro S.A. ADR

      22,708         776     

Royal Dutch Shell PLC

      27,569         923     

Suncor Energy Inc.

      32,523         1,248     

Total S.A.

      10,212         543     
        4,594     
Integrated Telecommunication Services — 0.3%     

China Unicom Hong Kong Ltd.

      47,121         67     

Telefonica S.A.

      21,527         490     

Telefonica S.A. ADR

      1,216         83     
        640     
Internet Retail — 0.0%*     

E-Commerce China Dangdang Inc. ADR

      507         14      (a)
Internet Software & Services — 0.7%     

Baidu Inc. ADR

      17,201         1,660      (a)

Tencent Holdings Ltd.

      600         13     
        1,673     
Investment Banking & Brokerage — 0.4%     

Egyptian Financial Group-Hermes Holding

      23,721         137     

Nomura Holdings Inc.

      110,655         703     
        840     
IT Consulting & Other Services — 0.3%     

Cap Gemini S.A.

      8,128         381     

HCL Technologies Ltd.

      6,354         65     

Infosys Technologies Ltd.

      881         68     

Telvent GIT S.A.

      5,095         135     
        649     
Life & Health Insurance — 0.8%     

AIA Group Ltd.

      96,716         272      (a)

China Life Insurance Company Ltd.

      11,091         45     

Prudential PLC

      91,790         960     
     Number
of  Shares		      Fair
Value 		     
       

Sony Financial Holdings Inc.

      154       $ 624     

Tong Yang Life Insurance

      2,320         24     
        1,925     
Marine — 0.1%     

AP Moller—Maersk A/S

      34         309     
Multi-Line Insurance — 0.3%     

AXA S.A.

      27,252         455     

Zurich Financial Services AG

      1,021         265     
        720     
Multi-Utilities — 0.4%     

National Grid PLC

      71,795         622     

Veolia Environnement S.A.

      12,584         369     
        991     
Oil & Gas Drilling — 0.1%     

Noble Corp.

      6,055         217     
Oil & Gas Exploration & Production — 0.1%     

Afren PLC

      55,906         129      (a)

CNOOC Ltd.

      34,000         81     
        210     
Oil & Gas Refining & Marketing — 0.1%     

Reliance Industries Ltd.

      1,185         28     

Reliance Industries Ltd. GDR

      1,373         65      (b)
        93     
Packaged Foods & Meats — 0.8%     

Feihe International Inc.

      1,574         17      (a)

Nestle S.A.

      25,453         1,495     

Nestle S.A. ADR

      1,193         70     

Unilever N.V., CVA

      11,470         359     
        1,941     
Personal Products — 0.0%*     

Natura Cosmeticos S.A.

      1,000         29     
Pharmaceuticals — 0.8%     

Aspen Pharmacare Holdings Ltd.

      2,711         38     

Bayer AG

      5,968         443     

 

 

 

 

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

 

31

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       

Lijun International Pharmaceutical Holding Ltd.

      68,311       $ 20     

Novartis AG

      9,712         573     

Novartis AG ADR

      3,340         197     

Roche Holding AG

      3,955         581     
        1,852     
Real Estate Development — 0.0%*     

Glorious Property Holdings Ltd. (REIT)

      83,329         28     

Unitech Ltd. (REIT)

      31,912         47     
        75     
Real Estate Operating Companies — 0.0%*     

Iguatemi Empresa de Shopping Centers S.A. (REIT)

      1,406         35     
Regional Banks — 0.2%     

The Bank of Yokohama Ltd.

      71,603         372     
Security & Alarm Services — 0.2%     

G4S PLC

      87,828         352     
Semiconductors — 1.0%     

Samsung Electronics Company Ltd.

      1,230         1,028     

Taiwan Semiconductor Manufacturing Company Ltd.

      432,779         1,054     

Taiwan Semiconductor Manufacturing Company Ltd. ADR

      7,644         96     
        2,178     
Specialized Finance — 0.3%     

Deutsche Boerse AG

      9,668         672     
Steel — 0.7%     

Mechel ADR

      1,136         11     

Mechel ADR

      3,495         102     

POSCo.

      168         72     

Sumitomo Metal Industries Ltd.

      241,957         597     

Tata Steel Ltd.

      2,753         42     

ThyssenKrupp AG

      8,792         365     

Vale S.A. ADR

      15,247         461      (a)
        1,650     
     Number
of  Shares		      Fair
Value 		     
       
Trading Companies & Distributors — 0.2%     

Mitsubishi Corp.

      16,000       $ 434     
Wireless Telecommunication Services — 0.9%     

America Movil SAB de C.V. ADR

      9,570         549     

Mobile Telesystems OJSC ADR

      18,521         387     

MTN Group Ltd.

      30,036         610     

Vodafone Group PLC

      170,917         444     
        1,990     

Total Foreign Equity (Common Stock)
(Cost $52,514)

               59,303       

Preferred Stock — 0.8%

  

    
Healthcare Services — 0.2%     

Fresenius SE

      5,203         447     
Automobile Manufacturers — 0.4%     

Volkswagen AG

      5,340         870     
Diversified Financial Services — 0.1%     

Itau Unibanco Holding S.A.

      6,292         151     
Integrated Oil & Gas — 0.0%*     

Petroleo Brasileiro S.A.

      7,031         116     
Steel — 0.1%     

Usinas Siderurgicas de Minas Gerais S.A.

      3,948         46     

Vale S.A.

      7,987         233     
        279     
Wireless Telecommunication Services — 0.0%*     

Vivo Participacoes S.A.

      1,200         39     

Total Preferred Stock
(Cost $1,417)

               1,902       

 

 

 

 

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

 

32

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

     Number
of  Shares		      Fair
Value 		     
       

Rights — 0.0%*

                      

Metropolitan Bank & Trust
(Cost $0)

      5,333       $ 3     

Total Foreign Equity
(Cost $53,931)

         61,208     
          Principal
Amount		      Value      
          

Bonds and Notes — 30.1%

U.S. Treasuries - 4.9%        

U.S. Treasury Bonds

        
3.88%   

08/15/40

    $ 3,974         3,661      (h)

U.S. Treasury Notes

        
1.25%   

09/30/15

      499         484      (h)
2.63%   

08/15/20

      6,883         6,526      (h)
3.25%   

07/31/16

      506         532      (h)
           11,203     
Agency Mortgage Backed — 9.3%        

Federal Home Loan Mortgage Corp.

  

     
4.50%   

06/01/33 - 02/01/35

      21         21      (h)
5.00%   

07/01/35 - 08/01/40

      1,159         1,218      (h)
5.00%   

07/01/35

      8         8      (h,q)
5.50%   

05/01/20 - 04/01/39

      123         131      (h,q)
5.50%   

01/01/38

      174         189     
6.00%   

06/01/17 - 11/01/37

      528         582      (h)
6.00%   

04/01/17 - 05/01/34

      33         37      (h,q)
6.50%   

11/01/28 - 07/01/29

      17         19      (h)
7.00%   

10/01/16 - 07/01/34

      8         9      (h,q)
7.00%   

06/01/29 - 08/01/36

      49         55      (h)
7.50%   

12/01/30

      12         13      (h,q)
7.50%   

09/01/12 - 09/01/33

      4         4      (h)
8.00%   

07/01/26 - 11/01/30

      6         7      (h)
8.50%   

04/01/30 - 05/01/30

      22         26      (h)

Federal National Mortgage Assoc.

        
4.00%   

05/01/19 - 10/01/40

      1,908         1,901      (h)
4.50%   

05/01/18 - 11/01/40

      4,145         4,269      (h)
5.00%   

07/01/20 - 11/01/40

      1,910         2,011      (h)
5.32%   

03/01/37

      1         1      (i)
          Principal
Amount 		     Fair
Value 		     
          
5.50%   

04/01/14 - 01/01/39

    $ 1,712       $ 1,845      (h)
5.53%   

04/01/37

      2         2      (i)
6.00%   

02/01/14 - 08/01/35

      643         711      (h)
6.50%   

12/01/14 - 08/01/36

      150         167      (h)
7.00%   

01/01/16 - 12/01/33

      14         15      (h)
7.50%   

09/01/13 - 03/01/34

      41         47      (h)
8.00%   

12/01/11 - 11/01/33

      45         52      (h)
8.50%   

05/01/31

      3         3      (h)
9.00%   

04/01/16 - 12/01/22

      10         11      (h)
4.50%   

TBA

      4,383         4,500      (c)
5.00%   

TBA

      2,304         2,430      (c)
6.50%   

TBA

      490         545      (c)

Government National Mortgage Assoc.

        
4.50%   

08/15/33 - 09/15/34

      84         87      (h)
5.00%   

08/15/33

      34         37      (h)
6.00%   

04/15/30 - 09/15/36

      38         42      (h)
6.50%   

06/15/24 - 07/15/36

      73         85      (h)
7.00%   

03/15/12 - 10/15/36

      50         54      (h)
7.50%   

07/15/23 - 04/15/28

      29         35      (h)
8.00%   

05/15/30

      1         1      (h)
8.50%   

10/15/17

      20         23      (h)
9.00%   

11/15/16 - 12/15/21

      22         23      (h)
5.50%   

TBA

      50         54      (c)
           21,270     
Agency Collateralized Mortgage Obligations — 0.7%     

Collateralized Mortgage Obligation Trust (Class B)

        
2.75%   

11/01/18

      1         1      (d,f,h,q)

Fannie Mae Whole Loan

        
0.97%   

08/25/43

      254         8      (g,h,r)

Federal Home Loan Mortgage Corp.

        
0.08%   

09/25/43

      350         3      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC

        
5.00%   

05/15/38

      56         58     
5.50%   

04/15/17

      21         1      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 1980)
(Class 1980)

        
7.50%   

07/15/27

      23         5      (g,h,r)

 

 

 

 

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

 

33

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Federal Home Loan Mortgage Corp. REMIC (Series 2631) (Class DI)

        
5.50%   

06/15/33

    $ 54       $ 11      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2643) (Class IM)

        
4.50%   

03/15/18

      48         4      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2645) (Class BI)

        
4.50%   

02/15/18

      23         2      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2647) (Class DI)**

        
4.50%   

10/15/16

      7         —      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2656) (Class IU)**

        
5.00%   

04/15/28

      3         —      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2722) (Class PI)**

        
5.00%   

06/15/28

      8         —      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2763) (Class JI)

        
5.00%   

10/15/18

      38         3      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2781) (Class IC)

        
5.00%   

05/15/18

      23         1      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2852) (Class OJ)

        
14.25%   

09/15/34

      15         14      (d,f)

Federal Home Loan Mortgage Corp. REMIC (Series 2990)
(Class TS)

        
6.49%   

05/15/35

      184         18      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 33)
(Class 33D)

        
8.00%   

04/15/20

      1         1      (h)
          Principal
Amount 		     Fair
Value 		     
          

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IA)

        
6.15%   

05/15/37

    $ 195       $ 30      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IB)

        
6.15%   

05/15/37

      195         30      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IC)

        
6.15%   

05/15/37

      195         30      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class ID)

        
6.15%   

05/15/37

      195         30      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IE)

        
6.15%   

05/15/37

      283         44      (g,r)

Federal Home Loan Mortgage Corp. STRIPS**

        
8.00%   

02/01/23 - 07/01/24

      4         —      (g,h,r)

Federal Home Loan Mortgage Corp. STRIPS (Class IO)

        
5.00%   

12/01/34

      163         32      (g,h,q,r)

Federal Home Loan Mortgage STRIPS

        
4.39%   

08/01/27

      1         1      (d,f,h)

Federal National Mortgage Assoc. REMIC

        
5.00%   

08/25/38

      56         57     
5.24%   

01/25/37

      274         33      (g,r)
5.74%   

07/25/38 - 12/25/40

      601         84      (g,r)
5.79%   

11/25/40

      393         65      (g,r)
6.07%   

03/25/40

      427         62      (g,r)
6.14%   

12/25/36

      215         26      (g,r)

Federal National Mortgage Assoc. REMIC (Class B)

        
2.52%   

12/25/22

      2         2      (d,f,h)

Federal National Mortgage Assoc. REMIC (Class CS)**

        
7.44%   

08/25/16

      4         —      (g,h,r)

 


 

 

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

 

34

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

Federal National Mortgage Assoc. REMIC (Class VZ)

        
5.00%   

10/25/35

    $ 53       $ 51     

Federal National Mortgage Assoc. REMIC (Series 2003)

        
7.24%   

05/25/18

      378         44      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class HI)

        
5.00%   

10/25/22

      22         2      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class IJ)

        
5.00%   

02/25/32

      84         10      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class IO)

        
1.19%   

12/25/42

      88         4      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class KI)

        
4.50%**   

05/25/18

      6         —      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class SL)

        
16.04%   

03/25/31

      45         52      (h)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IA)

        
6.15%   

06/25/37

      146         24      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IB)

        
6.15%   

06/25/37

      146         24      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IC)

        
6.15%   

06/25/37

      146         24      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class ID)

        
6.15%   

06/25/37

      146         24      (g,r)
          Principal
Amount 		     Fair
Value 		     
          

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IE)

        
6.15%   

06/25/37

    $ 146       $ 24      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IF)

        
6.15%   

06/25/37

      224         36      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2008) (Class ZW)

        
5.00%   

07/25/38

      45         45     

Federal National Mortgage Assoc. STRIPS

        
6.00%   

01/01/35

      48         8      (g,r)

Federal National Mortgage Assoc. STRIPS (Class 2)

        
4.50%   

08/01/35

      86         16      (g,r)
5.00%   

03/25/38

      69         11      (g,r)
5.50%   

12/01/33

      27         6      (g,r)
7.50%   

11/01/23

      46         8      (g,h,r)
8.00%   

08/01/23 - 07/01/24

      10         2      (g,h,r)
8.50%**   

04/01/17

      3         —      (g,h,r)
9.00%**   

05/25/22

      2         —      (g,h,r)

Federal National Mortgage Assoc. STRIPS (Series 364) (Class 1)

        
4.50%   

09/01/35

      141         26      (g,r)

Federal National Mortgage Assoc. STRIPS (Series 378) (Class 1)

        
4.50%   

01/01/36

      106         19      (g,r)

Federal National Mortgage Assoc. STRIPS (Series 387) (Class 1)

        
5.00%   

05/25/38

      68         10      (g,r)

Government National Mortgage Assoc.

        
4.50%   

11/20/39

      133         129     
5.00%   

10/20/37 - 09/20/38

      334         49      (g,r)
5.74%   

11/20/39

      835         127      (g,r)
5.99%   

10/16/39

      296         41      (g,r)
6.24%   

01/16/39

      504         79      (g,r)

 


 

 

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

 

35

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Government National Mortgage Assoc. (Class IC)

        
5.99%   

04/16/37

    $ 134       $ 23      (g,r)

Vendee Mortgage Trust

        
0.38%   

04/15/40

      267         6      (g,h,r)

Vendee Mortgage Trust
(Class 2003)

        
0.86%   

05/15/33

      157         6      (g,r)
           1,586     
Asset Backed — 0.4%     

Bear Stearns Asset Backed Securities Trust (Series 2003) (Class A)

        
4.40%   

01/25/34

      6         5      (d,h)

Citicorp Residential Mortgage Securities Inc. (Series 2006) (Class A5)

        
6.04%   

09/25/36

      50         43      (h)

Countrywide Asset — Backed Certificates

        
1.12%   

05/25/33

      3         3      (h)

Countrywide Asset — Backed Certificates (Class A)

        
21.59%   

04/25/32

      14         9      (d,h)

Countrywide Asset — Backed Certificates (Class AF6)

        
4.74%   

10/25/35

      44         40     

Mid — State Trust (Class A3)

        
7.54%   

07/01/35

      9         9      (h,q)

Popular ABS Mortgage Pass — Through Trust (Class AF4)

        
5.30%   

11/25/35

      50         42     

Residential Asset Mortgage Products Inc. (Class A2)

        
6.23%   

06/25/32

      13         11      (d,h)

Residential Asset Securities Corp. (Series 2002) (Class AIIB)

        
31.64%   

07/25/32

      5         3      (d,h)

Saxon Asset Securities Trust

        
5.23%   

08/25/35

      873         837      (h)
           1,002     
          Principal
Amount 		     Fair
Value 		     
          
Corporate Notes — 10.6%     

AES El Salvador Trust

        
6.75%   

02/01/16

    $ 100       $ 97      (b)

AES Panama S.A.

        
6.35%   

12/21/16

      30         32      (b,h)

Agilent Technologies Inc.

        
5.00%   

07/15/20

      82         83     
5.50%   

09/14/15

      40         43      (h)

Alcoa Inc.

        
6.15%   

08/15/20

      119         122     

Allergan Inc.

        
3.38%   

09/15/20

      163         154     

Alliance One International Inc.

        
10.00%   

07/15/16

      80         82     

Ameren Illinois Co.

        
9.75%   

11/15/18

      72         92     

American International Group Inc.

        
5.85%   

01/16/18

      41         42     

American Tower Corp.

        
4.50%   

01/15/18

      126         125     

Amsted Industries Inc.

        
8.13%   

03/15/18

      93         99      (b,h)

Anadarko Petroleum Corp.

        
6.20%   

03/15/40

      196         191      (h)
6.38%   

09/15/17

      41         45     

Anheuser-Busch InBev Worldwide Inc.

        
3.63%   

04/15/15

      123         127     
5.00%   

04/15/20

      202         214     
5.38%   

11/15/14

      164         181      (b,h)

ARAMARK Corp.

        
8.50%   

02/01/15

      70         73      (h)

Arizona Public Service Co.

        
6.25%   

08/01/16

      80         89      (h)

AT&T Inc.

        
6.40%   

05/15/38

      213         226      (h)
6.70%   

11/15/13

      84         95      (h)

Avis Budget Car Rental LLC

        
9.63%   

03/15/18

      44         47     

Ball Corp.

        
5.75%   

05/15/21

      63         61     

 


 

 

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

 

36

Table of Contents
Elfun Diversified Fund    (in thousands) — December 31, 2010

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Banco do Brasil Cayman

        
8.50%   

10/29/49

    $ 100       $ 115      (b,h,i)

Banco do Nordeste do Brasil S.A.

        
3.63%   

11/09/15

      100         98      (b)

Banco Mercantil del Norte S.A. (Series REGS)

        
6.14%   

10/13/16

      12         12      (i)

BanColombia S.A.

        
6.13%   

07/26/20

      15         15     

Bank of America Corp.

        
4.50%   

04/01/15

      315         320      (h)
5.63%   

07/01/20

      315         321      (h)
5.75%   

12/01/17

      165         172      (h)
6.50%   

08/01/16

      85         92      (h)

BE Aerospace Inc.

        
8.50%   

07/01/18

      56         61     

Boise Paper Holdings LLC

        
8.00%   

04/01/20

      119         127     

Bombardier Inc.

        
7.75%   

03/15/20

      849         915      (b,h)

BP Capital Markets PLC

        
3.13%   

10/01/15

      41         41     
4.50%   

10/01/20

      41         41     

Calpine Corp.

        
7.25%   

10/15/17

      12         12      (b,h)

Cantor Fitzgerald LP

        
7.88%   

10/15/19

      31         32      (b,h)

Cargill Inc.

        
5.20%   

01/22/13

      215         232      (b,h)
6.00%   

11/27/17

      1         1      (b,h)

CBS Corp.

        
5.75%   

04/15/20

      110         117      (h)
5.90%   

10/15/40

      57         55     

CCO Holdings LLC

        
7.88%   

04/30/18

      188         195     
8.13%   

04/30/20

      34         36     

Central American Bank for Economic Integration

        
5.38%   

09/24/14

      60         64      (b,h)

Chesapeake Energy Corp.

        
6.63%   

08/15/20

      87         86     
7.25%   

12/15/18

      144         149      (h)
          Principal
Amount 		     Fair
Value 		     
          

Cincinnati Bell Inc.

        
8.25%   

10/15/17

    $ 110       $ 109      (h)
8.75%   

03/15/18

      66         62      (h)

Citigroup Inc.

        
5.00%   

09/15/14

      189         196      (h)
5.13%   

05/05/14

      326         346      (h)
5.38%   

08/09/20

      171         178     
6.13%   

11/21/17

      41         45     
6.38%   

08/12/14

      150         166      (h)
8.50%   

05/22/19

      73         91     

Clarendon Alumina Production Ltd.

        
8.50%   

11/16/21

      100         100      (b,h)

Community Health Systems Inc.

        
8.88%   

07/15/15

      210         221      (h)

Consolidated Edison Company of New York Inc.

        
6.65%   

04/01/19

      15         18      (h)

Consolidated Edison Company of New York Inc. (Series 2008)

        
5.85%   

04/01/18

      16         18      (h)

Corp Nacional del Cobre de Chile

        
3.75%   

11/04/20

      100         95      (b)
5.63%   

09/21/35

      12         12      (b,h)

Credit Suisse First Boston International for CJSC The EXIM of Ukraine

        
7.65%   

09/07/11

      100         101     

Crown Castle International Corp.

        
7.13%   

11/01/19

      68         72      (h)

Crown Castle Towers LLC

        
4.88%   

08/15/40

      100         96      (b)
6.11%   

01/15/40

      55         57      (b,h)

CVS Caremark Corp.

        
3.25%   

05/18/15

      60         61      (h)
5.75%   

06/01/17

      46         51      (h)
6.13%   

09/15/39

      259         277      (h)

Denbury Resources Inc.

        
8.25%   

02/15/20

      56         61      (h)

DirecTV Holdings LLC

        
4.75%   

10/01/14

      109         116      (h)
5.88%   

10/01/19

      70         76      (h)

 

 

 

 

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

 

37

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Dolphin Energy Ltd.

        
5.89%   

06/15/19

    $ 92       $ 99      (b)

El Paso Corp.

        
8.05%   

10/15/30

      56         57      (h)

Empresa Nacional del Petroleo

        
5.25%   

08/10/20

      100         100      (b)

European Investment Bank

        
4.88%   

01/17/17

      300         334      (h)

Exelon Corp.

        
4.90%   

06/15/15

      83         89      (h)

Exelon Generation Company LLC

        
6.25%   

10/01/39

      46         46      (h)

Expedia Inc.

        
5.95%   

08/15/20

      95         95     

Fibria Overseas Finance Ltd.

        
7.50%   

05/04/20

      119         125      (b,h)

First Horizon National Corp.

        
5.38%   

12/15/15

      80         81     

Forest Oil Corp.

        
7.25%   

06/15/19

      64         65      (h)

FPL Group Capital Inc.

        
2.60%   

09/01/15

      163         160     

France Telecom S.A.

        
2.13%   

09/16/15

      82         80      (h)

Frontier Communications Corp.

        
8.25%   

04/15/17

      78         86      (h)

Gaz Capital SA for Gazprom

        
9.25%   

04/23/19

      100         123     

Georgia-Pacific LLC

        
5.40%   

11/01/20

      190         188      (b,h)

Globo Comunicacao e Participacoes S.A.

        
7.25%   

04/26/22

      100         108      (b,h)

Goldman Sachs Capital I

        
6.35%   

02/15/34

      84         80      (h)

Hanesbrands Inc.

        
6.38%   

12/15/20

      130         124      (b,h)

Hartford Financial Services Group Inc.

        
5.50%   

03/30/20

      102         103      (h)

HCA Inc.

        
9.25%   

11/15/16

      127         136      (h)
          Principal
Amount 		     Fair
Value 		     
          

Health Management Associates Inc.

        
6.13%   

04/15/16

    $ 83       $ 84      (h)

Hess Corp.

        
5.60%   

02/15/41

      82         81      (h)

Host Hotels & Resorts LP (REIT)

        
9.00%   

05/15/17

      71         79      (h)

HSBC Finance Corp.

        
6.68%   

01/15/21

      318         321      (b)

Huntington BancShares Inc.

        
7.00%   

12/15/20

      56         59     

IIRSA Norte Finance Ltd.

        
8.75%   

05/30/24

      110         123      (b,h)

Ingles Markets Inc.

        
8.88%   

05/15/17

      130         139      (h)

Intelsat Subsidiary Holding Company S.A.

        
8.88%   

01/15/15

      59         61      (h)

Intergen N.V.

        
9.00%   

06/30/17

      449         476      (b,h)

International Paper Co.

        
7.50%   

08/15/21

      154         182      (h)

Jarden Corp.

        
6.13%   

11/15/22

      65         62      (h)

JP Morgan Chase Capital XXV (Series Y)

        
6.80%   

10/01/37

      75         77      (h)

JPMorgan Chase & Co.

        
5.13%   

09/15/14

      80         85      (h)

JPMorgan Chase Bank NA

        
5.88%   

06/13/16

      56         61      (h)

Korea Development Bank

        
3.25%   

03/09/16

      122         119      (h)

Kraft Foods Inc.

        
4.13%   

02/09/16

      84         88      (h)
5.38%   

02/10/20

      266         286      (h)
6.50%   

02/09/40

      82         92      (h)

Kreditanstalt fuer Wiederaufbau

        
3.50%   

03/10/14

      376         400      (h)
4.13%   

10/15/14

      261         284      (h)
4.50%   

07/16/18

      186         202      (h)

Levi Strauss & Co.

        
7.63%   

05/15/20

      211         218      (h)

 


 

 

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

 

38

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

Lincoln National Corp.

        
6.25%   

02/15/20

    $ 87       $ 95      (h)
8.75%   

07/01/19

      109         136      (h)

Lloyds TSB Bank PLC

        
6.50%   

09/14/20

      100         92      (b,h)

Majapahit Holding BV

        
7.25%   

10/17/11

      100         104      (b,h)
7.75%   

10/17/16 - 02/20/20

      200         231      (b,h)

Merrill Lynch & Company Inc.

        
6.05%   

08/15/12

      65         69     
6.88%   

04/25/18

      108         118     

MetroPCS Wireless Inc.

        
6.63%   

11/15/20

      117         111     

Midamerican Energy Holdings Co.

        
6.13%   

04/01/36

      45         49      (h)

Morgan Stanley

        
5.50%   

01/26/20

      315         318      (h)
5.63%   

09/23/19

      121         123      (h)

Morgan Stanley (Series F)

        
6.63%   

04/01/18

      133         144      (h)

Mylan Inc.

        
7.88%   

07/15/20

      78         84      (b)

Nalco Company

        
6.63%   

01/15/19

      36         37      (b)

National Agricultural Cooperative Federation

        
5.00%   

09/30/14

      56         59      (b)

National Power Corp.

        
4.53%   

08/23/11

      42         43      (i)

NET Servicos de Comunicacao S.A.

        
7.50%   

01/27/20

      100         115     

News America Inc.

        
6.65%   

11/15/37

      105         116     

Nexen Inc.

        
6.40%   

05/15/37

      201         195      (h)

Nisource Finance Corp.

        
6.13%   

03/01/22

      56         60     

NRG Energy Inc.

        
7.38%   

02/01/16

      100         103     

Oglethorpe Power Corp.

        
5.38%   

11/01/40

      84         80     
          Principal
Amount 		     Fair
Value 		     
          

Pacific Gas & Electric Co.

        
5.80%   

03/01/37

    $ 120       $ 127     
6.05%   

03/01/34

      98         107     

Pacific Rubiales Energy Corp.

        
8.75%   

11/10/16

      100         113      (b)

PacifiCorp

        
6.25%   

10/15/37

      102         116     

PAETEC Holding Corp.

        
8.88%   

06/30/17

      20         21     

Pemex Finance Ltd.

        
9.03%   

02/15/11

      4         4      (h)

Pemex Project Funding Master Trust

        
6.63%   

06/15/35 - 06/15/38

      35         35     

Petroleos Mexicanos

        
4.88%   

03/15/15

      70         74     
6.00%   

03/05/20

      20         21     
8.00%   

05/03/19

      20         24     

Petroleum Company of Trinidad & Tobago Ltd.

        
6.00%   

05/08/22

      96         96     

Petronas Capital Ltd.

        
5.25%   

08/12/19

      100         108      (b)

Pioneer Natural Resources Co.

        
7.50%   

01/15/20

      117         128     

Plains All American Pipeline LP Corp.

        
3.95%   

09/15/15

      76         79     
4.25%   

09/01/12

      31         32     

Plains Exploration & Production Co.

        
7.63%   

06/01/18

      16         17     

Power Sector Assets & Liabilities Management Corp.

