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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05904
ELFUN MONEY MARKET FUND
(Exact name of registrant as specified in charter)
1600 SUMMER STREET, STAMFORD, CONNECTICUT 06905
(Address of principal executive offices) (Zip code)
GE ASSET MANAGEMENT, INC.
1600 SUMMER STREET, STAMFORD, CONNECTICUT 06905
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: 12/31
Date of reporting period: 12/31/11
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ITEM 1. | REPORTS TO STOCKHOLDERS. |
Table of Contents
Elfun Funds
Annual Report
December 31, 2011
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1 | ||||
Manager Reviews and Schedules of Investments | ||||
2 | ||||
10 | ||||
16 | ||||
42 | ||||
55 | ||||
72 | ||||
78 | ||||
80 | ||||
84 | ||||
86 | ||||
88 | ||||
90 | ||||
104 | ||||
105 | ||||
106 | ||||
109 | ||||
113 | ||||
116 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current summary prospectus or prospectus.
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Information on the following performance pages relates to the Elfun Funds.
Total returns take into account changes in share price and assume reinvestment of all dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free 800-242-0134 or visit the Funds’ website at http://www.geam.com for the most recent month-end performance data.
A portion of the Elfun Tax-Exempt Income Fund’s income may be subject to state, federal and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
The Standard & Poor’s (“S&P”) 500® Composite Price Index of stocks (S&P 500 Index), Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE® Index), Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital U.S. Municipal Bond Index, and the 90 Day U.S. T-Bill are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect the fees, expenses or taxes.
S&P 500 Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap stock market performance. MSCI® EAFE® Index is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based
investors. Barclays Capital U.S. Aggregate Bond Index is a market value-weighted index of taxable investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first-rate bond market. Barclays Capital U.S. Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed rate securities with maturities of at least eight years and less than twelve years.
The 90 Day U.S. T-Bill is an unmanaged measure/index of the performance of the most recently auctioned 90 Day U.S. Treasury bills (i.e. having a total maturity of 90 days) currently available in the marketplace.
The peer universe of underlying funds used for the peer group average annual total return calculation is based on the blend of Morningstar peer categories, as shown. Morningstar is an independent mutual fund rating service. A Fund’s performance may be compared to or ranked within a universe of mutual funds with investment objectives and policies similar but not necessarily identical to the Fund.
©2012 Morningstar, Inc. All Rights Reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damage or losses relating from any use of this information. Past performance is no guarantee of future results.
The views, expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
GE Investment Distributors, Inc., member of FINRA, is the principal underwriter and distributor of the Elfun Funds and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Funds.
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Ralph R. Layman
President and
Chief Investment Officer – Public Equities
The Elfun International Equity Fund is managed by a team of portfolio managers that includes Brian Hopkinson, Ralph R. Layman (pictured to the left), Paul Nestro, Jonathan L. Passmore, and Michael J. Solecki. As lead portfolio manager for the Fund, Mr. Layman oversees the entire team and assigns a portion of the Fund to each manager, including himself. Each portfolio manager is limited to the management of his or her portion of the Fund, the size of the portion which Mr. Layman determines on an annual basis. The portfolio managers do not operate independently of each other, rather, the team operates collaboratively, communicating purchases or sales of securities on behalf of the Fund. See portfolio managers’ biographical information beginning on page 113.
