-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CeoV7GxVtY7OOookvefSemH4/PPXbA4MgADXYgZWHv4aMJpuR04VjQXJ69F/m0NB n1uCaf65gt2G2zvl3TCnYg== 0000746687-06-000045.txt : 20060307 0000746687-06-000045.hdr.sgml : 20060307 20060307095011 ACCESSION NUMBER: 0000746687-06-000045 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20051231 FILED AS OF DATE: 20060307 DATE AS OF CHANGE: 20060307 EFFECTIVENESS DATE: 20060307 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GENERAL ELECTRIC S&S PROGRAM MUTUAL FUND CENTRAL INDEX KEY: 0000040559 IRS NUMBER: 136220795 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-01494 FILM NUMBER: 06668867 BUSINESS ADDRESS: STREET 1: GEIM STREET 2: 3003 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06904 BUSINESS PHONE: 203-708-3133 MAIL ADDRESS: STREET 1: 3003 SUMMER ST CITY: STAMFORD STATE: CT ZIP: 06904 0000040559 S000011836 GENERAL ELECTRIC S&S PROGRAM MUTUAL FUND C000032338 General Electric S&S Program Mutual Fund gessx N-CSR 1 ssprg.txt S&S PROGRAM MUTUAL - CERTIFICATION OF SHAREHOLDER REPORT FOR THE YEAR ENDING 31 DEC, 2005 OMB APPROVAL OMB Number: 3235-0570 Expires: SEPT. 30, 2007 Estimated average burden hours per response: 19.4 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 811-01494 - ----------------------------------------------------------------- GENERAL ELECTRIC S&S PROGRAM MUTUAL FUND - ------------------------------------------------------------------ (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: : 12/31/05 ------------------------- ITEM 1. REPORTS TO STOCKHOLDERS. S&S PROGRAM Program Mutual Fund Income Fund Annual Report December 31, 2005 [GE LOGO OMITTED] Contents - -------------------------------------------------------------------------------- MANAGER REVIEWS AND SCHEDULES OF INVESTMENTS PROGRAM MUTUAL FUND................................................. 1 INCOME FUND......................................................... 8 NOTES TO PERFORMANCE................................................... 26 NOTES TO SCHEDULES OF INVESTMENTS...................................... 27 FINANCIAL STATEMENTS Financial Highlights................................................ 28 Statements of Assets and Liabilities................................ 30 Statements of Operations............................................ 31 Statements of Changes in Net Assets................................. 32 Notes to Financial Statements....................................... 33 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM................ 40 TAX INFORMATION........................................................ 41 ADVISORY AGREEMENT RENEWAL............................................. 42 ADDITIONAL INFORMATION................................................. 45 INVESTMENT TEAM........................................................ 48 GE S&S Program Mutual Fund - -------------------------------------------------------------------------------- Q&A DAVID CARLSON IS A DIRECTOR AND EXECUTIVE VICE PRESIDENT WITH GE ASSET MANAGEMENT RESPONSIBLE FOR MANAGING THE OVERALL U.S. EQUITY INVESTMENTS. HE JOINED GE IN 1980 AS PART OF THE GE FINANCIAL MANAGEMENT PROGRAM. DAVE IS A TRUSTEE OF THE GE PENSION TRUST, GE CANADA PENSION TRUST AND GE'S EMPLOYEE SAVINGS PLAN AS WELL AS CHAIRMAN OF GEAM'S ASSET ALLOCATION COMMITTEE. HE IS ALSO A CHARTERED FINANCIAL ANALYST AND A MEMBER OF THE NEW YORK SOCIETY OF SECURITY ANALYSTS. Q. HOW DID THE GE S&S PROGRAM MUTUAL FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2005? A. For the twelve-month period ended December 31, 2005, the GE S&S Program Mutual Fund returned 2.95%. The S&P 500 Index, the Fund's benchmark, returned 4.92% and the Fund's Lipper peer group of 890 Large-Cap Core funds returned an average of 4.85% for the same period. Q. WHAT MARKET CONDITIONS IMPACTED THE FUND PERFORMANCE? A. In the past twelve months, skyrocketing energy prices have weighed on the stock market, and this concern intensified in the second half of the year, as two major hurricanes disrupted U.S. petroleum production. With crude oil above $60 a barrel, investors worried about the economy slowing. Against this backdrop, the Federal Reserve Board endeavored to dampen the inflationary effects of high energy costs, and tightened short rates at a measured pace throughout the year. Within the stock market, energy stocks remained strong (despite a 4th quarter pullback as commodity prices moderated), many cyclical stocks declined, and less cyclical stocks such as utilities and health care outperformed. Financials rallied late in the year, as the market contemplated an end to the Federal Reserve's tightening cycle. Large-cap stocks continued to lag the broad market, and Value stocks once again outperformed growth stocks - although the Russell 1000 Growth beat the Russell 1000 Value in the last three quarters of the year. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A. Our diversified large-cap strategy has been challenged in the past year's market environment where small and mid-cap names have led performance. In addition, the very [PHOTO OF DAVID CARLSON OMITTED] - -------------------------------------------------------------------------------- 1 GE S&S Program Mutual Fund - -------------------------------------------------------------------------------- Q&A highest quality companies, those rated A by Standard & Poor's, have underperformed B- and C-rated companies by -4.3% and -6.3% respectively. The lower quality companies that have led performance this year generally do not fit our selection criteria, creating a further headwind. However, over the 12-month period, large-cap companies with steady earnings growth prospects traded at a discount to their historic valuation ranges making them attractive long-term investments. The energy sector not only led the market's returns during the past 12-months, but also contributed most to the Fund's performance, led by Burlington Resources (+99%), EnCana (+69%) and Schlumberger (+47%). The Fund's basic materials holdings also outperformed, with copper and gold mining company, Freeport McMoran (+49%) and agricultural products innovator, Monsanto (+41%) contributing to sector strength. However, the Fund's technology, health care and financials holdings more than offset the strength in energy and materials. Underweighting high-flying consumer-oriented technology companies hurt the Fund's performance this year. Preferring the relatively steady returns offered by technology services companies, we overweighted names like First Data (+2%) that underperformed. We have also leaned towards tech companies that derive a majority of revenues from enterprise spending, a trend that had hurt the Fund's performance in 2005 but could help as consumer spending slows. In health care, our pharmaceutical holdings have lagged, including Abbott Labs (-13%) and Pfizer (-11%). We continued to like the dividend yields and attractive valuations among pharmaceutical companies, especially as we face the prospect of slowing earnings growth in the year ahead. In financials, Fannie Mae (-30%) contributed negatively in the midst of regulatory issues. Although we reduced our Fannie Mae position in light of the risks, we have met with company management over the past year and will continue to closely monitor Fannie Mae for changes to our investment thesis. Q. WERE THERE ANY SIGNIFICANT CHANGES TO THE FUND DURING THE PERIOD? A. Despite recent challenges, we remained highly committed to investing in high quality large-cap stocks with predictable and steady earnings growth. As energy prices have soared and interest rates have risen, we have increased our exposure to the less cyclical health care sector. Valuation compression in the markets has also given us the opportunity to increase our exposure to information technology, a sector with above-average earnings growth. Given a more financially challenged consumer, we have been cautious on consumer-related sectors, and favor industries with sustainable growth prospects (e.g., specialty retail), or where valuations have been compressed (e.g., media). We have gone from a market-weight to an underweight in financials, including reducing our position within Fannie Mae, a key detractor from this year's performance. We have also increased our weighting in the materials-space, which has benefited from high commodity costs. 2 GE S&S Program Mutual Fund - -------------------------------------------------------------------------------- Understanding Your Fund's Expenses As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchase 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 service 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, 2005. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2005 - DECEMBER 31, 2005 - --------------------------------------------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - --------------------------------------------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,039.79 0.37 - --------------------------------------------------------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,024.54 0.37 - --------------------------------------------------------------------------------------------------------------------- * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.07% (FROM PERIOD JULY 1, 2005 - DECEMBER 31, 2005), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/365 (TO REFLECT THE SIX-MONTH PERIOD). ** ACTUAL FUND RETURN FOR SIX-MONTH PERIOD ENDED DECEMBER 31, 2005 WAS: 3.98%.
3 GE S&S Program Mutual Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH OMITTED]
GE S&S Program Mutual Fund (ending value $24,848) S&P 500 Index (ending value $23,861) 12/95 $10,000.00 $10,000.00 12/96 12,305.19 12,311.39 12/97 16,375.09 16,409.82 12/98 20,268.72 21,119.11 12/99 24,269.62 25,568.45 12/00 24,284.85 23,220.38 12/01 22,163.85 20,454.37 12/02 17,973.44 15,933.57 12/03 22,245.28 20,510.99 12/04 24,136.31 22,742.86 12/05 24,847.82 23,861.46
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2005 - ------------------------------------------------ ONE FIVE TEN YEAR YEAR YEAR - ------------------------------------------------ GE S&S Program Mutual Fund 2.95% 0.46% 9.53% S&P 500 Index 4.92% 0.55% 9.09% INVESTMENT PROFILE A fund designed for investors who seek long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of U.S. companies. TOP TEN HOLDINGS AS OF DECEMBER 31, 2005 AS A % OF MARKET VALUE - ---------------------------------------- Microsoft Corp. 3.70% - ---------------------------------------- Exxon Mobil Corp. 3.18% - ---------------------------------------- Pfizer Inc. 2.64% - ---------------------------------------- First Data Corp. 2.52% - ---------------------------------------- Bank of America Corp. 2.44% - ---------------------------------------- Johnson & Johnson 2.27% - ---------------------------------------- PepsiCo, Inc. 2.08% - ---------------------------------------- Schlumberger Ltd. 1.89% - ---------------------------------------- Abbott Laboratories 1.87% - ---------------------------------------- Viacom Inc. (Class B) 1.82% - ---------------------------------------- - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON LARGE CAP CORE PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/05 ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: .............. 655 176 30 Number of Funds in peer group: .......... 890 619 229 Peer group average annual total return: . 4.85% (0.95%) 7.59% - -------------------------------------------------------------------------------- SEE NOTES TO PERFORMANCE ON PAGE 26 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 4 GE S&S PROGRAM MUTUAL FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- GE S&S PROGRAM MUTUAL FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $4,113,777 AS OF DECEMBER 31, 2005. [PIE CHART OMITTED] Information Technology 17.6% Financials 17.2% Healthcare 13.9% Consumer Discretionary 12.4% Industrials 9.9% Consumer Staples 9.0% Energy 9.0% Materials 4.3% Telecommunication Services 2.4% Utilities 2.2% Short-Term 2.1% - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 98.9% - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 12.5% Bed Bath & Beyond, Inc. ... 551,548 $ 19,938 (a) Cablevision Systems Corp. (Class A) .............. 254,019 5,962 (a) Carnival Corp. ............ 724,589 38,744 Comcast Corp. (Class A) ... 2,609,092 67,028 (a) Comcast Corp. (Class A) ... 15,779 410 (a) Discovery Holding Co. (Series A) ............. 217,888 3,301 (a,j) eBay, Inc. ................ 178,249 7,709 (a) Kohl's Corp. .............. 183,477 8,917 (a) Koninklijke Philips Electronics N.V. ADR ... 489,797 15,233 Liberty Global, Inc. (Series C) ............. 585,093 12,404 (a) Liberty Global, Inc. (Series A) ............. 456,492 10,271 (a) Liberty Media Corp. (Series A) ............. 6,009,870 47,298 (a) Lowe's Companies, Inc. .... 362,651 24,174 Marriott International Inc. (Class A) .............. 183,157 12,266 News Corp. (Class A) ...... 772,766 12,016 Omnicom Group, Inc. ....... 418,830 35,655 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Ross Stores, Inc. ......... 315,599 $ 9,121 Target Corp. .............. 683,445 37,569 (j) The Home Depot, Inc. ...... 1,110,229 44,942 Time Warner Inc. .......... 1,236,425 21,563 Viacom Inc. (Class B) ..... 