        
7.25%   

05/27/19

      200         232     

Prudential Financial Inc.

        
3.63%   

09/17/12

      30         31     
3.88%   

01/14/15

      262         270     
6.20%   

11/15/40

      84         89     
7.38%   

06/15/19

      62         73     

PTTEP Australia International Finance Proprietary Ltd.

        
4.15%   

07/19/15

      200         199      (b)

 


 

 

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

 

39

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Qatari Diar Finance QSC (REIT)

        
3.50%   

07/21/15

    $ 100       $ 100      (b)
5.00%   

07/21/20

      100         100      (b)

QVC Inc.

        
7.50%   

10/01/19

      51         54      (b)

RailAmerica Inc.

        
9.25%   

07/01/17

      72         79     

Republic Services Inc.

        
5.25%   

11/15/21

      55         58     
5.50%   

09/15/19

      86         94     

Reynolds Group Issuer Inc.

        
7.75%   

10/15/16

      155         164      (b)

Roche Holdings Inc.

        
6.00%   

03/01/19

      101         117      (b)

Rockies Express Pipeline LLC

        
5.63%   

04/15/20

      137         132      (b,h)

RR Donnelley & Sons Co.

        
7.63%   

06/15/20

      98         105      (h)

RSHB Capital SA for OJSC Russian Agricultural Bank

        
6.30%   

05/15/17

      100         101      (b)

Solutia Inc.

        
7.88%   

03/15/20

      56         60     

Southern Copper Corp.

        
5.38%   

04/16/20

      109         110     
6.75%   

04/16/40

      97         100     
7.50%   

07/27/35

      100         111     

Telecom Italia Capital S.A.

        
6.00%   

09/30/34

      63         52     

Telefonica Emisiones SAU

        
3.73%   

04/27/15

      76         75     

Teva Pharmaceutical Finance II BV

  

     
3.00%   

06/15/15

      164         167     

Textron Inc.

        
6.20%   

03/15/15

      156         170     

The AES Corp.

        
8.00%         103         109      (h)

The Goldman Sachs Group Inc.

        
3.70%   

08/01/15

      272         277      (h)
5.38%   

03/15/20

      241         249      (h)
6.75%   

10/01/37

      41         42      (h)
          Principal
Amount 		     Fair
Value 		     
          

The Potomac Edison Co.

        
5.35%   

11/15/14

    $ 40       $ 44      (h)

Time Warner Cable Inc.

        
6.75%   

07/01/18

      48         56     
7.50%   

04/01/14

      75         86     

Time Warner Inc.

        
3.15%   

07/15/15

      164         167     
5.88%   

11/15/16

      166         187     
6.20%   

03/15/40

      105         112     

TNK-BP Finance S.A.

        
6.13%   

03/20/12

      100         104     
7.25%   

02/02/20

      10         11      (b)

Transocean Inc.

        
6.00%   

03/15/18

      25         26     
6.80%   

03/15/38

      16         16     

UnitedHealth Group Inc.

        
5.80%   

03/15/36

      61         62     

UPC Germany GmbH

        
8.13%   

12/01/17

      100         105      (b)

USB Capital XIII Trust

        
6.63%   

12/15/39

      84         86     

Valero Energy Corp.

        
6.13%   

02/01/20

      234         249      (h)

Verizon Communications Inc.

        
6.35%   

04/01/19

      149         172      (h)
6.40%   

02/15/38

      88         97      (h)
6.90%   

04/15/38

      52         61      (h)

Virgin Media Finance PLC

        
8.38%   

10/15/19

      100         109      (h)

WEA Finance LLC (REIT)

        
6.75%   

09/02/19

      293         326      (b,h)
7.50%   

06/02/14

      31         35      (b,h)

Weatherford International Limited Bermuda

        
6.75%   

09/15/40

      143         150     

Williams Partners LP

        
5.25%   

03/15/20

      130         135     
6.30%   

04/15/40

      83         86     

Windstream Corp.

        
7.88%   

11/01/17

      22         23     

Woodside Finance Ltd.

        
4.50%   

11/10/14

      131         138      (b)

 


 

 

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

 

40

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

Wyeth

        
5.50%   

03/15/13

    $ 120       $ 131     

Wynn Las Vegas LLC

        
7.88%   

05/01/20

      204         218     

Xstrata Finance Canada Ltd.

        
5.80%   

11/15/16

      61         66      (b)
           24,274     
Non-Agency Collateralized Mortgage Obligations — 3.3%

Banc of America Commercial Mortgage Inc.

        
5.68%   

07/10/46

      80         81     
5.74%   

02/10/51

      180         192      (h)

Banc of America Commercial Mortgage Inc. (Class AJ)

        
5.70%   

07/10/46

      40         37      (i)

Banc of America Commercial Mortgage Inc. (Class C)

        
5.70%   

04/10/49

      100         18      (h,q)

Banc of America Funding Corp. (Class B1)

        
5.44%   

03/20/36

      47         1      (h,q)

Banc of America Mortgage Securities Inc. (Class B1)

        
4.62%   

01/25/36

      24         2      (h,q)

Banc of America Mortgage Securities Inc. (Class B2)**

        
4.62%   

01/25/36

      24         —      (h,q)

Bear Stearns Commercial Mortgage Securities

        
5.58%   

09/11/41

      150         152      (i)
5.76%   

09/11/38

      70         73      (i)

Bear Stearns Commercial Mortgage Securities
(Class A M)

        
5.51%   

04/12/38

      80         85     

Bear Stearns Commercial Mortgage Securities (Class A2)

        
5.41%   

03/11/39

      39         39      (h,i)
5.51%   

04/12/38

      22         22     

Bear Stearns Commercial Mortgage Securities (Class A4)

        
5.47%   

01/12/45

      100         107      (h)
5.69%   

06/11/50

      545         578      (h)
          Principal
Amount 		     Fair
Value 		     
          

Bear Stearns Commercial Mortgage Securities (Class AJ)

        
5.46%   

03/11/39

    $ 50       $ 47      (i)
5.72%   

06/11/40

      60         44      (h)

Bear Stearns Commercial Mortgage Securities (Class AM)

        
5.24%   

12/11/38

      45         45     
5.92%   

06/11/50

      110         112      (q)

Bear Stearns Commercial Mortgage Securities (Series 2007) (Class D)

        
5.99%   

09/11/42

      20         9      (h,q)

Citigroup Commercial Mortgage Trust (Class AJ)

        
5.73%   

03/15/49

      60         57      (h,i)

Citigroup Commercial Mortgage Trust (Series 2006) (Class AJ)

        
5.48%   

10/15/49

      50         46      (h)

Commercial Mortgage Pass Through Certificates (Class AJ)

        
5.79%   

06/10/46

      80         77     

Commercial Mortgage Pass Through Certificates (Class AM)

        
5.79%   

06/10/46

      220         229     

Countrywide Commercial Mortgage Trust (Class AJ)

        
5.91%   

06/12/46

      90         85      (h,i)

Countrywide Commercial Mortgage Trust (Class AM)

        
5.46%   

07/12/46

      25         25      (h,i)

Credit Suisse First Boston Mortgage Securities Corp. (Class CB1)

        
5.33%   

10/25/35

      43         2      (h,q)

Credit Suisse Mortgage Capital Certificates (Class A3)

        
5.47%   

09/15/39

      128         134      (h)

Credit Suisse Mortgage Capital Certificates (Class C)

        
5.54%   

02/15/39

      125         91     

Credit Suisse Mortgage Capital Certificates (Class CB1)

        
5.64%   

02/25/36

      24         2      (h,q)

 


 

 

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

 

41

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Extended Stay America Trust

        
5.50%   

11/05/27

    $ 170       $ 167      (b)

Greenwich Capital Commercial Funding Corp.

        
5.88%   

07/10/38

      165         180      (h,i)

Greenwich Capital Commercial Funding Corp. (Class A2)

        
5.60%   

12/10/49

      130         136      (h)

Greenwich Capital Commercial Funding Corp. (Class AM)

        
5.88%   

07/10/38

      150         155      (i)

Indymac INDA Mortgage Loan Trust (Class B1)

        
4.50%   

01/25/36

      99         2      (h,q)

Indymac INDA Mortgage Loan Trust (Class B2)**

        
4.50%   

01/25/36

      15         —      (h,q)

JP Morgan Chase Commercial Mortgage Securities Corp.

        
4.07%   

11/15/43

      60         57      (b,h)
5.87%   

04/15/45

      80         83      (h)

JP Morgan Chase Commercial Mortgage Securities Corp. (Class A4)

        
5.34%   

08/12/37

      230         248      (h)
5.44%   

06/12/47

      140         147      (h)
5.79%   

02/12/51

      390         415      (h)

JP Morgan Chase Commercial Mortgage Securities Corp. (Class AM)

        
5.44%   

05/15/45

      180         182      (h)
5.90%   

02/12/51

      120         121      (h)

JP Morgan Chase Commercial Mortgage Securities Corp. (Class B)

        
5.52%   

04/15/43

      60         51     

JP Morgan Chase Commercial Mortgage Securities Corp. (Class F)

        
6.19%   

02/12/51

      30         8      (h,q)

LB-UBS Commercial Mortgage Trust

        
7.45%   

01/15/36

      451         19      (d,h,q)
          Principal
Amount 		     Fair
Value 		     
          

LB-UBS Commercial Mortgage Trust ( Class A2)

        
6.15%   

04/15/41

    $ 210       $ 228      (i)

LB-UBS Commercial Mortgage Trust (Class A4)

        
4.95%   

09/15/30

      50         53     
5.16%   

02/15/31

      80         85      (h)
5.66%   

03/15/39

      209         225      (h,i)

LB-UBS Commercial Mortgage Trust (Class AJ)

        
6.15%   

04/15/41

      20         17      (i)

LB-UBS Commercial Mortgage Trust (Series 2001) (Class B)

        
6.65%   

07/14/16

      26         26      (h,q)

LB-UBS Commercial Mortgage Trust (Series 2004) (Class X)

        
25.77%   

12/15/39

      791         10      (d,h,q)

MASTR Alternative Loans Trust (Class 15 AX)

        
5.00%   

08/25/18

      27         3      (g,h,q,r)

Merrill Lynch Mortgage Trust (Class AJ)

        
5.66%   

05/12/39

      50         46      (i)

Merrill Lynch Mortgage Trust (Series 2006) (Class B)

        
5.66%   

05/12/39

      54         31     

Morgan Stanley Capital I

        
5.16%   

10/12/52

      100         107      (h,i)
5.19%   

11/14/42

      40         43      (h,i)
5.73%   

10/15/42

      64         50      (h)

Morgan Stanley Capital I
(Class A3)

        
5.71%   

07/12/44

      100         107      (h)

Morgan Stanley Capital I
(Class A31)

        
5.44%   

02/12/44

      350         362     

Morgan Stanley Capital I
(Class A4)

        
5.33%   

11/12/41

      40         42     
5.81%   

08/12/41

      30         33      (h,i)
5.81%   

12/12/49

      611         653      (h)

Morgan Stanley Capital I
(Class AJ)

        
5.39%   

11/12/41

      162         145      (h,i)

 


 

 

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

 

42

Table of Contents

 

 

 

 

Elfun Diversified Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          
5.57%   

11/12/49

    $ 80       $ 75      (i)
5.73%   

10/15/42

      50         48      (h,i)

Morgan Stanley Capital I
(Class AM)

        
6.11%   

12/12/49

      70         72      (i)
6.28%   

01/11/43

      80         82     

Morgan Stanley Capital I (Class B)

        
5.73%   

10/15/42

      40         36      (h)

Morgan Stanley Capital I
(Series 2006) (Class AM)

        
5.44%   

03/12/44

      125         129      (h,i)

OBP Depositor LLC Trust

        
4.65%   

07/15/45

      50         51      (b)

Opteum Mortgage Acceptance Corp. (Class A1A)

        
4.97%   

02/25/35

      87         84      (d,h)

Structured Asset Securities Corp.(Series 1996) (Class X1)**

        
3.00%   

02/25/28

      35         —      (d,q)

Vornado DP LLC

        
6.36%   

09/13/28

      30         30      (b)

Wachovia Bank Commercial Mortgage Trust

        
6.02%   

06/15/45

      50         25      (h)

Wachovia Bank Commercial Mortgage Trust (Class A3)

        
5.25%   

12/15/43

      80         81      (h)

Wachovia Bank Commercial Mortgage Trust (Class AJ)

        
5.74%   

05/15/43

      80         76      (i)

Wachovia Bank Commercial Mortgage Trust (Class AM)

        
5.47%   

01/15/45

      80         82      (h,i)

Wachovia Bank Commercial Mortgage Trust (Series 2006) (Class AJ)

        
5.99%   

06/15/45

      30         26      (h,i)

WAMU Commercial Mortgage Securities Trust (Series 2005) (Class AJ)

        
5.19%   

05/25/36

      80         81      (b,h)

Wells Fargo Mortgage Backed Securities Trust (Class B1)

        
5.50%   

01/25/36

      95         1      (h,q)
          Principal
Amount 		     Fair
Value 		     
          

Wells Fargo Mortgage Backed Securities Trust (Class B2)**

        
5.50%   

03/25/36

    $ 94       $ —      (h,q)
           7,608     
Sovereign Bonds — 0.8%     

Government of Argentina

        
2.50%   

12/31/38

      18         8      (j)
5.00%   

08/03/12

      69         17      (d,i)
7.00%   

10/03/15

      26         25     
8.28%   

12/31/33

      19         17     

Government of Belize

        
6.00%   

02/20/29

      34         30      (j)

Government of Bermuda

        
5.60%   

07/20/20

      100         104      (b,h)

Government of Brazil

        
6.00%   

02/20/29

      15         13      (b,j)
8.00%   

01/15/18

      35         41      (h)
8.25%   

01/20/34

      23         31     

Government of Brazilian

        
4.88%   

01/22/21

      100         102     

Government of Colombia

        
6.13%   

01/18/41

      100         103     
7.38%   

09/18/37

      100         119     

Government of Costa Rica

        
10.00%   

08/01/20

      40         55      (b,h)

Government of El Salvador

        
7.65%   

06/15/35

      20         21      (b,h)

Government of Grenada

        
2.50%   

09/15/25

      22         12      (b,h,j)

Government of Hungary

        
4.75%   

02/03/15

      100         98      (h)

Government of Lebanon

        
6.38%   

03/09/20

      37         39     

Government of Lithuania

        
7.38%   

02/11/20

      100         110      (b,h)

Government of Panama

        
6.70%   

01/26/36

      29         32     

Government of Peruvian

        
6.55%   

03/14/37

      39         43     

Government of Philippine

        
6.38%   

10/23/34

      150         159     

 


 

 

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

 

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Elfun Diversified Fund    (in thousands) — December 31, 2010

 

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          Principal
Amount 		     Fair
Value 		     
          

Government of Poland

        
6.38%   

07/15/19

    $ 7       $ 8     

Government of Turkey

        
5.63%   

03/30/21

      100         104     
6.75%   

05/30/40

      100         109     

Government of Uruguay

        
6.88%   

09/28/25

      20         22     

Government of Venezuela

        
1.29%   

04/20/11

      11         11      (i)
10.75%   

09/19/13

      69         66     

Government of Vietnam

        
1.30%   

03/12/16

      7         6      (i)

Korea National Oil Corp.

        
2.88%   

11/09/15

      100         96      (b,h)

Lebanese Republic

        
5.15%   

11/12/18

      14         14     

Province of Manitoba Canada

        
4.90%   

12/06/16

      60         66      (h)

Province of Quebec Canada

        
7.50%   

09/15/29

      90         124     

Republic of Dominican

        
9.50%   

09/27/11

      22         22     

Russian Foreign Bond — Eurobond

        
7.50%   

03/31/30

      36         41      (j)

United Mexican States

        
5.13%   

01/15/20

      17         18     
           1,886     
Municipal Bonds and Notes — 0.1%     

American Municipal Power-Ohio Inc.

        
8.08%   

02/15/50

      55         59     

Municipal Electric Authority of Georgia

        
6.64%   

04/01/57

      158         154     

New Jersey State Turnpike Authority

        
7.10%   

01/01/41

      40         43     
7.41%   

01/01/40

      20         22     

New Jersey Transportation Trust Fund Authority

        
6.88%   

12/15/39

      15         15     
          Principal
Amount 		     Fair
Value 		     
          

South Carolina State Public Service Authority

        
6.45%   

01/01/50

    $ 40       $ 41     
           334     

Total Bonds and Notes
(Cost $68,487)

         69,163     
     Number
of Shares		             
       
Exchange Traded Funds — 1.5%

Financial Select Sector
SPDR Fund

      12,500         199      (p)

Industrial Select Sector
SPDR Fund

      23,236         811      (p)

iShares MSCI Emerging Markets Index Fund

      785         37     

Vanguard REIT

      42,381         2,347     

Total Exchange Traded Funds
(Cost $3,360)

               3,394       

Other Investments — 0.1%

  

    

GEI Investment Fund
(Cost $206)

         195      (k)

Total Investments in Securities
(Cost $194,666)

               214,607       

Short-Term Investments — 9.3%

  

    

GE Money Market Fund Institutional Class

  

  

0.00%

         21,384      (d,k)

(Cost $21,384)

        

Total Investments
(Cost $216,050)

         235,991     

Liabilities in Excess of Other Assets, net — (2.7)%

         (6,110)     
             

NET ASSETS — 100.0%

       $ 229,881     
             

 

 

 

 

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

 

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Elfun Diversified Fund    (in thousands) — December 31, 2010

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Other Information

 

The Fund had the following long futures contracts open at December 31, 2010:

 

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

DJ Euro Stoxx 50 Index Futures

   March 2011     3      $    112      $     (2)   

FTSE 100 Index Futures

   March 2011     1        92        —   

Russell 2000 Mini Index Futures

   March 2011     70        5,476        84   

S&P 500 Emini Index Futures

   March 2011     23        1,441        18   

S&P Midcap 400 Emini Index Futures

   March 2011     3        272        2   

2 Yr. U.S. Treasury Notes Futures

   March 2011     34        7,443        (10)   

5 Yr. U.S. Treasury Notes Futures

   March 2011     14        1,648        (10)   

The Fund had the following short futures contracts open at December 31, 2010:

 

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

Ultra Long U.S. Treasury Bond Futures

   March 2011     21      $ (2,669)      $ (13)   

10 Yr. U.S. Treasury Notes Futures

   March 2011     101        (12,164)        112   
             
        $     181   
             

 

The Fund was invested in the following countries at December 31, 2010 as a % based on Fair Value:

 

Country   (Unaudited)   

United States

     69.90%   

United Kingdom

     4.68%   

Germany

     3.49%   

Japan

     3.08%   

France

     2.49%   

Canada

     2.31%   

Switzerland

     1.97%   

China

     1.54%   

Brazil

     1.48%   

Taiwan

     0.88%   

Netherlands

     0.83%   

South Korea

     0.77%   

Australia

     0.70%   

Spain

     0.62%   

India

     0.51%   

Russian Federation

     0.50%   

Hong Kong

     0.42%   

Mexico

     0.36%   

South Africa

     0.33%   

Italy

     0.31%   

Philippines

     0.24%   

Sweden

     0.22%   

Peru

     0.21%   

Chile

     0.20%   

Indonesia

     0.20%   

Supranationals

     0.17%   

Colombia

     0.15%   

Turkey

     0.15%   

Thailand

     0.14%   

Denmark

     0.13%   

Ireland

     0.13%   

Malaysia

     0.08%   

Qatar

     0.09%   

Bermuda

     0.07%   

Israel

     0.07%   

Egypt

     0.06%   

El Salvador

     0.05%   

Lithuania

     0.05%   

Hungary

     0.04%   

Jamaica

     0.04%   

Trinidad And Tobago

     0.04%   

 

 

 

 

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

 

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Elfun Diversified Fund    December 31, 2010

 

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(Unaudited)

 

 

Ukraine

     0.04%   

United Arab Emirates

     0.04%   

Argentina

     0.03%   

Czech Republic

     0.03%   

Panama

     0.03%   

Venezuela, Bolivarian Republic Of

     0.03%   

Belize

     0.02%   

Costa Rica

     0.02%   

Lebanon

     0.02%   

Dominican Republic

     0.01%   

Grenada

     0.01%   

Kazakhstan

     0.01%   

Uruguay

     0.01%   
         
    100.00%   
         

The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2010:

 

Industry     Domestic        Foreign        Total   

Diversified Financial Services

     0.91%        2.89%        3.80%   

Integrated Oil & Gas

     0.95%        2.00%        2.95%   

Semiconductors

     1.10%        0.92%        2.02%   

Communications Equipment

     1.31%        0.54%        1.85%   

Wireless Telecommunication Services

     0.87%        0.89%        1.76%   

Pharmaceuticals

     0.83%        0.78%        1.61%   

Systems Software

     1.57%        0.00%        1.57%   

Asset Management & Custody Banks

     1.49%        0.02%        1.51%   

Fertilizers & Agricultural Chemicals

     0.50%        0.98%        1.48%   

Automobile Manufacturers

     0.17%        1.29%        1.46%   

Steel

     0.63%        0.82%        1.45%   

Exchange Traded Fund

     1.44%        0.00%        1.44%   

Life & Health Insurance

     0.59%        0.82%        1.41%   

Diversified Metals & Mining

     0.09%        1.30%        1.39%   

Internet Software & Services

     0.68%        0.71%        1.39%   

Biotechnology

     1.36%        0.00%        1.36%   

Packaged Foods & Meats

     0.49%        0.82%        1.31%   

Oil & Gas Equipment & Services

     1.24%        0.00%        1.24%   

Aerospace & Defense

     0.70%        0.53%        1.23%   

 

Industrial Conglomerates

     0.03%        1.15%        1.18%   

Household Products

     0.50%        0.56%        1.06%   

Industrial Gases

     0.49%        0.56%        1.05%   

Healthcare Services

     0.79%        0.22%        1.01%   

Specialized Finance

     0.73%        0.28%        1.01%   

Investment Banking & Brokerage

     0.61%        0.36%        0.97%   

Oil & Gas Exploration & Production

     0.88%        0.09%        0.97%   

Healthcare Equipment

     0.94%        0.00%        0.94%   

Life Sciences Tools & Services

     0.88%        0.00%        0.88%   

Soft Drinks

     0.79%        0.00%        0.79%   

Data Processing & Outsourced Services

     0.76%        0.00%        0.76%   

Electric Utilities

     0.67%        0.06%        0.73%   

Electrical Components & Equipment

     0.30%        0.40%        0.70%   

IT Consulting & Other Services

     0.39%        0.27%        0.66%   

Industrial Machinery

     0.29%        0.36%        0.65%   

Integrated Telecommunication Services

     0.41%        0.24%        0.65%   

Computer Hardware

     0.63%        0.00%        0.63%   

Application Software

     0.27%        0.35%        0.62%   

Multi-Utilities

     0.20%        0.42%        0.62%   

Multi-Line Insurance

     0.24%        0.31%        0.55%   

Home Improvement Retail

     0.53%        0.00%        0.53%   

Cable & Satellite

     0.52%        0.00%        0.52%   

Construction & Engineering

     0.07%        0.44%        0.51%   

Movies & Entertainment

     0.50%        0.00%        0.50%   

Construction & Farm Machinery & Heavy Trucks

     0.26%        0.23%        0.49%   

Security & Alarm Services

     0.34%        0.15%        0.49%   

Advertising

     0.47%        0.00%        0.47%   

Food Retail

     0.00%        0.45%        0.45%   

General Merchandise Stores

     0.44%        0.00%        0.44%   

Apparel, Accessories & Luxury Goods

     0.20%        0.19%        0.39%   

Electronic Components

     0.06%        0.31%        0.37%   

Healthcare Supplies

     0.00%        0.36%        0.36%   

Hypermarkets & Super Centers

     0.04%        0.31%        0.35%   

Real Estate Services

     0.35%        0.00%        0.35%   

Coal & Consumable Fuels

     0.13%        0.19%        0.32%   

Regional Banks

     0.15%        0.16%        0.31%   

Trading Companies & Distributors

     0.11%        0.18%        0.29%   

Property & Casualty Insurance

     0.28%        0.00%        0.28%   

Diversified Capital Markets

     0.00%        0.25%        0.25%   

 

 

 

 

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

 

46

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Elfun Diversified Fund    December 31, 2010

LOGO

(Unaudited)

 

 

Hotels, Resorts & Cruise Lines

     0.22%        0.02%        0.24%   

Diversified Real Estate Activities

     0.00%        0.22%        0.22%   

Diversified Support Services

     0.08%        0.14%        0.22%   

Oil & Gas Storage & Transportation

     0.21%        0.00%        0.21%   

Homefurnishing Retail

     0.20%        0.00%        0.20%   

Apparel Retail

     0.11%        0.08%        0.19%   

Railroads

     0.18%        0.00%        0.18%   

Home Entertainment Software

     0.17%        0.00%        0.17%   

Research & Consulting Services

     0.17%        0.00%        0.17%   

Thrifts & Mortgage Finance

     0.17%        0.00%        0.17%   

Agricultural Products

     0.08%        0.08%        0.16%   

Broadcasting

     0.11%        0.05%        0.16%   

Casinos & Gaming

     0.14%        0.02%        0.16%   

Computer Storage & Peripherals

     0.16%        0.00%        0.16%   

Office REITs

     0.16%        0.00%        0.16%   

Gold

     0.00%        0.14%        0.14%   

Construction Materials

     0.00%        0.13%        0.13%   

Human Resource & Employment Services

     0.00%        0.13%        0.13%   

Marine

     0.00%        0.13%        0.13%   

Air Freight & Logistics

     0.12%        0.00%        0.12%   

Building Products

     0.00%        0.12%        0.12%   

Healthcare Technology

     0.12%        0.00%        0.12%   

Semiconductor Equipment

     0.11%        0.00%        0.11%   

Restaurants

     0.10%        0.00%        0.10%   

Consumer Finance

     0.09%        0.00%        0.09%   

Distillers & Vintners

     0.00%        0.09%        0.09%   

Oil & Gas Drilling

     0.00%        0.09%        0.09%   

Reinsurance

     0.08%        0.00%        0.08%   

Tobacco

     0.07%        0.00%        0.07%   

Homebuilding

     0.06%        0.00%        0.06%   

Independent Power Producers & Energy Traders

     0.05%        0.01%        0.06%   

Personal Products

     0.05%        0.01%        0.06%   

Specialized REITs

     0.06%        0.00%        0.06%   

Brewers

     0.03%        0.02%        0.05%   

Department Stores

     0.05%        0.00%        0.05%   

Electronic Manufacturing Services

     0.00%        0.05%        0.05%   

Environmental & Facilities Services

     0.05%        0.00%        0.05%   

Food Distributors

     0.03%        0.02%        0.05%   

Healthcare Distributors

     0.04%        0.01%        0.05%   

Diversified Chemicals

     0.04%        0.00%        0.04%   

Drug Retail

     0.04%        0.00%        0.04%   

 

Oil & Gas Refining & Marketing

     0.00%        0.04%        0.04%   

Specialty Chemicals

     0.04%        0.00%        0.04%   

Beverages

     0.00%        0.03%        0.03%   

Distributors

     0.03%        0.00%        0.03%   

Electronic Equipment & Instruments

     0.00%        0.03%        0.03%   

Real Estate Development

     0.00%        0.03%        0.03%   

Education Services

     0.00%        0.02%        0.02%   

Forest Products

     0.02%        0.00%        0.02%   

Household Appliances

     0.00%        0.02%        0.02%   

Utilities

     0.02%        0.00%        0.02%   

Consumer Electronics

     0.00%        0.01%        0.01%   

Heavy Electrical Equipment

     0.00%        0.01%        0.01%   

Internet Retail

     0.00%        0.01%        0.01%   

Real Estate Operating Companies

     0.00%        0.01%        0.01%   
           
        61.56%   
           

 

Sector   %  (based on Fair Value)   

Corporate Notes

     10.29%   

Agency Mortgage Backed

     9.01%   

U.S. Treasuries

     4.75%   

Non-Agency CMOs

     3.22%   

Sovereign Bonds

     0.80%   

Agency CMOs

     0.67%   

Asset Backed

     0.42%   

Municipal Bonds and Notes

     0.14%   
         
    29.30%   
         

 

Short Term and Other Investments        

Short-Term

     9.06%   

Other Investments

     0.08%   
         
    9.14%   
         
    100.00%   
         

 

 

 

 

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

 

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(Unaudited)

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LOGO

Michael J.Caufield

 

The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See portfolio managers’ biographical information beginning on page 116.