Q. | How did the Elfun International Equity Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2011? |
A. | For the twelve-month period ended December 31, 2011, the Elfun International Equity Fund returned -16.02%. The MSCI EAFE Index, the Fund’s benchmark, returned -12.14% and the Fund’s Morningstar peer group of 817 Foreign Large Blend Funds returned an average of -13.90% over the same period. |
Q. | What factors affected the Fund’s performance? |
A. | Macro-economic and geopolitical issues dominated sentiment for much of the year. The European sovereign debt crisis was a constant influence but had a harsher, |
negative impact during the third quarter when the crisis moved from Greece to concerns that Italy, a much more indebted country, might struggle to roll over its debt. In addition, aggressive austerity measures introduced by European countries, while fiscally responsible, increased the risk of recession. Meanwhile, accelerating fears that China may experience an economic “hard-landing” added to the negative market sentiment. For much of the year, strong corporate results acted as a counter to the negative news, but in the third quarter, the weight of that news took stocks sharply lower before recovering slightly toward the end of the year. |
Q. | What were the primary drivers of Fund performance? |
A. | Despite being underweight, even modest positions in BNP Paribas (France), Lloyds Banking Group (UK) and Unicredit (Italy) had a disproportionately negative impact on the Fund’s performance due to the European debt crisis. In the energy sector, the Fund’s holding in Paladin, an Australian uranium miner, fell sharply after the Japanese earthquake/tsunami destroyed several nuclear reactors. From an allocation perspective, the underweight in healthcare and the Pacific Rim region were negative while the Fund’s underweight in Japan and overweight in the U.K. were positive. The Fund’s overweight in emerging markets had a negative impact. Stocks in the information technology sector were the |
2
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top positive contributors, including Samsung Electronics, Taiwan Semiconductor and UK-based Autonomy, which was bought out by Hewlett Packard in an all-cash transaction. |
Q. | Were there any significant changes to the Fund during the period? |
A. | The Fund’s underweight in consumer discretionary stocks was reduced with the addition of WPP (advertising), LVMH (luxury goods) and autos. The Fund’s underweight in healthcare was increased with the elimination of Roche Holdings. The Fund’s overweights in industrials and materials were reduced as more cyclical stocks screened less well in a deteriorating economic environment; but IT holdings were increased selectively through the addition of Hexagon (measuring software) and SAP (enterprise software). Cash increased by year-end to approximately 2.5%. |
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Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2011.
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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any.
July 1, 2011 – December 31, 2011
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | ||||||||||
Actual Fund Return** | 1,000.00 | 806.60 | 1.37 | |||||||||
Hypothetical 5% Return | 1,000.00 | 1,023.69 | 1.53 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.30% (for the period July 1, 2011 - December 31, 2011), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Actual Fund Return for the six-month period ended December 31, 2011 was: -19.34%. Past performance does not guarantee future results. |
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Investment Profile
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks its objective by investing principally in foreign securities consistent with prudent investment management and the preservation of capital. The Fund invests at least 80% of its net assets under normal circumstances in equity securities, such as common stock and preferred stocks and invests primarily (meaning at least 65%) in companies in both developed and emerging market countries outside the United States.
Top Ten Largest Holdings
as of December 31, 2011 as a % of Fair Value(b)(c)
Royal Dutch Shell PLC | 3.66% | |||
Nestle S.A. | 2.86% | |||
HSBC Holdings PLC | 2.39% | |||
Samsung Electronics Company Ltd. | 2.31% | |||
Linde AG | 2.29% | |||
Novartis AG | 2.18% | |||
Diageo PLC | 2.14% | |||
Vodafone Group PLC | 2.10% | |||
Suzuki Motor Corp. | 2.01% | |||
BHP Billiton PLC | 1.99% |
Sector Allocation
as a % of the Fair Value of $239,314 (in thousands) as of December 31, 2011.(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended 12/31/11
One | Five | Ten | ||||||||||
Number of funds in peer group | 817 | 567 | 317 | |||||||||
Peer group average annual total return | -13.90 | % | -4.75 | % | 3.91 | % | ||||||
Morningstar category in peer group: Foreign Large Blend |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2011
(Inception date: 01/01/88) | ||||||||||||||||
One | Five | Ten | Ending value of a | |||||||||||||
Elfun International Equity Fund | -16.02% | -4.75% | 4.54% | $15,594 | ||||||||||||
MSCI® EAFE® Index | -12.14% | -4.72% | 4.67% | $15,780 |
(a) | Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
(c) | Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
See Notes to Performance on page 1 for further information.