2,296,677 74,872 509,393 CONSUMER STAPLES -- 9.1% Altria Group, Inc. ........ 36,997 2,764 Anheuser-Busch Companies, Inc. ........ 72,664 3,122 Clorox Co. ................ 975,152 55,476 Colgate-Palmolive Co. ..... 961,629 52,745 General Mills, Inc. ....... 217,656 10,735 Kellogg Co. ............... 730,190 31,559 (j) Kimberly-Clark Corp. ...... 362,889 21,646 (j) PepsiCo, Inc. ............. 1,451,438 85,751 Procter & Gamble Co. ...... 325,750 18,854 Sara Lee Corp. ............ 725,227 13,707 The Coca-Cola Co. ......... 1,646,518 66,371 Wal-Mart Stores, Inc. ..... 174,073 8,147 370,877 ENERGY -- 9.1% Amerada Hess Corp. ........ 184,788 23,435 Burlington Resources, Inc. 452,210 38,980 EnCana Corp. .............. 280,154 12,652 EOG Resources, Inc. ....... 145,042 10,642 Exxon Mobil Corp. ......... 2,329,243 130,834 Halliburton Co. ........... 795,893 49,313 Occidental Petroleum Corp. 326,450 26,077 Schlumberger Ltd. ......... 799,107 77,633 (j) 369,566 FINANCIALS -- 17.4% AFLAC Incorporated ........ 397,585 18,456 Allstate Corp. ............ 775,972 41,957 (j) American International Group, Inc. ............ 1,041,988 71,095 Bank of America Corp. ..... 2,177,969 100,513 Berkshire Hathaway, Inc. (Class B) .............. 6,282 18,441 (a) BlackRock, Inc. (Class A) . 61,715 6,695 (j) Chubb Corp. ............... 389,469 38,032 Citigroup, Inc. ........... 1,401,464 68,013 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 5 GE S&S PROGRAM MUTUAL FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. ......... 278,976 $ 18,231 Federal National Mortgage Assoc. ........ 851,220 41,548 HCC Insurance Holdings, Inc. 203,201 6,031 (j) JPMorgan Chase & Co. ...... 97,991 3,889 MBNA Corp. ................ 1,023,766 27,795 Mellon Financial Corp. .... 1,156,169 39,599 Merrill Lynch & Company, Inc. 595,927 40,362 Morgan Stanley ............ 512,210 29,063 Principal Financial Group . 174,951 8,298 Prudential Financial, Inc. 150,591 11,022 SLM Corp. ................. 188,808 10,401 State Street Corp. ........ 1,191,706 66,068 (e,j) SunTrust Banks, Inc. ...... 502,656 36,573 Wells Fargo & Co. ......... 108,869 6,840 708,922 HEALTHCARE -- 14.1% Abbott Laboratories ....... 1,946,174 76,738 Aetna, Inc. ............... 456,204 43,025 Amgen, Inc. ............... 635,788 50,138 (a) Boston Scientific Corp. ... 183,477 4,493 (a) Bristol-Myers Squibb Co. .. 72,716 1,671 Eli Lilly & Co. ........... 225,885 12,783 GlaxoSmithKline PLC ADR ... 394,660 19,922 HCA Inc. .................. 108,796 5,494 (j) Johnson & Johnson ......... 1,553,979 93,394 LIncare Holdings Inc. ..... 470,983 19,739 (a) Medco Health Solutions, Inc. 253,956 14,171 (a) Medtronic Inc. ............ 158,891 9,147 Novartis AG ADR ........... 210,404 11,042 Pfizer Inc. ............... 4,656,980 108,601 Smith & Nephew PLC ADR .... 100,912 4,677 (j) UnitedHealth Group Incorporated ........... 511,699 31,797 Wyeth ..................... 1,449,111 66,760 573,592 INDUSTRIALS -- 9.9% ABB Ltd. ADR .............. 979,035 9,516 (a) Burlington Northern Santa Fe Corp. ......... 190,219 13,471 Cooper Industries Ltd. .... 92,432 6,748 Corinthian Colleges, Inc. . 320,545 3,776 (a,j) - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Danaher Corp. ............. 370,235 $ 20,652 (j) Deere & Co. ............... 337,426 22,982 Dover Corp. ............... 1,289,026 52,193 Eaton Corp. ............... 760,974 51,054 (j) Emerson Electric Co. ...... 186,130 13,904 General Dynamics Corp. .... 104,097 11,872 Honeywell International Inc. 95,109 3,543 ITT Industries, Inc. ...... 154,199 15,855 Northrop Grumman Corp. .... 344,773 20,724 Rockwell Collins, Inc. .... 76,088 3,536 Southwest Airlines Co. .... 1,007,259 16,549 (j) Textron Inc. .............. 292,148 22,490 (j) 3M Co. .................... 59,443 4,607 Tyco International Ltd. ... 1,760,869 50,819 United Technologies Corp. . 968,957 54,174 Waste Management, Inc. .... 225,427 6,842 405,307 INFORMATION TECHNOLOGY -- 17.7% Activision, Inc. .......... 253,827 3,488 (a) Analog Devices, Inc. ...... 911,483 32,695 Applied Materials, Inc. ... 362,883 6,510 Automatic Data Processing, Inc. ....... 499,161 22,906 Certegy, Inc. ............. 199,536 8,093 (j) Checkfree Corp. ........... 108,885 4,998 (a) Cisco Systems, Inc. ....... 2,575,692 44,096 (a) Dell Inc. ................. 772,652 23,172 (a) EMC Corporation ........... 2,054,917 27,988 (a) First Data Corp. .......... 2,408,220 103,578 Hewlett-Packard Co. ....... 286,042 8,189 Intel Corp. ............... 1,955,582 48,811 International Business Machines Corp. ......... 406,361 33,403 Intuit Inc. ............... 927,632 49,443 (a,j) Linear Technology Corp. ... 311,314 11,229 Microsoft Corp. ........... 5,824,553 152,312 Molex Inc. (Class A) ...... 1,288,158 31,676 (j) Novell, Inc. .............. 475,548 4,199 (a,j) Novellus Systems, Inc. .... 571,620 13,787 (a) Oracle Corp. .............. 5,583,961 68,180 (a) Sun Microsystems, Inc. .... 1,355,312 5,679 (a) Xerox Corp. ............... 507,931 7,441 (a) Yahoo! Inc. ............... 264,233 10,353 (a) 722,226 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 6 GE S&S PROGRAM MUTUAL FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- MATERIALS -- 4.3% Air Products & Chemicals, Inc. 262,682 $ 15,548 (j) Alcan Inc. ................ 95,109 3,895 (j) Alcoa Inc. ................ 190,219 5,625 (j) Barrick Gold Corp. ........ 545,556 15,205 (j) Dow Chemical Co. .......... 263,088 11,528 Freeport-McMoRan Copper & Gold Inc. (Class B) .... 539,240 29,011 MeadWestvaco Corp. ........ 145,043 4,066 Monsanto Co. .............. 628,943 48,762 Newmont Mining Corp. ...... 376,148 20,086 Praxair, Inc. ............. 224,281 11,878 (j) Weyerhaeuser Co. .......... 147,420 9,780 175,384 TELECOMMUNICATION SERVICES -- 2.5% Alltel Corp. .............. 489,482 30,886 Sprint Corporation ........ 1,058,913 24,736 Verizon Communications Inc. 285,329 8,594 Vodafone Group PLC ADR .... 1,698,547 36,468 100,684 UTILITIES -- 2.3% American Electric Power Company, Inc. .......... 196,006 7,270 Constellation Energy Group, Inc. ............ 326,589 18,811 Dominion Resources, Inc. .. 201,860 15,584 Entergy Corp. ............. 180,708 12,406 PG&E Corp. ................ 545,227 20,239 PPL Corp. ................. 264,941 7,789 Southern Co. .............. 284,390 9,820 .......................... 91,919 TOTAL INVESTMENTS IN SECURITIES (COST $3,691,606) ...... 4,027,870 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 2.1% - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 1.0% State Street Corp. 3.90% dated 12/30/05, $42,023 to be received on 01/03/06, collateralized by $42,845 U.S. Treasury, 3.625%, maturing 06/30/07 ............... $42,005 $ 42,005 (e) NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- SHORT-TERM SECURITIES PURCHASED WITH COLLATERAL FROM SECURITIES ON LOAN -- 1.1% State Street Navigator Securities Lending Prime Portfolio 4.29% ..................... 43,902,324 43,902 (d,e) TOTAL SHORT-TERM INVESTMENTS (COST $85,907) ......... 85,907 TOTAL INVESTMENTS (COST $3,777,513) ...... 4,113,777 LIABILITIES IN EXCESS OF OTHER ASSETS, NET -- (1.0)% .......... (39,446) ---------- NET ASSETS-- 100.0% ....... $4,074,331 ========== - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 7 GE S&S Income Fund - -------------------------------------------------------------------------------- THE S&S INCOME FUND IS MANAGED BY A TEAM OF PORTFOLIO MANAGERS THAT INCLUDES ALFREDO CHANG, PAUL M. COLONNA (PICTURED BELOW), MARK DELANEY, ERIC H. GOULD, WILLIAM M. HEALEY AND VITA MARIE PIKE. AS LEAD PORTFOLIO MANAGER FOR THE INCOME FUND, MR. COLONNA (PICTURED BELOW) HAS OVERSIGHT AUTHORITY BUT DOES NOT POSSESS THE POWER TO VETO THE INVESTMENT DECISIONS OF HIS CO-MANAGERS. PAUL M. COLONNA IS A SENIOR VICE PRESIDENT OF GE ASSET MANAGEMENT. SINCE JANUARY 2005, HE HAS LED THE TEAM OF PORTFOLIO MANAGERS FOR THE FIXED INCOME INVESTMENTS FOR GE ASSET MANAGEMENT AND HE HAS LED THE TEAM OF PORTFOLIO MANAGERS FOR THE S&S INCOME FUND. 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. ALFREDO CHANG IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS BEEN A PORTFOLIO MANAGER OF THE S&S INCOME FUND SINCE MARCH 2005. MR. CHANG JOINED GE ASSET MANAGEMENT IN JULY 2002 AS A PORTFOLIO MANAGER AND WAS MADE RESPONSIBLE FOR THE EMERGING MARKET FIXED INCOME EFFORT AT GE ASSET MANAGEMENT IN NOVEMBER 2003. MR. CHANG WAS AN ASSISTANT PORTFOLIO MANAGER WITH GENWORTH FINANCIAL, FORMERLY KNOWN AS GE FINANCIAL ASSURANCE, AN AFFILIATE OF GE ASSET MANAGEMENT, FROM AUGUST 2000 UNTIL HE JOINED GE ASSET MANAGEMENT IN JULY 2002. PRIOR TO THAT HE OVERSAW OFFSHORE INVESTMENT PORTFOLIOS AT AIG GLOBAL INVESTMENT CORPORATION. MARK DELANEY IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS BEEN A MEMBER OF THE PORTFOLIO MANAGEMENT TEAM FOR THE S&S INCOME FUND SINCE JOINING GE ASSET MANAGEMENT IN APRIL 2002. PRIOR TO JOINING GE ASSET MANAGEMENT, MR. DELANEY WAS THE ASSISTANT INVESTMENT OFFICER FOR THE PUBLIC EMPLOYEES RETIREMENT SYSTEM OF OHIO. ERIC H. GOULD IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS BEEN A PORTFOLIO MANAGER FOR THE S&S INCOME FUND SINCE JOINING GE ASSET MANAGEMENT IN SEPTEMBER 2000. PRIOR TO JOINING GE ASSET MANAGEMENT, MR. GOULD WAS A SENIOR ASSET MANAGER FOR METROPOLITAN LIFE INSURANCE COMPANY. WILLIAM M. HEALEY IS A SENIOR VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS SERVED ON THE PORTFOLIO MANAGEMENT TEAMS FOR THE S&S 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. [PHOTO OF PAUL M. COLONNA OMITTED] - -------------------------------------------------------------------------------- 8 - -------------------------------------------------------------------------------- Q&A VITA MARIE PIKE IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. SHE HAS SERVED ON THE PORTFOLIO MANAGEMENT TEAM FOR THE S&S INCOME FUND SINCE JUNE 2004. 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. Q. HOW DID THE GE S&S INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2005? A. For the twelve-month period ended December 31, 2005, the GE S&S Income Fund returned 2.63%, outperforming both its benchmark, The Lehman Brothers Aggregate Bond Index, which returned 2.43%, and the Fund's Lipper peer group of 469 Intermediate Investment Grade Debt funds, which returned an average of 1.77% for the same period. Q. DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2005. A. Despite major problems announced by both General Motors and Ford in the spring, hurricanes hitting the gulf coast in early fall, and continued high energy prices, the U.S. economy maintained a robust pace of growth in 2005. Low interest rates and new affordability mortgage-products (e.g. interest-only, negative amortization) have helped home sales stay at lofty levels. Consumer health improved which supported spending, and business investment improved as well. Although still moderate by historical standards, inflation figures picked up slightly during the year, which kept the Federal Reserve Board steadfast in its goal of removing accommodation by raising rates. In 2005, the Federal Reserve Board met and raised its target fed funds rate 8 times, in increments of 25 basis points (bps) to 4.25%. As a result of the Federal Reserve's continued endorsement of higher rates, the yield on the 2-year treasuries increased 133 bps to 4.4%. Due to moderate inflation expectations and strong foreign buying, 10-year treasury yields rose only 17 bps to 4.39%. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A. The primary drivers of Fund's performance during the year were sector allocation and curve positioning. We favored non-index allocations to high yield and emerging market sectors and away from high-grade benchmark sectors, which we believe caused the Fund to outperform The Lehman Aggregate benchmark. The Fund's yield curve exposure was also positioned to take advantage of a flattening yield curve, which proved correct as the yield spread between 2-year and 10-year notes narrowed by 116 bps. Security selection in BBB-rated corporate securities also added value to the Fund. However, duration positioning throughout the year was detrimental to the Fund's performance. 9 GE S&S Income Fund - -------------------------------------------------------------------------------- Understanding Your Fund's Expenses As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchase 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 service 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, 2005. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2005 - DECEMBER 31, 2005 - --------------------------------------------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - --------------------------------------------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,001.91 0.70 - --------------------------------------------------------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,024.21 0.71 - --------------------------------------------------------------------------------------------------------------------- * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.14% (FROM PERIOD JULY 1, 2005 - DECEMBER 31, 2005), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/365 (TO REFLECT THE SIX-MONTH PERIOD). ** ACTUAL FUND RETURN FOR SIX-MONTH PERIOD ENDED DECEMBER 31, 2005 WAS: 0.19%.