 

Q.

How did the Elfun Tax-Exempt Income perform compared to its benchmark for the twelve-months ending December 31, 2010?

 

A. For the twelve-month period ended December 31 2010 the Elfun Tax-Exempt Income Fund returned, net of fees, 1.86%. The Barclay’s Capital Municipal Bond Index, returned 2.38%, while the Morningstar Long Tax-Exempt Fund group, consisting of 274 Long-term Municipal Bond funds had a median return of 1.65% for the same period. The Fund’s long term performance continues to distinguish it among its peers with returns placing it in the top 6%, for three and five years and top 3% for the 10 year period.

 

Q. What were the primary drivers behind Fund performance?

 

A. 2010 was clearly among the most challenging years in recent memory and portfolio returns encompassed a broad band throughout the year. In an effort to maintain a competitive portfolio dividend and faced with a historically steep yield curve as well as a decline in longer tax-exempt product, the portfolio extended its duration by .75 years, while maintaining a laddered approach to curve positioning during the first quarter of 2010. The portfolio performed well amid volatile markets through the first ten months of the
 

year compared to the benchmark, but trailed the peer group given its more conservative positioning and the Fund’s continued emphasis on income. In the latter portion of 2010, however, thin tax-exempt supply attractive yields and high reinvestment capital were easily trumped by tax-exempt mutual fund outflows, volatile Treasury yields and significant negative headlines regarding the credit standing of municipal issuers. In the fourth quarter mutual fund flows driven by speculative headlines and perceived weakness of municipal credits combined with rising treasury yields and a surge in year-end new issue supply drove tax-exempt yields dramatically higher as long-term funds sought liquidity to satisfy unsettled individual investors. While the Fund was not immune from negative flows, the impact of peer group selling was far more damaging on municipal valuations and fund net asset value.

 

Q.

What happened in the U.S. economy during the twelve-month period ended December 31, 2010 and how was the portfolio positioned with respect to economic conditions?

 

A.

Over the last eighteen months recessionary pressures on municipal entities strained available resources necessary to provide basic services while state and local governments further struggled under increased unfunded federal mandates. The Federal government, in an effort to improve access to capital and relieve

 

 

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burdensome borrowing costs focused a significant part of its economic stimulus efforts on municipalities. The American Reinvestment and Recovery Act which passed in early 2009 created the Build America Bond (BAB) program providing federal subsidies to municipalities issuing bonds in the taxable market. This Act, due to expire on December 31 2010 allowed states and municipalities to issue federally taxable municipal bonds with 35% of the interest cost directly subsidized by a rebate from the federal government. This new source of financing for issuers translated into significant borrowing cost savings while introducing municipal debt to a new class of investor, both domestic and foreign. The diversion of new issue product away from traditional tax-exempt investors, when combined with the uncertainty regarding renewal of the Bush tax cuts as well as new taxes associated with the Health Care Reform Act of 2010, magnified the benefits of tax-exempt investing through the first ten months of the year . The resultant supply/demand imbalance was clearly a key determinant in the direction of rates for a large part of the year. The resultant shift in issuance pattern drove tax-exempt yields to all time low yields.

Unfortunately such levels were not sustainable as external factors not directly connected to the economy began to take hold of the direction of rates in the fourth quarter.

The Great Recession of 2008-2010 was broader in depth and length than many expected and spared no municipal entity throughout the country. Faced with reduced revenue, lower pension returns and rising borrowing costs, the challenges faced by municipalities suddenly became front page news. Despite making great strides to make the difficult decisions and balance their respective budgets,

unfunded pension mandates took center stage. This has been a key initiative for many states over the last three years, challenging them to provide creative solutions in order to meet their future obligations. In 2009-2010 over 23 states legislatively addressed the problem, yet the scope of future mandates became a focal point and injected a significant degree of uncertainty into the market. Individual investors, who were the main proponent of rates in the first ten months of 2010, driving yields toward historic lows, became unsettled by increasing media attention to the challenges facing tax exempt issuers. While this information was well know to market professionals and entrenched in existing market prices, the unsubstantiated doomsday predictions of several “self anointed experts” led to panic redemptions by individuals, leading to a technical imbalance which overwhelmed available liquidity sources. At the same time uncertainty regarding the extension and eventual refusal of Congress to extend the BAB, which had a significant adverse impact to market technical factors, converged with a seasonal surge in new issue supply to create a “perfect storm”, derailing municipal values and ultimately undermined market stability in the fourth quarter.

While the Fund, with ample liquidity, a defensive cash position and less than 6% of its holdings longer than 30 years was not exempt from the volatility and asset value pressure experienced throughout the asset class, it did fare better than 75% of its peers over the last three hectic months of 2010.

 

 

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchases payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and services 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 each share class 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, 2010.

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 for your class under the heading “Expenses Paid During 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. 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 for both “Actual” and “Hypothetical” do not reflect any transaction costs, such as sales charges or redemption fees.

 

July 1, 2010 – December 31, 2010

 

        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           987.14           0.95   

Hypothetical 5% Return
(2.5% for the period)

        1,000.00           1,023.97           0.97   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.19% (for the period July 1, 2010 - December 31, 2010), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

 

**   Actual Fund Return for the six-month period ended December 31, 2010 was: -1.29%. Past performance does not guarantee future results.

 

50

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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 concentration of investment in municipal bonds consistent with prudent investment management and the preservation of capital by investing primarily in investment-grade municipal securities.

Quality Ratings

as of December 31, 2010 as a % of Fair Value(b)

 

Moody’s / S&P / Fitch Rating*

     
 		 Percentage of
Fair Value		   
  
Aaa / AAA      17.68%   
Aa / AA      43.32%   
A / A      30.38%   
Below A      8.62%   
       100.00%   

 

*   Moody’s Investors Services Inc, Standard & Poor’s and Fitch are nationally recognized statistical rating organizations.

Sector Allocation

as a % of the Fair Value of $1,646,223 (in thousands) as of December 31, 2010.(b)

 

 

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/10

 

     One
Year		     Five
Year		     Ten
Year		  

Number of Funds in peer group

     274        267        266   

Peer group average annual total return

     1.65 %      2.78 %      3.79 % 

Morningstar category in peer group: Muni National Long

  

Change in Value of a $10,000 Investment(a)

LOGO

Average Annual Total Return

for the periods ended December 31, 2010

 

(Inception date: 01/01/80)                       
     One
Year		     Five
Year		     Ten
Year		     Ending value of a
$10,000
investment (a)		  

Elfun Tax-Exempt Fund

     1.86%        4.02%        4.75%        15,901   

Barclays Capital U.S. Municipal Bond Index

     2.38%        4.09%        4.83%        16,034   

LOGO

 

 

(a) Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less.

 

(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 on page 1 for further information.

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

 

51

Table of Contents
Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Municipal Bonds and Notes — 98.0%†

  

    
Alabama — 1.3%        

City of Birmingham AL

        
0.53%   

05/01/17

    $ 3,395       $ 3,565     

East Alabama Health Care Authority

        
0.50%   

09/01/33

      5,500         5,719     

Montgomery BMC Special Care Facilities Financing Authority (MBIA Insured)

        
0.50%   

11/15/20

      8,375         9,387      (n)

Montgomery Medical Clinic Board

        
0.53%   

03/01/31 - 03/01/36

      3,000         2,668     
           21,339     
Arizona — 4.1%        

Arizona State University
(FSA Insured)

        
0.53%   

07/01/15

      5,000         5,329      (n)

City of Phoenix AZ

        
0.50%   

07/01/19

      5,000         5,561     

Glendale Western Loop 101 Public Facilites Corp.

        
0.63%   

07/01/38

      10,000         10,296     

Maricopa County Industrial Development Authority

        
0.55%   

07/01/26

      5,000         5,041     

Maricopa County Stadium District (AMBAC Insured)

        
0.54%   

06/01/16

      2,145         2,217      (n)

Phoenix Civic Improvement Corp.

        
0.50%   

07/01/39 - 07/01/40

      13,500         13,147     

Phoenix Civic Improvement Corp. (FGIC Insured)

        
0.55%   

07/01/23 - 07/01/24

      7,260         8,213      (n)

Pima County Industrial Development Authority

        
0.53%   

10/01/40

      2,000         1,736     
0.58%   

09/01/29

      2,500         2,517     
          Principal
Amount 		     Fair
Value 		     
          

Salt River Project Agricultural Improvement & Power District

        
0.50%   

12/01/21

    $ 10,000       $ 11,220     

Scottsdale Industrial Development Authority
(AGC Insured)

        
0.50%   

09/01/39

      2,000         1,823      (n)

University Medical Center Corp.

        
0.65%   

07/01/39

      1,000         1,048     
           68,148     
California — 6.6%        

Abag Finance Authority for Nonprofit Corps

        
0.50%   

12/01/37

      2,940         2,526     

Bay Area Toll Authority

        
0.50%   

04/01/31 - 04/01/34

      15,000         14,712      (h)

California Educational Facilities Authority

        
0.50%   

10/01/39

      7,000         6,957     
0.53%   

10/01/39 - 04/01/40

      16,000         16,798     

California Health Facilities Financing Authority

        
0.60%   

07/01/39

      5,000         5,090     
0.65%   

10/01/33

      3,500         3,793     

California State Public Works Board

        
0.60%   

04/01/26

      8,475         8,741     

Coast Community College District (FSA Insured)

        
6.03%   

08/01/33

      8,750         6,618      (d,n)

Foothill-De Anza Community College District
(AMBAC Insured)

        
0.45%   

08/01/31

      4,600         4,097      (n)

Los Angeles Department of Water & Power
(AMBAC Insured)

        
0.50%   

07/01/32

      5,000         4,890      (n)

Los Angeles Harbor Department

        
0.50%   

08/01/26

      8,000         8,128     

Metropolitan Water District of Southern California

        
0.50%   

07/01/35

      5,000         5,043     

 

 

 

 

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

 

52

Table of Contents

 

 

 

 

Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

San Diego Unified School District (FSA Insured)

        
0.53%   

07/01/17 - 07/01/19

    $ 8,795       $ 9,710      (n)

San Francisco Bay Area Rapid Transit District

        
0.50%   

08/01/27

      5,000         5,193     

San Francisco City & County Airports Commission

        
0.53%   

05/01/26

      3,000         3,051     

University of California
(AMBAC Insured)

        
0.50%   

05/15/34 - 05/15/34

      6,000         6,018      (n)
           111,365     
Colorado — 0.9%        

Colorado Water Resources & Power Development Authority

        
0.53%   

09/01/17 - 09/01/18

      5,880         6,185     

Regional Transportation District

        
0.54%   

06/01/31

      2,500         2,480     

University of Colorado Hospital Authority

        
0.53%   

11/15/39

      7,000         6,651     
           15,316     
Connecticut — 1.8%        

Connecticut State Health & Educational Facility Authority

        
0.50%   

07/01/40 - 07/01/42

      10,500         10,186     

Connecticut State Health & Educational Facility Authority (MBIA Insured)

        
0.45%   

07/01/37

      8,055         7,045      (n)

South Central Connecticut Regional Water Authority (MBIA Insured)

        
0.50%   

08/01/27

      3,000         3,068      (n)

State of Connecticut

        
0.50%   

11/01/26

      10,000         10,474     
           30,773     
          Principal
Amount 		     Fair
Value 		     
          
Delaware — 1.1%        

County of New Castle DE

        
0.50%   

07/15/33 - 07/15/39

    $ 10,000       $ 10,182     

Delaware State Health Facilities Authority

        
0.50%   

10/01/40

      8,300         7,977     
           18,159     
District Of Columbia — 1.2%        

District of Columbia

        
0.55%   

04/01/36

      15,000         14,999     

District of Columbia Water & Sewer Authority

        
0.53%   

10/01/29

      5,000         5,199     
           20,198     
Florida — 2.0%        

Brevard County Health Facilities Authority

        
0.70%   

04/01/39

      1,000         1,072     

City of Tampa FL

        
0.50%   

10/01/26

      5,000         5,103     

Hillsborough County Industrial Development Authority

        
0.50%   

10/01/18

      5,000         5,072     
0.53%   

10/01/15 - 10/01/24

      10,630         10,732     

Jacksonville Economic Development Commission

        
0.55%   

11/15/36

      5,000         5,022     

South Miami Health Facilities Authority

        
0.53%   

11/15/33

      6,380         6,944     
           33,945     
Georgia — 7.9%        

Athens-Clarke County Unified Government

        
0.55%   

01/01/38

      7,000         7,177     

Athens-Clarke County Unified Government Development Authority

        
5.91%   

06/15/31

      6,050         4,722      (d)

 


 

 

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

 

53

Table of Contents

 

 

 

 

Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Augusta-Richmond County GA (FSA Insured)

        
0.53%   

10/01/34

    $ 8,500       $ 8,643      (n)

City of Atlanta GA

        
0.50%   

01/01/25

      10,000         9,960     

City of Atlanta GA (FSA Insured)

        
0.53%   

01/01/33

      4,000         3,928      (n)
0.58%   

11/01/27

      5,000         5,381      (n)

County of DeKalb GA (FSA Insured)

        
0.53%   

10/01/32

      15,000         15,355      (n)

County of Fulton GA
(FGIC Insured)

        
0.50%   

01/01/30

      5,000         5,083      (n)
0.53%   

01/01/35

      5,500         5,611      (n)

DeKalb Newton & Gwinnett Counties Joint Development Authority

        
0.60%   

07/01/34

      8,500         9,094     

Fayette County School District (FSA Insured)

        
0.48%   

03/01/22

      2,520         2,619      (n)
0.49%   

03/01/23

      2,290         2,370      (n)

Gwinnett County School District

        
0.50%   

02/01/25

      5,000         5,545     

Henry County Hospital Authority (MBIA Insured)

        
0.50%   

07/01/24

      1,865         1,910      (n)

Metropolitan Atlanta Rapid Transit Authority

        
0.50%   

07/01/39

      15,000         14,710     

Municipal Electric Authority of Georgia

        
0.53%   

01/01/19

      2,490         2,739     

Private Colleges & Universities Authority

        
0.53%   

06/01/20

      2,775         2,825     
0.60%   

06/01/21

      2,410         2,435     

Private Colleges & Universities Authority (MBIA Insured)

        
0.65%   

11/01/15

      4,010         4,641      (n)
          Principal
Amount 		     Fair
Value 		     
          

South Regional Joint Development Authority
(AGC Insured)

        
0.45%   

08/01/39

    $ 2,650       $ 2,268      (n)

State of Georgia

        
0.45%   

01/01/29

      4,500         4,548     
0.50%   

08/01/22

      4,460         5,226      (m)
0.50%   

08/01/22 - 01/01/26

      4,790         5,175     
           131,965     
Hawaii — 2.2%        

City & County of Honolulu HI

        
0.50%   

04/01/33

      10,000         10,161     
0.60%   

01/01/12 - 01/01/12

      2,000         2,109     

State of Hawaii

        
0.53%   

07/01/24

      16,000         16,544     

State of Hawaii (FSA Insured)

        
0.58%   

02/01/14

      6,500         7,358      (n)
           36,172     
Idaho — 1.8%        

Idaho Health Facilities Authority

        
0.68%   

11/01/37

      4,000         4,244     

Idaho Housing & Finance Assoc.

        
0.50%   

07/15/17

      6,025         6,845     

Idaho Housing & Finance Assoc. (MBIA Insured)

        
0.50%   

07/15/22 - 07/15/24

      17,900         18,648      (n)
           29,737     
Illinois — 2.1%        

County of Cook IL
(AMBAC Insured)

        
0.55%   

11/15/26

      10,000         10,880      (m,n)

Illinois Finance Authority

        
0.50%   

12/01/38

      4,960         5,066     
0.55%   

08/15/43

      5,000         5,710     

Metropolitan Pier & Exposition Authority (MBIA Insured)

        
5.00%   

06/15/19

      4,000         3,809      (d,n)
5.54%   

06/15/22

      4,505         3,179      (d,n)

 


 

 

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

 

54

Table of Contents
Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Southwestern Illinois Development Authority
(MBIA Insured)

        
0.50%   

10/01/21

    $ 4,000       $ 4,386      (n)

University of Illinois
(FGIC Insured)

        
0.53%   

04/01/32

      2,540         2,508      (n)
           35,538     
Indiana — 3.1%        

County of St. Joseph IN

        
0.50%   

03/01/36

      10,000         10,107     

Indiana Finance Authority

        
0.50%   

10/01/40

      5,000         4,668     
0.53%   

02/15/40

      10,000         9,135     

Indiana Finance Authority (AMBAC Insured)

        
0.54%   

03/01/34

      5,500         5,244      (n)

Indiana Municipal Power Agency

        
0.55%   

01/01/27

      2,500         2,586     
0.58%   

01/01/34

      2,000         2,050     

Indiana Municipal Power Agency (MBIA Insured)

        
0.50%   

01/01/42

      6,150         5,669      (n)

Indianapolis Local Public Improvement Bond Bank

        
0.58%   

01/01/38

      7,000         7,263     

Merrillville Multi School Building Corp.

        
0.53%   

07/15/28

      5,000         5,082     
           51,804     
Kansas — 0.3%        

University of Kansas Hospital Authority

        
0.56%   

09/01/32

      4,150         4,473     
Kentucky — 2.7%        

Kentucky Economic Development Finance Authority

        
0.60%   

06/01/30

      4,000         3,932     
0.64%   

06/01/40

      7,900         7,832     
          Principal
Amount 		     Fair
Value 		     
          

Kentucky State Property & Building Commission
(AGC Insured)

        
0.53%   

02/01/27 - 02/01/28

    $ 16,745       $ 17,214      (n)

Kentucky Turnpike Authority (AMBAC Insured)

        
0.50%   

07/01/26

      5,000         5,120      (n)

Louisville-Jefferson County Metropolitan Government

        
0.53%   

10/01/36

      13,000         11,525     
           45,623     
Louisiana — 1.2%        

Louisiana Public Facilities Authority (MBIA Insured)

        
0.53%   

07/01/33

      10,925         10,928      (n)
0.54%   

05/15/16

      7,870         8,695      (m,n)

Regional Transit Authority (AGC Insured)

        
0.50%   

12/01/30

      750         738      (n)
           20,361     
Maine — 0.7%        

Maine Health & Higher Educational Facilities Authority

        
0.51%   

07/01/31

      5,000         5,117     
0.53%   

07/01/21

      1,790         1,931     

Maine Municipal Bond Bank

        
0.55%   

11/01/21

      3,325         3,465      (m)

Maine Turnpike Authority

        
0.60%   

07/01/34

      1,250         1,336     
           11,849     
Maryland — 3.2%        

County of Frederick MD

        
0.50%   

07/01/40

      5,130         4,598     

County of Prince George’s MD

        
0.50%   

10/01/22

      6,820         7,575      (m)

Maryland Economic Development Corp.

        
0.58%   

06/01/35

      3,000         2,820     

 

 

 

 

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

 

55

Table of Contents
Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Maryland Health & Higher Educational Facilities Authority

        
0.50%   

07/01/32 - 05/15/40

    $ 21,700       $ 21,367     
0.51%   

11/15/34

      7,200         8,036      (b)

Washington Suburban Sanitation District

        
0.45%   

06/01/26

      8,470         8,755     
           53,151     
Massachusetts — 4.0%        

Massachusetts Development Finance Agency

        
0.50%   

01/01/40

      10,000         9,039     

Massachusetts Health & Educational Facilities Authority

        
0.50%   

07/01/34 - 07/15/35

      20,000         19,855     
0.55%   

11/15/36

      4,000         4,251     
0.58%   

07/01/39

      8,000         7,857     

Massachusetts State Department of Transportation

        
0.50%   

01/01/37

      10,000         9,552     

Massachusetts Water Resources Authority

        
0.65%   

07/15/19

      14,125         16,849     
           67,403     
Michigan — 1.9%        

City of Detroit MI (FSA Insured)

        
0.53%   

07/01/21 - 07/01/22

      4,545         4,668      (n)

City of Detroit MI (MBIA Insured)

        
0.50%   

07/01/27

      7,145         7,152      (n)

Michigan Municipal Bond Authority

        
0.53%   

10/01/17

      6,465         6,862     

Michigan State Hospital Finance Authority

        
0.54%   

12/01/30

      2,000         1,968     

State of Michigan

        
0.55%   

11/01/18

      6,000         6,868     

State of Michigan (FSA Insured)

        
0.53%   

09/15/27

      5,000         5,110      (n)
           32,628     
          Principal
Amount 		     Fair
Value 		     
          
Minnesota — 0.3%        

City of Rochester MN

        
0.50%   

11/15/38

    $ 4,500       $ 4,460     
Mississippi — 0.5%        

State of Mississippi

        
0.55%   

09/01/14

      7,500         8,549     
Missouri — 0.7%        

Missouri Highway & Transportation Commission

        
0.50%   

05/01/21

      1,500         1,690     

Missouri Joint Municipal Electric Utility Commission

        
0.58%   

01/01/29

      4,500         4,663     

Missouri State Environmental Improvement & Energy Resources Authority

        
0.50%   

01/01/24

      5,000         5,254     
           11,607     
Nebraska — 0.3%        

City of Lincoln NE

        
0.50%   

09/01/32

      4,000         4,064     
Nevada — 0.1%        

City of Las Vegas N.V. (AGC Insured)

        
0.56%   

06/01/16

      1,670         1,691      (n)
New Jersey — 10.0%        

Cape May County Municipal Utilities Authority (FSA Insured)

        
0.58%   

01/01/15 - 01/01/16

      8,500         9,908      (n)

Essex County Improvement Authority (FSA Insured)

        
0.53%   

12/15/17

      9,765         10,511      (n)
0.53%   

12/15/17

      235         264      (m,n)

New Jersey Economic Development Authority

        
0.55%   

12/15/29

      5,000         5,205     

 

 

 

 

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

 

56

Table of Contents
Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

New Jersey Educational Facilities Authority

        
0.53%   

07/01/32

    $ 2,625       $ 2,895     
0.60%   

12/01/17

      10,000         11,234     

New Jersey Healthcare Facilities Financing Authority
(AGC Insured)

        
0.50%   

01/01/28

      2,500         2,350      (n)

New Jersey Higher Education Assistance Authority

        
0.56%   

06/01/30

      7,500         7,530     

New Jersey State Turnpike Authority

        
0.53%   

01/01/40

      13,000         13,067     

New Jersey State Turnpike Authority (AMBAC Insured)

        
0.65%   

01/01/16 - 01/01/16

      49,960         56,635      (n)

New Jersey Transportation Trust Fund Authority

        
0.50%   

12/15/24

      7,000         7,028     
0.55%   

06/15/19 - 06/15/24

      31,280         34,751      (m)

New Jersey Transportation Trust Fund Authority
(FSA Insured)

        
0.58%   

12/15/14

      1,390         1,565      (n)
0.58%   

12/15/14

      4,610         5,383      (l,n)
           168,326     
New Mexico — 2.0%        

City of Farmington NM

        
0.47%   

09/01/24

      4,000         3,746     

New Mexico Finance Authority

        
0.50%   

06/15/23 - 12/15/26

      17,750         18,730     

New Mexico Hospital Equipment Loan Council

        
0.55%   

08/01/25 - 08/01/30

      10,750         11,161     
           33,637     
New York — 5.8%        

Albany Industrial Development Agency

        
0.53%   

11/15/27 - 11/15/32

      6,500         6,058      (h)
          Principal
Amount 		     Fair
Value 		     
          

Brooklyn Arena Local Development Corp.

        
0.60%   

07/15/30

    $ 4,500       $ 4,518     

Long Island Power Authority

        
0.60%   

05/01/33

      7,500         8,010     

Metropolitan Transportation Authority

        
0.53%   

11/15/40

      2,500         2,437     

New York City Transitional Finance Authority

        
0.55%   

07/15/31

      10,000         10,541     

New York Liberty Development Corp.

        
0.51%   

01/15/44

      10,000         9,490     

New York State Dormitory Authority

        
0.50%   

03/15/25 - 07/01/39

      15,260         15,615     
0.53%   

11/15/23

      10,400         10,909     
0.55%   

05/01/37

      2,500         2,479     
0.65%   

12/01/21

      4,500         4,715     

New York State Urban Development Corp.

        
0.55%   

07/01/16 - 01/01/19

      9,000         10,272     

Triborough Bridge & Tunnel Authority

        
0.50%   

11/15/26

      10,000         10,449     

Westchester County Healthcare Corp.

        
0.61%   

11/01/37

      2,500         2,453     
           97,946     
North Carolina — 2.3%        

Board of Governors of the University of North Carolina (MBIA Insured)

        
0.50%   

10/01/18

      2,750         2,989      (n)

City of Charlotte NC

        
0.50%   

06/01/23 - 07/01/38

      10,780         11,426     

North Carolina Capital Facilities Finance Agency

        
0.46%   

11/01/40

      9,000         8,045     
0.50%   

01/01/38

      1,000         1,003     

 

 

 

 

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

 

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Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

North Carolina Eastern Municipal Power Agency

        
0.50%   

01/01/26

    $ 5,000       $ 4,938     

North Carolina Medical Care Commission

        
0.48%   

11/01/43

      10,000         8,560     

State of North Carolina

        
0.46%   

05/01/29

      1,500         1,454     
           38,415     
Ohio — 3.3%        

American Municipal Power-Ohio Inc.

        
0.50%   

02/15/38

      5,000         4,710     

City of Columbus OH

        
0.45%   

06/01/32

      700         647     
0.48%   

06/01/31

      5,000         4,879     

County of Cuyahoga OH

        
0.60%   

01/01/32

      10,000         10,215     

County of Franklin OH

        
0.45%   

12/01/37

      3,000         2,560     
0.50%   

05/15/21

      2,685         2,738     
0.53%   

05/15/24

      1,400         1,422     

County of Hamilton OH
(AMBAC Insured)

        
0.53%   

12/01/32

      1,520         1,497      (n)

County of Hamilton OH
(MBIA Insured)

        
0.50%   

12/01/19

      4,250         4,730      (m,n)

Cuyahoga Community College District

        
0.50%   

08/01/26 - 08/01/27

      3,000         3,063     

Kent State University
(AGC Insured)

        
0.50%   

05/01/29 - 05/01/30

      3,320         3,337      (n)

Lorain County Port Authority

        
0.68%   

12/01/40

      2,000         1,980     

Ohio Higher Educational Facility Commission

        
0.52%   

11/01/26

      3,700         3,884     
0.63%   

05/01/38

      5,000         5,261     

State of Ohio

        
0.50%   

11/01/32

      1,100         1,103     
          Principal
Amount 		     Fair
Value 		     
          

The Ohio State University

        
0.53%   

12/01/11

    $ 3,150       $ 3,284     
           55,310     
Oklahoma — 1.4%        

Claremore Public Works Authority (Class AFAC)
(FSA Insured)

        
0.53%   

06/01/34

      6,315         7,204      (m,n)

Oklahoma Municipal Power Authority (FGIC Insured)

        
0.45%   

01/01/47

      9,000         7,557      (n)

Oklahoma Turnpike Authority (AMBAC Insured)

        
0.53%   

01/01/15

      8,005         8,319      (n)
           23,080     
Oregon — 0.1%        

Ontario Hospital Facility Authority

        
0.45%   

12/01/37

      2,500         2,141     
Pennsylvania — 3.4%        

Allegheny County Hospital Development Authority

        
0.50%   

11/15/28

      8,000         5,649     

Pennsylvania Higher Educational Facilities Authority

        
0.55%   

08/15/18

      1,000         1,131     

Pennsylvania Industrial Development Authority (AMBAC Insured)

        
0.55%   

07/01/17

      3,100         3,248      (n)

Pennsylvania Turnpike Commission

        
0.53%   

06/01/39

      11,750         11,362     
6.13%   

12/01/34

      12,000         8,795      (d)

Pennsylvania Turnpike Commission (AMBAC Insured)

        
0.53%   

12/01/32

      12,000         12,147      (n)

Philadelphia Authority for Industrial Development

        
0.53%   

09/01/36

      1,750         1,396     

 


 

 

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

 

58

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Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

Southcentral General Authority

        
0.54%   

05/15/28

    $ 4,100       $ 4,214     

State Public School Building Authority (FSA Insured)

        
0.53%   

06/01/27

      8,000         8,816      (m,n)
           56,758     
Puerto Rico — 2.9%        

Commonwealth of Puerto Rico

        
0.58%   

07/01/38

      7,000         7,051     
0.60%   

07/01/39

      10,000         10,173     

Puerto Rico Electric Power Authority

        
0.53%   

07/01/40

      5,000         4,654     

Puerto Rico Sales Tax Financing Corp.