Past performance does not predict future performance. The performance shown on the graph and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
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Elfun International Equity Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Common Stock — 95.0%† |
| |||||||||
Australia — 1.8% | ||||||||||
Brambles Ltd. | 377,759 | $ | 2,773 | |||||||
Lynas Corporation Ltd. | 1,488,156 | 1,594 | (a) | |||||||
4,367 | ||||||||||
Brazil — 1.6% | ||||||||||
Petroleo Brasileiro S.A. ADR | 109,123 | 2,563 | ||||||||
Vale S.A. ADR | 60,806 | 1,253 | ||||||||
3,816 | ||||||||||
Canada — 4.1% | ||||||||||
Canadian Natural Resources Ltd. | 48,800 | 1,828 | ||||||||
Kinross Gold Corp. | 195,783 | 2,236 | ||||||||
Potash Corporation of Saskatchewan Inc. | 84,517 | 3,495 | ||||||||
Suncor Energy Inc. | 82,936 | 2,393 | ||||||||
9,952 | ||||||||||
China — 1.7% | ||||||||||
Baidu Inc. ADR | 25,232 | 2,939 | (a) | |||||||
Bank of China Ltd. | 3,320,976 | 1,227 | ||||||||
4,166 | ||||||||||
Denmark — 0.3% | ||||||||||
Carlsberg A/S | 11,097 | 785 | ||||||||
France — 10.0% | ||||||||||
Accor S.A. | 6,225 | 158 | ||||||||
AXA S.A. | 162,152 | 2,114 | ||||||||
BNP Paribas S.A. | 84,510 | 3,330 | ||||||||
Cap Gemini S.A. | 53,058 | 1,663 | ||||||||
Cie Generale d’Optique Essilor International S.A. | 53,656 | 3,800 | ||||||||
European Aeronautic Defence and Space Company N.V. | 36,736 | 1,152 | ||||||||
LVMH Moet Hennessy Louis Vuitton S.A. | 14,182 | 2,014 | ||||||||
Safran S.A. | 125,887 | 3,792 | ||||||||
Schneider Electric S.A. | 14,852 | 784 | ||||||||
Total S.A. | 24,882 | 1,276 | ||||||||
Vallourec S.A. | 35,389 | 2,304 |
Number of Shares | Fair Value | |||||||||
VInci S.A. | 39,909 | $ | 1,749 | |||||||
24,136 | ||||||||||
Germany — 9.9% | ||||||||||
Adidas AG | 32,919 | 2,148 | ||||||||
Bayer AG | 36,292 | 2,327 | (a) | |||||||
Daimler AG | 12,154 | 535 | ||||||||
Deutsche Boerse AG | 23,759 | 1,249 | (a) | |||||||
Fresenius SE & Company KGAA | 34,977 | 3,246 | ||||||||
Linde AG | 36,705 | 5,477 | ||||||||
Metro AG | 25,090 | 918 | ||||||||
SAP AG | 59,399 | 3,150 | ||||||||
Siemens AG | 35,724 | 3,429 | ||||||||
ThyssenKrupp AG | 56,454 | 1,299 | ||||||||
23,778 | ||||||||||
Hong Kong — 2.9% | ||||||||||
AIA Group Ltd. | 1,075,843 | 3,359 | ||||||||
Hutchison Whampoa Ltd. | 264,147 | 2,221 | ||||||||
Wharf Holdings Ltd. | 324,043 | 1,469 | ||||||||
7,049 | ||||||||||
India — 1.1% | ||||||||||
ICICI Bank Ltd. | 85,025 | 1,095 | ||||||||
Larsen & Toubro Ltd. | 48,435 | 908 | ||||||||
Power Grid Corporation of India Ltd. | 376,651 | 710 | ||||||||
2,713 | ||||||||||
Ireland — 1.0% | ||||||||||
WPP PLC | 219,447 | 2,304 | ||||||||
Italy — 0.4% | ||||||||||
ENI S.p.A | 41,856 | 870 | ||||||||
Japan — 12.3% | ||||||||||
Daikin Industries Ltd. | 68,200 | 1,869 | ||||||||
FANUC Corp. | 21,300 | 3,261 | ||||||||
Mitsubishi Corp. | 129,000 | 2,607 | ||||||||
Mitsubishi Heavy Industries Ltd. | 205,000 | 874 | ||||||||
SMC Corp. | 12,400 | 2,002 | ||||||||
Softbank Corp. | 105,299 | 3,103 | ||||||||
Sony Financial Holdings Inc. | 147,100 | 2,168 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun International Equity Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Sumitomo Realty & Development Company Ltd. (REIT) | 104,000 | $ | 1,822 | |||||||