10 GE S&S Income Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH OMITTED]
GE S&S Income Fund (ending value $18,160) LB Aggregate Bond Index (ending value $18,189) 12/95 $10,000.00 $10,000.00 12/96 10,422.73 10,363.06 12/97 11,416.60 11,363.50 12/98 12,386.33 12,350.60 12/99 12,271.98 12,249.16 12/00 13,632.77 13,673.26 12/01 14,758.61 14,827.75 12/02 16,297.07 16,348.34 12/03 16,995.83 17,019.36 12/04 17,695.88 17,757.79 12/05 18,160.43 18,189.04
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2005 - ------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - ------------------------------------------------- GE S&S Income Fund 2.63% 5.90% 6.15% LB Aggregate Bond Index 2.43% 5.87% 6.16% INVESTMENT PROFILE A fund designed for investors who seek a high interest rate of return over a long-term period consistent with the preservation of capital by investing at least 80% of its net assets in debt securities under normal market conditions. The Fund invests primarily in a variety of investment-grade debt securities, such as U.S. Government securities, mortgage-backed securities, corporate bonds and money market instruments. - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON INTERMEDIATE INVESTMENT GRADE DEBT PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/05 ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: ............. 38 68 19 Number of Funds in peer group: ......... 469 303 137 Peer group average annual total return: 1.77% 5.27% 5.35% - -------------------------------------------------------------------------------- QUALITY RATINGS AS OF DECEMBER 31, 2005 AS A % OF MARKET VALUE - ---------------------------------------- MOODY'S/S&P/ PERCENTAGE OF FITCH RATING+ MARKET VALUE - ---------------------------------------- Aaa / AAA 73.11% - ---------------------------------------- Aa / AA 2.69% - ---------------------------------------- A / A 8.09% - ---------------------------------------- Baa / BBB 7.55% - ---------------------------------------- Ba / BB and lower 8.56% - ---------------------------------------- + MOODY'S INVESTORS SERVICES, INC., STANDARD & POOR'S AND FITCH ARE NATIONALLY RECOGNIZED STATISTICAL RATING ORGANIZATIONS. SEE NOTES TO PERFORMANCE ON PAGE 26 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 11 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- GE S&S INCOME FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $3,313,103 AS OF DECEMBER 31, 2005. [PIE CHART OMITTED] Federal Agencies 3.6% Asset-Backed 46.3% Corporate Notes 25.3% U.S. Treasuries 16.7% Short-Term & Others 8.1% - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- BONDS AND NOTES -- 102.9% - -------------------------------------------------------------------------------- U.S. TREASURIES -- 21.7% U.S. Treasury Bonds 5.38% 02/15/31 ...... $ 26,020 $ 29,244(j) 7.13% 02/15/23 ...... 21,760 28,157(h,j) 8.13% 08/15/19 - 08/15/21 35,390 48,138(h,j) U.S. Treasury Inflation-Protected Securities 2.00% 01/15/14 ...... 11,468 11,412(h) 3.88% 04/15/29 ...... 2,302 3,112(h) U.S. Treasury Notes 4.13% 08/15/08 ...... 2,530 2,516(j) 4.25% 11/30/07 ...... 150,075 149,655(j) 4.38% 11/15/08 - 12/15/10 174,410 174,580(j) 4.50% 11/15/15 ...... 106,605 107,538(j) 554,352 FEDERAL AGENCIES -- 4.6% Federal Farm Credit Bank 3.75% 01/15/09 ...... 12,750 12,415(h) Federal Home Loan Bank 2.38% 02/15/06 ...... 34,410 34,319(h) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 3.63% 09/15/08 ...... $ 7,170 $ 6,982(j) 4.13% 07/12/10 ...... 31,860 31,055 4.75% 12/08/10 ...... 18,805 18,709(h) 6.75% 03/15/31 ...... 11,905 14,950(h) 118,430 AGENCY MORTGAGE BACKED -- 23.5% Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 10/01/35 11,669 10,981 5.00% 07/01/35 - 10/01/35 7,700 7,453 5.50% 05/01/20 ...... 1,673 1,683 6.00% 04/01/17 - 05/01/35 19,484 19,738 6.50% 01/01/27 - 12/01/34 10,420 10,682 7.00% 10/01/16 - 02/01/35 3,655 3,810 7.50% 11/01/09 - 09/01/33 2,545 2,642 8.00% 08/01/30 - 11/01/30 17 18 8.50% 04/01/30 - 05/01/30 62 66 9.00% 05/01/16 - 11/01/16 359 387 Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19 6,277 5,988 4.50% 05/01/18 - 02/01/35 54,078 52,010 5.00% 06/01/20 - 11/01/35 20,955 20,454 5.50% 01/01/14 - 08/01/35 40,219 40,226 6.00% 02/01/14 - 10/01/35 45,815 46,349 6.50% 01/01/14 - 02/01/35 52,253 53,561 7.00% 08/01/13 - 05/01/35 17,970 18,743 7.50% 12/01/09 - 03/01/34 7,093 7,409 8.00% 12/01/11 - 11/01/33 4,035 4,297 8.50% 04/01/30 - 05/01/31 408 442 9.00% 02/01/09 - 12/01/22 4,393 4,676 4.50% TBA ........... 2,970 2,889(c) 5.00% TBA ........... 153,865 151,003(c) 5.50% TBA ........... 86,505 85,640(c) Government National Mortgage Assoc. 4.13% 11/20/21 - 10/20/25 25 25(i) 4.38% 05/20/21 - 04/20/24 48 49(i) 4.50% 08/15/33 - 09/15/34 12,262 11,772 4.75% 08/20/23 - 09/20/24 32 32(i) 5.00% 08/15/33 ...... 2,889 2,851 6.00% 04/15/27 - 06/15/35 6,292 6,440 6.50% 04/15/19 - 08/15/34 9,011 9,390 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 12 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 7.00% 03/15/12 - 06/15/34 $ 4,663 $ 4,848 7.50% 11/15/22 - 10/15/33 1,527 1,608 8.00% 10/15/29 - 06/15/30 30 32 8.50% 10/15/17 ...... 1,145 1,241 9.00% 11/15/16 - 12/15/21 2,784 3,042 5.50% TBA ........... 7,200 7,243(c) 599,720 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.4% Collateralized Mortgage Obligation Trust (Class B) 5.78% 11/01/18 ...... 560 473(d,f,h) Federal Home Loan Mortgage Corp. 2.28% 10/15/18 - 12/15/30 29,218 1,701(g,h,i) 4.08% 10/15/33 ...... 3,215 2,307(i) 4.50% 04/15/13 - 03/15/19 19,827 1,894(g) 4.50% 05/15/17 - 11/15/19 6,800 6,530 5.00% 01/15/11 - 12/01/34 93,666 15,303(g) 5.00% 05/15/20 - 02/15/35 44,025 41,772(h) 5.03% 12/15/33 ...... 1,970 1,553(i) 5.50% 04/15/17 - 06/15/33 9,318 1,793(g) 5.50% 10/15/34 ...... 4,916 4,957 6.84% 06/15/33 ...... 8,329 8,077(i) 7.50% 01/15/16 ...... 964 1,007 7.50% 07/15/27 ...... 114 24(g) 8.00% 04/15/20 ...... 376 375 8.00% 02/01/23 - 07/01/24 334 81(g) 14.77% 09/25/43 ...... 33,018 367(d,g,i) Federal Home Loan Mortgage STRIPS 4.72% 08/01/27 ...... 79 66(d,f) Federal National Mortgage Assoc. 1.16% 12/25/42 ...... 6,268 150(g,i) 2.23% 06/25/43 ...... 30,475 1,543(g,i) 2.62% 10/25/29 ...... 7,257 433(g,i) 2.72% 12/25/30 ...... 9,772 486(g,i) 3.12% 05/25/18 ...... 2,867 208(g,i) 3.22% 09/25/42 ...... 22,836 1,884(g,i) 3.27% 04/25/17 - 10/25/17 16,239 1,188(g,i) 3.32% 08/25/16 ...... 5,192 290(g,i) 3.72% 06/25/42 ...... 6,965 570(g,i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 4.00% 02/25/28 ...... $ 513 $ 503 4.50% 05/25/18 ...... 3,263 328(g) 4.50% 12/25/19 ...... 2,375 2,243 4.75% 11/25/14 ...... 1,901 155(g) 5.00% 02/25/11 - 02/25/32 5,264 463(g) 5.00% 03/25/35 ...... 3,225 3,048 5.44% 09/25/31 ...... 4,622 4,357(i) 5.50% 01/25/27 ...... 4,392 531(g) 5.50% 07/25/34 - 02/25/35 10,059 10,130(h) 5.75% 02/25/35 ...... 4,975 5,058 6.00% 12/25/34 ...... 3,250 3,315 6.50% 12/25/34 ...... 2,413 2,509 8.00% 07/25/14 ...... 2,981 3,065 Federal National Mortgage Assoc. (Class 1) 4.21% 11/01/34 ...... 21,482 16,353(d,f) Federal National Mortgage Assoc. (Class S) 2.72% 02/25/31 ...... 7,079 345(g,i) Federal National Mortgage Assoc. REMIC 4.50% 11/25/13 ...... 8,833 413(g) 5.00% 10/25/22 ...... 3,105 472(g) 5.50% 08/25/33 ...... 11,557 2,673(g) 6.98% 03/25/31 ...... 7,070 6,973(i) Federal National Mortgage Assoc. REMIC (Class B) 4.43% 12/25/22 ...... 368 310(d,f) Federal National Mortgage Assoc. REMIC (Class J) 1080.91% 03/25/22 .... --* 6(g) Federal National Mortgage Assoc. REMIC (Class K) 1008.00% 05/25/22 ...... 1 16(g) Federal National Mortgage Assoc. STRIPS (Class 2) 7.50% 11/01/23 ...... 1,447 364(g) 8.00% 08/01/23 - 07/01/24 717 145(g) 8.50% 03/01/17 - 07/25/22 1,220 270(g) 9.00% 05/25/22 ...... 374 104(g) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 13 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Government National Mortgage Assoc. 5.00% 02/16/34 ...... $ 3,345 $ 3,175(h) Vendee Mortgage Trust 16.77% 05/15/33 ...... 21,765 667(d,g,i) 163,023 ASSET BACKED -- 6.8% Accredited Mortgage Loan Trust (Class A) 4.68% 07/25/34 ...... 2,033 2,036(h,i) AESOP Funding II LLC 4.49% 04/20/08 ...... 2,600 2,603(b,h,i) AESOP Funding II LLC (Class A) 4.49% 04/20/10 ...... 3,000 3,005(b,h,i) Bank One Issuance Trust 3.59% 05/17/10 ...... 1,080 1,059 Bear Stearns Asset Backed Securities Inc. (Class A) 4.75% 01/25/34 ...... 919 921(h,i) BMW Vehicle Owner Trust (Class B) 2.93% 03/25/09 ...... 2,500 2,471 Capital One Auto Finance Trust (Class A) 4.47% 03/15/11 ...... 4,000 4,002(i) Capital One Master Trust (Class C) 6.70% 06/15/11 ...... 2,344 2,438(b,h) Capital One Prime Auto Receivables Trust (Class A) 4.45% 09/17/07 ...... 866 866(i) Carmax Auto Owner Trust 4.35% 03/15/10 ...... 3,032 2,995 Centex Home Equity Co. LLC 4.55% 01/25/25 ...... 472 472(h,i) Chase Credit Card Master Trust (Class A) 4.48% 07/15/10 ...... 7,000 7,016(i) Chase Funding Mortgage Loan Asset-Backed Certificates 5.75% 05/25/32 ...... 429 407(h) Chase Issuance Trust 4.38% 12/15/10 ...... 10,000 10,001(i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust 4.45% 04/07/10 ...... $ 3,078 $ 3,035 4.57% 03/20/09 ...... 4,000 4,002(i) 4.75% 03/07/08 ...... 7,661 7,664(i) 4.85% 06/25/09 ...... 5,000 5,015(i) Citifinancial Mortgage Securities, Inc. 4.58% 04/25/34 ...... 108 108(h,i) CNH Equipment Trust 4.44% 07/15/08 ...... 846 846(b,h,i) 4.44% 10/15/08 ...... 3,000 3,001(h,i) CNH Equipment Trust (Class A) 4.53% 12/15/10 ...... 2,000 2,004(b,h,i) Countrywide Asset-Backed Certificates 4.90% 02/25/35 ...... 15,000 15,090(h,i) Countrywide Asset-Backed Certificates (Class A) 4.65% 05/25/36 ...... 1,974 1,977(h,i) 4.66% 08/25/32 ...... 421 421(h,i) 4.71% 04/25/32 ...... 259 259(h,i) 4.75% 08/25/34 ...... 649 650(h,i) Discover Card Master Trust I (Class A) 4.52% 09/15/08 ...... 2,000 2,001(i) First Franklin Mtg Loan Asset Backed Certificates 4.56% 12/31/49 ...... 5,000 5,000(h,i) 4.66% 01/25/35 ...... 3,000 3,006(h,i) 4.68% 01/25/35 ...... 2,324 2,329(h,i) First Franklin Mtg Loan Asset Backed Certificates (Class A) 4.66% 06/25/34 ...... 706 708(h,i) First Horizon Asset Back Trust (Class A) 4.60% 02/25/34 ...... 1,746 1,747(h,i) First National Master Note Trust (Class A) 4.48% 04/15/09 ...... 5,000 5,005(i) First USA Credit Card Master Trust (Class A) 4.51% 11/19/08 ...... 5,700 5,702(i) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 14 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Fleet Home Equity Loan Trust (Class A) 4.62% 01/20/33 ...... $ 3,317 $ 3,321(h,i) GMAC Mortgage Corp. Loan Trust (Class A) 4.48% 06/25/34 ...... 5,500 5,501(h,i) GSAA Trust 4.78% 05/25/34 ...... 1,390 1,391(h,i) Honda Auto Receivables Owner Trust (Class A) 4.15% 10/15/10 ...... 2,798 2,755 Household Automotive Trust (Class A) 4.67% 07/17/09 ...... 5,671 5,677(i) Long Beach Mortgage Loan Trust 4.84% 11/26/32 ...... 967 969(h,i) Metris Master Trust (Class A) 4.52% 10/20/10 ...... 10,000 10,004(i) Mid-State Trust 7.54% 07/01/35 ...... 1,115 1,163(h) Peco Energy Transition Trust 6.52% 12/31/10 ...... 2,219 2,361(h) Providian Gateway Master Trust (Class A) 4.67% 06/15/10 ...... 2,560 2,568(b,i) Residential Asset Mortgage Products, Inc. 4.62% 03/25/34 ...... 1,462 1,463(h,i) Residential Asset Mortgage Products, Inc. (Class A) 4.66% 06/25/32 ...... 284 285(h,i) Residential Asset Securities Corp. 4.63% 07/25/32 ...... 1,477 1,478(h,i) Residential Asset Securities Corp. (Class A) 4.16% 07/25/30 ...... 2,093 2,063(h,i) 4.67% 06/25/33 ...... 2,572 2,575(h,i) 4.70% 11/25/33 ...... 3,422 3,426(h,i) Saxon Asset Securities Trust 4.61% 05/25/35 ...... 3,169 3,171(h,i) SLM Student Loan Trust (Class A) 4.54% 06/15/18 ...... 1,737 1,738(h,i) Structured Asset Investment Loan Trust 4.61% 02/25/35 ...... 10,000 10,000(b,h,i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Volkswagen Auto Lease Trust (Class A) 3.94% 10/20/10 ...... $ 1,727 $ 1,700 Wells Fargo Home Equity Trust 3.97% 09/25/24 ...... 1,332 1,304(h,i) 174,775 CORPORATE NOTES -- 31.1% Abbey National PLC 7.95% 10/26/29 ...... 3,205 4,142 Adaro Finance B.V. 8.50% 12/08/10 ...... 2,690 2,710(b) AES Corp. 8.75% 06/15/08 ...... 5,630 5,911 AIG SunAmerica Global Financing VII 5.85% 08/01/08 ...... 3,330 3,400(b) Air Jamaica Ltd. 9.38% 07/08/15 ...... 2,810 2,789(b) Albertson's, Inc. 7.50% 02/15/11 ...... 1,700 1,748 Allegiance Corp. 7.00% 10/15/26 ...... 2,100 2,323 Allied Waste North America 7.25% 03/15/15 ...... 6,850 6,918 Allstate Life Global Funding Trusts 3.85% 01/25/08 ...... 3,740 3,665 Alltel Corp. 4.66% 05/17/07 ...... 4,360 4,340 ALROSA Finance S.A. 8.88% 11/17/14 ...... 3,045 3,490(b) Altria Group, Inc. 7.20% 02/01/07 ...... 2,675 2,733 America Movil S.A. de C.V. 6.38% 03/01/35 ...... 505 496 American Electric Power Company, Inc. 4.71% 08/16/07 ...... 