        
0.55%   

08/01/42

      15,000         14,584     
5.70%   

08/01/32

      15,000         11,835      (d)
           48,297     
Rhode Island — 0.1%        

Rhode Island Health & Educational Building Corp.

        
0.63%   

09/15/34

      1,300         1,349     
0.65%   

09/15/28

      1,000         1,082     
           2,431     
South Carolina — 5.7%        

Berkeley County School District

        
0.53%   

12/01/24

      15,000         15,201      (h)

Charleston Educational Excellence Finance Corp.

        
0.53%   

12/01/27 - 12/01/30

      21,850         22,007     

City of Greenville SC

        
0.51%   

02/01/22

      5,195         5,455      (m)

County of Beaufort SC (MBIA Insured)

        
0.55%   

06/01/17 - 06/01/18

      4,150         4,347      (n)

Greenville County School District

        
0.53%   

12/01/21

      2,000         2,095     
0.55%   

12/01/28

      10,725         11,799     

Lexington County Health Services District Inc.

        
0.55%   

11/01/13

      4,050         4,374     
          Principal
Amount 		     Fair
Value 		     
          

South Carolina Educational Facilities Authority

        
0.50%   

10/01/38

    $ 7,650       $ 7,243     

South Carolina State Public Service Authority

        
0.55%   

01/01/38

      7,500         7,870     

South Carolina State Public Service Authority
(FSA Insured)

        
0.51%   

01/01/32

      10,000         10,457      (n)
0.55%   

01/01/36

      5,000         5,247      (m,n)
           96,095     
Tennessee — 0.6%        

Knox County Health Educational & Housing Facilities Board

        
0.53%   

04/01/36

      10,000         8,760     

State of Tennessee

        
0.50%   

05/01/19

      1,000         1,147     
           9,907     
Texas — 5.7%        

City of Austin TX
(AMBAC Insured)

        
0.55%   

11/15/16

      5,450         6,365      (n)

City of Dallas TX

        
0.50%   

10/01/39

      10,000         10,038     

City of Houston TX
(AMBAC Insured)

        
0.58%   

12/01/14

      5,000         5,470      (m,n)

City of Houston TX (FSA Insured)

        
0.53%   

05/15/22

      10,000         10,566      (n)

North Central Texas Health Facility Development Corp.

        
0.51%   

05/15/22

      4,500         4,514     

North Texas Tollway Authority

        
0.53%   

01/01/44

      10,000         8,786     
0.56%   

01/01/33

      1,500         1,439     
0.58%   

01/01/38 - 01/01/40

      21,475         20,334     
0.60%   

01/01/38

      5,000         4,993     

San Antonio Independent School District

        
0.54%   

08/15/19

      2,685         2,768      (m)

 


 

 

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

 

59

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Elfun Tax-Exempt Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

State of Texas

        
0.50%   

04/01/33

    $ 5,000       $ 5,032     

Tarrant County Cultural Education Facilities Finance Corp.

        
0.50%   

11/15/40

      5,000         4,663     

University of Texas

        
0.50%   

08/15/24

      10,000         10,812     
           95,780     
Utah — 0.2%        

Utah State Board of Regents

        
0.50%   

11/01/30

      4,000         3,985     
Vermont — 0.3%        

Vermont Educational & Health Buildings Financing Agency

        
0.50%   

10/31/46

      5,700         5,625     
Virginia — 1.3%        

Chesterfield County Economic Development Authority (AGC Insured)

        
0.50%   

11/01/42

      4,000         3,735      (n)

City of Richmond VA

        
0.50%   

01/15/40

      10,000         10,000     

Roanoke Economic Development Authority

        
0.50%   

07/01/33

      1,750         1,639     

Virginia College Building Authority

        
0.44%   

02/01/28

      845         835     

Virginia Resources Authority

        
0.53%   

11/01/38

      5,000         5,125     
           21,334     
Washington — 0.7%        

County of King WA

        
0.55%   

12/01/13 - 12/01/13

      5,120         5,771      (l)
0.55%   

12/01/13

      4,880         5,489     
           11,260     
          Principal
Amount 		     Fair
Value 		     
          
Wisconsin — 0.2%        

State of Wisconsin
(AMBAC Insured)

        
0.58%   

07/01/14

    $ 2,990       $ 3,173      (n)

Total Municipal Bonds
and Notes
(Cost $1,623,078)

               1,643,818       

Other Investments — 0.0%*

  

             

GEI Investment Fund
(Cost $281)

         267      (k)

Total Investment in Securities
(Cost $1,623,359)

               1,644,085       

Short-Term Investments — 0.1%

  

             
Time Deposit — 0.1%        

State Street Corp.

  

     
0.01%   

01/03/11

      2,138         2,138      (e)

(Cost $2,138)

        

Total Investments
(Cost $1,625,497)

         1,646,223     

Other Assets and Liabilities,
net — 1.9%

         31,702     
                

NET ASSETS — 100.0%

       $ 1,677,925     
                

 


 

 

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

 

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LOGO

 

LOGO

Paul M. Colonna

 

The Elfun Income Fund is managed by a team of portfolio managers that includes Paul M. Colonna (pictured to the left), William M. Healey, Mark H. Johnson and Vita Marie Pike. The team is lead by Mr. Colonna who is vested with oversight authority. Each portfolio manager is assigned a class of assets, the size of which are determined by team consensus and adjusted on a monthly basis, if necessary. Although each portfolio manager manages his or her asset class independent of the other team members, the team is highly collaborative and communicative. See portfolio managers’ biographical information beginning on page 116.

 

Q. How did the Elfun Income Fund perform compared to its benchmark for the twelve-month period ended December 31, 2010?

 

A. The Elfun Income Fund returned 8.31% (net of fees) for the twelve-month period ended December 31, 2010 versus a return of 6.54% for the Barclays Capital U.S. Aggregate Bond Index. The Morningstar peer group of 1,205 U.S. DE Intermediate-Term Funds had returned on average 7.71% over the same period.

 

Q. Discuss the factors that materially affected the fund’s performance during the fiscal period.

 

A. The fixed income market benefited from both declining interest rates and spread compression over the last fiscal period, producing positive price returns which added to income generated from coupon interest. U.S. 2-year and 10-year Treasury note yields ended the year at 0.59% and
 

3.29% respectively, down 54 basis points each. The U.S. 30-year bond finished the year yielding 4.33%, down 31 basis points. As the U.S. economy recovered in 2010 and growth expectations for 2011 picked up, non-treasury securities outperformed treasury securities during the period due to tightening spreads. The Barclays Capital U.S. Credit Index yield spread narrowed 11 basis points, which contributed to a total return of 8.47% last year. Commercial mortgage-backed securities experienced the largest spread compression and led all sectors with an annual return of 20.4%. Yield spreads on high yield and emerging market debt also narrowed contributing to double digit returns for both (BC High Yield Index returned 15.12% and JPM EMBI-GD Index returned 12.24%). The largest contributor to the Fund’s performance on an absolute basis and relative to its benchmark was the overweight positions in investment grade credit and commercial mortgage-backed securities plus non-index allocations to high yield and emerging market debt. Security selection within the agency and commercial MBS sectors added value as did an overweight in financial versus non-corporate issuers in investment grade credit. Duration positioning had a negative effect on performance, primarily in April and May when the Fund’s duration was shorter than that of the benchmark and U.S. interest rates fell significantly in a flight to quality away from risky assets brought on by the fiscal crises among the European peripheral

 

 

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countries, namely Greece, Ireland, Portugal and Spain. A small position in Greece bonds early in the year impacted performance negatively.

 

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

 

A. Sector allocations did change throughout the year, primarily adding to non-treasury sectors vis-à-vis treasury securities. The underweight in agency MBS (approximately 10%) was brought back to a neutral weighting mid-year while the overweight in commercial MBS was increased during the first half of 2010 to roughly 7.5% and remained through yearend. Allocations to high yield and emerging market debt were increased to after the flight to quality in May and finished the year around 8% each in the fund. Duration relative to the benchmark remained short during most of the first half of 2010 but was brought back to neutral in the third quarter and tactically traded with a long bias towards the end of the year.

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchases payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and services 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 each share class 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, 2010.

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 for your class under the heading “Expenses Paid During 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. 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 for both “Actual” and “Hypothetical” do not reflect any transaction costs, such as sales charges or redemption fees.

 

July 1, 2010 – December 31, 2010

 

        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           1,035.27           1.18   

Hypothetical 5% Return
(2.5% for the period)

        1,000.00           1,023.77           1.17   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.23% (for the period July 1, 2010 - December 31, 2010), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

 

**   Actual Fund Return for the six-month period ended December 31, 2010 was: 3.53%. Past performance does not guarantee future results.

 

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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 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 of December 31, 2010 as a % of Fair Value(b)

 

Moody’s / S&P / Fitch Rating *

     
 		 Percentage of
Fair Value		   
  
Aaa / AAA      62.02%   
Aa / AA      1.90%   
A / A      12.55%   
Baa / BBB      13.57%   
Ba / BB and lower      9.96%   
       100.00%   

 

*   Moody’s Investors Services Inc, Standard & Poor’s and Fitch are nationally recognized statistical rating organizations.

Sector Allocation

as a % of the Fair Value of $375,733 (in thousands) as of December 31, 2010(b)(c)

 

 

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/10

 

     One
Year		      Five
Year		      Ten
Year		  

Number of Funds in peer group

     1205         1074         931   

Peer group average annual total return

     7.71 %       4.79 %       5.02 % 

Morningstar category in peer group: Intermediate-Term Bond

  

Change in Value of a $10,000 Investment(a)

LOGO

Average Annual Total Return

for the periods ended December 31, 2010

 

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

Elfun Income Fund

     8.31%        4.97%        5.36%        16,849   

Barclays Capital U.S. Aggregate Bond Index

     6.54%        5.80%        5.84%        17,633   

LOGO

 

 

(a) Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less.

 

(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.

 

(c) Fair value basis is inclusive of Short Term Investment in GE Money Market Fund.

See Notes to Performance on page 1 for further information.

Past performance does not predict future performance. The performance shown on the graph 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 Income Fund    (in thousands) — December 31, 2010

 

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                                    [GRAPHIC]

 

 

         Principal
Amount 		     Fair
Value 		     
         
         

Bonds and Notes — 98.3%†

  

             
U.S. Treasuries — 17.5%        

U.S. Treasury Bonds

  

     
3.88%   

08/15/40

   $ 19,199       $ 17,684      (h)

U.S. Treasury Notes

  

     
0.39%   

04/30/12

     1,865         1,880      (d,h)
1.25%   

09/30/15

     5,329         5,171      (h)
2.63%   

08/15/20

     35,404         33,565      (h)
3.13%   

05/15/19

     2         2     
3.25%   

07/31/16

     2,929         3,083      (h)
          61,385     
Agency Mortgage Backed — 29.6%     

Federal Home Loan Mortgage Corp.

       
4.50%   

06/01/33 - 02/01/35

     104         106      (h)
5.00%   

07/01/35 - 08/01/40

     4,902         5,151      (h)
5.00%   

07/01/35

     49         52      (h,q)
5.50%   

05/01/20 - 04/01/39

     718         768      (h,q)
5.50%   

05/01/20 - 01/01/38

     1,144         1,240      (h)
6.00%   

06/01/17 - 11/01/37

     2,806         3,091      (h)
6.00%   

04/01/17 - 05/01/34

     117         130      (h,q)
6.50%   

07/01/29

     2         3      (h)
7.00%   

01/01/27 - 08/01/36

     274         310      (h)
7.00%   

10/01/16 - 07/01/34

     26         29      (h,q)
7.50%   

09/01/12 - 09/01/33

     21         24      (h)
7.50%   

12/01/30

     15         17      (h,q)
8.00%   

11/01/30

     12         14      (h)
5.50%   

TBA

     1,570         1,673      (c)

Federal National Mortgage Assoc.

       
4.00%   

05/01/19 - 10/01/40

     8,296         8,280      (h)
4.50%   

05/01/18 - 11/01/40

     25,588         26,326      (h)
5.00%   

07/01/20 - 11/01/40

     9,250         9,748      (h)
5.32%   

03/01/37

     7         8      (i)
5.50%   

03/01/14 - 01/01/39

     9,622         10,355      (h)
5.53%   

04/01/37

     12         12      (i)
6.00%   

02/01/14 - 08/01/35

     4,862         5,364      (h)
6.50%   

02/01/14 - 08/01/36

     783         872      (h)
7.00%   

08/01/13 - 02/01/34

     115         128      (h)
7.50%   

08/01/13 - 03/01/34

     349         397      (h)
8.00%   

12/01/11 - 11/01/33

     152         174      (h)
         Principal
Amount 		     Fair
Value 		     
         
8.50%   

04/01/30 - 05/01/31

   $ 22       $ 26      (h)
9.00%   

12/01/17 - 12/01/22

     41         45      (h)
4.50%   

TBA

     11,905         12,219      (c)
5.00%   

TBA

     2,664         2,826      (c)
5.50%   

TBA

     1,095         1,177      (c)
6.00%   

TBA

     7,726         8,394      (c)
6.50%   

TBA

     878         976      (c)

Government National Mortgage Assoc.

       
4.50%   

08/15/33 - 09/15/34

     608         635      (h)
5.00%   

08/15/33

     214         230      (h)
6.00%   

04/15/27 - 09/15/36

     846         941      (h)
6.50%   

04/15/19 - 09/15/36

     625         714      (h)
7.00%   

03/15/12 - 10/15/36

     301         339      (h)
7.50%   

03/15/23 - 10/15/33

     92         106      (h)
8.00%   

09/15/27

     39         46      (h)
8.50%   

10/15/17

     41         46      (h)
9.00%   

11/15/16 - 12/15/21

     88         101      (h)
5.50%   

TBA

     435         470      (c)
          103,563     
Agency Collateralized Mortgage Obligations — 2.6%     

Collateralized Mortgage Obligation Trust (Class B)

       
2.75%   

11/01/18

     12         11      (d,f,h,q)

Fannie Mae Whole Loan

       
0.97%   

08/25/43

     1,749         54      (g,r)

Federal Home Loan Mortgage Corp.

       
0.00%   

09/25/43

     2,389         21      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC

       
5.00%   

02/15/38

     288         28      (g,r)
5.00%   

05/15/38

     327         335     
5.50%   

04/15/17

     62         2      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Class YQ)

       
5.00%   

05/15/17

     38         2      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2631)
(Class DI)

       
5.50%   

06/15/33

     383         78      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2643)
(Class IM)

       
4.50%   

03/15/18

     303         24      (g,h,r)

 


 

 

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

 

65

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

Federal Home Loan Mortgage Corp. REMIC (Series 2645) (Class BI)

        
4.50%   

02/15/18

    $ 68       $ 5      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2647) (Class DI)

        
4.50%   

10/15/16

      33         1      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2656) (Class IU)

        
5.00%**   

04/15/28

      18         —      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2722) (Class PI)

        
5.00%   

06/15/28

      44         1      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2763) (Class JI)

        
5.00%   

10/15/18

      226         20      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2781) (Class IC)

        
5.00%   

11/15/17 - 05/15/18

      192         10      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2795) (Class IC)

        
5.00%   

07/15/17

      51         2      (g,h,r)

Federal Home Loan Mortgage Corp. REMIC (Series 2852) (Class OJ)

        
14.25%   

09/15/34

      85         80      (d,f)

Federal Home Loan Mortgage Corp. REMIC (Series 2990) (Class TS)

        
6.49%   

05/15/35

      911         90     

(g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 33) (Class 33D)

        
8.00%   

04/15/20

      8         9      (h)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IA)

        
6.15%   

05/15/37

      941         147      (g,r)
          Principal
Amount 		     Fair
Value 		     
          

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IB)

        
6.15%   

05/15/37

    $ 941       $ 147      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IC)

        
6.15%   

05/15/37

      941         147      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class ID)

        
6.15%   

05/15/37

      941         147      (g,r)

Federal Home Loan Mortgage Corp. REMIC (Series 3311) (Class IE)

        
6.15%   

05/15/37

      1,371         214      (g,r)

Federal Home Loan Mortgage Corp. STRIPS

        
8.00%   

02/01/23 - 07/01/24

      14         3      (g,h,r)

Federal Home Loan Mortgage Corp. STRIPS (Class IO)

        
5.00%   

12/01/34

      197         38      (g,h,q,r)

Federal Home Loan Mortgage STRIPS

        
4.39%   

08/01/27

      4         3      (d,f,h)

Federal National Mortgage Assoc. REMIC

        
5.00%   

08/25/38

      326         331     
5.00%   

02/25/40

      361         65      (g,r)
5.24%   

01/25/37

      1,396         169      (g,r)
5.74%   

07/25/38 - 12/25/40

      2,866         401      (g,r)
5.79%   

11/25/40

      1,964         327      (g,r)
6.07%   

03/25/40

      2,047         300      (g,r)
6.14%   

12/25/36

      1,064         127      (g,r)

Federal National Mortgage Assoc. REMIC (Class B)

        
2.52%   

12/25/22

      10         9      (d,f,h)

Federal National Mortgage Assoc. REMIC (Class BZ)

        
5.50%   

01/25/33

      427         465     

Federal National Mortgage Assoc. REMIC (Class CS)

        
7.44%   

08/25/16

      57         1      (g,h,r)

 


 

 

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

 

66

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Federal National Mortgage Assoc. REMIC (Class VZ)

        
5.00%   

10/25/35

    $ 297       $ 289     

Federal National Mortgage Assoc. REMIC (Series 1992) (Class K)

        
8.00%   

05/25/22

      —         1      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003)

        
5.00%   

08/25/17

      90         6      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class HI)

        
5.00%   

10/25/22

      136         11      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class IJ)

        
5.00%   

02/25/32

      505         58      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class IO)

        
0.00%   

12/25/42

      618         26      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class KI)

        
4.50%   

05/25/18

      42         1      (g,h,r)

Federal National Mortgage Assoc. REMIC (Series 2003) (Class SL)

        
16.04%   

03/25/31

      344         392      (h)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IA)

        
6.15%   

06/25/37

      727         118      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IB)

        
6.15%   

06/25/37

      727         118      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IC)

        
6.15%   

06/25/37

      727         118      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class ID)

        
6.15%   

06/25/37

      727         118      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IE)

        
6.15%   

06/25/37

      727         118      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2007) (Class IF)

        
6.15%   

06/25/37

      1,108         180      (g,r)

Federal National Mortgage Assoc. REMIC (Series 2008) (Class ZW)

        
          Principal
Amount 		     Fair
Value 		     
          
5.00%   

07/25/38

    $ 261       $ 263     

Federal National Mortgage Assoc. STRIPS

        
6.00%   

01/01/35 - 01/01/35

      323         55      (g,h,r)

Federal National Mortgage Assoc. STRIPS (Class 2)

        
4.50%   

08/01/35

      504         91      (g,h,r)
5.00%   

03/25/38

      405         67      (g,r)
5.50%   

12/01/33

      132         27      (g,r)
7.50%   

11/01/23

      47         8      (g,h,r)
8.00%   

08/01/23 - 07/01/24

      31         7      (g,h,r)
8.50%   

03/01/17 - 07/25/22

      28         5      (g,h,r)
9.00%   

05/25/22

      10         2      (g,h,r)

Federal National Mortgage Assoc. STRIPS (Series 354) (Class 1)

        
3.56%   

11/01/34

      471         412      (d,f,h)

Federal National Mortgage Assoc. STRIPS (Series 364) (Class 1)

        
4.50%   

09/01/35

      914         166      (g,h,r)

Federal National Mortgage Assoc. STRIPS (Series 378) (Class 1)

        
4.50%   

01/01/36

      683         124      (g,h,r)

Federal National Mortgage Assoc. STRIPS (Series 387) (Class 1)

        
5.00%   

05/25/38

      406         62      (g,r)

Government National Mortgage Assoc.

        
4.50%   

05/20/38

      441         64      (g,r)
4.50%   

11/20/39

      642         625     
5.00%   

10/20/37 - 09/20/38

      2,279         336      (g,r)
5.74%   

11/20/39

      3,980         604      (g,r)
5.99%   

10/16/39

      1,465         201      (g,r)
6.24%   

01/16/39

      2,488         391      (g,r)

Government National Mortgage Assoc. (Class IC)

        
5.99%   

04/16/37

      924         159      (g,r)

Vendee Mortgage Trust

        
0.38%   

04/15/40

      1,843         40      (g,h,r)

Vendee Mortgage Trust
(Class 2003)

        
0.86%   

05/15/33

      1,079         43      (g,h,r)
           9,120     

 


 

 

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

 

67

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          
Asset Backed — 0.6%     

Capital One Multi-Asset Execution Trust (Class B)

        
1.48%   

01/15/19

    $ 500       $ 476      (d)

Chase Funding Mortgage Loan Asset-Backed Certificates
(Class IB)

        
5.75%   

05/25/32

      44         25      (h,q)

Citicorp Residential Mortgage Securities Inc. (Series 2006) (Class A5)

        
6.04%   

09/25/36

      360         313     

Countrywide Asset-Backed Certificates

        
1.12%   

05/25/33

      23         19      (h)

Countrywide Asset-Backed Certificates (Class 2A1)

        
2.22%   

06/25/33

      2         2      (d,h)

Countrywide Asset-Backed Certificates (Class AF6)

        
4.74%   

10/25/35

      305         277     

Countrywide Asset-Backed Certificates (Series 2002) (Class A)

        
17.63%   

08/25/32

      30         19      (d,h)

GSAA Trust (Series 2004) (Class A1)

        
10.03%   

05/25/34

      115         88      (d,h)

Mid-State Trust (Class A3)

        
7.54%   

07/01/35

      50         51      (h,q)

Popular ABS Mortgage
Pass-Through Trust (Class AF4)

        
5.30%   

11/25/35

      350         292     

Residential Asset Securities Corp. (Class A2)

        
48.54%   

06/25/33

      48         24      (d,h)

Residential Asset Securities Corp. (Series 2002) (Class AIIB)

        
31.64%   

07/25/32

      25         14      (d,h)

Saxon Asset Securities Trust

        
5.23%   

08/25/35

      288         276     

Wachovia Asset Securitization Inc. (Series 2004) (Class A)

        
13.05%   

06/25/34

      294         253      (d,h,i,q)
           2,129     
          Principal
Amount 		     Fair
Value 		     
          
Corporate Notes — 33.2%     

Abu Dhabi National Energy Co.

        
4.75%   

09/15/14

    $ 200       $ 207      (b)
6.25%   

09/16/19

      200         207      (b)

AES El Salvador Trust

        
6.75%   

02/01/16

      200         193      (b)

AES Panama S.A.

        
6.35%   

12/21/16

      219         235      (b)

Agilent Technologies Inc.

        
5.00%   

07/15/20

      401         407     
5.50%   

09/14/15

      270         293     

Air Jamaica Ltd.

        
9.38%   

07/08/15

      7         7     

Alcoa Inc.

        
6.15%   

08/15/20

      453         465     

Allergan Inc.

        
3.38%   

09/15/20

      805         759     

Alliance One International Inc.

        
10.00%   

07/15/16

      533         546     

ALROSA Finance S.A.

        
7.75%   

11/03/20

      400         420      (b)
8.88%   

11/17/14

      200         224      (b)

Ameren Illinois Co.

        
9.75%   

11/15/18

      522         670     

American International Group Inc.

        
5.85%   

01/16/18

      202         208     

American Tower Corp.

        
4.50%   

01/15/18

      600         595     

Amsted Industries Inc.

        
8.13%   

03/15/18

      637         676      (b)

Anadarko Petroleum Corp.

        
6.20%   

03/15/40

      1,180         1,152      (h)
6.38%   

09/15/17

      202         220     

Anheuser-Busch InBev Worldwide Inc.

        
3.63%   

04/15/15

      606         624     
5.00%   

04/15/20

      824         871      (h)
5.38%   

11/15/14

      528         582      (b)

ARAMARK Corp.

        
8.50%   

02/01/15

      423         442     

Arizona Public Service Co.

        
6.25%   

08/01/16

      485         542      (h)

 


 

 

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

 

68

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

AT&T Inc.

        
6.40%   

05/15/38

    $ 1,807       $ 1,921      (h)
6.70%   

11/15/13

      496         564      (h)

Avis Budget Car Rental LLC

        
9.63%   

03/15/18

      306         330     

Ball Corp.

        
5.75%   

05/15/21

      410         397     

Banco do Brasil Cayman

        
8.50%   

10/29/49

      350         403      (b,i)

Banco Mercantil del Norte S.A. (Series REGS)

        
6.14%   

10/13/16

      74         76      (i)

BanColombia S.A.

        
6.13%   

07/26/20

      70         72     

Bank of America Corp.

        
4.50%   

04/01/15

      610         620     
5.63%   

07/01/20

      1,135         1,157      (h)
5.75%   

12/01/17

      1,875         1,951      (h)
6.50%   

08/01/16

      410         445     

BE Aerospace Inc.

        
8.50%   

07/01/18

      377         413     

Boise Paper Holdings LLC

        
8.00%   

04/01/20

      382         409      (h)

Bombardier Inc.

        
7.75%   

03/15/20

      716         771      (b)

BP Capital Markets PLC

        
3.13%   

10/01/15

      201         201     
4.50%   

10/01/20

      201         201     

Braskem Finance Ltd.

        
7.00%   

05/07/20

      100         103      (b)

Calpine Corp.

        
7.25%   

10/15/17

      885         885      (b,h)

Cantor Fitzgerald LP

        
7.88%   

10/15/19

      179         184      (b)

Cargill Inc.

        
5.20%   

01/22/13

      131         141      (b,h)
6.00%   

11/27/17

      247         279      (b,h)

Case New Holland Inc.

        
7.88%   

12/01/17

      462         505      (b)

CBS Corp.

        
5.75%   

04/15/20

      372         395     
5.90%   

10/15/40

      284         274     
          Principal
Amount 		     Fair
Value 		     
          

CCO Holdings LLC

        
7.88%   

04/30/18

    $ 192       $ 199     
8.13%   

04/30/20

      230         242     

Centrais Eletricas Brasileiras S.A.

        
6.88%   

07/30/19

      193         218      (b)

Central American Bank for Economic Integration

        
5.38%   

09/24/14

      380         405      (b)

CFG Investment SAC

        
9.25%   

12/19/13

      100         105     

Chesapeake Energy Corp.

        
6.63%   

08/15/20

      427         421     
7.25%   

12/15/18

      856         886     

Cincinnati Bell Inc.

        
8.25%   

10/15/17

      676         669     
8.75%   

03/15/18

      458         429     

Citigroup Inc.

        
5.00%   

09/15/14

      574         594     
5.13%   

05/05/14

      674         715     
5.38%   

08/09/20

      698         725     
6.13%   

11/21/17

      202         221     
6.38%   

08/12/14

      1,213         1,341      (h)
8.50%   

05/22/19

      331         411     

Clarendon Alumina Production Ltd.

        
8.50%   

11/16/21

      135         135      (b,h)

Community Health Systems Inc.

        
8.88%   

07/15/15

      696         731      (h)

Consolidated Edison Company of New York Inc.

        
6.65%   

04/01/19

      308         367     

Consolidated Edison Company of New York Inc. (Series 2008)

        
5.85%   

04/01/18

      184         211     

Corp Nacional del Cobre de Chile

        
3.75%   

11/04/20

      497         471      (b)
5.63%   

09/21/35

      76         78      (b)

COX Communications Inc.

        
6.25%   

06/01/18

      324         362      (b)

Credit Suisse First Boston International for CJSC The EXIM of Ukraine

        
7.65%   

09/07/11

      200         203     

 


 

 

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

 

69

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

Crown Castle International Corp.