Suzuki Motor Corp. | 232,631 | 4,813 | ||||||||
The Bank of Yokohama Ltd. | 465,990 | 2,205 | ||||||||
Toyota Motor Corp. | 32,282 | 1,076 | ||||||||
Unicharm Corp. | 77,300 | 3,813 | ||||||||
29,613 | ||||||||||
Mexico — 0.8% | ||||||||||
America Movil SAB de C.V. ADR | 81,538 | 1,843 | ||||||||
Netherlands — 2.9% | ||||||||||
ING Groep N.V. | 279,974 | 2,021 | (a) | |||||||
Koninklijke Ahold N.V. | 46,298 | 625 | ||||||||
Koninklijke Philips Electronics N.V. | 74,133 | 1,567 | ||||||||
Unilever N.V. | 81,110 | 2,798 | ||||||||
7,011 | ||||||||||
Russian Federation — 0.3% | ||||||||||
Mobile Telesystems OJSC ADR | 46,082 | 676 | ||||||||
Singapore — 1.1% | ||||||||||
United Overseas Bank Ltd. | 233,525 | 2,750 | ||||||||
South Africa — 0.5% | ||||||||||
MTN Group Ltd. | 64,017 | 1,140 | ||||||||
South Korea — 3.3% | ||||||||||
Hyundai Motor Co. | 12,923 | 2,389 | (a) | |||||||
Samsung Electronics Company Ltd. | 6,016 | 5,525 | ||||||||
7,914 | ||||||||||
Spain — 1.5% | ||||||||||
Banco Santander S.A. | 243,365 | 1,854 | (h) | |||||||
Telefonica S.A. | 98,637 | 1,714 | ||||||||
3,568 | ||||||||||
Sweden — 1.8% | ||||||||||
Hexagon AB | 117,707 | 1,767 | ||||||||
Telefonaktiebolaget LM Ericsson | 254,724 | 2,616 | ||||||||
4,383 |
Number of Shares | Fair Value | |||||||||
Switzerland — 7.9% | ||||||||||
Credit Suisse Group AG | 61,602 | $ | 1,454 | |||||||
Nestle S.A. | 118,477 | 6,842 | ||||||||
Novartis AG | 90,810 | 5,215 | ||||||||
Syngenta AG | 11,860 | 3,488 | ||||||||
Zurich Financial Services AG | 8,526 | 1,938 | ||||||||
18,937 | ||||||||||
Taiwan — 2.3% | ||||||||||
Delta Electronics Inc. | 433,000 | 1,030 | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 1,693,400 | 4,239 | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 16,397 | 212 | ||||||||
5,481 | ||||||||||
United Kingdom — 25.5% | ||||||||||
Aggreko PLC | 56,065 | 1,757 | ||||||||
BG Group PLC | 155,191 | 3,320 | (a) | |||||||
BHP Billiton PLC | 163,368 | 4,767 | (h) | |||||||
Diageo PLC | 234,181 | 5,119 | ||||||||
G4S PLC†† | 286,397 | 1,210 | ||||||||
G4S PLC†† | 61,323 | 257 | ||||||||
HSBC Holdings PLC | 749,460 | 5,719 | ||||||||
Lloyds Banking Group PLC | 5,050,539 | 2,033 | (a) | |||||||
National Grid PLC | 433,675 | 4,212 | ||||||||
Prudential PLC | 446,858 | 4,434 | ||||||||
Reckitt Benckiser Group PLC | 79,766 | 3,942 | ||||||||
Rio Tinto PLC | 87,505 | 4,250 | ||||||||
Royal Dutch Shell PLC | 237,704 | 8,758 | ||||||||
Standard Chartered PLC | 146,926 | 3,217 | ||||||||
Tesco PLC | 365,959 | 2,295 | ||||||||
The Capita Group PLC | 108,399 | 1,059 | ||||||||
Vodafone Group PLC | 1,807,828 | 5,026 | ||||||||
61,375 | ||||||||||
Total Common Stock | 228,627 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun International Equity Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
| ||||||||||
Preferred Stock — 1.6% |
| |||||||||
Volkswagen AG | 25,374 | $ | 3,813 | |||||||
Other Investments — 0.1% |
| |||||||||
GEI Investment Fund | 77 | (k) | ||||||||
Total Investments in Securities (Cost $242,414) | 232,517 | |||||||||
Short-Term Investments — 2.8% |