2,845 2,827(k) American Electric Power Company, Inc. (Series D) 5.25% 06/01/15 ...... 2,155 2,149(h) American General Corp. 7.50% 08/11/10 ...... 1,855 2,026 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 15 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- American General Finance Corp. 4.88% 07/15/12 ...... $3,430 $ 3,356(h) ANZ Capital Trust 4.48% 12/31/49 ...... 3,280 3,174(b) Appalachian Power Co. (Series G) 3.60% 05/15/08 ...... 1,630 1,579 Appalachian Power Co. (Series K) 5.00% 06/01/17 ...... 2,135 2,047 Archer-Daniels-Midland Co. 5.38% 09/15/35 ...... 2,130 2,045 Assurant, Inc. 6.75% 02/15/34 ...... 3,025 3,312 AT&T Corp. 9.05% 11/15/11 ...... 5,310 5,877 AT&T, Inc. 4.13% 09/15/09 ...... 4,255 4,110 5.88% 08/15/12 ...... 2,130 2,196 6.15% 09/15/34 ...... 2,810 2,824 BAC CAP TRUST V 5.63% 03/08/35 ...... 3,200 3,133 Banco BMG S.A. 9.15% 01/15/16 ...... 2,760 2,725(b) Banco Mercantil del Norte S.A. 5.88% 02/17/14 ...... 4,400 4,367(b,i) Banco Santander Chile 5.38% 12/09/14 ...... 3,465 3,460(b) Barclays Bank PLC 7.38% 06/29/49 ...... 4,325 4,785(b,i) Bavaria S.A. 8.88% 11/01/10 ...... 2,245 2,439(b) 8.88% 11/01/10 ...... 1,685 1,843 BBVA Bancomer Capital Trust I 10.50% 02/16/11 ...... 3,735 3,754(b,h) BellSouth Corp. 6.55% 06/15/34 ...... 3,035 3,234 BNP US Funding LLC (Series A) 7.74% 12/31/49 ...... 1,710 1,790(b,i) BNSF Funding Trust I 6.61% 12/15/55 ...... 2,555 2,677(i) Boeing Co. 8.75% 09/15/31 ...... 1,290 1,865 BRE Properties Inc. (REIT) 5.95% 03/15/07 ...... 3,850 3,883 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- British Aerospace Finance, Inc. 7.50% 07/01/27 ...... $ 2,065 $ 2,449(b) Burlington Northern Santa Fe Corp. 8.13% 04/15/20 ...... 4,840 6,085 Campbell Soup Co. 5.50% 03/15/07 ...... 2,725 2,742 Capital One Bank 6.50% 06/13/13 ...... 1,325 1,406 Capital One Financial Corp. 8.75% 02/01/07 ...... 3,200 3,321 Carolina Power & Light Co. 5.15% 04/01/15 ...... 1,500 1,489 5.70% 04/01/35 ...... 815 815 6.13% 09/15/33 ...... 3,090 3,273 Case New Holland Inc. 6.00% 06/01/09 ...... 9,455 9,171(h) Centex Corp. 7.88% 02/01/11 ...... 2,280 2,498 Chesapeake Energy Corp. 7.75% 01/15/15 ...... 6,195 6,567 Citigroup, Inc. 6.63% 06/15/32 ...... 2,550 2,877 Clear Channel Communications, Inc. 4.63% 01/15/08 ...... 3,355 3,308 CNA Financial Corp. 5.85% 12/15/14 ...... 4,270 4,288 CNF Inc. 6.70% 05/01/34 ...... 470 492 Comcast Cable Communications Holdings, Inc. 9.46% 11/15/22 ...... 3,730 4,903 Consolidated Edison Company of New York 5.63% 07/01/12 ...... 4,075 4,217 Consolidated Natural Gas Co. 5.38% 11/01/06 ...... 4,315 4,327 Consumers Energy Co. 5.15% 02/15/17 ...... 2,060 1,969 5.80% 09/15/35 ...... 2,130 2,072 Corp Interamericana de Entretenimiento S.A. 8.88% 06/14/15 ...... 2,805 2,742(b) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 16 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Countrywide Home Loans, Inc. 5.63% 05/15/07 ...... $ 2,035 $ 2,050(h) COX Communications, Inc. 5.45% 12/15/14 ...... 3,235 3,155 Credit Suisse First Boston International 8.00% 11/06/15 ...... 2,805 2,895(b) Crown Americas LLC and Crown Americas Capital Corp. 7.75% 11/15/15 ...... 8,460 8,756(b) CSX Transportation, Inc. 9.75% 06/15/20 ...... 1,365 1,864 DaimlerChrysler NA Holding Corp. 4.05% 06/04/08 ...... 2,000 1,950 4.75% 01/15/08 ...... 2,000 1,984 6.50% 11/15/13 ...... 645 674 8.50% 01/18/31 ...... 2,130 2,580 DBS Bank Ltd. 5.00% 11/15/19 ...... 3,820 3,717(b,i) Desarrolladora Homex S.A. de C.V. (REIT) 7.50% 09/28/15 ...... 5,065 4,976(b) Detroit Edison Co. (Series B) 5.45% 02/15/35 ...... 3,470 3,279 Dex Media, Inc. 8.50% 08/15/10 ...... 8,450 8,851 DirecTV Holdings LLC 6.38% 06/15/15 ...... 6,300 6,158 Dominion Resources, Inc. (Series B) 4.13% 02/15/08 ...... 3,330 3,271 Dominion Resources, Inc. (Series G) 3.66% 11/15/06 ...... 3,195 3,157(k) Duke Capital LLC 4.30% 05/18/06 ...... 2,180 2,175 4.33% 11/16/06 ...... 3,645 3,620 5.67% 08/15/14 ...... 2,050 2,068 Echostar DBS Corp. 5.75% 10/01/08 ...... 9,120 8,938(h) El Paso Electric Co. 6.00% 05/15/35 ...... 3,210 3,213 Emmis Communications Corp. 10.37% 06/15/12 ...... 2,825 2,836(i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Enterprise Products Operating LP 4.00% 10/15/07 ...... $ 7,255 $ 7,103(h) EOP Operating LP (REIT) 7.75% 11/15/07 ...... 2,845 2,972 Evraz Group S.A. 8.25% 11/10/15 ...... 3,335 3,298(b) FirstEnergy Corp. (Series B) 6.45% 11/15/11 ...... 2,980 3,159 Flextronics International Ltd. 6.25% 11/15/14 ...... 9,460 9,330(h) Ford Motor Credit Co. 6.63% 06/16/08 ...... 5,425 4,923(h) FPL Group Capital, Inc. (Series B) 5.55% 02/16/08 ...... 3,630 3,661 Gaz Capital S.A. 8.63% 04/28/34 ...... 5,615 7,103(b) Genentech, Inc. 5.25% 07/15/35 ...... 1,515 1,447 General Mills, Inc. 3.88% 11/30/07 ...... 2,035 2,000 Georgia Power Co. 4.88% 07/15/07 ...... 3,565 3,568 Gerdau S.A. 8.88% 12/31/49 ...... 2,240 2,313(b) Goldman Sachs Group, Inc. 5.13% 01/15/15 ...... 6,390 6,311 Goodrich Corp. 7.10% 11/15/27 ...... 2,380 2,712 Greater Bay Bancorp 5.25% 03/31/08 ...... 2,715 2,717 Grupo Televisa S.A. 6.63% 03/18/25 ...... 3,260 3,317 Grupo Transportacion Ferroviaria Mexicana S.A. de C.V. 9.38% 05/01/12 ...... 1,740 1,905(b) GS Caltex Corp. 5.50% 10/15/15 ...... 3,245 3,236(b) GTE Corp. 6.94% 04/15/28 ...... 4,600 4,925 7.51% 04/01/09 ...... 2,125 2,257 Halliburton Co. 8.75% 02/15/21 ...... 1,945 2,559 Hertz Corp. 8.88% 01/01/14 ...... 2,720 2,771(b) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 17 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Hopson Development Holdings Ltd. 8.13% 11/09/12 ...... $ 2,750 $ 2,826(b) HSBC Bank USA NA 3.88% 09/15/09 ...... 6,695 6,458 HSBC Capital Funding LP 4.61% 12/29/49 ...... 3,400 3,207(b,i) HSBC Capital Funding LP (Series 1) 9.55% 12/31/49 ...... 3,380 3,956(b,i) HSBC Finance Corp. 6.50% 11/15/08 ...... 3,396 3,528 6.75% 05/15/11 ...... 6,565 7,032(h) IBM Canada Credit Services Company 3.75% 11/30/07 ...... 1,790 1,752(b) ILFC E-Capital Trust I 5.90% 12/21/65 ...... 3,245 3,258(b,i) ING Groep N.V. 5.78% 12/29/49 ...... 2,130 2,165(i) International Business Machines Corp. 3.80% 02/01/08 ...... 2,140 2,102 International Lease Finance Corp. 5.00% 04/15/10 ...... 3,210 3,193(h) iStar Financial, Inc. 4.88% 01/15/09 ...... 1,070 1,057 7.00% 03/15/08 ...... 2,040 2,106 Jefferson Smurfit Corp. US 7.50% 06/01/13 ...... 2,385 2,194 Kansas Gas & Electric 5.65% 03/29/21 ...... 1,705 1,676 Kimco Realty Corp. (REIT) 4.82% 06/01/14 ...... 2,135 2,058 Kinder Morgan Energy Partners LP 5.13% 11/15/14 ...... 2,540 2,484 Kinder Morgan, Inc. 6.50% 09/01/12 ...... 2,795 2,967 Kraft Foods, Inc. 5.25% 06/01/07 ...... 2,310 2,318 L-3 Communications Corp. 6.38% 10/15/15 ...... 3,380 3,372(b) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Laboratory Corp of America Holdings 5.63% 12/15/15 ...... $ 2,125 $ 2,152 Lyondell Chemical Co. (Series A) 9.63% 05/01/07 ...... 5,630 5,876 MacDermid, Inc. 9.13% 07/15/11 ...... 8,450 8,946 Marsh & McLennan Companies, Inc. 5.15% 09/15/10 ...... 3,200 3,176 Meritage Homes Corp. 6.25% 03/15/15 ...... 9,455 8,604(h) MGM Mirage 5.88% 02/27/14 ...... 9,725 9,287(h) Midamerican Energy Holdings Co. 3.50% 05/15/08 ...... 3,160 3,049 Mohegan Tribal Gaming Authority 8.00% 04/01/12 ...... 5,645 5,941 Morgan Stanley 4.75% 04/01/14 ...... 3,185 3,053 Morgan Stanley (Series F) 4.28% 01/18/08 ...... 9,000 9,008(i) Morgan Stanley Bank AG for OAO Gazprom 9.63% 03/01/13 ...... 2,700 3,240 Motorola, Inc. 4.61% 11/16/07 ...... 3,340 3,319 National Power Corp. 8.63% 08/23/11 ...... 2,110 2,267(b,i) Navistar International Corp. (Series B) 6.25% 03/01/12 ...... 9,725 8,704(h) NB Capital Trust IV 8.25% 04/15/27 ...... 4,160 4,460 Nell AF SARL 8.38% 08/15/15 ...... 2,800 2,772(b) Nelnet, Inc. 5.13% 06/01/10 ...... 2,800 2,738(h) New Cingular Wireless Services Inc. 8.75% 03/01/31 ...... 3,600 4,772 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 18 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- News America, Inc. 7.25% 05/18/18 ...... $ 1,915 $ 2,142 Nexstar Broadcasting Group, Inc. 7.00% 01/15/14 ...... 6,305 5,777 Nextel Communications, Inc. (Series D) 7.38% 08/01/15 ...... 5,340 5,635 Nordea Bank AB 5.42% 12/29/49 ...... 1,860 1,844(b,i) Norfolk Southern Corp. 6.00% 04/30/08 ...... 475 484 Norfolk Southern Railway Co. 9.75% 06/15/20 ...... 2,360 3,334 Northeast Utilities (Series B) 3.30% 06/01/08 ...... 2,105 2,017 Northrop Grumman Corp. 4.08% 11/16/06 ...... 5,245 5,204 NorthWestern Corp. 5.88% 11/01/14 ...... 2,190 2,194 Novelis Inc. 7.50% 02/15/15 ...... 6,300 5,875(b) Ocean Energy, Inc. 4.38% 10/01/07 ...... 1,410 1,395 Odyssey Re Holdings Corp. 7.65% 11/01/13 ...... 3,655 3,819 Ohio Power Co. (Series E) 6.60% 02/15/33 ...... 1,120 1,235 Owens Brockway Glass Container Inc. 6.75% 12/01/14 ...... 5,715 5,544 Pacific Gas & Electric Co. 6.05% 03/01/34 ...... 1,630 1,681 PanAmSat Corp. 9.00% 08/15/14 ...... 6,305 6,604 Pemex Finance Ltd. 9.03% 02/15/11 ...... 5,490 5,998 9.69% 08/15/09 ...... 4,961 5,346(h) Pemex Project Funding Master Trust 6.13% 08/15/08 ...... 3,145 3,214 7.38% 12/15/14 ...... 2,020 2,244(j) Pepco Holdings, Inc. 5.04% 06/01/10 ...... 3,250 3,264(i) 5.50% 08/15/07 ...... 3,385 3,410 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Potomac Edison Company 5.35% 11/15/14 ...... $ 1,520 $ 1,519 Procter & Gamble - Esop (Series A) 9.36% 01/01/21 ...... 4,800 6,175 Prudential Financial, Inc. 4.63% 06/13/08 ...... 5,000 5,005(i) Puget Energy, Inc. 3.36% 06/01/08 ...... 2,120 2,040 5.48% 06/01/35 ...... 2,135 2,071 Quest Diagnostics Inc. 6.75% 07/12/06 ...... 2,205 2,224 Qwest Corp. 7.63% 06/15/15 ...... 8,400 8,988(b,h) Rabobank Capital Funding II 5.26% 12/31/49 ...... 4,670 4,627(b,i) Rabobank Capital Funding Trust 5.25% 12/29/49 ...... 2,130 2,089(b,i) RBS Capital Trust I 5.51% 09/29/49 ...... 3,175 3,162(i) Reckson Operating Partnership LP (REIT) 5.88% 08/15/14 ...... 2,280 2,296 Residential Capital Corp. 6.13% 11/21/08 ...... 4,260 4,275 Road King Infrastructure Finance 2004 Ltd. 6.25% 07/15/11 ...... 2,750 2,745 Rogers Cable Inc. 5.50% 03/15/14 ...... 5,220 4,887 Royal Bank of Scotland Group PLC 7.65% 08/31/49 ...... 4,235 5,117(i) Royal Bank of Scotland Group PLC ADR 9.12% 03/31/49 ...... 2,600 2,979 SBC Communications, Inc. 5.10% 09/15/14 ...... 2,755 2,691 Simon Property Group LP (REIT) 4.60% 06/15/10 ...... 2,165 2,111 4.88% 08/15/10 ...... 3,870 3,814 Sinclair Broadcast Group, Inc. 8.00% 03/15/12 ...... 6,305 6,494 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 19 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Smithfield Foods Inc. 7.63% 02/15/08 ...... $ 5,650 $ 5,834 Sprint Capital Corp. 6.00% 01/15/07 ...... 5,330 5,380 8.38% 03/15/12 ...... 3,570 4,140 8.75% 03/15/32 ...... 7,015 9,280(h) St. Paul Travelers Companies, Inc. 5.50% 12/01/15 ...... 2,125 2,143 Standard Chartered Bank Hong Kong Ltd. 4.38% 12/03/14 ...... 2,010 2,010(i) State of Illinois 4.95% 06/01/23 ...... 1,015 992 5.10% 06/01/33 ...... 2,065 2,040 Stewart Enterprises, Inc. 7.75% 02/15/13 ...... 6,860 6,586(b,h) Sumitomo Mitsui Banking Corp. 5.63% 07/29/49 ...... 1,515 1,509(b,i) Telefonos de Mexico S.A. de C.V. 4.50% 11/19/08 ...... 1,225 1,202 5.50% 01/27/15 ...... 1,680 1,657 TELUS Corp. 7.50% 06/01/07 ...... 4,015 4,147 8.00% 06/01/11 ...... 2,140 2,403 Tesoro Corp. 6.25% 11/01/12 ...... 1,625 1,633(b) 6.63% 11/01/15 ...... 2,820 2,848(b) The Kroger Company 6.80% 12/15/18 ...... 2,085 2,226 Thomson Corp. 5.50% 08/15/35 ...... 2,125 2,067 Time Warner Entertainment Co. LP 8.38% 07/15/33 ...... 3,030 3,576 Toyota Motor Credit Corp. 4.44% 09/15/06 ...... 10,000 10,000(i) TXU Electric Delivery Co. 5.00% 09/01/07 ...... 2,180 2,176 6.38% 05/01/12 ...... 875 921 Tyson Foods, Inc. 7.25% 10/01/06 ...... 95 97 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- UBS Preferred Funding Trust I 8.62% 10/29/49 ...... $ 2,115 $ 2,418(i) UFJ Bank Ltd. 7.40% 06/15/11 ...... 3,285 3,621 UFJ Finance Aruba AEC 6.75% 07/15/13 ...... 2,055 2,240 Union Pacific Corp. 6.65% 01/15/11 ...... 2,200 2,358 United Rentals North America, Inc. 7.75% 11/15/13 ...... 6,575 6,411(h) United Utilities PLC 6.45% 04/01/08 ...... 2,215 2,279 Valero Energy Corp. 3.50% 04/01/09 ...... 3,465 3,305 Verizon 6.50% 09/15/11 ...... 2,140 2,206 Verizon Global Funding Corp. 7.75% 06/15/32 ...... 2,815 3,349 Verizon Pennsylvania Inc. 8.75% 08/15/31 ...... 2,125 2,610 Viacom, Inc. 5.63% 05/01/07 ...... 2,325 2,337 VTB Capital SA for Vneshtorgbank 5.25% 09/21/07 ...... 7,010 7,010(b,i) Wells Fargo & Co. 5.25% 12/01/07 ...... 805 811 Westar Energy, Inc. 5.15% 01/01/17 ...... 1,450 1,410 Westfield Capital Corporation Limited 4.38% 11/15/10 ...... 3,100 3,001(b) Westlake Chemical Corp. 8.75% 07/15/11 ...... 