        
7.13%   

11/01/19

    $ 390       $ 412     

Crown Castle Towers LLC

        
4.88%   

08/15/40

      379         364      (b)
6.11%   

01/15/40

      378         394      (b)

CSN Islands XII Corp.

        
7.00%   

09/29/49

      100         99      (b)

CVS Caremark Corp.

        
3.25%   

05/18/15

      414         421     
5.75%   

06/01/17

      154         171     
6.13%   

09/15/39

      766         818     

Denbury Resources Inc.

        
8.25%   

02/15/20

      383         416     

Development Bank of Kazakhstan JSC

        
5.50%   

12/20/15

      200         202      (b)

Digicel Ltd.

        
8.25%   

09/01/17

      100         103      (b)

DirecTV Holdings LLC

        
4.75%   

10/01/14

      392         418     
5.88%   

10/01/19

      420         456     

Dolphin Energy Ltd.

        
5.89%   

06/15/19

      369         395      (b)

Drummond Company Inc.

        
9.00%   

10/15/14

      370         395      (b)

DTEK Finance BV

        
9.50%   

04/28/15

      300         311      (b)

Dubai Electricity & Water Authority

        
6.38%   

10/21/16

      200         193      (b)
7.38%   

10/21/20

      200         187      (b)

El Paso Corp.

        
8.05%   

10/15/30

      384         390      (h)

Empresa Nacional del Petroleo

        
5.25%   

08/10/20

      314         314      (b)
6.25%   

07/08/19

      300         324      (b)

European Investment Bank

        
4.88%   

01/17/17

      1,050         1,170      (h)

Exelon Corp.

        
4.90%   

06/15/15

      567         605     

Exelon Generation Company LLC

        
6.25%   

10/01/39

      409         412     
          Principal
Amount 		     Fair
Value 		     
          

Expedia Inc.

        
5.95%   

08/15/20

    $ 418       $ 420     

Export-Import Bank of Korea

        
5.88%   

01/14/15

      58         63     

Fibria Overseas Finance Ltd.

        
7.50%   

05/04/20

      239         251      (b)

First Horizon National Corp.

        
5.38%   

12/15/15

      399         403     

Forest Oil Corp.

        
7.25%   

06/15/19

      382         388     

FPL Group Capital Inc.

        
2.60%   

09/01/15

      801         784     

France Telecom S.A.

        
2.13%   

09/16/15

      402         391     

Frontier Communications Corp.

        
8.25%   

04/15/17

      536         588     

Gaz Capital SA for Gazprom

        
8.13%   

07/31/14

      100         113      (b)
9.25%   

04/23/19

      200         246     

Gazprom Via Gaz Capital S.A.

        
5.09%   

11/29/15

      200         205      (b)

Georgia-Pacific LLC

        
5.40%   

11/01/20

      306         303      (b)

Globo Comunicacao e Participacoes S.A.

        
6.25%   

12/31/49

      200         210      (b,j)
7.25%   

04/26/22

      200         215      (b)

Gold Fields Orogen Holding BVI Ltd.

        
4.88%   

10/07/20

      400         383      (b)

Goldman Sachs Capital I

        
6.35%   

02/15/34

      401         382     

Hartford Financial Services Group Inc.

        
5.50%   

03/30/20

      710         720      (h)

HCA Inc.

        
9.25%   

11/15/16

      690         736     

Health Management Associates Inc.

        
6.13%   

04/15/16

      467         472     

Hess Corp.

        
5.60%   

02/15/41

      401         398     

 


 

 

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

 

70

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Hidili Industry International Development Ltd.

        
8.63%   

11/04/15

    $ 150       $ 149      (b)

Host Hotels & Resorts Inc. (REIT)

        
6.00%   

11/01/20

      570         561      (b)

Host Hotels & Resorts LP (REIT)

        
9.00%   

05/15/17

      482         535     

HSBC Finance Corp.

        
6.68%   

01/15/21

      1,538         1,554      (b)

Huntington BancShares Inc.

        
7.00%   

12/15/20

      279         294     

IIRSA Norte Finance Ltd.

        
8.75%   

05/30/24

      457         508      (b,h)

Indo Integrated Energy BV

        
9.00%   

06/01/12

      100         105      (j)

Ingles Markets Inc.

        
8.88%   

05/15/17

      735         786     

Intelsat Subsidiary Holding Company S.A.

        
8.88%   

01/15/15

      380         390     

Intergas Finance BV

        
6.88%   

11/04/11

      100         104     

Intergen N.V.

        
9.00%   

06/30/17

      773         819      (b)

International Paper Co.

        
7.50%   

08/15/21

      520         614     

IPIC GMTN Ltd.

        
3.13%   

11/15/15

      348         340      (b)
5.00%   

11/15/20

      348         341      (b)

JP Morgan Chase Capital XXV (Series Y)

        
6.80%   

10/01/37

      188         194     

JPMorgan Chase & Co.

        
5.13%   

09/15/14

      1,041         1,108      (h)

JPMorgan Chase Bank NA

        
5.88%   

06/13/16

      315         345     
6.00%   

10/01/17

      750         831     

Kazakhstan Temir Zholy Finance BV

        
6.38%   

10/06/20

      200         209      (b)
6.50%   

05/11/11

      200         203     

KazMunaiGaz Finance Sub BV

        
7.00%   

05/05/20

      100         104      (b,h)
          Principal
Amount 		     Fair
Value 		     
          
9.13%   

07/02/18

    $ 100       $ 117      (b)
11.75%   

01/23/15

      100         124      (b,h)

Korea Development Bank

        
3.25%   

03/09/16

      600         583     

Korea Hydro & Nuclear Power Company Ltd.

        
6.25%   

06/17/14

      200         219      (b,h)

Korea National Oil Corp.

        
5.38%   

07/30/14

      200         214      (b,h)

Kraft Foods Inc.

        
4.13%   

02/09/16

      401         421     
5.38%   

02/10/20

      1,408         1,515      (h)
6.50%   

02/09/40

      401         449     

Kreditanstalt fuer Wiederaufbau

        
3.50%   

03/10/14

      1,936         2,060      (h)
4.13%   

10/15/14

      958         1,042      (h)
4.50%   

07/16/18

      811         882      (h)

LBI Escrow Corp.

        
8.00%   

11/01/17

      359         397      (b)

Levi Strauss & Co.

        
7.63%   

05/15/20

      100         103     

Lincoln National Corp.

        
6.25%   

02/15/20

      275         300     
8.75%   

07/01/19

      435         544     

Listrindo Capital BV

        
9.25%   

01/29/15

      300         338      (b)

Lloyds TSB Bank PLC

        
6.50%   

09/14/20

      483         444      (b)

Majapahit Holding BV

        
7.25%   

10/17/11

      348         360      (b)
7.75%   

10/17/16 - 01/20/20

      400         462      (b)

MBPS Finance Co.

        
11.25%   

11/15/15

      200         197      (b)

MDC-GMTN B.V.

        
7.63%   

05/06/19

      250         294      (b)

Merrill Lynch & Company Inc.

        
6.05%   

08/15/12

      304         322     
6.88%   

04/25/18

      599         656     

MetroPCS Wireless Inc.

        
6.63%   

11/15/20

      557         531     

Midamerican Energy Holdings Co.

        
6.13%   

04/01/36

      330         356      (h)

 


 

 

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

 

71

Table of Contents
Elfun Income Fund    (in thousands) — December 31, 2010

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

Morgan Stanley

        
5.50%   

01/26/20

    $ 798       $ 804     
5.63%   

09/23/19

      690         704     
6.00%   

04/28/15

      333         361     

Morgan Stanley (Series F)

        
6.63%   

04/01/18

      627         680     

Mylan Inc.

        
7.88%   

07/15/20

      532         573      (b)

NAK Naftogaz Ukraine

        
9.50%   

09/30/14

      200         218     

Nalco Company

        
6.63%   

01/15/19

      174         178      (b)

National Agricultural Cooperative Federation

        
4.25%   

01/28/16

      231         232      (b)
5.00%   

09/30/14

      201         211      (b)

National Power Corp.

        
4.53%   

08/23/11

      208         212      (i)

NET Servicos de Comunicacao S.A.

        
7.50%   

01/27/20

      200         230     

News America Inc.

        
6.65%   

11/15/37

      576         638     

Nexen Inc.

        
6.40%   

05/15/37

      972         942     

Nisource Finance Corp.

        
6.13%   

03/01/22

      346         373     

NRG Energy Inc.

        
7.38%   

02/01/16

      765         784     

Odebrecht Drilling Norbe VIII/IX Ltd.

        
6.35%   

06/30/21

      100         104      (b)

Oglethorpe Power Corp.

        
5.38%   

11/01/40

      400         383     

Pacific Gas & Electric Co.

        
5.80%   

03/01/37

      165         175     
6.05%   

03/01/34

      883         967     

Pacific Rubiales Energy Corp.

        
8.75%   

11/10/16

      200         225      (b)

PacifiCorp

        
6.00%   

01/15/39

      500         551     
6.25%   

10/15/37

      14         16     

PAETEC Holding Corp.

        
8.88%   

06/30/17

      1,069         1,141      (h)
          Principal
Amount 		     Fair
Value 		     
          

Pemex Finance Ltd.

        
9.03%   

02/15/11

    $ 45       $ 46      (h)

Pemex Project Funding Master Trust

        
6.63%   

06/15/35 - 06/15/38

      164         167     

Petroleos Mexicanos

        
4.88%   

03/15/15

      560         589     
6.00%   

03/05/20

      150         159     
8.00%   

05/03/19

      70         84     

Petroleum Company of Trinidad & Tobago Ltd.

        
6.00%   

05/08/22

      288         288     

Petronas Capital Ltd.

        
5.25%   

08/12/19

      287         308      (b)
7.88%   

05/22/22

      100         129      (b)

Petronas Global Sukuk Ltd.

        
4.25%   

08/12/14

      200         209      (b)

Pioneer Natural Resources Co.

        
7.50%   

01/15/20

      656         720     

Plains All American Pipeline LP Corp.

        
3.95%   

09/15/15

      406         420     
4.25%   

09/01/12

      174         181     

Plains Exploration & Production Co.

        
7.63%   

06/01/18

      572         602     

Power Sector Assets & Liabilities Management Corp.

        
7.39%   

12/02/24

      100         119      (b)

Prudential Financial Inc.

        
3.63%   

09/17/12

      173         180     
3.88%   

01/14/15

      639         659     
6.20%   

11/15/40

      400         423     
7.38%   

06/15/19

      349         411     

PTTEP Australia International Finance Proprietary Ltd.

        
4.15%   

07/19/15

      100         100      (b)

Qatari Diar Finance QSC (REIT)

        
3.50%   

07/21/15

      100         100      (b)
5.00%   

07/21/20

      100         100      (b)

QVC Inc.

        
7.50%   

10/01/19

      443         466      (b)

 

 

 

 

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

 

72

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          

RailAmerica Inc.

        
9.25%   

07/01/17

    $ 405       $ 445     

Republic Services Inc.

        
5.25%   

11/15/21

      558         588     
5.50%   

09/15/19

      243         265     

Reynolds Group Issuer Inc.

        
7.75%   

10/15/16

      872         922      (b)

Roche Holdings Inc.

        
6.00%   

03/01/19

      405         471      (b)

Rockies Express Pipeline LLC

        
5.63%   

04/15/20

      506         489      (b,h)

RR Donnelley & Sons Co.

        
7.63%   

06/15/20

      443         474     

RSHB Capital SA for OJSC Russian Agricultural Bank

        
6.30%   

05/15/17

      200         201      (b)
6.97%   

09/21/16

      100         100      (i)

Russian Railways

        
5.74%   

04/03/17

      100         104     

Solutia Inc.

        
7.88%   

03/15/20

      383         410     

Southern Copper Corp.

        
5.38%   

04/16/20

      537         543     
6.75%   

04/16/40

      477         494     
7.50%   

07/27/35

      300         333     
Spirit Aerosystems Inc.        
7.50%   

10/01/17

      220         229     

Suzano Trading Ltd.

        
5.88%   

01/23/21

      100         98      (b)

Talecris Biotherapeutics Holdings Corp.

        
7.75%   

11/15/16

      50         54     

Telecom Italia Capital S.A.

        
6.00%   

09/30/34

      436         362     

Telefonica Emisiones SAU

        
3.73%   

04/27/15

      397         394     

Teva Pharmaceutical Finance II BV

        
3.00%   

06/15/15

      801         815     

Textron Inc.

        
6.20%   

03/15/15

      615         671     

The AES Corp.

        
8.00%   

10/15/17 - 06/01/20

      723         765     
          Principal
Amount 		     Fair
Value 		     
          

The Goldman Sachs Group Inc.

        
3.70%   

08/01/15

    $ 686       $ 699     
5.38%   

03/15/20

      1,072         1,108      (h)
6.75%   

10/01/37

      200         204     

The Kroger Co.

        
6.15%   

01/15/20

      612         693      (h)

The Potomac Edison Co.

        
5.35%   

11/15/14

      245         267      (h)

Time Warner Cable Inc.

        
6.75%   

07/01/18

      372         434     
7.50%   

04/01/14

      480         550     

Time Warner Inc.

        
3.15%   

07/15/15

      792         805     
5.88%   

11/15/16

      454         512     
6.20%   

03/15/40

      443         471     

TNK-BP Finance S.A.

        
6.13%   

03/20/12

      200         209     
7.25%   

02/02/20

      5         5      (b)

Transocean Inc.

        
6.00%   

03/15/18

      120         126     
6.80%   

03/15/38

      81         83     

Union Electric Co.

        
6.70%   

02/01/19

      370         431     

UnitedHealth Group Inc.

        
5.80%   

03/15/36

      303         307     

UPC Germany GmbH

        
8.13%   

12/01/17

      400         418      (b)

USB Capital XIII Trust

        
6.63%   

12/15/39

      557         569     

Valero Energy Corp.

        
6.13%   

02/01/20

      810         860     

Verizon Communications Inc.

        
6.35%   

04/01/19

      279         322     
6.40%   

02/15/38

      273         302     
6.90%   

04/15/38

      302         352     

VIP Finance Ireland Limited for OJSC Vimpel Communications (Class A)

        
8.38%   

04/30/13

      100         108      (b)

Virgin Media Finance PLC

        
8.38%   

10/15/19

      400         437     

Vnesheconombank Via VEB Finance Ltd.

        
6.80%   

11/22/25

      100         100      (b)

 


 

 

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

 

73

Table of Contents

 

 

 

 

Elfun Income Fund    (in thousands) — December 31, 2010

 

LOGO

 

 

          Principal
Amount 		     Fair
Value 		     
          

VTB Capital S.A.

        
6.47%   

03/04/15

    $ 200       $ 208      (b)

WEA Finance LLC (REIT)

        
6.75%   

09/02/19

      814         907      (b)
7.50%   

06/02/14

      175         199      (b)

Weatherford International Limited Bermuda

        
6.75%   

09/15/40

      703         738     

Williams Partners LP

        
5.25%   

03/15/20

      322         334     
6.30%   

04/15/40

      569         592      (h)

Windstream Corp.

        
7.88%   

11/01/17

      882         927     

Woodside Finance Ltd.

        
4.50%   

11/10/14

      917         964      (b)

Wyeth

        
5.50%   

03/15/13

      660         722     

Wynn Las Vegas LLC

        
7.88%   

05/01/20

      534         571     

Xstrata Finance Canada Ltd.

        
5.80%   

11/15/16

      345         379      (b)
           116,348     
Non-Agency Collateralized Mortgage Obligations — 11.1%

Banc of America Commercial Mortgage Inc.

        
5.68%   

07/10/46

      400         403     
5.74%   

02/10/51

      880         937     

Banc of America Commercial Mortgage Inc. (Class A)

        
5.49%   

02/10/51

      188         196     

Banc of America Commercial Mortgage Inc. (Class A4)

        
5.63%   

07/10/46

      587         630     

Banc of America Commercial Mortgage Inc. (Class AJ)

        
5.70%   

07/10/46

      200         182      (i)

Banc of America Commercial Mortgage Inc. (Class C)

        
5.70%   

04/10/49

      300         53      (h,q)

Banc of America Commercial Mortgage Inc. (Series 2006) (Class A4)

        
5.74%   

05/10/45

      1,000         1,095      (h)
          Principal
Amount 		     Fair
Value 		     
          

Banc of America Funding Corp. (Class B1)

        
5.44%   

03/20/36

    $ 246       $ 5      (h,q)

Banc of America Mortgage Securities Inc. (Class B1)

        
4.62%   

01/25/36

      210         16      (h,q)
5.46%   

02/25/36

      206         18      (h,q)

Banc of America Mortgage Securities Inc. (Class B2)

        
4.62%**   

01/25/36

      59         —      (h,q)

Bear Stearns Commercial Mortgage Securities

        
5.58%   

09/11/41

      700         708      (i)
5.76%   

09/11/38

      350         364      (i)

Bear Stearns Commercial Mortgage Securities (Class A M)

        
5.51%   

04/12/38

      370         394     

Bear Stearns Commercial Mortgage Securities (Class A2)

        
5.41%   

03/11/39

      222         222      (h,i)
5.51%   

04/12/38

      211         211     

Bear Stearns Commercial Mortgage Securities (Class A4)

        
5.47%   

01/12/45

      625         667     
5.69%   

06/11/50

      670         710      (h)

Bear Stearns Commercial Mortgage Securities (Class AJ)

        
5.46%   

03/11/39

      300         283      (i)
5.72%   

06/11/40

      340         249     

Bear Stearns Commercial Mortgage Securities (Class AM)

        
5.24%   

12/11/38

      300         303     
5.92%   

06/11/50

      510         519      (h,q)

Bear Stearns Commercial Mortgage Securities (Series 2007) (Class D)

        
5.99%   

09/11/42

      100         44      (h,q)

Citigroup Commercial Mortgage Trust (Class AJ)

        
5.73%   

03/15/49

      330         311      (i)

Citigroup Commercial Mortgage Trust (Series 2006) (Class AJ)

        
5.48%   

10/15/49

      360         333     

 


 

 

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

 

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Elfun Income Fund    (in thousands) — December 31, 2010

 

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          Principal
Amount 		     Fair
Value 		     
          

Commercial Mortgage Pass Through Certificates (Class AJ)

        
5.79%   

06/10/46

    $ 410       $ 396     

Commercial Mortgage Pass Through Certificates (Class AM)

        
5.79%   

06/10/46

      600         625     

Countrywide Asset-Backed Certificates (Class A2)

        
10.32%   

11/25/35

      118         112      (d,h)

Countrywide Commercial Mortgage Trust (Class AJ)

        
5.49%   

07/12/46

      500         456      (h,i)
5.91%   

06/12/46

      450         427      (i)

Countrywide Commercial Mortgage Trust (Class AM)

        
5.46%   

07/12/46

      200         202      (i)

Credit Suisse First Boston Mortgage Securities Corp. (Class CB1)

        
5.33%   

10/25/35

      244         12      (h,q)

Credit Suisse Mortgage Capital Certificates (Class A3)

        
5.47%   

09/15/39

      689         723      (h)

Credit Suisse Mortgage Capital Certificates (Class C)

        
5.54%   

02/15/39

      750         547     

Credit Suisse Mortgage Capital Certificates (Class CB1)

        
5.64%   

02/25/36

      141         11      (h,q)

Extended Stay America Trust

        
5.50%   

11/05/27

      800         788      (b)

Greenwich Capital Commercial Funding Corp.

        
5.88%   

07/10/38

      1,446         1,578      (h,i)

Greenwich Capital Commercial Funding Corp. (Class A2)

        
5.60%   

12/10/49

      430         450     

Greenwich Capital Commercial Funding Corp. (Class AM)

        
5.88%   

07/10/38

      700         721      (i)

Impac CMB Trust (Class 1A1)

        
4.41%   

10/25/34

      348         321      (d,h)
10.83%   

04/25/35

      436         349      (d,h)
          Principal
Amount 		     Fair
Value 		     
          

Indymac INDA Mortgage Loan Trust (Class B1)

        
4.50%   

01/25/36

    $ 143       $ 3      (h,q)

Indymac INDA Mortgage Loan Trust (Class B2)

        
4.50%**   

01/25/36

      15         —      (h,q)

Interstar Millennium Trust (Series 2004) (Class A)

        
0.60%   

03/14/36

      30         29      (d)

JP Morgan Chase Commercial Mortgage Securities Corp.

        
4.07%   

11/15/43

      280         266      (b)
5.87%   

04/15/45

      410         425     

JP Morgan Chase Commercial Mortgage Securities Corp. (Class A4)

        
5.34%   

08/12/37

      1,380         1,486      (h)
5.44%   

06/12/47

      950         996      (h)
5.79%   

02/12/51

      1,120         1,193      (h)

JP Morgan Chase Commercial Mortgage Securities Corp. (Class AM)

        
5.44%   

05/15/45

      870         882     
5.90%   

02/12/51

      660         663      (h)

JP Morgan Chase Commercial Mortgage Securities Corp. (Class B)

        
5.52%   

04/15/43

      280         236     

JP Morgan Chase Commercial Mortgage Securities Corp. (Class F)

        
6.19%   

02/12/51

      155         39      (q)

LB-UBS Commercial Mortgage Trust

        
7.45%   

01/15/36

      2,822         119      (d,h,q)

LB-UBS Commercial Mortgage Trust ( Class A2)

        
6.15%   

04/15/41

      1,000         1,084      (h,i)

LB-UBS Commercial Mortgage Trust (Class A4)

        
4.95%   

09/15/30

      310         331     
5.16%   

02/15/31

      410         438     
5.66%   

03/15/39

      1,464         1,573      (h,i)

 


 

 

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

 

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Elfun Income Fund    (in thousands) — December 31, 2010

 

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          Principal
Amount 		     Fair
Value 		     
          

LB-UBS Commercial Mortgage Trust (Class AJ)

        
6.15%   

04/15/41

    $ 160       $ 132      (i)

LB-UBS Commercial Mortgage Trust (Series 2001) (Class B)

        
6.65%   

07/14/16

      103         103      (h,q)

LB-UBS Commercial Mortgage Trust (Series 2004) (Class X)

        
25.77%   

12/15/39

      5,024         63      (d,h,q)

MASTR Alternative Loans Trust (Class 15 AX)

        
5.00%   

08/25/18

      183         20      (g,h,q,r)

Merrill Lynch Mortgage Trust (Class AJ)

        
5.66%   

05/12/39

      200         183      (i)

Merrill Lynch Mortgage Trust (Series 2006) (Class B)

        
5.66%   

05/12/39

      375         213     

Morgan Stanley Capital I

        
0.80%   

01/15/21

      485         436      (b,d,h)
5.16%   

10/12/52

      450         480      (h,i)
5.19%   

11/14/42

      200         215      (i)
5.73%   

10/15/42

      449         352     

Morgan Stanley Capital I (Class A3)

        
5.71%   

07/12/44

      350         373      (h)

Morgan Stanley Capital I (Class A4)

        
5.33%   

11/12/41

      180         191     
5.81%   

08/12/41

      160         176      (i)
5.81%   

12/12/49

      1,570         1,678      (h)

Morgan Stanley Capital I (Class AJ)

        
5.39%   

11/12/41

      848         761      (h,i)
5.57%   

11/12/49

      400         375      (i)
5.73%   

10/15/42

      200         191      (i)

Morgan Stanley Capital I (Class AM)

        
6.11%   

12/12/49

      360         370      (i)
6.28%   

01/11/43

      400         411     

Morgan Stanley Capital I (Class B)

        
5.73%   

10/15/42

      250         225     

Morgan Stanley Capital I (Series 2006) (Class AM)

        
5.44%   

03/12/44

      550         569      (i)
         Principal
Amount 		    Fair
Value 		     
        

MortgageIT Trust (Class A1)

      
10.63%   

08/25/35

   $ 1,910      $ 1,461      (d,h)

National RMBS Trust (Series 2004) (Class A1)

      
5.47%   

03/20/34

     58        57      (d)

OBP Depositor LLC Trust

      
4.65%   

07/15/45

     280        286      (b)

Puma Finance Ltd. (Class A)

      
5.28%   

10/11/34

     55        54      (d)

Residential Funding Mortgage Securities I (Class M1)

      
5.75%**   

01/25/36

     174        —      (h,q)

Residential Funding Mortgage Securities I (Class M2)

      
5.75%**   

01/25/36

     20        —      (h,q)

Structured Asset Securities Corp.(Series 1996) (Class X1)

      
3.00%**   

02/25/28

     243        —      (d,q)

Vornado DP LLC

      
6.36%   

09/13/28

     160        159      (b)

Wachovia Bank Commercial Mortgage Trust

      
6.02%   

06/15/45

     390        191     

Wachovia Bank Commercial Mortgage Trust (Class A3)

      
5.25%   

12/15/43

     670        681      (h)

Wachovia Bank Commercial Mortgage Trust (Class AJ)

      
5.52%   

01/15/45

     540        531      (h,i)
5.74%   

05/15/43

     400        381      (i)

Wachovia Bank Commercial Mortgage Trust (Class AM)

      
5.47%   

01/15/45

     410        419      (i)

Wachovia Bank Commercial Mortgage Trust (Series 2006) (Class AJ)

      
5.99%   

06/15/45

     170        150      (i)

WAMU Commercial Mortgage Securities Trust (Series 2005) (Class AJ)

      
5.19%   

05/25/36

     410        413      (b)

Wells Fargo Mortgage Backed Securities Trust (Class B1)

      
5.50%   

01/25/36 - 03/25/36

     700        87      (h,q)
         38,721     

 


 

 

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

 

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Elfun Income Fund    (in thousands) — December 31, 2010

 

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          Principal
Amount 		     Fair
Value 		     
          
Sovereign Bonds — 3.0%     

Banco Nacional de Desenvolvimento Economico e Social

        
5.50%   

07/12/20

    $ 100       $ 103      (b)
6.50%   

06/10/19

      100         110      (b)

Democratic Socialist Republic of Sri Lanka

        
7.40%   

01/22/15

      100         110      (b)
8.25%   

10/24/12

      100         108     

Financing of Infrastrucural Projects State Enterprise

        
8.38%   

11/03/17

      100         105      (b)

Government of 1Malaysia Sukuk Global Berhad

        
3.93%   

06/04/15

      125         130      (b)

Government of Argentina

        
2.50%   

12/31/38

      87         39      (j)
5.00%   

08/03/12

      347         83      (d,i)
7.00%   

10/03/15

      124         120     
8.28%   

12/31/33

      89         83     

Government of Belize

        
6.00%   

02/20/29

      224         197      (j)

Government of Brazil

        
5.63%   

01/07/41

      100         99     
6.00%   

02/20/29

      70         61      (b,j)
8.00%   

01/15/18

      75         88      (h)
8.25%   

01/20/34

      153         204     

Government of Brazilian

        
4.88%   

01/22/21

      633         646     

Government of Colombia

        
6.13%   

01/18/41

      200         205     
7.38%   

03/18/19 - 09/18/37

      200         239     

Government of Costa Rica

        
10.00%   

08/01/20

      220         301      (b)

Government of Egypt

        
5.75%   

04/29/20

      200         206      (b)

Government of El Salvador

        
7.65%   

06/15/35

      160         169      (b)

Government of Grenada

        
2.50%   

09/15/25

      128         69      (b,j)

Government of Indonesia

        
10.38%   

05/04/14

      100         124      (b)
          Principal
Amount 		     Fair
Value 		     
          
11.63%   

03/04/19

    $ 53       $ 79      (b)

Government of Lebanon

        
6.38%   

03/09/20

      249         260     

Government of Lithuania

        
6.75%   

01/15/15

      100         108      (b)
7.38%   

02/11/20

      200         221      (b)

Government of Panama

        
6.70%   

01/26/36

      155         173     

Government of Peruvian

        
6.55%   

03/14/37

      225         246     
7.35%   

07/21/25

      100         122     

Government of Philippine

        
6.38%   

10/23/34

      100         106     
6.50%   

01/20/20

      93         107     

Government of Poland

        
6.38%   

07/15/19

      37         41     

Government of Qatar

        
5.25%   

01/20/20

      300         317      (b)
6.40%   

01/20/40

      100         109      (b)

Government of South Africa

        
5.50%   

03/09/20

      239         254     

Government of Turkey

        
5.63%   

03/30/21

      240         250     
6.75%   

05/30/40

      400         436     

Government of Ukraine

        
6.88%   

03/04/11

      139         140      (b)

Government of Uruguay

        
6.88%   

09/28/25

      111         127     

Government of Venezuela

        
1.29%   

04/20/11

      77         75      (i)
10.75%   

09/19/13

      359         346     

Government of Vietnam

        
1.30%   

03/12/16

      34         30      (i)

Korea Expressway Corp.