| |||||||||
GE Institutional Money Market Fund — Investment |
| |||||||||
Class 0.06% | ||||||||||
(Cost $6,797) | 6,797 | (d,k) | ||||||||
Total Investments | 239,314 | |||||||||
Other Assets and Liabilities | 1,258 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 240,572 | ||||||||
|
|
Other Information
The Fund had the following long futures contracts open at December 31, 2011:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
EURO Stoxx 50 Index Futures | March 2012 | 75 | $ | 2,247 | $ | 69 | ||||||||
FTSE 100 Index Futures | March 2012 | 27 | 2,323 | 41 | ||||||||||
Topix Index Futures | March 2012 | 11 | 1,041 | (28) | ||||||||||
|
| |||||||||||||
$ | 82 | |||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun International Equity Fund | December 31, 2011 |
(Unaudited)
The Fund was invested in the following categories at December 31, 2011:
Industry | | Percentage (based on Fair Value) | | |
Diversified Financial Services | 9.71% | |||
Integrated Oil & Gas | 8.01% | |||
Automobile Manufacturers | 5.28% | |||
Wireless Telecommunication Services | 4.93% | |||
Diversified Metals & Mining | 4.43% | |||
Semiconductors | 4.17% | |||
Life & Health Insurance | 4.16% | |||
Packaged Foods & Meats | 4.03% | |||
Industrial Machinery | 3.53% | |||
Household Products | 3.24% | |||
Pharmaceuticals | 3.15% | |||
Industrial Conglomerates | 3.02% | |||
Fertilizers & Agricultural Chemicals | 2.92% | |||
Industrial Gases | 2.29% | |||
Distillers & Vintners | 2.14% | |||
Aerospace & Defense | 2.07% | |||
Diversified Support Services | 1.89% | |||
Multi-Utilities | 1.76% | |||
Apparel, Accessories & Luxury Goods | 1.74% | |||
Multi-Line Insurance | 1.69% | |||
Healthcare Supplies | 1.59% | |||
Diversified Real Estate Activities | 1.37% | |||
Healthcare Services | 1.36% | |||
Application Software | 1.32% | |||
Internet Software & Services | 1.23% | |||
Food Retail | 1.22% | |||
Construction & Engineering | 1.11% |
Communications Equipment | 1.09% | |||
Trading Companies & Distributors | 1.09% | |||
Steel | 1.07% | |||
Advertising | 0.96% | |||
Gold | 0.93% | |||
Regional Banks | 0.92% | |||
Building Products | 0.78% | |||
Oil & Gas Exploration & Production | 0.76% | |||
Electronic Equipment & Instruments | 0.74% | |||
Integrated Telecommunication Services | 0.72% | |||
IT Consulting & Other Services | 0.69% | |||
Diversified Capital Markets | 0.61% | |||
Security & Alarm Services | 0.61% | |||
Specialized Finance | 0.52% | |||
Human Resource & Employment Services | 0.44% | |||
Electronic Components | 0.43% | |||
Hypermarkets & Super Centers | 0.38% | |||
Brewers | 0.33% | |||
Electrical Components & Equipment | 0.33% | |||
Electric Utilities | 0.30% | |||
Hotels, Resorts & Cruise Lines | 0.07% | |||
|
| |||
97.13% | ||||
|
|
Short-Term and Other Investments | ||||
Short-Term | 2.84% | |||
Other Investments | 0.03% | |||
|
| |||
2.87% | ||||
|
| |||
100.00% | ||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
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David B. Carlson
Chief Investment Officer – U.S. Equities
The Elfun Trusts is managed by David B. Carlson. See portfolio managers’ biographical information beginning on page 113.