4,980 5,329 Weyerhaeuser Co. 6.13% 03/15/07 ...... 583 591 Wisconsin Electric Power 3.50% 12/01/07 ...... 2,565 2,499 XTO Energy, Inc. 7.50% 04/15/12 ...... 2,765 3,096 795,297 - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 20 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 7.3% Bank of America Alternative Loan Trust 6.50% 07/25/35 ...... $ 2,926 $ 2,983(h) Bear Stearns Commercial Mortgage Securities 6.02% 02/14/31 ...... 3,657 3,751(h) CalSTRS Trust 4.13% 11/20/12 ...... 5,926 5,839(b,h) CS First Boston Mortgage Securities Corp. 1.54% 03/15/35 ...... 77,715 3,567(b,h,i) 5.00% 07/15/37 ...... 56,634 1,763(b,d,h,i) CS First Boston Mortgage Securities Corp. (Class A) 4.51% 07/15/37 ...... 5,520 5,395(h) DLJ Commercial Mortgage Corp. 6.24% 11/12/31 ...... 7,703 7,933(h) First Union-Lehman Brothers- Bank of America 6.56% 11/18/35 ...... 3,493 3,589(h) GMAC Commercial Mortgage Securities, Inc. 6.42% 05/15/35 ...... 5,411 5,574(h) 6.47% 04/15/34 ...... 2,000 2,117(h) GMAC Commercial Mortgage Securities, Inc. (Class X) 5.00% 12/10/41 ...... 90,868 2,480(d,h,i) Granite Mortgages PLC (Class 1) 4.35% 01/20/43 ...... 1,670 1,672(h,i) Greenwich Capital Commercial Funding Corp. 5.12% 04/10/37 ...... 4,200 4,210(h) Homeside Mortgage Securities Trust (Class A) 4.36% 01/20/27 ...... 1,187 1,187(h,i) Impac CMB Trust 4.64% 04/25/35 ...... 5,406 5,408(h,i) Impac CMB Trust (Class 1) 4.74% 10/25/34 6,751 6,751(h,i) Impac CMB Trust (Class A) 4.76% 12/25/33 ...... 2,346 2,347(h,i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp. 1.16% 01/12/39 ...... $ 48,472 $ 2,002(b,h,i) 6.47% 11/15/35 ...... 5,391 5,750(h) LB-UBS Commercial Mortgage Trust 4.06% 09/15/27 ...... 6,696 6,508(h,i) 4.51% 12/15/29 ...... 3,039 2,949(h) 4.53% 01/15/36 ...... 23,597 1,674(b,d,h) 4.74% 03/15/34 ...... 13,793 212(b,d,h,i) 4.92% 01/18/12 ...... 78,606 2,580(d,h,i) 6.23% 03/15/26 ...... 3,000 3,104(h) 6.24% 01/15/36 ...... 29,334 807(b,d,h,i) 7.01% 02/15/40 ...... 53,001 1,141(b,d,h,i) 7.33% 03/15/36 ...... 88,297 2,559(b,d,h,i) LB-UBS Commercial Mortgage Trust (Class A) 6.13% 12/15/30 ...... 1,777 1,871(h) 6.65% 11/15/27 ...... 8,377 8,972(h) LB-UBS Commercial Mortgage Trust (Class B) 6.65% 07/14/16 ...... 750 800(b,h) LB-UBS Commercial Mortgage Trust (Class X) 7.20% 12/15/39 ...... 53,821 966(b,d,h,i) Lehman Brothers Floating Rate Commercial Mortgage Trust 4.63% 10/15/17 ...... 7,000 7,007(b,h,i) 4.68% 10/15/17 ...... 4,000 4,003(b,h,i) Master Alternative Loans Trust 5.00% 08/25/18 ...... 2,929 392(g,h) 6.50% 08/25/34 - 05/25/35 12,114 12,318(h) Master Alternative Loans Trust (Class 3) 6.50% 01/25/35 ...... 3,226 3,270(h) Morgan Stanley Capital I 7.11% 04/15/33 ...... 1,020 1,085(h) Morgan Stanley Dean Witter Capital I 4.57% 04/15/34 ...... 10,049 237(b,d,h,i) 4.81% 10/15/35 ...... 15,754 357(b,d,h,i) Morgan Stanley Dean Witter Capital I (Class A) 5.72% 12/18/32 ...... 99 101(h) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 21 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 6.39% 10/15/35 ...... $ 5,000 $ 5,324(h) 6.54% 02/15/31 ...... 1,045 1,080(h) MortgageIT Trust (Class A) 4.68% 08/25/35 ...... 7,217 7,215(h,i) Nomura Asset Securities Corp. (Class A) 6.59% 03/15/30 ...... 8,377 8,657(h) Opteum Mortgage Acceptance Corp. 4.68% 02/25/35 ...... 5,954 5,951(h,i) Puma Finance Ltd. (Class A) 4.68% 03/25/34 ...... 2,497 2,500(h,i) Residential Mortgage Securities 4.38% 08/10/30 ...... 4,709 4,709(b,h,i) Sequoia Mortgage Trust 4.63% 06/20/34 ...... 953 954(h,i) Structured Asset Securities Corp. (Class X) 2.05% 02/25/28 ...... 10,369 538(i) Wachovia Bank Commercial Mortgage Trust 5.22% 07/15/42 ...... 6,696 6,709(h,i) Washington Mutual Inc. 4.71% 01/25/45 ...... 3,913 3,918(h,i) 4.72% 01/25/45 ...... 3,207 3,213(h,i) 187,999 SOVEREIGN BONDS -- 1.5% Government of Bahamas 6.63% 05/15/33 ...... 2,575 2,984(b,h) Government of Brazil 8.75% 02/04/25 ...... 2,760 3,050 11.00% 08/17/40 ...... 5,630 7,257(j) Government of Colombia 6.14% 11/16/15 ...... 1,745 1,780(h,i) Government of Indonesia 7.50% 01/15/16 ...... 2,805 2,910(b,h) 8.50% 10/12/35 ...... 2,750 2,991(b) Government of Peru 7.35% 07/21/25 ...... 6,580 6,481 Government of Turkey 7.38% 02/05/25 ...... 2,690 2,777 11.88% 01/15/30 ...... 2,690 4,136 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Government of Vietnam 6.88% 01/15/16 ...... $ 2,750 $ 2,867(b,h) Province of Saskatchewan Canada 8.50% 07/15/22 ...... 1,105 1,522 38,755 TOTAL BONDS AND NOTES (COST $2,667,564) ..... 2,632,351 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- PREFERRED STOCK -- 0.2% - -------------------------------------------------------------------------------- Zurich Regcaps Funding Trust I (COST $4,409) ......... 4,270 4,297 (b) PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SECURITIES PURCHASED WITH COLLATERAL FROM SECURITIES ON LOAN -- 17.7% - -------------------------------------------------------------------------------- ASSET BACKED -- 12.5% AESOP Funding II LLC (Class A) 4.49% 04/20/10 ...... $5,000 5,008(b,h,i) American Express Credit Account Master Trust (Class A) 4.48% 10/15/10 ...... 4,000 4,010(i) 4.49% 12/15/08 ...... 4,250 4,252(i) Arran Master Trust (Class A) 4.46% 12/15/10 ...... 3,000 3,000(i) Bayview Financial Acquisition Trust (Class A) 4.83% 02/28/44 9,321 9,347(i) Capital Auto Receivables Asset Trust (Class A) 4.37% 03/15/07 ...... 2,500 2,500(i) 4.43% 04/15/08 ...... 5,000 5,002(i) Chase Credit Card Master Trust (Class A) 4.41% 09/15/09 ...... 3,000 3,001(i) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 22 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust 4.38% 12/15/10 ...... $ 4,500 $ 4,500(i) 4.45% 11/22/10 ...... 10,000 10,015(i) 4.57% 03/20/09 ...... 8,000 8,003(i) CNH Wholesale Master Note Trust (Class A) 4.48% 06/15/11 ...... 2,000 2,000(i) Countrywide Asset-Backed Certificates 4.39% 05/25/35 ...... 25,000 25,007(i) 4.47% 11/25/35 ...... 5,963 5,963(i) 4.59% 12/25/36 ...... 3,000 3,000(i) 4.81% 05/25/33 ...... 68 68(i) Countrywide Asset-Backed Certificates (Class 2) 4.68% 06/25/33 ...... 298 298(i) Countrywide Asset-Backed Certificates (Class A) 4.78% 03/25/33 ...... 891 893(i) Countrywide Home Equity Loan Trust (Class A) 4.61% 05/15/28 ...... 6,140 6,144(i) Discover Card Master Trust I (Class A) 4.39% 05/15/11 ...... 6,500 6,499(i) First Franklin Mortgage Loan Asset Backed Certificates 4.64% 11/25/36 ...... 3,000 3,000(i) First Horizon Asset Back Trust (Class A) 4.60% 02/25/34 ...... 2,095 2,096(h,i) First USA Credit Card Master Trust (Class A) 4.51% 11/19/08 ...... 7,000 7,002(i) Fleet Credit Card Master Trust II (Class A) 4.51% 04/15/10 ...... 8,000 8,016(i) Ford Credit Floorplan Master Owner Trust (Class A) 4.41% 07/15/09 ...... 35,000 34,960(i) Fremont Home Loan Trust 4.58% 04/25/35 ...... 8,000 8,003(i) GMAC Mortgage Corp. Loan Trust 4.47% 08/25/35 ...... 4,700 4,695(i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Gracechurch Card Funding PLC 4.38% 06/15/10 ...... $ 5,000 $ 5,001(i) Gracechurch Card Funding PLC (Class A) 4.40% 02/17/09 ...... 10,000 10,003(i) 4.48% 03/15/10 ...... 3,500 3,505(i) GSAA Trust 4.59% 01/25/36 ...... 10,000 10,000(i) Hertz Vehicle Financing LLC 4.47% 05/25/08 ...... 11,000 11,006(b,i) 4.52% 02/25/10 ...... 5,000 5,000(b,i) Indymac Residential Asset Backed Trust 4.54% 10/25/35 ...... 20,000 19,998(i) Long Beach Mortgage Loan Trust 4.50% 09/25/35 ...... 6,843 6,844(i) 4.65% 11/25/34 ...... 3,899 3,902(i) 4.66% 09/25/35 ...... 6,000 6,006(i) Meritage Mortgage Loan Trust 4.65% 07/25/64 ...... 10,000 10,010(i) Metris Master Trust (Class A) 4.47% 03/21/11 ...... 7,000 7,000(i) Option One Mortgage Loan Trust (Class A) 4.80% 02/25/33 ...... 480 481(i) Residential Asset Mortgage Products, Inc. 4.65% 12/25/33 ...... 10,000 10,014(i) Residential Asset Securities Corp. 4.63% 01/25/36 ...... 12,000 12,000(i) Residential Asset Securities Corp. (Class A) 4.67% 06/25/33 ...... 396 396(h,i) Residential Funding Mortgage Securities II Inc. (Class A) 4.59% 02/25/34 ...... 514 515(i) Saxon Asset Securities Trust 4.67% 08/25/35 ...... 1,017 1,018(i) Structured Asset Investment Loan Trust 4.55% 04/25/35 ...... 7,000 7,003(i) - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 23 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Structured Asset Securities Corp. 4.58% 02/25/35 ...... $10,000 $ 10,008(i) Wachovia Asset Securitization Inc. (Class A) 4.60% 06/25/34 ...... 2,956 2,958(i) 318,950 CORPORATE NOTES -- 1.7% Countrywide Financial Corp. 4.34% 11/03/06 ...... 10,000 9,998(i) 4.55% 09/13/06 ...... 9,000 8,991(i) Countrywide Home Loans, Inc. 4.64% 03/29/06 ...... 1,000 1,000(i) Marsh & McLennan Companies Inc. 4.27% 07/13/07 ...... 3,000 2,990(i) Toyota Motor Credit Corp. 4.44% 09/15/06 ...... 10,000 10,000(i) VTB Capital SA for Vneshtorgbank 5.25% 09/21/07 ...... 10,000 10,000(b,i) 42,979 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.5% Banc of America Large Loan 4.49% 06/15/18 ...... 5,827 5,826(b,i) 4.58% 03/15/08 ...... 10,000 9,997(b,i) Crusade Global Trust (Class A) 4.69% 09/18/34 ...... 2,334 2,340(i) Granite Master Issuer PLC 4.45% 12/20/54 ...... 9,000 9,009(i) 4.58% 12/20/24 ...... 13,000 13,015(i) GSAMP Trust 4.53% 12/25/35 ...... 12,500 12,500(i) Impac CMB Trust 4.95% 08/25/33 ...... 2,681 2,682(i) Impac CMB Trust (Class 1) 4.74% 10/25/34 ...... 8,167 8,167(h,i) Impac Secured Assets CMN Owner Trust 4.73% 03/25/36 ...... 7,000 7,000(i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Interstar Millennium Trust (Class A) 4.69% 03/14/36 ...... $ 1,569 $ 1,572(i) Medallion Trust (Class A) 4.41% 08/22/36 ...... 4,234 4,233(i) National RMBS Trust 4.61% 03/20/34 ...... 2,541 2,542(i) Thornburg Mortgage Securities Trust (Class A) 4.58% 10/25/35 ...... 4,300 4,300(i) 4.72% 04/25/43 ...... 1,424 1,430(i) Washington Mutual, Inc. 4.67% 07/25/44 ...... 5,195 5,206(i) 89,819 TOTAL SECURITIES PURCHASED WITH COLLATERAL FROM SECURITIES ON LOAN (COST $451,747*) ...... 451,748 TOTAL INVESTMENTS IN SECURITIES (COST $3,123,720) ..... 3,088,396 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 8.8% - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 4.6% GEI Short Term Investment Fund 4.42% .................... 116,214,793 116,215 (d,l) SHORT-TERM SECURITIES PURCHASED WITH COLLATERAL FROM SECURITIES ON LOAN -- 4.2% GEI Short Term Investment Fund 4.42% .................... 108,492,628 108,492 (d,l) TOTAL SHORT-TERM INVESTMENTS (COST $224,707) ....... 224,707 TOTAL INVESTMENTS (COST $3,348,427) ..... 3,313,103 LIABILITIES IN EXCESS OF OTHER ASSETS, NET -- (29.6)% ........ (755,792) ---------- NET ASSETS-- 100.0% ...... $2,557,311 ========== * $432,896 of the cost of these securities reflects the investment of cash collateral from securities on loan at December 31, 2005. - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 24 GE S&S INCOME FUND Schedule of Investments (dollars in thousands) -- December 31, 2005 - -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The S&S Income Fund had the following long futures contracts open at December 31, 2005: NUMBER CURRENT UNREALIZED EXPIRATION OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - -------------------------------------------------------------------------------- U.S. Treasury Notes 5 Yr. Futures March 2006 870 $92,519 (91) - -------------------------------------------------------------------------------- The Income Fund had the following short futures contracts open at December 31, 2005: NUMBER CURRENT UNREALIZED EXPIRATION OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - -------------------------------------------------------------------------------- U.S. Treasury Notes 10 Yr. Futures March 2006 315 $(34,463) 51 ----- $ (40) ===== - --------- See Notes to Schedules of Investments on page 27 and Notes to Financial Statements. 