        
4.50%   

03/23/15

      200         206      (b,h)

Korea National Oil Corp.

        
2.88%   

11/09/15

      478         459      (b)

Lebanese Republic

        
5.15%   

11/12/18

      69         68     

Province of Manitoba Canada

        
4.90%   

12/06/16

      315         351      (h)

Province of Quebec Canada

        
7.50%   

09/15/29

      460         632     

 


 

 

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

 

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Elfun Income Fund    (in thousands) — December 31, 2010

LOGO

 

          Principal
Amount 		     Fair
Value 		     
          
Republic of Dominican     
7.50%   

05/06/21

    $ 300       $ 323      (b)
9.50%   

09/27/11

      124         128     

Republic of Ghana

        
8.50%   

10/04/17

      200         225      (b)

Republic of Indonesia

        
5.88%   

03/13/20

      100         110      (b)

Russian Foreign Bond - Eurobond

        
3.63%   

04/29/15

      100         100      (b)
5.00%   

04/29/20

      200         200      (b)
7.50%   

03/31/30

      240         278      (j)

United Mexican States

        
5.13%   

01/15/20

      116         121     
6.05%   

01/11/40

      250         256     
           10,603     
Municipal Bonds and Notes — 0.7%     

American Municipal Power-Ohio Inc.

        
8.08%   

02/15/50

      280         298     

Municipal Electric Authority of Georgia

        
6.64%   

04/01/57

      949         928     

New Jersey State Turnpike Authority

        
7.10%   

01/01/41

      200         217     
7.41%   

01/01/40

      560         615     

New Jersey Transportation Trust Fund Authority

        
6.88%   

12/15/39

      165         160     

South Carolina State Public Service Authority

        
6.45%   

01/01/50

      200         205     
           2,423     

Total Bonds and Notes
(Cost $340,123)

               344,292       

Other Investments — 0.3%

  

             

GEI Investment Fund
(Cost $1,040)

         988      (k)

Total Investments in Securities
(Cost $341,163)

               345,280       
                 Fair
Value 		     
          

Short-Term Investments — 8.7%

  

    

GE Money Market Fund Institutional Class

  

  

0.00%

       $ 30,453      (d,k)

(Cost $30,453)

        

Total Investments
(Cost $371,616)

         375,733     

Liabilities in Excess of Other Assets, net — (7.3)%

         (25,408)     
                

NET ASSETS — 100.0%

       $ 350,325     
                

 

Other Information

 

The Fund had the following long futures contracts open at December 31, 2010:

 

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

2 Yr. U.S. Treasury Notes Futures

   March 2011     188      $ 41,154      $     (46)   

5 Yr. U.S. Treasury Notes Futures

   March 2011     63        7,416        (72)   

The Fund had the following short futures contracts open at December 31, 2010:

 

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

Ultra Long U.S. Treasury Bond Futures

   March 2011     104      $ (13,218)      $ (16)   

10 Yr. U.S. Treasury Notes Futures

   March 2011     454        (54,679)        711   
             
        $     577   
             

 

 

 

 

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

 

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LOGO

Michael E. Martini

 

The Elfun Money Market Fund is managed by a team of portfolio managers that includes James C. Gannon, Michael E. Martini (pictured to the left) and Adam Ackermann. The team is led by Mr. Martini, who is vested with oversight authority. See portfolio managers’ biographical information beginning on page 116.

 

Q. How did the Elfun Money Market Fund perform compared to its benchmark for the twelve-month period ended December 31, 2010?

 

A. The Elfun Money Market Fund returned 0.24% (net of fees) for the twelve-month period ended December 31, 2010 versus a return of 0.14% for the U.S. 90-day Treasury bill.

 

Q. Discuss the factors that materially affected the fund’s performance during the fiscal period.

 

A. 2010 was a challenging year for money market funds to provide attractive yields/returns. The Federal Reserve kept its fed funds target at 0-0.25% throughout the entire year. The level and movement of LIBOR rates had a large affect on other short term investment yields (i.e., commercial paper, certificates of deposit and floating rate notes). 3-month LIBOR began to rise in the first quarter after the Treasury announced plans to restart the Supplementary Financing Program effectively removing $200 billion of excess reserves and money market funds lost $300 billion in assets. A confluence of factors pressured LIBOR rates higher in the second quarter including 1) Europe’s banking and sovereign debt crisis, 2) $170 billion decline
 

in money market fund assets and 3) new SEC rules addressing very short-term liquidity requirements becoming effective. By the end of June, 3-month LIBOR had risen to 53 basis points from 25 bps at the beginning of the year and the 3-month LIBOR-OIS spread had widened from 12 to 33 basis points.

LIBOR rates dropped and the LIBOR-OIS spread narrowed back to roughly end of March levels in the third quarter as the drain on money market fund assets subsided. The Fed announced a second round of quantitative easing (QE 2) in November that although directly impacted longer treasury yields, did have residual effects on money market rates, including repo. Although the European sovereign/banking crisis continued unresolved by yearend 2010, LIBOR rates remained unchanged in the fourth quarter. While improving U.S. economic fundamentals caused a repricing in the forward Fed Funds market, money market yields remained depressed at year end.

 

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

 

A.

The most significant change to the Fund during 2010 resulted from the new SEC amendments to Rule 2a-7 governing money market mutual funds. Among the amendments were guidelines addressing liquidity, something not done before. These included minimum levels of securities/cash maturing in both 1-day and 7-days. Since the SEC deemed all US Treasury securities to be liquid and

 

 

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hence satisfy the 2 new liquidity requirements, about 10% of the Fund’s assets were allocated to US Treasuries. The US Government/Agency allocation remained at about 25%, so the Fund’s overall “Government” allocation grew to 35%.

From the credit perspective, purchases of Irish banks (guaranteed by the Republic of Ireland) were curtailed. This was in response to the fallout of the European banking and sovereign debt crisis, and Ireland’s forced bailout.

 

 

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Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchases payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and services 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 each share class 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, 2010.

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 for your class under the heading “Expenses Paid During 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. 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 for both “Actual” and “Hypothetical” do not reflect any transaction costs, such as sales charges or redemption fees.

 

July 1, 2010 – December 31, 2010

 

        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           1,001.49           1.31   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,023.62           1.33   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.26% (for the period July 1, 2010 - December 31, 2010), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period)

 

**   Actual Fund Return for the six-month period ended December 31, 2010 was: 0.15%. Past performance does not guarantee future results.

 

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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 by investing primarily in short-term, U.S. dollar denominated money market instruments.

Fund Yield At December 31, 2010

 

      Fund      Money Fund
Report*		  

7-day current†

      0.22%         0.07%   

7-day effective

      0.22%         0.07%   

Sector Allocation

as a % of the Fair Value of $207,024 (in thousands) as of December 31, 2010.(b)

 

 

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Morningstar Performance Comparison

US Money Market Taxable Peer Group

Based on average annual returns for periods ended 12/31/10

 

      One
Year		     Five
Year		     Ten
Year		  

Number of funds in peer group

      974        813        605   

Peer group average annual total return

      0.03 %      2.23 %      1.99 % 

Morningstar Category in peer group: Money Market Taxable

  

Change in Value of a $10,000 Investment(a)

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Average Annual Total Return

for the periods ended December 31, 2010

 

(Inception date: 06/13/90)                       
     One
Year		     Five
Year		     Ten
Year		     Ending value of a
$10,000
investment (a)		  

Elfun Money Market Fund

     0.24%        2.66%        2.45%        12,739   

90 Day T-Bill

     0.14%        2.17%        2.16%        12,380   

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† The seven day current yield, rather than the total return, more closely reflects the current earnings of the Money Market Fund at December 31, 2010.

 

* IBC’s Money Fund report provides average yield for all major money market funds.

 

(a) Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less.

 

(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 on page 1 for further information, including an explanation of Morningstar peer categories.

Past performance does not predict future performance. The performance shown on the graph 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 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 Money Market Fund    (in thousands) — December 31, 2010

 

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         Principal
Amount 		     Amortized
Cost 		     
         

Short-Term Investments — 100.0%†

  

    
U.S. Treasury — 9.6%        

U.S. Treasury Bills

       
0.13%   

02/17/11

   $ 6,150       $ 6,150      (d)
0.19%   

06/30/11

     190         190      (d)

U.S. Treasury Notes

       
0.88%   

02/28/11 - 4/30/11

     9,400         9,412     
1.00%   

07/31/11

     4,050         4,067     
          19,819     
U.S. Government Agency and Related — 7.7%     

FHLB Disc Corp

       
0.17%   

02/02/11 - 02/16/11

     9,850         9,850      (d)

FNMA Discount Note

       
0.27%   

01/05/11

     3,450         3,450      (d)

Freddie Mac

       
0.35%   

04/01/11

     2,700         2,702      (d,i)
          16,002     
Commercial Paper — 21.2%        

Banco Bilbao Viz London

       
0.50%   

02/25/11

     2,950         2,948      (d)

Caisse D’Amort Dette Soc

       
0.26%   

03/15/11

     4,200         4,198      (b,d)

Commonwealth Bank Australia

       
0.27%   

02/25/11

     6,350         6,347      (d)

Credit Suisse NY

       
0.25%   

01/19/11

     3,900         3,900      (d)

Eksportfinans Asa

       
0.23%   

01/21/11

     5,500         5,499      (b,d)

European Investment Bank

       
0.26%   

01/05/11

     4,100         4,100      (d)

Nordea North America Inc

       
0.33%   

01/06/11

     5,000         5,000      (d)
Societe Generale N Amer       
0.33%   

02/07/11

     2,300         2,299      (d)
0.50%   

02/01/11

     4,800         4,798      (d)

UBS Finance Delaware LLC

       
0.28%   

02/14/11

     2,100         2,099      (d)

Westpac Banking Corp

       
0.31%   

04/08/11

     2,750         2,748      (d)
          43,936     
          Principal
Amount 		     Amortized
Cost 		     
          
Repurchase Agreements — 19.8%        

Deutsche Bank Secuities, Inc. Gov Agcy Repo

        
0.22% dated 12/31/10, to be repurchased at $4,500 on 01/01/11 collateralized by $4,590 U.S. Government Agency Bonds, 0.85% maturing 08/17/12 01/03/11    $ 4,500       $ 4,500      (d)

Goldman Sachs & Co. Gov Agcy Repo

        
$14,200 on 01/01/11 collateralized by $14,485 U.S. Government Agency Bonds, 4.50% , 4.50%, 0.00% and 0.50% maturing on 09/16/13, 11/15/12, 10/02/12, and 10/30/12 respectively. 01/03/11      14,200         14,200      (d)

HSBC Securities (USA) Inc. Gov Agcy Repo

        
0.21% dated 12/31/10, to be repurchased at $11,800 on 01/01/11 collateralized by $11,980 U.S. Government Agency Bonds, 1.875% maturing 09/30/17 01/03/11      11,800         11,800      (d)

J.P. Morgan Securities LLC Gov Agcy Repo

        
0.18% dated 12/31/10, to be repurchased at $10,530 on 01/01/11 collateralized by $10,740 U.S. Government Agency Bonds, 0.00%, 0.00% maturing 05/04/11, 06/13/11 respectively.

01/03/11

      10,530         10,530      (d)
           41,030     
Certificates of Deposit — 38.6%     

Abbey National Treasury Services

        
0.34%   

02/25/11

      7,750         7,750      (d,i)

Banco Bilbao Viz Arg NY

        
0.56%   

03/07/11

      3,100         3,100      (d)

Bank of Montreal Chicago

        
0.24%   

01/20/11

      3,200         3,200      (d)

 

 

 

 

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

 

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Elfun Money Market Fund    (in thousands) — December 31, 2010

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          Principal
Amount 		     Amortized
Cost 		     
          

Bank of Nova Scotia Houston

        
0.30%   

04/04/11

    $ 3,950       $ 3,950      (d)

Barclays Bank PLC NY

        
0.36%   

05/03/11

      5,700         5,700      (d,i)
0.41%   

06/20/11

      1,450         1,450      (d,i)

BNP Paribas NY

        
0.33%   

02/18/11

      4,150         4,150      (d)

Credit Agricole CIB NY

        
0.29%   

02/03/11

      6,050         6,050      (d)

Deutsche Bank Ag NY

        
0.47%   

01/10/11

      6,400         6,400      (d,i)

National Australia BK NY

        
0.32%   

06/10/11

      3,350         3,350      (d,i)

Nordea Bank Fld PLC

        
0.28%   

03/17/11

      1,600         1,600      (d)

Rabobank Nederland NV NY

        
0.29%   

01/13/11

      3,650         3,650      (d)
0.55%   

02/01/11

      4,000         4,000      (d)

Royal Bank of Canada NY

        
0.26%   

02/24/11

      2,750         2,750      (d,i)
0.28%   

08/26/11

      3,900         3,900      (d,i)

Royal Bk of Scotland CT

        
0.29%   

01/20/11

      5,050         5,050      (d)

Svenska Handelsbanken NY

        
0.27%   

02/17/11

      2,950         2,950      (d)
0.30%   

02/28/11

      2,500         2,500      (d)

Toronto-Dominion Bank NY

        
0.25%   

03/03/11

      4,000         4,000      (d)

Westpac Banking Corp NY

        
0.29%   

05/13/11

      4,400         4,400      (d,i)
           79,900     
Corporate Notes — 1.7%     

Australia & NZ Banking Group

        
0.45%   

04/26/11

      2,050         2,052      (b,d,i)

National Australia Bank

        
0.37%   

07/07/11

      1,450         1,451      (b,d,i)
           3,503     
Supranationals — 1.3%     

Intl Bk Recon & Develop

        
0.31%   

07/13/11

      2,650         2,650      (d,i)
          Principal
Amount 		     Amortized
Cost 		     
          
Time Deposit — 0.1%     

State Street Corp.

        
0.01%   

01/03/11

    $ 184       $ 184      (e)

Total Short-Term Investments
(Cost $207,024)

         207,024     

Other Assets and Liabilities
net — 0.0%*

         84     
                

NET ASSETS — 100.0%

       $ 207,108     
                

 

 

 

 

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

 

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(In thousands) — December 31, 2010

 

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 information regarding holdings, allocations and other characteristics are presented as of a particular date to illustrate examples of securities that the Funds have bought and the diversity of areas in which the funds may invest as of a particular date. It may not be representative of the Funds’ current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the 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, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2010, these securities amounted to $7,240; $8,036; $35,352 or 3.15%, 0.48%, 10.09% of the net assets of the Elfun Diversified Fund, Elfun Tax-Exempt Income Fund and Elfun Income Fund. These securities have been determined to be liquid using procedures established by the Board of Trustees. (Unaudited)

 

(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 custodian and accounting agent.

 

(f) Principal only security. These type 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 type of 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, 2010, all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.

 

(i) Variable or floating rate security. The stated rate represents the rate at December 31, 2010.

 

(j) Step coupon bond. Security becomes interest bearing at a future date.

 

(k) GE Asset Management Incorporated, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Funds-GE Money Market Fund.

 

(l) Escrowed to maturity bonds are collateralized by U.S. Treasury securities which are held in escrow by a trustee and used to pay principal and interest on such bonds.

 

(m) Pre refunded bonds are collateralized by U.S. Treasury securities, which are held in escrow and are used to pay principal and interest on the tax-exempt issue and to retire the bonds at the earliest refunding date.

 

(n) The security is insured by AMBAC, AGC, MBIA, FSA or FGIC. The Elfun Tax-Exempt Fund had insurance concentrations of 5% or greater as of December 31, 2010 (as a percentage of net assets) as follows:

 

FSA   8.76%
AMBAC   8.06%
MBIA   5.99%

 

(o) Securities at default.

 

(p) Sponsored by SSGA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.
 

 

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(In thousands) — December 31, 2010

 

 

(q) Illiquid Securities. At December 31, 2010, these securities amounted to $2,486 and $455 or 0.71% and 0.20% of net assets for the Elfun Income and Elfun Diversified Fund respectively. These securities have been determined to be illiquid using procedures established by the Board of Directors (Unaudited).

 

(r) Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based.

 

† Percentages are based on net assets as of December 31, 2010.
* Less than 0.05%
** Amount is less than $500.

Abbreviations:

ADR   —    American Depositary Receipt
AGC   —    Assured Guaranty Corporation
AMBAC   —    AMBAC Indemnity Corporation
FGIC   —    Financial Guaranty Insurance Corporation
FSA   —    Financial Security Assurance
GDR   —    Global Depositary Receipt
MBIA   —    Municipal Bond Investors Assurance Corporation
REIT   —    Real Estate Investment Trust
REMIC   —    Real Estate Mortgage Investment Conduit
SPDR   —    Standard & Poor’s Depository Receipts
STRIPS   —    Separate Trading of Registered Interest and Principal of Security
TBA   —    To be announced
FNMA   —    Federal National Mortgage Association
FHLB   —    Federal Home Loan Bank

 

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Selected data based on a unit outstanding during the fiscal years indicated

 

Elfun International Equity Fund   2010     2009     2008     2007     2006  

Inception date

     —        —        —        —        1/1/88   

Net asset value, beginning of year

     $18.24        $14.65        $28.32        $25.69        $21.82   

Income (loss) from investment operations:

          

Net investment income

     0.36        0.43        0.77        0.63        0.51   

Net realized and unrealized
gains (losses) on investments

     0.69        3.63        (13.26 )      5.45        5.16   

Total income (loss) from investment operations

     1.05        4.06        (12.49 )      6.08        5.67   

Less distributions from:

          

Net investment income

     0.37        0.44        0.74        0.61        0.52   

Net realized gains

     —        0.03        0.44        2.84        1.28   

Total distributions

     0.37        0.47        1.18        3.45        1.80   

Net asset value, end of year

     $18.92        $18.24        $14.65        $28.32        $25.69   

TOTAL RETURN (a)

     5.77%        27.69 %      (44.15) %      23.78 %      26.03 % 

RATIOS/SUPPLEMENTAL DATA:

          

Net assets, end of year (in thousands)

     $309,473        $301,332        $248,781        $483,850        $385,518   

Ratios to average net assets:

          

Net investment income

     2.05 %      2.66 %      3.10 %      2.23 %      2.11 % 

Net expenses

     0.32 %      0.27 %(c)      0.44 %(c)      0.20 %      0.18 % 

Gross expenses

     0.34 %      0.28 %      0.45 %      0.20 %      0.18 % 

Portfolio turnover rate

     42 %      45 %      41 %      31 %      30 % 
         
Elfun Trusts   2010     2009     2008     2007     2006  

Inception date

     —        —        —        —        5/27/35   

Net asset value, beginning of year

     $38.50        $30.23        $48.73        $51.58        $50.74   

Income (loss) from investment operations:

          

Net investment income

     0.40        0.35        0.49        0.61        0.69   

Net realized and unrealized
gains (losses) on investments

     4.64        9.83        (17.35 )      2.01        5.97   

Total income (loss) from investment operations

     5.04        10.18        (16.86 )      2.62        6.66   

Less distributions from:

          

Net investment income

     0.41        0.37        0.49        0.61        0.70   

Return of Capital

     —        0.03        0.02        —        —   

Net realized gains

     1.75        1.51        1.13        4.86        5.12   

Total distributions

     2.16        1.91        1.64        5.47        5.82   

Net asset value, end of year

     $41.38        $38.50        $30.23        $48.73        $51.58   

TOTAL RETURN (a)

     13.07 %      33.62 %      (34.53) %      5.05 %      13.10 % 

RATIOS/SUPPLEMENTAL DATA:

          

Net assets, end of year (in thousands)

     $1,731,716        $1,639,896        $1,314,686        $2,199,017        $2,302,024   

Ratios to average net assets:

          

Net investment income

     1.00 %      1.05 %      1.10 %      1.10 %      1.29 % 

Net expenses

     0.21 %      0.23 %(c)      0.21 %(c)      0.12 %      0.13 % 

Gross expenses

     0.22 %      0.24 %      0.22 %      0.12 %      0.13 % 

Portfolio turnover rate

     14 %      8 %      20 %      12 %      14 % 

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Selected data based on a unit outstanding during the fiscal years indicated

 

Elfun Diversified Fund   2010     2009     2008     2007     2006  

Inception date

     —        —        —        —        1/1/88   

Net asset value, beginning of year

     $16.08        $13.41        $19.80        $20.15        $18.74   

Income (loss) from investment operations:

          

Net investment income

     0.28        0.29        0.42        0.50        0.50   

Net realized and unrealized
gains (losses) on investments

     1.32        2.68        (6.41)        1.26        2.24   

Total income (loss) from investment operations

     1.60        2.97        (5.99)        1.76        2.74   

Less distributions from:

          

Net investment income

     0.27        0.30        0.40        0.49        0.50   

Net realized gains

     —        0.00 *      —        1.62        0.83   

Total distributions

     0.27        0.30        0.40        2.11        1.33   

Net asset value, end of year

     $17.41        $16.08        $13.41        $19.80        $20.15   

TOTAL RETURN (a)

     9.98 %      22.13 %      (30.23) %      8.74 %(b)      14.60 % 

RATIOS/SUPPLEMENTAL DATA:

          

Net assets, end of year (in thousands)

     $229,881        $220,654        $191,347        $292,224        $283,069   

Ratios to average net assets:

          

Net investment income

     1.76 %      1.98 %      2.35 %      2.31 %      2.45 % 

Net expenses

     0.48 %      0.43 %(c)      0.31 %(c)      0.20 %      0.20 % 

Gross expenses

     0.75 %      0.47 %      0.33 %      0.20 %      0.20 % 

Portfolio turnover rate

     148 %      142 %      180 %      171 %      119 % 
         
Elfun Tax-Exempt Income Fund   2010     2009     2008     2007     2006  

Inception date

     —        —        —        —        1/1/80   

Net asset value, beginning of year

     $11.64        $10.73        $11.54        $11.74        $11.75   

Income (loss) from investment operations:

          

Net investment income

     0.53        0.53        0.53        0.54        0.54   

Net realized and unrealized
gains (losses) on investments

     (0.31)        0.91        (0.81)        (0.20)        0.01   

Total income from investment operations

     0.22        1.44        (0.28)        0.34        0.55   

Less distributions from:

          

Net investment income

     0.53        0.53        0.53        0.54        0.54   

Net realized gains

     —        —        —        0.00 *      0.02   

Total distributions

     0.53        0.53        0.53        0.54        0.56   

Net asset value, end of year

     11.33        $11.64        $10.73        $11.54        $11.74   

TOTAL RETURN (a)

     1.86 %      13.64 %      (2.51) %      2.96 %      4.83 % 

RATIOS/SUPPLEMENTAL DATA:

          

Net assets, end of year (in thousands)

     $1,677,925        $1,776,803        $1,623,597        $1,757,490        $1,771,290   

Ratios to average net assets:

          

Net investment income

     4.54 %      4.66 %      4.72 %      4.63 %      4.64 % 

Net expenses

     0.19 %      0.18 %      0.12 %      0.12 %      0.12 % 

Gross expenses

     0.19 %      0.18 %      0.12 %      0.12 %      0.12 % 

Portfolio turnover rate

     26 %      33 %      37 %      39 %      36 % 

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Selected data based on a unit outstanding during the fiscal years indicated

 

Elfun Income Fund    2010     2009     2008     2007     2006  

Inception date

      —        —        —        —        12/31/84   

Net asset value, beginning of year

      $10.73        $10.35        $11.09        $11.05        $11.14   

Income (loss) from investment operations:

           

Net investment income

      0.36        0.43        0.52        0.61        0.59   

Net realized and unrealized
gains (losses) on investments

      0.52        0.38        (0.74)        0.05        (0.09)   

Total income from investment operations

      0.88        0.80        (0.22)        0.66        0.50   

Less distributions from:

           

Net investment income

      0.43        0.43        0.52        0.62        0.59   

Net realized gains

      —        —        —        0.00 *      —   

Total distributions

      0.43        0.43        0.52        0.62        0.59   

Net asset value, end of year

      $11.18        $10.73        $10.35        $11.09        $11.05   

TOTAL RETURN (a)

      8.31 %      8.04 %      (2.01) %      6.16 %      4.69 % 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of year (in thousands)

      $350,325        $338,481        $328,913        $363,695        $363,142   

Ratios to average net assets:

           

Net investment income

      3.34 %      4.15 %      4.88 %      5.58 %      5.41 % 

Net expenses

      0.23 %      0.24 %(c)      0.16 %(c)      0.20 %      0.19 % 

Gross expenses

      0.27 %      0.27 %      0.20 %      0.20 %      0.19 % 

Portfolio turnover rate

      357 %      320 %      451 %      432 %      328 % 
          
Elfun Money Market Fund    2010     2009     2008     2007     2006  

Inception date

      —        —        —        —        6/13/90   

Net asset value, beginning of year

      $1.00        $1.00        $1.00        $1.00        $1.00   

Income from investment operations:

           

Net investment income

      0.00 *      0.00 *      0.03        0.05        0.05   

Total income from investment operations

      0.00 *      0.00 *      0.03        0.05        0.05   

Less distributions from:

           

Net investment income

      0.00 *      0.00 *      0.03        0.05        0.05   

Total distributions

      0.00 *      0.00 *      0.03        0.05        0.05   

Net asset value, end of year

      $1.00        $1.00        $1.00        $1.00        $1.00   

TOTAL RETURN (a)

      0.24 %      0.42 %      2.57 %      5.24 %      4.93 % 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of year (in thousands)

      $207,108        $244,564        $285,389        $327,766        $306,582   

Ratios to average net assets:

           

Net investment income

      0.06 %      0.43 %      2.57 %      5.12 %      4.87 % 

Net expenses

      0.26 %      0.24 %      0.19 %      0.18 %      0.18 % 

Gross expenses

      0.28 %      0.24 %      0.19 %      0.18 %      0.18 % 

 

Notes to Financial Highlights

(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) The total return includes .03% related to the purchase and sales of initial public offerings.
(c) Reflects GEAM’s waiver of a portion of the Fund’s management expenses in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Funds – GE Money Market Fund.
* Less than 0.005 per share.

 

 

The accompanying Notes are an integral part of these financial statements.

 

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Statements of Assets
and Liabilities December 31, 2010
(Amounts in thousands)		   ELFUN
INTERNATIONAL
EQUITY FUND		        ELFUN
TRUSTS		  

ASSETS

       

Investments in securities, at fair value (cost $254,693; $1,293,261; $194,460; $1,623,078; $340,123 and $0 respectively)

   $ 292,932         $ 1,681,617   

Investments in affiliated securities, at fair value (at cost $99; $457; $206; $281; $1,040 and $0 respectively)

     94           435   

Short-term Investments (at amortized cost)

     1,950           —   

Short-term affiliated investments (at amortized cost)

     13,822           49,853   

Foreign currency (cost $81; $0; $14; $0; $0; and $0, respectively)

     82           —   

Receivable for investments sold

     —           —   

Income receivables

     589           1,139   

Receivable for fund shares sold

     10           170   

Other assets

     692           —   

Total assets

     310,171           1,733,214   

LIABILITIES

       

Distribution payable to unit holders

     —           —   

Payable for investments purchased

     —           —   

Payable for fund units redeemed

     126           709   

Payable to GEAM

     312           595   

Accrued other expenses

     92           194   

Variation margin payable

     168           —   

Total liabilities

     698           1,498   

NET ASSETS

   $ 309,473         $ 1,731,716   

NET ASSETS CONSIST OF:

       

Capital paid in

     324,900           1,343,811   

Undistributed (distribution in excess of) net investment income

     11           (34 ) 

Accumulated net realized gain (loss)

     (53,531 )         (395 ) 

Net unrealized appreciation/(depreciation) on:

       

Investments

     38,234           388,334   

Futures

     (174 )         —   

Foreign currency related transactions

     33           —   

NET ASSETS

   $ 309,473         $ 1,731,716   

Units outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized)

     16,356           41,849   

Net asset value, offering and redemption price per unit

   $ 18.92         $ 41.38   

 

 

The accompanying Notes are an integral part of these financial statements.