Q. | How did the Elfun Trusts Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2011? |
A. | For the twelve-month period ended December 31, 2011, the Elfun Trusts Fund returned 1.33%. The S&P 500® Index (S&P 500 Index), the Fund’s benchmark, returned 2.11% and the Fund’s Morningstar peer group of 1,683 U.S. Large Cap Growth Funds returned an average of -2.56% over the same period. Elfun Trusts outperformed 81% of its Morningstar peer group in 2011. |
Q. | What market factors affected the Fund’s performance? |
A. | While the market closed the year virtually flat with the start of the year, there was tremendous volatility along the way. A host of macro events buffeted that market—earthquake/tsunami in Japan, political unrest in several Middle Eastern states, sovereign debt issues in Europe (again) and a downgrade of U.S. Government debt. The U.S. economy muddled along with slow growth, and corporate profit growth was strong, due in large part to strength in foreign sourced earnings. Operating profits for the S&P 500 Index grew an estimated 15% in 2011, an impressive performance given below-average GDP growth. |
Within the equity market there was significant risk aversion and a reach for yield. The utility sector was the strongest performer with a 20% return, followed by the consumer staples sector with a 14% return. Stocks with above-average dividend yields were strong performers, regardless of sector—a theme that makes sense when fixed income rates are so low. The financial sector was the worst performing sector with a decline of 17%. Large banks and brokers had the steepest declines. Sovereign debt fears in Europe weighed heavily on the European banks, and the interconnectedness of the financial markets brought the concern to the U.S.
Globally, the U.S. was a strong relative performer as stock markets in Europe, Japan and the emerging markets were all down in excess of 10%. Fears of recession weighed on Europe and fears of a hard landing in China weighed on emerging markets. We believe these macro concerns will be with us in 2012 as well.
Q. | What were the primary drivers of Fund performance? |
A. | Elfun Trusts’ performance, while modestly behind the S&P 500 Index return was strong relative to peer funds. The year saw an unusually high number of equity mutual fund managers trail benchmarks, due in large part to the narrow leadership of defensive stocks (e.g., utilities and staples). Technology was the strongest sector for Elfun Trusts. |
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Tech holdings in the Fund were up 12%, with Visa leading the way with a 45% gain. Other notable tech holdings were Apple (+26%), Baidu (+21%) and Qualcomm (+12%). |
The consumer-discretionary sector was a positive contributor for the year. Outperformers include Bed, Bath & Beyond (+18%), Liberty Global (+17%) and Comcast (+16%).
The Fund’s holdings in health care and energy were detractors from performance, due to the fact that we did not own the higher yielding companies. In health care, the Fund was underweighted in pharmaceuticals, which were strong performers. In energy, we favor the oil service sector over the large integrated companies such as Exxon. We simply underestimated investors demand for dividend yield and the Fund did not own enough of the higher yielding stocks in the market.
Q. | Were there any significant changes to the Fund during the period? |
A. | Changes to the Fund were modest during the year. Fund turnover remained low at 16%. We ended the year with 49 stocks in the Fund, down two names from the start of the year. Technology remains the largest sector in the Fund, comprising 34% of the total. This compares to a weight of 19% in the S&P 500 Index. We think tech has several things going for it: financial strength (large cash balances and free cash flow generation), global diversification (over 50% of the tech sector revenue is outside the U.S.), product cycle growth (e.g., wireless data), and attractive valuation. |
The Fund continues to have an underweight in utilities and consumer staples. We believe valuation looks full in these sectors, particularly after the strong performance last year.
We expect 2012 to be another year where global macro events will create volatility in the market. Further, it is an election year in the U.S., which creates additional uncertainty. We continue to focus on what we believe are financially strong companies with great management teams at attractive valuations. In a slow growth world, we believe the Fund’s collection of above-average growers will do well over the long term.
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Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2011.
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
$1,000 = 8.6), then multiply the result by the number
given for your class under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any.
July 1, 2011 – December 31, 2011
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | ||||||||||
Actual Fund Return** | 1,000.00 | 939.90 | 1.03 | |||||||||
Hypothetical 5% Return | 1,000.00 | 1,024.15 | 1.07 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.21% (for the period July 1, 2011 - December 31, 2011), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Actual Fund Return for the six-month period ended December 31, 2011 was: -6.01%. Past performance does not guarantee future results. |
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Investment Profile
A mutual fund designed for investors who seek long-term growth of capital and future income rather than current income. The Fund seeks its objective by investing in equity securities of U.S. companies, such as common and preferred stocks.