25 Notes to Performance (unaudited) - -------------------------------------------------------------------------------- Information on the preceding performance pages relating to the GE S&S Program Mutual Fund and GE S&S Income Fund (each a "Fund" and collectively the "Funds") one year total return is audited, all other information, including the portfolio manager Q&A pages, is unaudited. Total returns take into account changes in share price and assume reinvestment of dividends and capital gains distributions, if any. Investment returns and net asset value on an investment will fluctuate and you may have a gain or loss when you sell your shares. Shares of the Funds are neither insured nor guaranteed by the U.S. Government, and their prices will fluctuate with market conditions. The Standard & Poor's ("S&P") 500 Composite Index of stocks (S&P 500) and the Lehman Brothers Aggregate Bond Index (LB Aggregate) are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. S&P 500 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. LB Aggregate is a market value-weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The results shown for the foregoing indices assume the reinvestment of net dividends or interest and are unaudited. The peer universe of funds used in our peer ranking calculation is based on the blend of Lipper peer categories, as shown. This blend is the same as the category blend used by the Wall Street Journal. The actual number of funds and numerical rankings in the Lipper and Wall Street Journal universes could differ since the Wall Street Journal excludes certain funds, which do not meet their net asset or number of shareholder publication thresholds. Lipper 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's. Such comparisons or rankings are made on the basis of several factors, including the Fund's objectives and policies, management style and strategy, and portfolio composition, and may change over time if any of those factors change. 26 Notes to Schedules of Investments - -------------------------------------------------------------------------------- (dollars in thousands) -- December 31, 2005 (a) Non-income producing security. (b) Pursuant to Rule 144A of the Securities Act of 1933, as amended, these Securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2005, these securities amounted to $278,457 or 10.89% of net assets for the GE S&S Income Fund. These securities have been determined to be liquid using procedures established by the Board of Trustees. (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 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 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, 2005, 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, 2005. (j) All or a portion of the security is out on loan. (k) Step coupon bond. Security becomes interest bearing at a future date. (l) GEAM, the investment adviser of the Fund, also serves as investment adviser of the GEI Short Term Investment Fund. + Percentages are based on net assets as of December 31, 2005. * Principal amount is less than $500 (dollars not in thousands). ABBREVIATIONS: ADR -- American Depository Receipt REIT -- Real Estate Investment Trust REMIC -- Real Estate Mortgage Investment Conduit STRIPS -- Separate Trading of Registered Interest and Principal of Security TBA -- To Be Announced 27 Financial Highlights - -------------------------------------------------------------------------------- SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE YEARS INDICATED
GE S&S PROGRAM MUTUAL FUND 2005 2004 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year ............ $ 45.36 $ 42.94 $ 35.13 $ 44.03 $ 49.66 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income ...................... 0.74 0.79 0.52 0.54 0.53 Net realized and unrealized gains (losses) on investments ........... 0.63 2.86 7.82 (8.87) (4.86) - ------------------------------------------------------------------------------------------------------------------- TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ...................... 1.37 3.65 8.34 (8.33) (4.33) - ------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income ...................... 0.76 0.79 0.53 0.54 0.53 Net realized gains ......................... 3.12 0.44 -- 0.03 0.77 - ------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS ........................... 3.88 1.23 0.53 0.57 1.30 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR .................. $ 42.85 $ 45.36 $ 42.94 $ 35.13 $ 44.03 =================================================================================================================== TOTAL RETURN(A) ............................... 2.95% 8.50% 23.77% (18.91)% (8.73)% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (in thousands) .......................... $4,074,331 $4,154,143 $3,939,274 $3,161,490 $3,972,726 Ratios to average net assets: Net investment income ................... 1.60% 1.80% 1.38% 1.36% 1.14% Net expenses ............................ 0.09% 0.13% 0.18% 0.13% 0.16% Gross expenses .......................... 0.09% 0.13% 0.18% 0.13% 0.16% Portfolio turnover rate .................... 42% 28% 25% 32% 57% (a) TOTAL RETURNS ARE HISTORICAL AND ASSUME CHANGES IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AND ASSUME NO SALES CHARGE.
- --------- See Notes to Financial Statements. 28 Financial Highlights - -------------------------------------------------------------------------------- SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE YEARS INDICATED
GE S&S INCOME FUND 2005 2004 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year ......... $ 11.52 $ 11.70 $ 11.80 $ 11.25 $ 11.07 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss) ............ 0.55 0.47 0.47 0.55 0.69 Net realized and unrealized gains (losses) on investments ........ (0.26) 0.01 0.02 0.59 0.20 - ------------------------------------------------------------------------------------------------------------------- TOTAL INCOME FROM INVESTMENT OPERATIONS ................... 0.29 0.48 0.49 1.14 0.89 - ------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income ................... 0.54 0.47 0.49 0.59 0.71 Net realized gains ...................... 0.03 0.19 0.10 -- -- - ------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS ........................ 0.57 0.66 0.59 0.59 0.71 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR ............... $ 11.24 $ 11.52 $ 11.70 $ 11.80 $ 11.25 =================================================================================================================== TOTAL RETURN(A) ............................ 2.63% 4.12% 4.29% 10.42% 8.26% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....................... $2,557,311 $2,601,599 $2,614,617 $2,640,387 $2,444,416 Ratios to average net assets: Net investment income ................ 4.80% 4.02% 3.96% 4.83% 6.12% Net expenses ......................... 0.13% 0.14% 0.15% 0.13% 0.17% Gross expenses ....................... 0.13% 0.14% 0.15% 0.13% 0.17% Portfolio turnover rate ................. 323% 342% 335% 300% 231% (a) TOTAL RETURNS ARE HISTORICAL AND ASSUME CHANGES IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AND ASSUME NO SALES CHARGE.
- --------- See Notes to Financial Statements. 29 - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2005 (AMOUNTS IN THOUSANDS) - --------------------------------------------------------------------------------
GE S&S GE S&S PROGRAM MUTUAL FUND INCOME FUND - ----------------------------------------------------------------------------------------------------------------- ASSETS Investments in securities, at market* (cost $3,691,606 and 3,123,720, respectively) .............................. $4,027,870 $3,088,396 Short-term investments (at amortized cost) .................... 85,907 -- Short-term affiliated investments (at amortized cost) ......... -- 224,707 Receivable for investments sold ............................... -- 24,213 Income receivables ............................................ 4,519 25,011 Receivable for fund shares sold ............................... 1,186 9,505 Variation margin receivable ................................... -- 13 - ----------------------------------------------------------------------------------------------------------------- TOTAL ASSETS ............................................... 4,119,482 3,371,845 - ----------------------------------------------------------------------------------------------------------------- LIABILITIES Payable upon return of securities loaned ...................... 43,902 541,388 Payable for investments purchased ............................. -- 271,839 Payable for fund shares redeemed .............................. 342 133 Payable to GEAM ............................................... 907 1,174 - ----------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES .......................................... 45,151 814,534 - ----------------------------------------------------------------------------------------------------------------- NET ASSETS ....................................................... $4,074,331 $2,557,311 ================================================================================================================= NET ASSETS CONSIST OF: Capital paid in ............................................... 3,783,560 2,611,951 Undistributed (distribution in excess of) net investment income ..................................... -- 3,785 Accumulated net realized loss ................................. (45,493) (23,061) Net unrealized appreciation/(depreciation) on: Investments ............................................... 336,264 (35,324) Futures ................................................... -- (40) - ----------------------------------------------------------------------------------------------------------------- NET ASSETS ....................................................... $4,074,331 $2,557,311 - ----------------------------------------------------------------------------------------------------------------- Shares outstanding ($25.00 and $10.00 par value respectively; unlimited shares authorized) .................................. 95,076 227,459 Net asset value per share ........................................ $42.85 $11.24 * Includes $42,705 and $526,540 of securities on loan in the GE S&S Program Mutual Fund and GE S&S Income Fund, respectively.
- --------- See Notes to Financial Statements. 30 - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2005 (AMOUNTS IN THOUSANDS) - --------------------------------------------------------------------------------
GE S&S GE S&S PROGRAM MUTUAL FUND INCOME FUND - --------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME: Dividend ................................................... $ 67,051 $ 257 Interest* .................................................. 1,671 117,142 Interest from affliated investments** ...................... -- 9,102 Less: Foreign taxes withheld ............................... (207) -- - --------------------------------------------------------------------------------------------------------------- TOTAL INCOME .................................................. 68,515 126,501 - --------------------------------------------------------------------------------------------------------------- EXPENSES: Administration fees ........................................ 1,974 1,539 Transfer agent fees ........................................ 689 654 Shareholder servicing agent expenses ....................... 481 502 Custody and accounting expenses ............................ 148 291 Professional fees .......................................... 154 98 Registration, printing, filing and miscellaneous expenses .. 158 152 - --------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES BEFORE WAIVER AND REIMBURSEMENT ............. 3,604 3,236 Less: Fee reimbursement from transfer agent (Note 2) ....... (23) (22) - --------------------------------------------------------------------------------------------------------------- NET EXPENSES .............................................. 3,581 3,214 - --------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME ......................................... 64,934 123,287 =============================================================================================================== NET REALIZED AND UNREALIZED GAIN ( LOSS) ON INVESTMENTS REALIZED GAIN (LOSS) ON: Investments ................................................ 264,954 (16,126) Futures .................................................... -- (3,373) Written options ............................................ -- 333 Foreign currency related transactions ...................... -- (379) DECREASE IN UNREALIZED DEPRECIATION ON: Investments ................................................ (212,083) (34,831) Futures .................................................... -- (780) Written options ............................................ -- (327) Foreign currency related transactions ...................... -- (221) - --------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain/(loss) on investments ........ 52,871 (55,704) - --------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......... $ 117,805 $ 67,583 =============================================================================================================== * Income attributable to securities lending activity, net of rebate, for GE S&S Program Mutual Fund and GE S&S Income Fund was $116 and $1,693, respectively. ** Income attributable to securities lending activity, net of rebate, for GE S&S Income Fund was $1,158.