 

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ELFUN
DIVERSIFIED
FUND		      ELFUN
TAX-EXEMPT
INCOME FUND		        ELFUN
INCOME FUND		        ELFUN
MONEY MARKET
FUND		  
              
$214,412      $ 1,643,818         $ 344,292         $ —   
195        267           988           —   
—        2,138           —           207,024   
21,384        —           30,453           —   
15        —           —           —   
820        8,915           —           —   
840        25,813           3,325           83   
98        92           188           517   
785        —           —           —   
238,549        1,681,043           379,246           207,624   
              
—        2,060           329           —   
8,332        —           27,712           —   
111        280           268           240   
34        651           226           214   
80        127           68           62   
111        —           318           —   
8,668        3,118           28,921           516   
$229,881      $ 1,677,925         $ 350,325         $ 207,108   
              
228,738        1,661,538           357,889           207,184   
250        —           (89 )         124   
(19,235)        (4,339 )         (12,169 )         (200 ) 
              
19,941        20,726           4,117           —   
181        —           577           —   
6        —           —           —   
$229,881      $ 1,677,925         $ 350,325         $ 207,108   
13,201        148,084           31,341           207,315   
$    17.41      $ 11.33         $ 11.18         $ 1.00   

 

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Statements of Operations
For the year ended December 31, 2010
(Amounts in thousands)		      ELFUN
INTERNATIONAL
EQUITY FUND		        ELFUN
TRUSTS		  

INVESTMENT INCOME

          

Income:

          

Dividends

      $ 7,456         $ 18,705   

Interest

        12           916   

Interest from affiliated investments

        1           10   

Less: Foreign taxes withheld

        (763 )         (4 ) 

Total income

        6,706           19,627   

Expenses:

          

Administration expenses

        435           2,552   

Transfer agent expenses

        170           426   

Custody and accounting expenses

        182           63   

Professional fees

        20           36   

Registration, filing, printing and miscellaneous expenses

        150           461   

Total expenses

        957           3,538   

Less: Expenses Waived or borne by the adviser

        (12 )         (112 ) 

Less: Expenses recouped by the adviser

        (38 )         —   

Net expenses

        907           3,426   

Net investment income

        5,799           16,201   

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

          

Realized gain (loss) on:

          

Investments

        (10,563 )         70,369   

Futures

        231           —   

Foreign currency related transactions

        (150 )         —   

Increase (decrease) in unrealized appreciation/(depreciation) on:

          

Investments

        20,329           116,850   

Futures

        (185 )         —   

Foreign currency related transactions

        19           —   

Net realized and unrealized gain (loss) on investments

        9,681           187,219   

Net increase (decrease) in net assets resulting from operations

      $ 15,480         $ 203,420   

 

 

The accompanying Notes are an integral part of these financial statements.

 

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ELFUN
DIVERSIFIED
FUND		     ELFUN
TAX-EXEMPT
INCOME FUND		     ELFUN
INCOME FUND		        ELFUN
MONEY MARKET
FUND		  
        
        
$ 2,560      $ —      $ 12         $ —   
  2,483        85,071        12,470           684   
  6        —        11           —   
  (150 )      —        —           —   
  4,899        85,071        12,493           684   
        
  434        2,936        622           368   
  241        174        133           48   
  734        87        44           49   
  29        35        19           19   
  192        261        121           122   
  1,630        3,493        939           606   
  (84 )      —        (121 )         —   
  (494 )      —        —           (48 ) 
  1,052        3,493        818           558   
  3,847        81,578        11,675           126   
        
        
  (695 )      7,450        10,257           2   
  2,026        —        (3,945 )         —   
  (14 )      —        (17 )         —   
        
  16,047        (54,185 )      9,363           —   
  (193 )      —        299           —   
  5        —        —           —   
  17,176        (46,735 )      15,957           2   
$ 21,023      $ 34,843      $ 27,632         $ 128   

 

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Statements of  Changes
in Net Assets For the year ended
December 31, 2010 and 2009 (Amounts in thousands)		    ELFUN
INTERNATIONAL
EQUITY FUND		      ELFUN
TRUSTS
FUND		  
      2010     2009      2010     2009  

INCREASE (DECREASE) IN NET ASSETS

          

Operations:

          

Net investment income

    $ 5,799      $ 6,860       $ 16,201      $ 15,188   

Net realized gain (loss) on investments, futures, written options, foreign currency related transactions and swaps

      (10,482 )      (38,433 )       70,369        62,060   

Net increase (decrease) in unrealized appreciation/(depreciation) on investments, futures and foreign currency related transactions

      20,163        96,377         116,850        347,531   

Net increase (decrease) from operations

      15,480        64,804         203,420        424,779   

Distributions to unit holders from:

          

Net investment income

      (5,980 )      (7,145 )       (16,402 )      (15,188 ) 

Net realized gains

      —        (430 )       (70,387 )      (62,071 ) 

Return of capital

      —        —         —        (1,246 ) 

Total distributions

      (5,980 )      (7,575 )       (86,789 )      (78,505 ) 

Increase (decrease) in net assets from operations and distributions

      9,500        57,229         116,631        346,274   

Unit transactions:

          

Proceeds from sale of units

      23,108        12,009         41,106        26,015   

Value of distributions reinvested

      5,263        6,647         66,789        59,748   

Cost of units redeemed

      (29,730 )      (23,333 )       (132,706 )      (106,827 ) 

Net increase (decrease) from unit transactions

      (1,359 )      (4,678 )       (24,811 )      (21,064 ) 

Total increase (decrease) in net assets

      8,141        52,551         91,820        325,210   

NET ASSETS

          

Beginning of year

      301,332        248,781         1,639,896        1,314,686   

End of year

    $ 309,473      $ 301,332       $ 1,731,716      $ 1,639,896   

Undistributed (distribution in excess of)
net investment income, end of year

    $ 11      $ 159       $ (34 )    $ —   
         
CHANGES IN FUND UNITS                          

Units sold by subscription

      1,244        755         997        775   

Issued for distribution reinvested

      279        362         1,609        1,538   
Units redeemed      (1,688 )      (1,582 )       (3,353 )      (3,200 ) 

Net increase (decrease) in fund units

      (165 )      (465 )       (747 )      (887 ) 

 

 

The accompanying Notes are an integral part of these financial statements.

 

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ELFUN
DIVERSIFIED
FUND		     ELFUN
TAX-EXEMPT
INCOME FUND		     ELFUN
INCOME FUND		     ELFUN
MONEY MARKET
FUND		  
2010     2009     2010     2009     2010     2009     2010     2009  
             
             
$ 3,847      $ 3,968      $ 81,578      $ 80,344      $ 11,675      $ 13,529      $ 126      $ 1,161   
 
 
 		     
    
1,317		  
 
  		     (20,468 )      7,450        (5,590 )      6,295        (8,394 )      2        6   
 
 
 		     
    
15,859		  
 
  		     57,044        (54,185 )      143,175        9,662        20,348        —        —   
  21,023        40,544        34,843        217,929        27,632        25,483        128        1,167   
             
  (3,566 )      (4,031 )      (81,578 )      (80,344 )      (13,612 )      (13,587 )      (312 )      (1,161 ) 
  —        (3 )      —        —        —        —        —        —   
  —        —        —        —        —        —        —        —   
  (3,566 )      (4,034 )      (81,578 )      (80,344 )      (13,612 )      (13,587 )      (312 )      (1,161 ) 
 
 		     
17,457		  
  		     36,510        (46,735 )      137,585        14,020        11,896        (184 )      6   
             
  9,623        8,037        60,865        62,940        23,355        22,269        83,709        90,903   
  3,089        3,480        56,241        55,172        9,704        9,605        277        1,019   
  (20,942 )      (18,720 )      (169,249 )      (102,491 )      (35,235 )      (34,202 )      (121,258 )      (132,753 ) 
  (8,230 )      (7,203 )      (52,143 )      15,621        (2,176 )      (2,328 )      (37,272 )      (40,831 ) 
  9,227        29,307        (98,878 )      153,206        11,844        9,568        (37,456 )      (40,825 ) 
             
  220,654        191,347        1,776,803        1,623,597        338,481        328,913        244,564        285,389   
$ 229,881      $ 220,654      $ 1,677,925      $ 1,776,803      $ 350,325      $ 338,481      $ 207,108      $ 244,564   
    
$		  
250		  
  		   $ 2      $ —      $ —      $ (89 )    $ 732      $ 124      $ 1   
             
                                             
  570        554        5,181        5,541        2,114        2,139        83,519        90,903   
  178        215        4,788        4,841        876        920        277        1,019   
  (1,271 )      (1,316 )      (14,547 )      (9,028 )      (3,182 )      (3,298 )      (121,259 )      (132,753 ) 
  (523 )      (547 )      (4,578 )      1,354        (192 )      (239 )      (37,463 )      (40,831 ) 

 

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December 31, 2010

 

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.

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 invest-

ment 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% 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.

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/Reuter 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 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.

 

 

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LOGO

 

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. The Funds entered into derivative transactions for the purpose of hedging, to gain market exposure for residual and accumulating cash positions, and for managing the duration of fixed-income investments.

Futures Contracts  A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Certain Funds invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. The Funds invest in futures contracts to manage their exposure to the stock and bond markets and fluctuations in currency values. 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. A Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Funds 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, the Funds are 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 Funds each day, depending on the daily fluctuation in the fair value of the underlying security. The Funds record an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Funds recognize a realized gain or loss on the expiration or closing of a futures contract.

Options  Certain Funds purchase and write options, subject to certain limitations. The Funds invest in options contracts to manage their exposure to the stock and bond markets and fluctuations in foreign currency values. Writing puts and buying calls tend to increase a Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease a Fund’s exposure to the underlying instrument, or economically hedge other Fund investments. A Fund will not enter into a transaction involving options for speculative purposes. 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. Options are valued at the last sale price, or if no sales occurred on that day, at the last quoted bid price. When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying security or the cost basis of the securities purchased is adjusted by the original premium received or paid.

When-Issued Securities and Forward Commitments Certain Funds purchase or sell securities on a when-issued or forward commitment basis. These transactions are arrangements in which the Funds purchase and sell 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, the Funds maintain cash or liquid assets in an amount equal to the purchase commitments for such underlying securities until settlement date and for sales commitments the

 

 

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LOGO

 

Funds maintain 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.

Forward Foreign Currency Exchange Contracts  Certain Funds enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage the Funds’ 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 the Funds’ financial statements. Such amounts appear under the caption Forward Foreign Currency Contracts in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (or liability) and in the Statement 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. The Funds’ 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 the 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 that the value of the account will equal the amount of the 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.

The Funds may be subject to capital gains and repatriation taxes imposed by certain countries in which they invest. 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 ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after ex-dividend date as such information becomes available. Interest income is recorded on the accrual basis.

Accretion of discounts and amortization premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method. Withholding taxes in foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.

Expenses  Expenses of the Funds which are directly identifiable to a specific Fund are allocated to that Fund. Expenses which are not directly identifiable to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds. All expenses of the Funds are paid by GEAM, and reimbursed by the Funds.

Federal Income Taxes  The Funds intend to comply with all sections of 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. Securities Valuation

The Funds utilize 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

 

 

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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.

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 sale 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 classifies the investment securities in Level 2.

Debt securities (other than short-term securities described below) generally are valued at an evaluated bid as reported by an independent pricing service. Municipal obligations are valued at the quoted bid prices, when available. The pricing vendor uses various pricing models for each asset class that are consistent with what other market participants would use. The inputs and assumptions to the model of the pricing vendor are derived from market observable sources including: 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 vendor uses available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. The pricing vendor considers all available market observable inputs in determining the evaluation for a security. 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 primarily comprise our portfolio of corporate fixed income, government, mortgage and asset-backed securities.

In the absence of a reliable price from such a pricing service, debt securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing vendors may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances we classify the investment securities in Level 3.

The Funds use non-binding broker quotes as the primary basis for valuation when there is limited, or no, relevant market activity for a specific investment or for other investments that share similar characteristics. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker quotes are included in Level 3. As is the case with the primary pricing vendor, third-party brokers do not provide access to their proprietary valuation models, inputs and assumptions. Accordingly, GEAM conducts internal reviews of pricing for all such investment securities periodically to ensure

 

 

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reasonableness of valuations used in the Funds‘ financial statements. These reviews are designed to identify prices that appear stale, those that have changed significantly from prior valuations, and other anomalies that may indicate that a price may not be accurate. Based on the information available, GEAM believes that the fair values provided by the brokers are representative of prices that would be received to sell the assets at the measurement date (exit prices).

All portfolio securities of the Elfun Money Market Fund and any short-term securities of sufficient credit quality held by any other fund with remaining maturities of sixty days or less at the time of purchase are valued on the basis of amortized cost which approximates market value and these are included in Level 2.

A Fund’s written or purchased options are valued at the last sale price, or if no sales occurred that day, at the last reported bid price and those are also included in Level 2.

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 would be classified in Level 3. Those procedures require that the fair value of a security be established by the valuation committee. 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 NYSE. In these circumstances the Fund classifies the investment securities in Level 2. This independent fair value pricing service uses a model to identify affected securities and portfolios 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.

Portfolio securities may be valued using techniques other than market quotations, under the circumstances described above. The value established for a portfolio security may be different than what would be produced through the use of another methodology or if it had been priced using market quotations. 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 Funds could sell a portfolio security for the value established for it at any time and it is possible that the Funds 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. Fair value determinations are required for securities whose value is affected by a significant event that will materially affect the value of a domestic or foreign security and which occurs subsequent to the time of the close of the principal market on which such domestic or foreign security trades but prior to the calculation of the Fund’s NAV.

 

 

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The following tables present the Funds’ investments measured at fair value on a recurring basis at December 31, 2010:

 

(In Thousands)

                                

Fund

    Investments      Level 1        Level 2         Level 3         Total   

Elfun International Equity Fund

   

Investments in Securities

           
  

Common Stock

    $ 285,248      $ —       $ —       $ 285,248   
  

Preferred Stock

      7,684        —         —         7,684   
  

Other Investments

      —        94         —         94   
  

Short-Term Investments

      13,822        1,950         —         15,772   
                                         
    

Total Investments in Securities

    $ 306,754      $ 2,044       $ —       $ 308,798   
  

Other Financial Instruments

           
  

Futures Contracts — Unrealized Depreciation

    $ (174 )    $ —       $ —       $ (174 ) 
                                         

Elfun Trusts

   

Investments in Securities

           
  

Common Stock

    $ 1,681,617      $ —       $ —       $ 1,681,617   
  

Other Investments

      —        435         —         435   
  

Short-Term Investments

      49,853        —         —         49,853   
                                         
    

Total Investments in Securities

    $ 1,731,470      $ 435       $ —       $ 1,731,905   

Elfun Diversified Fund

   

Investments in Securities

           
  

Domestic Equity

    $ 80,647      $ —       $ —       $ 80,647   
  

Foreign Equity

      59,303        —         —         59,303   
  

U.S. Treasuries

      —        11,203         —         11,203   
  

Agency Mortgage Backed

      —        21,270         —         21,270   
  

Agency CMOs

      —        1,456         130         1,586   
  

Asset Backed

      —        1,002         —         1,002   
  

Corporate Notes

      —        24,274         —         24,274   
  

Non-Agency CMOs

      —        7,607         1         7,608   
  

Sovereign Bonds

      —        1,886         —         1,886   
  

Municipal Notes and Bonds

      —        334         —         334   
  

Exchange Traded Funds

      3,394        —         —         3,394   
  

Preferred Stock

      1,902        —         —         1,902   
  

Rights

      —        3         —         3   
  

Other Investments

      —        195         —         195   
  

Short-Term Investments

      21,384        —         —         21,384   
                                         
    

Total Investments in Securities

    $ 166,630      $ 69,230       $ 131       $ 235,991   
  

Other Financial Instruments

           
  

Futures Contracts — Unrealized Appreciation

    $ 216      $ —       $ —       $ 216   
  

Futures Contracts — Unrealized Depreciation

      (35 )      —         —         (35 ) 
                                         
    

Total Other Financial Instruments

    $ 181      $ —       $ —       $ 181   

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(In Thousands)                                     
Fund    Investments    Level 1     Level 2      Level 3      Total  

Elfun Tax-Exempt Income Fund

   

Investments in Securities

           
  

Municipal Bonds and Notes

    $ —      $ 1,643,818       $ —       $ 1,643,818   
  

Other Investments

      —        267         —         267   
  

Short-Term Investments

      —        2,138         —         2,138   
                                         
    

Total Investments in Securities

    $ —      $ 1,646,223       $ —       $ 1,646,223   

Elfun Income Fund

   

Investments in Securities

           
  

U.S. Treasuries

    $ —      $ 61,385       $ —       $ 61,385   
  

Agency Mortgage Backed

      —        103,563         —         103,563   
  

Agency CMOs

      —        8,605         515         9,120   
  

Asset Backed

      —        2,104         25         2,129   
  

Corporate Notes

      —        116,348         —         116,348   
  

Non-Agency CMOs

      —        38,284         437         38,721   
  

Sovereign Bonds

      —        10,603         —         10,603   
  

Municipal Notes and Bonds

      —        2,423         —         2,423   
  

Other Investments

      —        988         —         988   
  

Short-Term Investments

      30,453        —         —         30,453   
                                         
    

Total Investments in Securities

    $ 30,453      $ 344,303       $ 977       $ 375,733   
  

Other Financial Instruments

           
  

Futures Contracts — Unrealized Appreciation

    $ 711      $ —       $ —       $ 711   
  

Futures Contracts — Unrealized Depreciation

      (134 )      —         —         (134 ) 
                                         
    

Total Other Financial Instruments

    $ 577      $ —       $ —       $ 577   

Elfun Money Market Fund

   

Short-Term Investments

           
  

U.S. Treasury

    $ —      $ 19,819       $ —       $ 19,819   
  

U.S. Government Agency and Related

      —        16,002         —         16,002   
  

Commercial Paper

      —        43,936         —         43,936   
  

Repurchase Agreements

      —        41,030         —         41,030   
  

Certificates of Deposit

      —        79,900         —         79,900   
  

Corporate Notes

      —        3,503         —         3,503   
  

Supranationals

      —        2,650         —         2,650   
  

Time Deposit

      —        184         —         184   
                                         
    

Total Short-Term Investments

    $ —      $ 207,024       $ —       $ 207,024   

The following table presents the changes in Level 3 investments measured on a recurring basis for the period ended December 31, 2010:

 

(In Thousands)

                                    
Elfun Diversified Fund    Agency
Mortgage
Backed		     Agency CMOs     Corporate
Notes		     Non-Agency
CMOs		     Total  

Balance at 12/31/09

    $ 1,581        637      $ 111        86      $ 2,415   

Accrued discounts/premiums

      —        (55 )      (1 )      —        (56 ) 

Realized gain (loss)

      7        7        (11 )      (118 )      (115 ) 

Change in unrealized gain (loss)

      (5 )      (47 )      51        128        127   

Net purchases (sales)

      (1,490 )      (457 )      (88 )      (13 )      (2,048 ) 

Net transfers in and out of Level 3

      (93 )      45        (62 )      (82 )      (192 ) 

Balance at 12/31/10

    $ —      $ 130      $ —      $ 1      $ 131   

Change in unrealized gain (loss) relating to
securities still held at 12/31/10

    $ —      $ (16 )    $ —      $ 80      $ 64   

 

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The following table presents the changes in Level 3 investments measured on a recurring basis for the period ended December 31, 2010:

 

(In Thousands)                                           
Elfun Income Fund    Agency
Mortgage
Backed		     Agency CMOs     Asset Backed     Corporate Notes     Non-Agency
CMOs		     Total  

Balance at 12/31/09

    $ 9,071        3,402      $ 25      $ 668        404      $ 13,570   

Accrued discounts/premiums

      —        (480 )      —        (4 )      —        (484 ) 

Realized gain (loss)

      41        (851 )      —        (61 )      (688 )      (1,559 ) 

Change in unrealized gain (loss)

      (29 )      1,130        6        277        1,327        2,711   

Net purchases (sales)

      (8,640 )      (3,222 )      (6 )      (486 )      (405 )      (12,759 ) 

Net transfers in and out of Level 3

      (443 )      536        —        (394 )      (201 )      (502 ) 

Balance at 12/31/10

    $ —      $ 515      $ 25      $ —      $ 437      $ 977   

Change in unrealized gain (loss) relating to securities still held at 12/31/10

    $ —      $ 625      $ 6      $ —      $ 536      $ 1,167   

Transfers in and out of level 3 are considered to occur at the beginning of the period.

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Funds, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No.815 Derivatives and Hedging.

 

   

Asset Derivatives

    

Liability Derivatives

  

(In Thousands)

   Location   Fair
Value		     Location   Fair
Value		  

Elfun International Equity Fund

                    

Equity Contracts

               Liabilities, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     (174 )* 

Elfun Diversified Fund

                    

Equity Contracts

   Assets, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     104 *    Liabilities, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     (2 )* 

Interest Rate Contracts

   Assets, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     112 *    Liabilities, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     (33 )* 

Elfun Income Fund

                    

Interest Rate Contracts

   Assets, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     711 *    Liabilities, Net Assets — Net unrealized Appreciation/ (Depreciation) on Futures     (134 )* 

 

* Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments and Net Assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets or Liabilities sections of the Statement of Assets and Liabilities.

 

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Shown below are the effects of derivative instruments on the Funds’ Statements of Operations, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

(In Thousands)

   Location   Notional
Amount
of Futures
Contracts
Purchased/(Sold) $		     Realized Gain
or (Loss) $		     Change in
Unrealized
Appreciation/
(Depreciation) $		  

Elfun International Equity Fund

                        

Equity Contracts

   Net realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on futures     44,270/(33,420 )      231        (185 ) 

Elfun Diversified Fund

                        

Equity Contracts

   Net realized gain/(loss) on futures, Increase/(decrease)     52,828/(67,741 )      2,736        (197 ) 

Interest Rate Contracts

   Net realized gain/(loss) on futures, Increase/(decrease)     177,186/(178,466 )      (710 )      4   

Elfun Income Fund

                        

Interest Rate Contracts

   Net realized gain/(loss) on futures, Increase/(decrease)     876,244/(895,645)        (3,946 )      299   
5. Line of Credit

The Funds share a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.125% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Funds have a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points 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 period ended December 31, 2010.

6. Fees and Compensation

During 2010, the Funds incurred expenses for the cost of services rendered by GEAM as investment adviser and for services GEAM rendered as unitholder servicing agent. These expenses are included as administration expenses and unitholder servicing agent expenses in the Statements of Operations. The Trustees received no compensation as Trustees for the Elfun Funds.

GEAM waives a portion of the Funds Management fees (except for the Elfun Tax-Exempt Income Fund) in the amount equal to the Management fee earned by GEAM with respect to the Funds investment in the GE Funds-GE Money Market Fund or the GE Institutional Money Market Fund.

 

 

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7. Investment Transactions

Purchases and Sales of Securities

The cost of purchases and the proceeds from sales of investments, other than short-term securities and short-term options, for the year ended December 31, 2010, were as follows:

 

       U.S. Government
Securities		          Other Securities  
(In Thousands)      Purchases      Sales           Purchases      Sales  

Elfun International Equity Fund

      $ -       $ -         $ 114,064       $ 128,763   

Elfun Trusts Fund

        -         -           213,660         334,341   

Elfun Diversified Fund

        171,577         160,860           123,130         116,189   

Elfun Tax-Exempt Fund

        -         -           456,443         530,331   

Elfun Income Fund

        852,849         823,287             325,652         327,265   
8. Income Taxes

The Funds are subject to ASC 740, Income Taxes. 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 the Funds’ 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 the Funds’ net assets required under ASC 740. The Funds’ 2007, 2008, 2009 and 2010 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

At December 31, 2010, information on the tax components of capital is as follows:

 

(In Thousands)  
                      Net Tax Appreciation/
(Depreciation)		                    
     Cost on
Tax Basis		     Unrealized
Appreciation		     Unrealized
Depreciation		     Investments     Derivatives/
Currency		     Undistributed
Income		     Undistributed
(Accumulated
Capital Loss)		     Post
October
Losses		  

Elfun International Equity Fund

   $ 282,084      $ 47,548      $ (20,834 )    $ 26,714     

$

(108

) 

   $ 19      $ (42,052 )    $ -   

Elfun Trusts

     1,344,000        434,866        (46,961 )      387,905     

 

-

  

     -        -        -   

Elfun Diversified Fund

     217,376        24,925        (6,310 )      18,615     

 

6

  

     268        (17,744 )      -   

Elfun Tax-Exempt Income Fund

     1,625,650        54,830        (34,257 )      20,573     

 

-

  

     21        (3,455 )      (753 ) 

Elfun Income Fund

     372,534        11,655        (8,456 )      3,199     

 

(2

) 

     -        (10,763 )      -   

Elfun Money Market Fund

     207,024        -        -        -     

 

-

  

     124        (200 )      -   

 

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As of December 31, 2010, 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 so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

Fund (In Thousands)    Amount      Expires  

Elfun International Equity Fund

    $ 33,349         12/31/17   
     8,703         12/31/18   

Elfun Diversified Fund

      17,744         12/31/17   

Elfun Tax-Exempt Income Fund

      3,455         12/31/17   

Elfun Income Fund

      10,763         12/31/17   

Elfun Money Market Fund

      200         12/31/16   

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be 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.

During the year ended December 31, 2010, the Funds utilized prior year capital loss carryovers as follows:

 

Fund (In Thousands)    Amount  

Elfun Diversified Fund

    $ 2,360   

Elfun Tax-Exempt Income Fund

      5,300   

Elfun Income Fund

      7,220   

Any net capital and currency losses incurred after October 31, within each Fund’s tax year, are deemed to arise on the first day of the Fund’s next tax year if the Fund so elects to defer such losses.

The Funds elected to defer losses incurred after October 31, 2010 as follows:

 

 

(In Thousands)

   

Capital

      Currency  

Elfun Tax-Exempt Income Fund

    $ 753       $ —   

The tax composition of distributions paid during the years ended December 31, 2010, were as follows:

 

(In Thousands)      Exempt
Interest		        Ordinary
Income		        Long-Term
Capital Gains		  

Elfun International Equity Fund

      $ —         $ 5,979         $ —   

Elfun Trusts

        —           16,402           70,387   

Elfun Diversified Fund

        —           3,566        

Elfun Tax-Exempt Income Fund

        78,685           2,893        

Elfun Income Fund

        —           13,612        

Elfun Money Market Fund

        —           312        

 

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Distributions to Shareholders

Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund declare net investment income dividends daily and pay them monthly. All other Funds declare and pay dividends from net investment income annually. All Funds declare and pay net realized capital gains distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) treatment of realized and unrealized

gains and losses on foreign currency contracts, futures, investments organized as partnerships for tax purposes, distributions from Real Estate Investment Trusts (REITs), losses deferred due to offsetting positions, and losses deferred due to wash sale transactions. Reclassifications are made to the Funds’ 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 net asset value of the Funds. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

 

The reclassifications for the year ended December 31, 2010 were as follows:

 

(In Thousands)                        
      Undistributed
Net Investment
Income		      Accumulated
Net Realized Loss		      Paid in
Capital		  

Elfun International Equity Fund

    $ 33       $ (28 )     $ (5 ) 

Elfun Trusts

      167         (83 )       (84 ) 

Elfun Diversified Fund

      (33 )       -         33   

Elfun Tax-Exempt Income Fund

      -         -         -   

Elfun Income Fund

      1,116         198         (1,314 ) 

Elfun Money Market Fund

      309         -         (309 ) 

 

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The Unitholders and Board of Trustees

Elfun Funds

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund, each a series of Elfun Funds (collectively, the “Funds”), as of December 31, 2010, and the related statements of operations for the year then ended, 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 Funds 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 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, 2010 by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund as of December 31, 2010, the results of their operations, changes in their net assets and financial highlights for each of the years or periods described above, in conformity with U.S. generally accepted accounting principles.

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Boston, Massachusetts

February 25, 2011

 

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For the year ended December 31, 2010

 

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, 2010, 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

      $ 7,455,714       $ 745,865   

Of the dividends paid from net investment income by the Elfun Tax Exempt Fund during the calendar year ended December 31, 2010, 96.46% represent exempt interest dividends for Federal income tax purposes.