Top Ten Largest Holdings
as of December 31, 2011 as a % of Fair Value(b)(c)
Apple Inc. | 5.04% | |||
Qualcomm Inc. | 4.95% | |||
Visa Inc. | 4.41% | |||
Schlumberger Ltd. | 4.35% | |||
PepsiCo Inc. | 4.23% | |||
The Western Union Co. | 4.21% | |||
Liberty Global Inc. | 3.81% | |||
Express Scripts Inc. | 3.61% | |||
CME Group Inc. | 3.55% | |||
Dover Corp. | 3.49% |
Sector Allocation
as a % of the Fair Value of $1,647,279 (in thousands) as of December 31, 2011.(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended 12/31/11
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 1,683 | 1,279 | 804 | |||||||||
Peer group average annual total return | -2.56 | % | 0.34 | % | 1.52 | % | ||||||
Morningstar category in peer group: Large Growth
|
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2011
(Inception date: 05/27/35) | ||||||||||||||||
One Year | Five Year | Ten Year | Ending value of a $10,000 investment (a) | |||||||||||||
Elfun Trusts | 1.33% | 1.03% | 2.47% | $12,758 | ||||||||||||
S&P 500 Index | 2.11% | -0.25% | 2.92% | $13,340 |
(a) | Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
(c) | Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
See Notes to Performance on page 1 for further information.
Past performance does not predict future performance. The performance shown on the graph and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
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Elfun Trusts | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Common Stock — 98.2%† |
| |||||||||
Air Freight & Logistics — 0.8% | ||||||||||
United Parcel Service Inc. | 170,000 | $ | 12,442 | |||||||
Application Software — 1.6% | ||||||||||
Intuit Inc. | 430,000 | 22,614 | ||||||||
SuccessFactors Inc. | 100,000 | 3,987 | (a) | |||||||
26,601 | ||||||||||
Asset Management & Custody Banks — 2.8% | ||||||||||
State Street Corp. | 1,140,000 | 45,953 | (e) | |||||||
Automotive Retail — 0.5% | ||||||||||
O’Reilly Automotive Inc. | 100,000 | 7,995 | (a) | |||||||
Biotechnology — 3.0% | ||||||||||
Amgen Inc. | 620,000 | 39,810 | ||||||||
Gilead Sciences Inc. | 250,000 | 10,232 | (a) | |||||||
50,042 | ||||||||||
Broadcasting — 1.3% | ||||||||||
Discovery Communications Inc. | 570,000 | 21,489 | (a) | |||||||
Cable & Satellite — 9.3% | ||||||||||
Comcast Corp. | 1,250,000 | 29,450 | ||||||||
DIRECTV | 1,300,000 | 55,588 | (a) | |||||||
Liberty Global Inc. | 1,590,000 | 62,837 | (a) | |||||||
Sirius XM Radio Inc. | 3,000,000 | 5,460 | (a) | |||||||
153,335 | ||||||||||
Casinos & Gaming — 0.5% | ||||||||||
Las Vegas Sands Corp. | 200,000 | 8,546 | (a) | |||||||
Communications Equipment — 6.3% | ||||||||||
Cisco Systems Inc. | 1,250,000 | 22,600 | ||||||||
Qualcomm Inc. | 1,490,000 | 81,503 | ||||||||
104,103 | ||||||||||
Computer Hardware — 5.0% | ||||||||||
Apple Inc. | 205,000 | 83,025 | (a) |
Number of Shares | Fair Value | |||||||||
Data Processing & Outsourced Services — 12.2% | ||||||||||
Automatic Data Processing Inc. | 225,000 | $ | 12,152 | |||||||
Paychex Inc. | 1,550,000 | 46,671 | ||||||||
The Western Union Co. | 3,800,000 | 69,388 | ||||||||
Visa Inc. | 715,000 | 72,594 | ||||||||
200,805 | ||||||||||
Diversified Financial Services — 1.4% | ||||||||||
JPMorgan Chase & Co. | 700,000 | 23,275 | ||||||||
Electronic Manufacturing Services — 0.9% | ||||||||||
Molex Inc. | 760,000 | 15,033 | ||||||||
Environmental & Facilities Services — 0.2% | ||||||||||
Stericycle Inc. | 45,000 | 3,506 | (a) | |||||||
Fertilizers & Agricultural Chemicals — 2.8% | ||||||||||
Monsanto Co. | 650,000 | 45,546 | ||||||||
Healthcare Equipment — 2.0% | ||||||||||