- --------- See Notes to Financial Statements. 31 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEARS ENDED DECEMBER 31, 2005 AND 2004 (AMOUNTS IN THOUSANDS) - --------------------------------------------------------------------------------
GE S&S GE S&S PROGRAM MUTUAL FUND INCOME FUND - ----------------------------------------------------------------------------------------------------------------- 2005 2004 2005 2004 - ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investments income ........................ $ 64,934 $ 70,785 $ 123,287 $ 103,074 Net realized gain (loss) on investments, futures, written options, foreign currency related transactions and swaps ..................... 264,954 158,300 (19,545) 41,087 Net increase (decrease) in unrealized appreciation/(depreciation) on investments, futures, written options, foreign currency related translations ....................... (212,083) 98,863 (36,159) (38,670) - ----------------------------------------------------------------------------------------------------------------- Net increase from operations .................. 117,805 327,948 67,583 105,491 - ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ......................... (66,492) (70,448) (122,793) (103,821) Net realized gains ............................ (272,873) (39,126) (7,208) (42,061) - ----------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS .............................. (339,365) (109,574) (130,001) (145,882) - ----------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations and distributions ............................. (221,560) 218,374 (62,418) (40,391) - ----------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: Proceeds from sale of shares .................. 193,508 209,251 153,934 145,939 Value of distributions reinvested ............. 313,372 100,741 123,221 139,059 Cost of shares redeemed ....................... (365,132) (313,497) (259,025) (257,625) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) from share transactions .. 141,748 (3,505) 18,130 27,373 - ----------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS .......... (79,812) 214,869 (44,288) (13,018) NET ASSETS Beginning of year ................................ 4,154,143 3,939,274 2,601,599 2,614,617 - ----------------------------------------------------------------------------------------------------------------- END OF YEAR ..................................... $4,074,331 $4,154,143 $2,557,311 $2,601,599 ================================================================================================================= UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME, END OF YEAR ............... $ -- $ 434 $ 3,785 $ 3,670 - ----------------------------------------------------------------------------------------------------------------- CHANGES IN FUND SHARES - ----------------------------------------------------------------------------------------------------------------- Shares sold by subscription ......................... 4,310 4,809 13,513 12,476 Issued for distributions reinvested ................. 7,257 2,222 10,827 11,970 Shares redeemed ..................................... (8,070) (7,201) (22,739) (21,984) - ----------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN FUND SHARES .............. 3,497 (170) 1,601 2,462 =================================================================================================================
- --------- See Notes to Financial Statements. 32 December 31, 2005 Notes to Financial Statements - -------------------------------------------------------------------------------- 1. ORGANIZATION OF THE FUNDS The GE S&S Program Mutual Fund and GE S&S Income Fund are registered under the Investment Company Act of 1940, as amended, (the "1940 Act") as open-end management investment companies. The Funds are two of the investment options offered under the GE Savings & Security Program (the "Program"). The Program, through a trust, owns 63% of the GE S&S Program Mutual Fund and 69% of the GE S&S Income Fund. 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) is the Funds' investment adviser and 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 requires management to make estimates and assumptions at the date of the financial statements. Actual results may differ from those estimates. The following summarizes the significant accounting policies of the Funds: SECURITY VALUATION AND TRANSACTIONS Securities for which exchange quotations are readily available are valued at the last sale price, or if no sales occurred on that day, at the last quoted bid price. Securities listed on the NASDAQ will be valued at the NASDAQ's official close price. Certain fixed income securities are valued by a dealer or by a pricing service based upon a matrix system, which considers market transactions as well as dealer supplied valuations. Short-term investments maturing within sixty days are valued at amortized cost. If quotations are not readily available for a portfolio security, or if it is believed that a quotation or other market 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 procedures require that the fair value of a security be established by the valuation committee. The fair value committee follows different protocols for different types of investments and circumstances. Foreign securities are 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 occuring after the close of the portfolio security's primary market and before the close of regular trading on the NYSE. This independent fair value pricing service uses a computerized system to appraise 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. GE Asset Management may also separately monitor portfolio securities and, consistent with the Funds' fair value procedures, apply a different value to a porfolio security than would be applied had it been priced using market quotations or by an independent fair value pricing service. Determining the fair value of securities involves the application of both subjective and objective considerations. Security values may differ depending on the methodology used to determine their values, and may differ from the last quoted sale or closing price. No assurance can be given that use of these fair value procedures will always better represent the price at which a Fund could sell the affected portfolio security. Security 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. 33 December 31, 2005 Notes to Financial Statements - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS Each of the Funds may enter into repurchase agreements. 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% 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. SECURITY LENDING Each of the Funds may loan securities to brokers, dealers, and financial institutions determined by GEAM to be creditworthy, subject to certain limitations. The Funds continue to receive the interest and dividends on the loaned securities during the term of the loan. The loans of securities are secured by collateral in the form of cash or other liquid assets, which are segregated and maintained with the custodian in an amount at least equal to 102% of the current market value of the loaned securities. During the term of the loan, the Funds will record any gain or loss in the market value of its loaned securities and of securities in which cash collateral is invested. A Fund will also earn interest, net of any rebate, from securities in which cash collateral is invested. In the event the counterparty (borrower) does not meet its contracted obligation to return the securities, the Funds may be exposed to the risk of loss of reacquiring the loaned securities at prevailing market prices using the proceeds of the sale of the collateral. 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 into U.S. dollars at the prevailing rates of exchange at year 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. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in market prices of securities during the year. Such fluctuations are included in 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 and paid, and gains or losses between the trade and settlement date on purchases and sales of securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions. FUTURES CONTRACTS The GE S&S Income Fund may invest in futures contracts subject to certain limitations. The Fund may invest in futures contracts to manage its 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. The Fund will not enter into a transaction involving futures for speculative purposes. The Fund's risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts' terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade. 34 December 31, 2005 Notes to Financial Statements - -------------------------------------------------------------------------------- Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract. OPTIONS The GE S&S Income Fund may purchase and write options, subject to certain limitations. The Fund may invest in options contracts to manage its 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 hedge other Fund investments. The Fund will not enter into a transaction involving options for speculative purposes. The Fund's risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts' terms and changes in the liquidity of the secondary market for the contracts. 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. SWAP CONTRACTS As part of its investment strategy, the GE S&S Income Fund may invest in swap agreements which are agreements to exchange the return generated by one instrument for the return generated by another instrument. Total return swap agreements involve commitments to pay interest in exchange for a market linked return based upon a notional principal amount. To the extent the total return of the security or index underlying the agreement exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Swaps are marked to market daily based upon the underlying security or index. Payments received or made are recorded as realized gain or loss in the Statement of Operations. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in the value of the index or securities underlying the agreement. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. WHEN-ISSUED SECURITIES AND FORWARD COMMITMENTS Each of the Funds may 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 35 December 31, 2005 Notes to Financial Statements - -------------------------------------------------------------------------------- and delivery scheduled a month or more after entering into the transactions. 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 contract. In connection with such purchases, the Funds maintain cash or liquid assets in an amount equal to purchase commitments for such underlying securities until settlement date and for sales commitments the 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 contracts 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 The GE S&S Income Fund may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage the Fund's 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 Fund's 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 Fund's risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contracts' terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of 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 is segregated so that the value of the account will equal the amount of the Fund's commitment with respect to the contract. INCOME TAXES (DOLLARS IN THOUSANDS) 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 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. At December 31, 2005, information on the tax components of capital is as follows:
NET TAX COST OF GROSS TAX GROSS TAX APPRECIATION/ INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION) FOR TAX PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS - ----------------------------------------------------------------------------------------------------------------------- GE S&S Program Mutual Fund $3,825,394 $495,206 $(206,823) $288,383 GE S&S Income Fund 3,349,275 20,474 (56,646) (36,172)
36 December 31, 2005 Notes to Financial Statements - --------------------------------------------------------------------------------
NET TAX APPRECIATION/ UNDISTRIBUTED POST (DEPRECIATION) ON LONG-TERM GAINS/ OCTOBER DERIVATIVES, CURRENCY UNDISTRIBUTED (ACCUMULATED LOSSES AND OTHER NET ASSETS INCOME CAPITAL LOSS) (SEE DETAIL BELOW) - ----------------------------------------------------------------------------------------------------------------------- GE S&S Program Mutual Fund $ -- $ -- $ 2,388 $ -- GE S&S Income Fund (1) 4,036 (15,435) (7,068)
As of December 31, 2005, 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 AMOUNT EXPIRES - -------------------------------------------------------------------------------- GE S&S Income Fund $15,435 12/31/13 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, 2005 as follows: FUND CAPITAL CURRENCY - -------------------------------------------------------------------------------- GE S&S Income Fund $6,821 $247 The tax composition of distributions paid (other than return of capital distributions for the year) during the year ended December 31, 2005 was as follows: ORDINARY LONG-TERM FUND INCOME CAPITAL GAINS TOTAL - -------------------------------------------------------------------------------- GE S&S Program Mutual Fund $ 73,724 $265,641 $339,365 GE S&S Income Fund 129,291 710 130,001 DISTRIBUTIONS TO SHAREHOLDERS GE S&S Income Fund declares investment income dividends daily and pays them monthly. The GE S&S Program Mutual Fund declares and pays dividends from investment income annually. The Funds declare and pay net realized capital gains in excess of capital loss carryforwards 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 gains and losses on foreign currency contracts. 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, 2005 were as follows: UNDISTRIBUTED ACCUMULATED NET NET PAID INVESTMENT REALIZED IN INCOME LOSS CAPITAL - -------------------------------------------------------------------------------- GE S&S Program Mutual Fund $1,124 $(1,124) $-- GE S&S Income Fund (379) 379 -- 37 December 31, 2005 Notes to Financial Statements - -------------------------------------------------------------------------------- INVESTMENT INCOME Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions, which are recorded as soon after ex-dividend date as such information becomes available. Interest income is recorded on the accrual basis. All discounts and premiums on bonds are accreted to call or maturity date, whichever is shorter, using the effective yield method. 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. TRANSFER AGENT CONVERSION EXPENSES On September 18, 2004, the Funds changed its Transfer Agent from Boston Financial Data Services (BFDS) to PFPC Inc. (PFPC). PFPC has agreed to pay for certain conversion expenses incurred by GEAM for the entire GEAM Mutual Fund complex. For the year ended December 31, 2005, PFPC paid $44,794 (dollars not in thousands) of those conversion expenses related to the Funds. 3. LINE OF CREDIT The Funds share a revolving credit facility of up to $25 million with a number of their affiliates. The credit facility is with their custodian bank, State Street Bank and Trust Company. The revolving credit facility requires the payment of a commitment fee equal to 0.09% 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. Generally, borrowings under the credit facility would accrue interest at the Federal Funds Rate plus 50 bps and is borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of its prospectus limitation, 20% of its net assets, or $25 million. The credit facility was not utilized by the Funds during the year ended December 31, 2005. 4. AMOUNTS PAID TO AFFILIATES ADVISORY AND ADMINISTRATION EXPENSES During 2005, the Funds incurred expenses for the cost of services rendered by GEAM as investment adviser and for services GEAM rendered as shareholder servicing agent. These expenses are included as advisory and administration expenses and shareholder servicing agent expense in the Statements of Operations. The Trustees received no compensation as trustees for the Funds. GENPACT (formerly, General Electric Capital International Services*) performs certain accounting and certain administration services not provided by GEAM. For the year ending December 31, 2005, $48,103 (dollars not in thousands) was charged to the GE S&S Program Mutual Fund and $33,253 (dollars not in thousands) was charged to the GE S&S Income Fund. Administrative services not performed by GEAM or GENPACT were provided by an unaffiliated service provider. *AS OF SEPTEMBER 28, 2005 THE NAME WAS CHANGED FROM GENERAL ELECTRIC CAPITAL INTERNATIONAL SERVICES TO GENPACT. 5. INVESTMENT TRANSACTIONS (DOLLARS IN THOUSANDS) PURCHASES AND SALES OF SECURITIES The cost of purchases and the proceeds from sales of investments, other than short-term securities and options, for the year ended December 31, 2005, were as follows: PURCHASES SALES - -------------------------------------------------------------------------------- GE S&S Program Mutual Fund $1,693,951 $1,822,319 GE S&S Income Fund 9,967,372 9,491,940 38 December 31, 2005 Notes to Financial Statements - -------------------------------------------------------------------------------- OPTIONS During the year ended December 31, 2005, the following option contracts were written: S&S INCOME FUND --------------------------- NUMBER OF CONTRACTS PREMIUM - ---------------------------------------------------- Balance as of December 31, 2004 2,136 $ 828 Written 13,367,938 1,709 Closed and Expired (13,370,074) (2,537) - ---------------------------------------------------- Balance as of December 31, 2005 -- $ -- - ---------------------------------------------------- SECURITY LENDING At December 31, 2005, the following Funds participated in securities lending: LOANED SECURITIES AT MARKET VALUE (INCLUDING CASH ACCRUED INTEREST) COLLATERAL* - ------------------------------------------------------ GE S&S Program Mutual Fund $ 42,705 $ 43,730 GE S&S Income Fund 530,082 541,388 * Collateral of $43,902 for GE S&S Program Mutual Fund, decreased by $172 on January 3, 2006 to reflect the December 30, 2005 change in value of securities on loan. 39 Report of Independent Registered Public Accounting Firm - -------------------------------------------------------------------------------- [LOGO OMITTED] KPMG THE SHAREHOLDERS AND BOARD OF TRUSTEES GE S&S FUNDS: We have audited the accompanying statements of assets and liabilities of GE S&S Program Mutual Fund and GE S&S Income Fund, including the schedules of investments, as of December 31, 2005, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the 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, 2005 by correspondence with the custodians 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 GE S&S Program Mutual Fund and GE S&S Income Fund, as of December 31, 2005, and the results of their operations, the changes in their net assets and their financial highlights for each of the years described above, in conformity with U.S. generally accepted accounting principles. /S/KPMG LLP Boston, Massachusetts February 9, 2006 40 Tax Information, unaudited - -------------------------------------------------------------------------------- For the year ended December 31, 2005 During the year ended December 31, 2005, the following Funds paid to shareholders of record on December 27, 2005, the following long-term capital gain dividends reported on Form 1099 for 2005: FUND PER SHARE AMOUNT -------------------------------------------------------- GE S&S Program Mutual Fund $3.03459 GE S&S Income $0.00316 For the year ended December 31, 2005, certain dividends paid by the fund may be subject to maximum income tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid from net investment income during the fiscal year, the following represent the amounts that may be considered qualified dividend income: QUALIFIED DIVIDEND FUND INCOME -------------------------------------------------------- GE S&S Program Mutual Fund $60,464,057 For corporate shareholders the following represent the amounts that may be eligible for the dividends received deduction: DIVIDENDS RECEIVED FUND DEDUCTION -------------------------------------------------------- GE S&S Program Mutual Fund 77.82% 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. 