For the year ended December 31, 2010, the Fund hereby designates as capital gain dividends the amounts set forth, or the amount ultimately treated as capital gain net income.

 

Fund    Gross Amount  

Elfun Trusts

    $ 70,386,813   

For the fiscal year ended December 31, 2010, certain dividends paid by the fund may be subject to a maximum income tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The following represent the amounts that may be considered qualified dividend income:

 

Fund    Qualified Dividend Income  

Elfun International Equity Fund

    $ 5,978,388   

Elfun Trusts

    $ 16,402,249   

Elfun Diversified Fund

    $ 2,099,765   

For corporate shareholders the following represent the percentages of respective fund distributions that may be eligible for the dividends received deduction:

 

Fund name    Dividends Received Deduction  

Elfun Trusts

      100.00 % 

Elfun Diversified Fund

      24.32 % 

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 or call 1-800-242-0134.

 

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The Board of Trustees of the Elfun Funds The Elfun Funds include the Elfun Trusts, Elfun International Equity Fund, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, Elfun Money Market Fund (each, a “Fund” and collectively, the “Funds”). (the “Board”) considered and all those that were present unanimously approved the continuance of the investment advisory agreements with GE Asset Management Incorporated (“GEAM”) at a meeting held on December 13, 2010.

In considering whether to approve the Funds’ investment advisory agreements, the Board members considered and discussed a substantial amount of information and analysis provided by GEAM personnel. 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 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 the same 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, the Board members received and considered memoranda prepared by GEAM personnel that set forth detailed information, including substantial exhibits and other materials related to GEAM’s business and the services it provides to each Fund. 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). The Board members also heard presentations by these representatives, and posed questions and engaged in substantive discussions with them concerning the Funds’ operations and the investment process employed for each Fund.

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 comparison to prior periods and to reflect certain enhancements. To focus their review, the Board members asked GEAM personnel, in its oral presentations, to highlight material differences from the information presented in recent years.

In reaching their determinations relating to continuance of the Funds’ investment advisory agreements, 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. 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 used for selecting investments and brokers; (iii) effective processes used for providing Fund administration, including controllership and compliance functions and oversight of the performance of other companies that provide services to the Funds; (iv) highly skilled professionals, including analysts, research professionals and portfolio managers with a depth of experience relevant to the Funds; (v) access to significant technological resources from which the Funds may benefit; 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.

 

 

 

1 The Elfun Funds include the Elfun Trusts, Elfun International Equity Fund, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, Elfun Money Market Fund (each, a “Fund” and collectively, the “Funds”).

 

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In particular, the Board members discussed that the Funds benefit from a large staff of research analysts employed by GEAM.

In light of the foregoing, the Board members concluded that the services provided by GEAM continue to be satisfactory.

Investment Performance Of The Funds

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 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 in certain periods. The Board members discussed GEAM’s investment approach with respect to each of the Funds, and that the performance of the Funds is consistent with GEAM’s articulated long-term approach and overall investment philosophy.

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 and were provided a study conducted by the Investment Company Institute that discusses and compares advisory fees and services for mutual funds and institutional separate accounts. 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 reviewed the information they had requested from GEAM personnel concerning 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. The Board members also discussed with GEAM personnel the basis for their belief that the methods of allocation used were reasonable for each area of GEAM’s business.

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 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

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, although none of the Funds experienced significant growth in assets over the past year, 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 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

 

 

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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 the costs incurred by the Funds for those services. 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 light of this information, the Board members determined that the level of expenses incurred was reasonable in relation to the services provided to the Funds.

Fall-Out Benefits

The Board members considered other actual and potential financial benefits that GEAM may derive from its 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 advisory agreement was in the best interests of the Funds and their shareholders.

 

 

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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 Company is set forth below.

Interested Trustees and Executive Officers

 

 

James W. Ireland III

 

 

Address  c/o GEAM, 3001 Summer St. Stamford, CT 06905

Age  55

Position Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – Three years

Principal Occupation(s) During Past 5 Years  President, Chief Executive Officer, and Director of GEAM since June 2007; President, NBC Universal Television Stations from December 1999 to July 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of the Norman Rockwell Museum since September 1997 and Treasurer of the Norman Rockwell Museum Board of Trustees since September 1998; Member of the Board of Directors of the Damon Runyon Cancer Research Foundation since October 2008; Trustee and Vice Chair of the Campaign Steering Committee of St. Lawrence University since July 2001; Trustee of GE Savings & Security Funds and General Electric Pension Trust since July 2007.

 

 

Paul M. Colonna

 

 

Address  c/o GEAM, 3001 Summer St. Stamford, CT 06905

Age  42

Position Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – three years

Principal Occupation(s) During Past 5 Years  President – Fixed Income at GEAM since March 2007; Executive Vice President of GEAM from February 2007 to March 2007; Senior Vice President-Total Return Management at GEAM from March 2005 to March 2007; Senior Vice President-Structured Products at GEAM from March 2002 to March 2005.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Savings & Security Funds and General Electric Pension Trust since February 2007; Director of GE Asset Management Limited (GEAML) since December 2007.

 

 

Michael J. Cosgrove

 

 

Address  c/o GEAM 3001 Summer St. Stamford, CT 06905

Age  61

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 23 years

Principal Occupation(s) During Past 5 years  President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM since March 2007; Executive Vice President of GEAM from February 2007 to March 2007; Vice President, GE Capital Corporation, an indirect wholly-owned subsidiary of GE, since December 1999; Executive Vice President – Mutual Funds of GEAM, a wholly-owned subsidiary of GE that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, since March 1993; Director of GEAM since 1988.

Number of Portfolios in Fund Complex Overseen by Trustee   51

Other Directorships Held by Trustee  Chairman of the Board and President of GE Funds since 1993 and GE Institutional Funds, GE LifeStyle Funds and GE Investments Funds, Inc. since 1997; Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1988; Trustee of Fordham University since 2003, Trustee of Elfun Foundation; Treasurer of GE Foundation; Director, GE Asset Management (Ireland) since February 1999; Director, GE Asset Management Funds Plc, GE Asset Management Canada Company, GE Asset Management Limited, and GE Volunteers.

 

 

Ralph R. Layman

 

 

Address  c/o GEAM 3001 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 – 19 years

Principal Occupation(s) During Past 5 years  President – International Equity Investments of GEAM since March 2007; Executive Vice President of GEAM from 1993 to March 2007; Executive Vice President – International Equity Investments at

 

 

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GEAM from 1993 to March 2007; Executive Vice President – International Equity Investments of GEIC from 1993-2000 (when GEIC was merged into GEAM); Senior Vice President – International Equity Investments of GEAM and GEIC from 1991 until 1993; Executive Vice President, Partner and Portfolio Manager of Northern Capital Management from 1989-1991; and prior thereto, Vice President and Portfolio Manager of Templeton Investment Counsel.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1993; Director of GE Asset Management Limited (GEAML) since September 1995.

 

 

Matthew J. Simpson

 

 

Address  c/o GEAM, 3001 Summer St. Stamford, CT 06905

Age  49

Position Held With Fund  Trustee

Term of Office and Length of Time Served  Three years

Principal Occupation(s) During Past 5 Years  Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM and Senior Vice President and General Counsel of GEAMS from February 1997 to July 2007; from October 1992 to February 1997, Vice President and Associate General Counsel of GEAM; Secretary of GE Funds, GE Institutional Funds, GE LifeStyle 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 Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Trustee  51

Other Directorships Held By Trustee  Trustee of GE Funds and GE Institutional Funds since July 2007. Director of GE Investments Funds, Inc. since July 2007; Trustee of GE Savings & Security Funds and General Electric Pension Trust since July 2007.

 

 

Donald W. Torey

 

 

Address  c/o GEAM 3001 Summer St. Stamford, CT 06905

Age  53

Position(s) Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – 17 years

Principal Occupation(s) During Past 5 years  President – Alternative Investments at GEAM since March 2007; Executive Vice President of GEAM from 1997 to March 2007; Executive Vice President – Alternative Investments from 1997 to March 2007; Director of GEIC from 1993-2000 (when GEIC was merged into GEAM); Executive Vice President – Alternative Investments of GEIC from 1997-2000; Executive Vice President – Finance and Administration of GEAM and GEIC from 1993 to 1997; Manager –Mergers and Acquisitions Finance for GE from 1989-1993; Vice President – Private Placements of GEIC from 1988-1989.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1993.

 

 

John J. Walker

 

 

Address  c/o GEAM 3001 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 – 11 years

Principal Occupation(s) During Past 5 years  Executive Vice President and Chief Operating Officer of Geam since January 2008; Chief Financial Officer of GEAM from 1999-2008; Chief Financial Officer of GEIC from 1999-2000 (when GEIC was merged into GEAM); Chief Financial Officer of GE Capital – Global Consumer Finance from 1996-1999; Chief Financial Officer of GE Capital – Commercial Finance from 1992 to 1996; Finance Director of GE Capital – TIFC from 1988-1992.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1999; Director of GE Asset Management Limited (GEAML) since July 1995.

 

 

David Wiederecht

 

 

Address  c/o GEAM, 3001 Summer St. Stamford, CT 06905

Age  54

Position Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – two year

Principal Occupation(s) During Past 5 Years  President – Investment Strategies since February 2008; Managing

 

 

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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 Elfun Funds and General Electric Pension Trust since 2008; Director of Edmunds Holding Company since 1999; Director of The Ritten-house Hotel and Condominium since 1992; Director of Ross-Simons, Inc. since 2001.

 

 

Tracie Winbigler

 

 

Address  c/o GEAM, 3001 Summer St. Stamford, CT 06905

Age  45

Position Held with Fund  Trustee

Term of Office and Length of Time Served  Until successor is elected and qualified – less than a year

Principal Occupation(s) During Past 5 Years  GE’s HealthAhead Finance Leader, overseeing all financial aspects of GE’s company-wide initiative to drive employee engagement in a culture of health. Prior to this role, she was the Chief Financial Officer of GE Transportation in Erie, PA, which followed various positions at NBC Universal including Executive Vice President, Chief Financial Officer Integrated Media and Executive Vice President, Chief Financial Officer for TV Group (which includes NBCU’s owned & operated television stations, Sports, Olympics, and Telemundo) and NBCU Digital Media. In 2004, she joined NBCU as Executive Vice President, Chief Financial Officer of the Television Stations Division, which included 14 NBC stations and 15 Telemundo stations. From 2002 - 2004 Tracie was the Chief Financial Officer at GE Nuclear Energy in Wilmington, NC. Earlier in her career she was NBC’s Chief Financial Officer of Affiliate Relations & Broadcast and Network Operations (2000 - 2002), Quality for the GE Plastics Joint Venture in Tokyo. She was a member of GE’s Corporate Audit Staff for six years, after joining the company in its Financial Management Program. Tracie attended Ohio Wesleyan University and graduated with a B.A. degree in Economics with Management Concentration.

Number of Portfolios in Fund Complex Overseen by Trustee  8

Other Directorships Held by Trustee  Member of the IESE Business School, Global Women’s Forum Advisory Board.

 

 

 

The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

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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.

Adam W. Ackerman is an assistant portfolio manager at GE Asset Management. He has served on the portfolio management team for the Elfun Money Market Fund since June 2009. Since joining GE Asset Management in 2005, Mr. Ackerman served in various positions including manager of the global fixed income trading operations and became an assistant portfolio manager in June 2009.

David B. Carlson is the Chief Investment Officer – U.S. Equities at GE Asset Management. He manages the overall U.S. equity investments for GE Asset Management . Mr. Carlson is the portfolio manager for Elfun Trusts and has served in this capacity since 1988. Mr. Carlson joined GE Asset Management 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 GE Asset Management. He is portfolio manager of the Elfun Tax-Exempt Income Fund and has served in that capacity since October 2000. Mr. Caufield joined GE Asset Management in 1987 as Vice President, manager of fixed income research & analysis and was promoted to Senior Vice President in 1994.

Paul M. Colonna is the President and Chief Investment Officer – Fixed Income and a Director at GE Asset Management. Since January 2005, he has led the team of portfolio managers for the Elfun Income Fund and has been responsible for the fixed income portion of the Elfun Diversified Fund. Mr. Colonna became President – Fixed Income in March 2007. Prior to joining GE Asset Management in February 2000, Mr. Colonna was a senior portfolio manager with the Federal Home Loan Mortgage Corporation, overseeing the Mortgage Investment Group.

James C. Gannon is an assistant portfolio manager of GE Asset Management. He has served on the portfolio

management team for the Elfun Money Market Fund since December 2000. Since joining GE Asset Management in 1995, Mr. Gannon served in various positions at GE Asset Management including Trade operations specialist in fixed income, and became an assistant portfolio manager in February 2003.

Greg Hartch is a Senior Vice President – Tactical Asset Allocation at GE Asset Management. He has served as a portfolio manager to the Elfun Diversified Fund since January 2011. Mr. Hartch joined GE Asset Management in 2002 and has held various positions at GE Asset Management including Senior Vice President – Alternative Assets from 2002-2004, Director of Fixed Income Research from 2004-2007 and Managing Director – International Real Estate from 2007 to 2010.

William M. Healey is a Senior Vice President of GE Asset Management. He has served on the portfolio management team for the Elfun Income Fund since joining GE Asset Management in 1996. Prior to joining GE Asset Management, Mr. Healey spent over 10 years in the fixed income group at MetLife.

Brian Hopkinson is a Senior Vice President of GE Asset Management. He has been a portfolio manager for the Elfun International Equity Fund since joining GE Asset Management in October 1996. Prior to joining GE Asset Management, Mr. Hopkinson worked for Fiduciary Trust International in both London and New York.

Mark H. Johnson is a Senior Vice President of GE Asset Management and senior portfolio manager of Structured Products. He has been a member of the portfolio management team for the Elfun Income Fund since September 2007. Mr. Johnson joined GE in 1998 in its Employers Reinsurance Corporation as a taxable income portfolio manager. Mr. Johnson joined GE Asset Management as a Vice President and portfolio manager in 2002 and became a Senior Vice President and senior portfolio manager of Structured Products in 2007.

Ralph R. Layman is the President and Chief Investment Officer – Public Equities and a Director at GE Asset Management. He manages the overall public equity investments for GE Asset Management. Mr. Layman has led the team of portfolio managers for the Elfun International Equity Fund since 1991 and has been

 

 

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Portfolio Manager Biographies  (continued)

responsible for the international equity portion for the Elfun Diversified Fund since September 1997. Mr. Layman joined GE Asset Management in 1991 as Senior Vice President for International Investments and became and Executive Vice President in 1992 and President -International Equities in March 2007.

Thomas R. Lincoln is a Senior Vice President of GE Asset Management. He has served on the portfolio management team for the Elfun Diversified Fund since May 2007. Mr. Lincoln joined GE Asset Management in 1994 as a financial analyst in U.S. equities. Mr. Lincoln became part of the investment management team for U.S. equities at GE Asset Management in 1997 and a portfolio manager for U.S. equities in 2003.

Michael E. Martini is a portfolio manager at GE Asset Management. He has served on the portfolio management team for the Elfun Money Market Fund since joining GE Asset Management in March of 2008. Prior to joining GE Asset Management, Mr. Martini was a Vice President at Ceres Capital Partners LLC, where he worked at the firm’s treasury desk from March 2006 to January 2008, and a Senior Vice President at Pacific Investment Management Company (PIMCO) from 1996 to 2004, where he was a portfolio manager at the firm’s money market/short-term desk.

Paul Nestro is a Senior Vice President of GE Asset Management. He has been a member of the portfolio management team for the Elfun International Equity Fund since February 2007. Mr. Nestro joined GE Asset Management in 1993 as a performance and attribution analyst in domestic equities. He became a senior performance and attribution analyst in 1994 and since 1996 has been an analyst and portfolio manager in the international equities group.

Jonathan L. Passmore is a Senior Vice President of GE Asset Management. He has served as a portfolio manager of the Elfun International Equity Fund since January 2002. Prior to joining GE Asset Management in January 2001, he was with Merrill Lynch for six years, most recently as Director, international equity.

Vita Marie Pike is a Senior Vice President of GE Asset Management. She has served on the portfolio management team for the Elfun Income Fund since March 2005. Prior to joining GE Asset Management in January 2001, she was with Alliance Capital for over nine years serving in a number of different capacities including portfolio manager.

Michael J. Solecki is the Chief Investment Officer – International Equities at GE Asset Management. He has served as a portfolio manager of the Elfun International Equity Fund since August 1999. He joined GE Asset Management in 1990 as an international equity analyst. He became a Vice President for international equity portfolios in 1996 and Senior Vice President in 2000.

Diane M. Wehner is a Senior Vice President of GE Asset Management. Ms. Wehner has been responsible for the mid-cap equity portion of the Elfun Diversified Fund since May 2008. Before joining GE Asset Management, Ms. Wehner was a Vice President and Senior Portfolio Manager from January 1997 to June 2001, and associate portfolio manager from May 1995 to January 1997, with Benefit Capital Management Corporation. Ms. Wehner has served as an analyst/portfolio manager in the investment management industry since 1985.

David Wiederecht is the President and Chief Investment Officer – Investment Strategies and a Director at GE Asset Management. He has served as a portfolio manager to the Elfun Diversified Fund since January 2011. Mr. Wiederecht joined GE Asset Management in 1988 and has held various positions at GE Asset Management including Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004, Managing Director – Alternative Investments from 2004 to 2008, and President – Investment Strategies since 2008.

 

 

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LOGO

 

 

Portfolio Managers

Elfun International Equity Fund

Team led by Ralph R. Layman

Elfun Trusts

David B. Carlson

Elfun Diversified Fund

Thomas R. Lincoln

Ralph R. Layman

Paul M. Colonna

Diane M. Wehner

Elfun Tax-Exempt Income Fund

Michael Caufield

Elfun Income Fund

Team led by Paul M. Colonna

Elfun Money Market Fund

Team led by Michael E. Martini

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:

GE Funds

c/o PNC Global Investment Servicing

P.O. Box 9838

Providence, RI 02940

 

Officers of the Investment Adviser

James W. Ireland III, Trustee, President and Chief Executive Officer, GE Asset Management Incorporated

Cheryl H. Beacock, Senior Vice President, Human Resources

Paul M. Colonna, Trustee, President and Chief Investment Officer – Fixed Income Investments

Michael J. Cosgrove, Trustee, President and Chief Executive Officer – Mutual Funds and Intermediary Business

Ralph R. Layman, Trustee, President and Chief Investment Officer – Public Equity Investments

Maureen B. Mitchell, President – Institutional Sales and Marketing (since July 2009)

Steve Rullo, Chief Information Officer (since February, 2011)

Matthew J. Simpson, Trustee, Executive Vice President, General Counsel and Secretary

Donald W. Torey, Trustee, President – Alternative Investments and Real Estate

John J. Walker, Trustee, Executive Vice President, Chief Operating Officer

David Wiederecht, Trustee, President and Chief Investment Officer – Investment Strategies

Tracie Winbigler, Executive Vice President, Chief Financial Officer*

 

 

*   Effective January, 2011.

 

 

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LOGO

 

New Online Service

Your Elfun Mutual Fund accounts can now be accessed on the Internet at

www.elfun.org.

Here are some of the benefits of our online service:

 

•View account balance and transaction history

   

•View and order tax forms

•Make exchanges

   

•View quarterly statements

•Redeem shares

   

•Change address

•Purchase shares

   

•Re-order money market checks

Many more features will be added to the web site in the future for your convenience.

New Extended Telephone Service

Our Representatives at the Customer Service Center are available Monday to Friday from 8:30 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:

GE Funds

c/o PNC Global Investment Servicing

P.O. Box 9838

Providence, RI 02940

We are continuing to upgrade a variety of services in order to give you the tools you need to manage your financial objectives. In the meantime, we welcome all your comments and suggestions.

 

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Elfun Funds

3001 Summer Street

Stamford, CT 06905

Distributor

GE Investment Distributors Inc.

Member FINRA and SIPC

3001 Summer Street

P.O. Box 7900

Stamford, CT 06904-7900

www.gefunds.com/elfun

 

 

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.

 

 

LOGO   

ELF 1 (2/11)

PRSRT STD

U.S. POSTAGE

PAID

Permit No. 1793

Lancaster, PA

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ITEM 2. CODE OF ETHICS.

Please refer to the Code of Ethics included in the following link:

www.ge.com/files/usa/en/commitment/social/integrity/downloads/english.pdf

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees of the Registrant has determined that Donald W. Torey, Tracie Winbigler and John J. Walker are designated as audit committee financial experts for the Funds; and further that it is the finding of the Board of Trustees that Mr. Torey and Ms. Winbigler qualifies as an audit committee financial experts. Each audit committee member is deemed to be an “interested person” of the Funds 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 provide by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods were $23,100 in 2009 and $23,350 in 2010.

(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 for 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.

(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.

The Audit Committee of the Elfun Funds (the “Funds”) Board of Trustees is responsible, among other things, for the appointment, compensation and oversight of the work of the Fund’s independent accountants/auditors (the “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. Following are excerpts from the Audit Committee Charter that sets forth the pre-approval policies and procedures:

1. Selection and Pre-Approval of Auditor and Approval of Fees.

(i) The Audit Committee shall pre-approve the selection of the Auditor and shall recommend for ratification the selection, retention or termination of the Auditor by the full Board, including the independent Trustees/Directors, and, in connection therewith, shall evaluate the independence of the Auditor, including: (i) an evaluation of whether the Auditor provides any consulting services to the Fund’s investment adviser and the extent to which the Auditor provides non-audit services to the Fund’s investment adviser and certain other affiliated service providers as defined in Section 2(f) below, which services are not subject to the pre-approval requirements set forth in Section 4 below; (ii) an evaluation of the extent to which the Auditor has any relationships with the Fund or its affiliated persons that are brought to the attention of the Audit Committee by the Auditor in accordance with applicable standards of the Independence Standards Board (“ISB”), because, in the Auditor’s professional judgment, such relationships may reasonably be thought to bear on the Auditor’s independence with respect to the Fund; and (iii) monitoring the Auditor’s compliance with respect to the rotation requirements for the lead and coordinating partners having primary responsibility for the Fund’s audits and any partner responsible for the reviewing the Fund’s audits. The Audit Committee shall review the Auditor’s specific representations as to its independence.

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(b) The Audit Committee shall pre-approve and review the fees charged by the Auditor for audit and non-audit services to be provided to the Fund and certain affiliated service providers (as defined in Section 2(f) below) in accordance with the pre-approval requirements set forth in Section 4 below. The Fund shall provide for appropriate funding, as determined by the Audit Committee, to compensate the Auditor for any authorized service provided to the Fund.

2. Meetings with the Auditor. The Audit Committee shall meet with the Auditor, including private meetings, prior to the commencement of substantial work on the audit and following the conclusion of the audit, as well as such other times as the Audit Committee shall deem necessary or appropriate. The Auditor shall report directly to the Audit Committee. The Auditor shall report at least annually, concerning the following and other pertinent matters:

(a) to review the arrangements for and scope of the annual audit and any special audits;

(b) to provide the Auditor the opportunity to report to the Audit Committee, on a timely basis, all critical accounting policies and practices to be used;

(c) to discuss any matters of concern relating to the Fund’s financial statements, including: (i) any adjustments to such statements recommended by the Auditor, or other results of said audit(s), and (ii) any alternative treatments of financial information within GAAP that have been discussed with Fund management, the ramifications of the use of such alternative disclosures and treatments, and the treatment preferred by the Auditor;

(d) to provide the Auditor the opportunity to report to the Audit Committee, on a timely basis, any material written communication between the Auditor and Fund management, such as any management letter or schedule of unadjusted differences;

(e) to discuss the opinion the Auditor has rendered regarding the Fund’s financial statements;

(f) to report all non-audit services that do not require Audit Committee pre-approval and are provided to certain affiliated persons of the Fund, including: (1) the Fund’s investment adviser or sub-advisers (but excluding any investment sub-adviser whose role is primarily portfolio management and is overseen by the investment adviser), (2) the Fund’s principal underwriter, and (3) any entity controlling, controlled by, or under common control with the investment adviser or principal underwriter, that provides “ongoing” services to the Funds in accordance with the pre-approval requirements of paragraph (c)(7)(i) of Rule 2-01 of Regulation S-X (each, a “Covered Affiliate” and collectively, “Covered Affiliates”);

(g) to review, in accordance with current standards of ISB, all relationships between the Auditor and the Fund or its affiliated persons that, in the Auditor’s professional judgment, may reasonably be thought to bear on its independence, and to confirm, in light of such information, whether the Auditor believes, in its professional judgment, that it may properly serve as independent accountants/auditors with respect to the Fund;

(h) to consider the Auditor’s comments with respect to the Fund’s financial policies, procedures and internal accounting controls and responses thereto by the Fund’s officers and Fund management, as well as other personnel;

(i) to investigate any improprieties or suspected improprieties in the operations of the Fund to the extent necessary or appropriate in light of any internal investigations by the Fund’s officers and/or by officers or employees of the Fund management of such improprieties;

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(j) to receive periodic reports concerning regulatory changes and new accounting pronouncements that significantly affect the value of the Fund’s assets and their financial reporting;

(k) to report on the Fund’s qualification under Subchapter M of the Internal Revenue Code, amounts distributed and reported to shareholders for Federal tax purposes and the Fund’s tax returns; and

(l) to provide the Auditor the opportunity to report on any other matter that the Auditor deems necessary or appropriate to discuss with the Audit Committee.

If the Auditor’s report on the above-listed (and other pertinent) matters is not made in person to the Audit Committee within 60 days following the end of the Fund’s fiscal year, the Auditor shall deliver a written report to the Audit Committee concerning these matters within such 60 day period.

3. Change in Accounting Principles. The Audit Committee shall consider the effect upon the Fund of any changes in accounting principles or practices proposed by the Auditor or the Fund’s officers.

4. 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 Act and SEC regulations thereunder.

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.

5. Prohibited Activities of the Auditor. The Audit Committee shall confirm with the Auditor that it is not performing contemporaneously (during the audit and professional engagement period) non-audit services for the Fund that the Audit Committee believes may taint the independence of the Auditor. The Auditor will be responsible for informing the Audit Committee of whether it believes that a particular non-audit service is permissible or prohibited pursuant to applicable regulations and standards.

(2) PERCENTAGE OF SERVICES IN PARAGRAPHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during 2009 or 2010 for audit related, tax or other services as indicated in sections (b) through (d) of this Item.

(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 Service Affiliates, for the Reporting Periods were $0 in 2009 and $0 in 2010.

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(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to Service Affiliates that were not pre-approved.

 

ITEM 5. Audit Committee of Listed Registrants

The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). The Registrants audit committee members are: Donald W. Torey, Tracie Winbigler and John J. Walker.

 

ITEM 6. Schedule of Investments.

Attached as part of ITEM 1.

 

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.

No material changes.

 

ITEM 11. CONTROLS AND PROCEDURES.

The officers providing the certifications in this report in accordance with Rule 30a-3 under the Investment Company Act of 1940 have concluded, based on their evaluation of the registrant’s disclosure controls and procedures (as such term is defined in such rule), that such controls and procedures are adequate and reasonably designed to achieve the purpose described in paragraph (c) of such rule.

There were no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their last evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

ITEM 12. EXHIBITS.

(a) Not applicable.

(b) Attached hereto as Exhibit 1 and Exhibit 2 are the Certifications of James W. Ireland and Eunice Tsang as principal executive officer and principal financial officer, respectively of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)).

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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 Trusts

 

By:  

/S/    JAMES W. IRELAND      

  James W. Ireland
 

Trustee, President and Chief Executive Officer

GE Asset Management Incorporated

Date:   March 09, 2011

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/    JAMES W. IRELAND        

  James W. Ireland
 

Trustee, President and Chief Executive Officer

GE Asset Management Incorporated

Date:   March 09, 2011
By:  

/S/    EUNICE TSANG        

  Eunice Tsang
  Treasurer, Elfun Funds
Date:   March 09, 2011

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EXHIBIT INDEX

(b)(1) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2 under the Investment Company Act of 1940.

(b)(2) Certification of principal executive officer and principal financial officer as required by Section 906 of the Sarbanes-Oxley Act of 2002.