41 Advisory Agreement Renewal, unaudited - -------------------------------------------------------------------------------- The Board of Trustees of each Fund considered and unanimously approved the continuance of the investment advisory agreements with GE Asset Management Incorporated ("GEAM") at a meeting held on April 4, 2005. In considering whether to approve the Funds' investment advisory agreements, the Board members considered and discussed a substantial amount of information and analysis provided, at the Board's request, by GEAM personnel. In advance of the meeting, and in response to their request, the Board members received memoranda prepared by GEAM personnel, which 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 considered detailed information regarding performance and expenses of other investment companies with similar investment objectives and sizes, which was prepared by an independent third-party provider, Lipper Inc. ("Lipper"). The Board members reviewed the fees charged by GEAM for other mutual funds and investment products that employ the same investment strategies as the Funds. The Board members also reviewed materials discussing the legal standards for the consideration of the proposed continuances. Before approving the Funds' advisory agreements, the Board members reviewed and discussed the proposed continuance of the agreements with GEAM personnel, including representatives from the legal and compliance departments, senior members of each relevant investment group (e.g., equity, fixed income) and research personnel. During the meeting, the Board members also had an opportunity to hear 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. In reaching their determinations relating to continuance of the agreements with respect to each Fund, the Board members considered all factors they believed 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 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, selecting brokers and with respect to Fund administration, controllership and compliance activities; (iii) highly skilled professionals, including analysts, research professionals and portfolio managers with a depth of experience involving the types of Funds they oversee; (iv) access to significant technological resources from which the Funds may benefit; and (v) a favorable history and reputation. The Board members discussed the personnel changes made, and proposed to be made, by GEAM, and that GEAM would be expending significant sums to enhance services, including improvements to its information technology capabilities. The Board members noted that the Funds represent a proportionately smaller 42 Advisory Agreement Renewal, unaudited - -------------------------------------------------------------------------------- amount of the overall assets managed by GEAM, but benefit from a full array of services and resources provided by GEAM. In particular, the Board members discussed that the Funds benefit from a large staff of research analysts employed by GEAM. In light of the foregoing, the Board members concluded that the services provided by GEAM were of a high quality and had benefited the Funds. 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 indexes and peer groupings of mutual funds prepared by Lipper with respect to various periods. The Board members also engaged in discussions regarding the investment process for each Fund, the portfolio management and supporting research personnel, the investment style and approach employed for each Fund, the likely market cycles for the investment style, and, in some instances, relative underperformance in certain periods in light of GEAM's commitment to long-term satisfactory performance with respect to the Fund's investment objective and investment approach. The Board members concluded that the Funds' performance was acceptable over the relevant periods, particularly from a longer-term perspective, which the Board members believed was most relevant. COST OF THE SERVICES TO BE PROVIDED TO THE FUNDS. The Board members considered the cost of the services provided by GEAM. The Board members noted that, under the investment advisory agreement, GEAM is reimbursed for its reasonable costs incurred in providing the services contemplated by the agreement and for the reasonable costs incurred by its affiliate, GE Investment Distributors, Inc. ("GEID"), in providing services specified in its agreement with the Funds as unitholder servicing agent. 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 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 also noted that these charges may not 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 and consistent across 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 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 43 Advisory Agreement Renewal, unaudited - -------------------------------------------------------------------------------- services they provide to the Funds. The Board members also recognized the benefits to the Funds of being able to leverage a favorable cost structure achieved with respect to the Funds' other operating expenses as a result of GEAM's large overall base of assets under management and its vendor management practices. The Board members reviewed and concurred with information provided by GEAM personnel, which showed how significant Fund asset growth can reduce a Fund's operating expenses. 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 similar products. 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 to GEAM, 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 the Funds represent a proportionately smaller amount of the overall assets managed by GEAM. CONCLUSION. No single factor was determinative to the Board members' 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. 44 Additional Information, unaudited - -------------------------------------------------------------------------------- INFORMATION ABOUT TRUSTEES AND EXECUTIVE OFFICERS: The business and affairs of the Trust are managed under the direction of the Trust's Board of Trustees. Information pertaining to the Trustees and officers of the Trust is set forth below. INTERESTED TRUSTEES AND EXECUTIVE OFFICERS - -------------------------------------------------------------------------------- JOHN H. MYERS - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 60 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, Chief Executive Officer and Director of GEAM since 1997, Director of GEAM since 1988, and Executive Vice President of GEAM - Fixed Income and Alternative Investments from 1988-1996; President, Chief Executive Officer and Director of GEIC from 1997-2000 (when GEIC was merged into GEAM), Director of GEIC from 1987-2000, Executive Vice President - Fixed Income and Alternative Investments of GEIC from 1986-1996. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Hilton Hotels Corporation since 2000; Laffer Investments since 2000; The Pebble Beach Company since 1999; GE Capital Services, Inc. since 1997; Building with Books since 2000; The Pension Managers Advisory Committee of the New York Stock Exchange since 1997; The Warburg Pincus Advisory Board since 1995; He is also a Trustee of Wagner College and Trustee of Elfun Funds and General Electric Pension Trust since 1986. - -------------------------------------------------------------------------------- DAVID B. CARLSON - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 48 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 2 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, Domestic Equities of GEAM since September 2003, Senior Vice President, Domestic Equities of GEAM from 1989 to 2003. 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 2003. - -------------------------------------------------------------------------------- MICHAEL J. COSGROVE - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 56 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 18 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President, GE Asset Management Services division ("GEAMS") of GE Financial Assurance Holdings, Inc., an indirect wholly-owned subsidiary of General Electric Company ("GE"), since February 1997; 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 48 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 Elfun Funds and General Electric Pension Trust since 1988; Trustee of Fordham University since 2003 and Marymount College from 1994 through 2002. - -------------------------------------------------------------------------------- ALAN M. LEWIS - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 59 POSITION(S) HELD WITH FUND Trustee and Secretary TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 18 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, General Counsel and Secretary of GEAM since 1987 NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 48 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee and Executive Vice President of GE Funds since 1993 and GE Institutional Funds and GE LifeStyle Funds since 1997; Director of GE Investments Funds, Inc. since 2001; Trustee of Elfun Funds and General Electric Pension Trust since 1987. 45 Additional Information, unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- RALPH R. LAYMAN - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 50 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 14 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President - International Equity Investments of GEAM since 1993; 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 Elfun Funds and General Electric Pension Trust since 1993 - -------------------------------------------------------------------------------- ROBERT A. MACDOUGALL* - -------------------------------------------------------------------------------- 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 - 10 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President - Fixed Income and Director of GEAM since 1997; Executive Vice President - Fixed Income and Director of GEIC from 1997-2000 (when GEIC was merged into GEAM); Senior Vice President - Taxable Fixed Income of GEAM and GEIC from 1990-1996. 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 1997 - -------------------------------------------------------------------------------- DONALD W. TOREY - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 49 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 12 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Director of GEAM since 1993; Executive Vice President - Alternative Investments of GEAM since 1997; 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 Elfun Funds and General Electric Pension Trust since 1993 - -------------------------------------------------------------------------------- JOHN J. WALKER - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 52 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 6 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Chief Financial Officer of GEAM since 1999; 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 Elfun Funds and General Electric Pension Trust since 1999 * EFFECTIVE JANUARY 31, 2006, ROBERT A. MACDOUGALL RETIRED FROM ALL POSITIONS HELD WITH THE TRUST AND WITH GEAM. 46 Additional Information, unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- JUDITH A. STUDER - -------------------------------------------------------------------------------- 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 - 2 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Senior Vice President - International Equities of GEAM since 1995; Senior Vice President - Domestic Equities of GEAM from 1991-1995; Vice President of Domestic Equities from 1987-1991. 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 2004 47 INVESTMENT ADVISER GE Asset Management Incorporated PROGRAM TRUSTEES AND OFFICERS OF THE INVESTMENT ADVISER John H. Myers, TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET MANAGEMENT INCORPORATED David B. Carlson, TRUSTEE, EXECUTIVE VICE PRESIDENT, DOMESTIC EQUITIES Michael J. Cosgrove, TRUSTEE, EXECUTIVE VICE PRESIDENT, CHIEF COMMERCIAL OFFICER Ralph R. Layman, TRUSTEE, EXECUTIVE VICE PRESIDENT, INTERNATIONAL EQUITIES Alan M. Lewis, TRUSTEE, EXECUTIVE VICE PRESIDENT, GENERAL COUNSEL AND SECRETARY Robert A. MacDougall, TRUSTEE, EXECUTIVE VICE PRESIDENT, FIXED INCOME (RETIRED FROM ALL POSITIONS AS OF JANUARY 31, 2006) Donald W. Torey, TRUSTEE, EXECUTIVE VICE PRESIDENT, ALTERNATIVE INVESTMENTS AND REAL ESTATE John J. Walker, TRUSTEE, EXECUTIVE VICE PRESIDENT, CHIEF FINANCIAL OFFICER Judith A. Studer, TRUSTEE, SENIOR VICE PRESIDENT, INTERNATIONAL EQUITIES Kathryn D. Karlic, TRUSTEE, EXECUTIVE VICE PRESIDENT, FIXED INCOME (AS OF FEBRUARY 1, 2006) PORTFOLIO MANAGERS GE S&S PROGRAM MUTUAL FUND GE S&S INCOME FUND Team led by David B. Carlson Team led by Paul M. Colonna INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP CUSTODIAN State Street Bank & Trust Company SHAREHOLDER SERVICING AGENT Address all inquiries INSIDE the Program to: GE S&SP Transaction Processing Center P.O. Box 44079 Jacksonville, FL 32231-4079 Address all inquiries OUTSIDE the Program to: GE Funds c/o PFPC, Inc. P.O. Box 9838 Providence, RI 02940 48 Shareholder Services - -------------------------------------------------------------------------------- DAILY VALUE, YIELDS/PERFORMANCE: 1-800-843-3359 INSIDE THE SAVINGS & SECURITY PROGRAM Shares or units held INSIDE the Program have been credited to your account as a result of contributions and investment earnings. For a statement summarizing your account balance in the Program, please refer to Your Personal Share statement (a copy of which may be obtained at the web site listed below) or GE Savings and Security Program Annual Statement. You may obtain additional information and process account transactions on investments held INSIDE the Program by calling: GE S&SP TRANSACTION PROCESSING CENTER: 1-800-432-4313 OR VISIT BENEFITS.GE.COM OUTSIDE THE SAVINGS & SECURITY PROGRAM If shares of Program Mutual and Income Funds have been distributed to you from the Program, information on these investments may be obtained by calling: GE ASSET MANAGEMENT -- SHAREHOLDER SERVICES: 1-800-242-0134 OR VISIT WWW.GEFUNDS.COM 49 This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. Highly Rated S&S Funds - --------------------------------------------------------------------------------
MORNINGSTAR RATINGS(TM) THROUGH DECEMBER 31, 2005 - ------------------------------------------------------------------------------------------------------------------- FUND NUMBER OF STAR (CATEGORY) FUNDS IN CATEGORY RATING - ------------------------------------------------------------------------------------------------------------------- S&S PROGRAM MUTUAL -- (Large Blend) - ------------------------------------------------------------------------------------------------------------------- Overall 1490 [STAR] [STAR] [STAR] -------------------------------------------------------------------------------------------------------- 3 year 1490 [STAR] [STAR] -------------------------------------------------------------------------------------------------------- 5 year 1155 [STAR] [STAR] [STAR] -------------------------------------------------------------------------------------------------------- 10 year 408 [STAR] [STAR] [STAR] [STAR] - ------------------------------------------------------------------------------------------------------------------- S&S INCOME -- (Intermediate-Term Bond Fund) - ------------------------------------------------------------------------------------------------------------------- Overall 901 [STAR] [STAR] [STAR] [STAR] -------------------------------------------------------------------------------------------------------- 3 year 901 [STAR] [STAR] [STAR] -------------------------------------------------------------------------------------------------------- 5 year 691 [STAR] [STAR] [STAR] [STAR] -------------------------------------------------------------------------------------------------------- 10 year 351 [STAR] [STAR] [STAR] [STAR]
================================================================================ Morningstar is an independent fund rating company that seeks to provide a non-biased rating system used in making investment decisions. A fund is rated in its category on a scale of one to five stars through the evaluation of the historical balance of risk and adjusted return after 3 years of performance. Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund's monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top ten percent of the funds in each category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The ratings are subject to change every month. The overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten year (if applicable) Morningstar Rating metrics. Investment return and principal value of an investment will fluctuate and you may have a gain or loss when you sell your shares. Returns assume changes in share price and reinvestment of dividends and capital gains. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THIS DOES NOT CONSTITUTE A PART OF THE FUNDS' SHAREHOLDER REPORT GE S&S FUNDS 3001 SUMMER STREET STAMFORD, CT 06905 DISTRIBUTOR GE INVESTMENT DISTRIBUTORS INC. MEMBER NASD AND SIPC 3001 SUMMER STREET PO BOX 7900 STAMFORD, CT 06904-7900 WWW.GEFUNDS.COM - -------------------------------------------------------------------------------- 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.GEFUNDS.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.GEFUNDS.COM; and (ii) on the Commission's website at HTTP://WWW.SEC.GOV. - -------------------------------------------------------------------------------- [GE LOGO OMITTED] SS-2 (2/06) - -------------------------------------------------------------------------------- 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 both John R. Costantino and William J. Lucas are designated as audit committee financial experts for the Funds; and further that it is the finding of the Boards that Messrs. Costantino and Lucas, the audit committee financial experts, qualify as being 'independent' pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. 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 $19,213 in 2004 and $19,906 in 2005. (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 S&S 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. (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; (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 PARAGRAGHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during 2003 or 2004 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 $334,355 in 2004 and $159,743 in 2005. (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. The Registrant's audit committee members are: John R. Costantino, William J. Lucas and Robert P. Quinn. 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 John H. Myers and Scott Rhodes as principal executive officer and principal financial officer, respectively, as required by Rule 30a-2 under the Investment Company Act of 1940. 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. GENERAL ELECTRIC S&S PROGRAM MUTUAL FUND By: /S/John H. Myers John H. Myers TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET MANAGEMENT INCORPORATED Date: March 07, 2006 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/John H. Myers John H. Myers Chairman, S&S FUNDS Date: March 07, 2006 By: /S/SCOTT RHODES Scott Rhodes TREASURER, S&S FUNDS Date: March 07, 2006 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. EX-99.CERT 2 sspgmcsr302cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 SECTION 302 CERTIFICATIONS CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER I, John H. Myers, certify that: 1. I have reviewed this report on Form N-CSR of S&S Program Mutual Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries,is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision,to provide reasonable assurance regarding reliability of financial reporting and preparation of the financial statements for external purposes in accordance with generally accepted accounting principles. c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusion about the effectiveness of the disclosure controls and procedures as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during second fiscal quarter of the period covered by this report that has materially effected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably, likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: March 07, 2006 John H. Myers Trustee, President and Chief Executive Officer GE Asset Management Incorporated. SECTION 302 CERTIFICATIONS CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER I, Scott Rhodes, certify that: 1. I have reviewed this report on Form N-CSR of S&S Program Mutual Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision,to provide reasonable assurance regarding reliability of financial reporting and preparation of the financial statements for external purposes in accordance with generally accepted accounting principles. c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusion about the effectiveness of the disclosure controls and procedures as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during second fiscal quarter of the period covered by this report that has materially effected, or is reasonably likely to materially affect,the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably, likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: March 07, 2006 Scott Rhodes Treasurer, S&S Program Mutual Fund EX-99.906 CERT 3 ssprmcsr906cert.txt CERTIFICATIONS PURSUANT TO SECTION 906 Exhibit (b)(2) SECTION 906 CERTIFICATIONS In connection with this report on Form N-CSR for the Registrant as furnished to the Securities and Exchange Commission on the date hereof (the "Report"), the undersigned hereby certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that: (1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and (2) the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Registrant. By: John H. Myers Trustee, President and Chief Executive Officer GE Asset Management Incorporated Date: March 07, 2006 By: Scott Rhodes Treasurer, S&S Program Mutual Fund Date: March 07, 2006 [A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.] -----END PRIVACY-ENHANCED MESSAGE-----