Covidien PLC | 750,000 | 33,758 | ||||||||
Healthcare Services — 4.8% | ||||||||||
Express Scripts Inc. | 1,330,000 | 59,438 | (a) | |||||||
LIncare Holdings Inc. | 780,000 | 20,054 | ||||||||
79,492 | ||||||||||
Healthcare Supplies — 0.1% | ||||||||||
DENTSPLY International Inc. | 60,000 | 2,099 | ||||||||
Home Improvement Retail — 2.2% | ||||||||||
Lowe’s Companies Inc. | 1,400,000 | 35,532 | ||||||||
Homefurnishing Retail — 2.1% | ||||||||||
Bed Bath & Beyond Inc. | 600,000 | 34,782 | (a) | |||||||
Hotels, Resorts & Cruise Lines — 1.6% | ||||||||||
Carnival Corp. | 810,000 | 26,438 | ||||||||
Industrial Gases — 1.0% | ||||||||||
Praxair Inc. | 150,000 | 16,035 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun Trusts | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Industrial Machinery — 3.5% | ||||||||||
Dover Corp. | 990,000 | $ | 57,469 | |||||||
Integrated Oil & Gas — 2.2% | ||||||||||
Chevron Corp. | 105,000 | 11,172 | ||||||||
Exxon Mobil Corp. | 300,000 | 25,428 | ||||||||
36,600 | ||||||||||
Internet Retail — 1.1% | ||||||||||
Amazon.com Inc. | 100,000 | 17,310 | (a) | |||||||
Internet Software & Services — 6.0% | ||||||||||
Baidu Inc. ADR | 400,000 | 46,588 | (a) | |||||||
eBay Inc. | 1,725,000 | 52,319 | (a) | |||||||
98,907 | ||||||||||
Investment Banking & Brokerage — 1.8% | ||||||||||
The Goldman Sachs Group Inc. | 320,000 | 28,938 | ||||||||
Oil & Gas Equipment & Services — 4.4% | ||||||||||
Schlumberger Ltd. | 1,050,000 | 71,726 | ||||||||
Oil & Gas Exploration & Production — 0.6% | ||||||||||
Anadarko Petroleum Corp. | 140,000 | 10,686 | ||||||||
Pharmaceuticals — 2.0% | ||||||||||
Johnson & Johnson | 500,000 | 32,790 | ||||||||
Property & Casualty Insurance — 0.5% | ||||||||||
Alleghany Corp. | 30,000 | 8,559 | (a) | |||||||
Real Estate Services — 0.9% | ||||||||||
CBRE Group Inc. | 925,000 | 14,078 | (a) | |||||||
Soft Drinks — 4.2% | ||||||||||
PepsiCo Inc. | 1,050,000 | 69,667 | ||||||||
Specialized Finance — 3.6% | ||||||||||
CME Group Inc. | 240,000 | 58,481 |
Number of Shares | Fair Value | |||||||||
Specialty Stores — 0.5% | ||||||||||
Dick’s Sporting Goods Inc. | 220,000 | $ | 8,114 | |||||||
Systems Software — 2.0% | ||||||||||
Microsoft Corp. | 1,250,000 | 32,450 | ||||||||
Wireless Telecommunication Services — 2.5% | ||||||||||
American Tower Corp. | 700,000 | 42,007 | (a) | |||||||
Total Common Stock | 1,617,614 | |||||||||
Other Investments — 0.0%* |
| |||||||||
GEI Investment Fund | 356 | (k) | ||||||||
Total Investments in Securities | 1,617,970 | |||||||||
Short-Term Investments — 1.8% | ||||||||||
GE Institutional Money Market Fund — Investment | ||||||||||
Class 0.06% | ||||||||||
(Cost $29,309) | 29,309 | (d,k) | ||||||||
Total Investments | 1,647,279 | |||||||||
Other Assets and Liabilities, net — 0.0%* | 117 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,647,396 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
15
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Paul M. Colonna President and Chief Investment Officer – Fixed Income |
Greg Hartch Senior Vice President and Strategy and Business Development Leader | |
Ralph R. Layman President and Chief Investment Officer – Public Equities |
David Wiederecht President and Chief Investment Officer – Investment Strategies |
The Elfun Diversified Fund is managed by a team of portfolio managers that includes Paul M. Colonna, Greg Hartch, Ralph R. Layman, and David Wiederecht. Mr. Hartch and Mr. Wiederecht are vested with oversight authority for determining asset allocations for the Fund, including the full discretion to allocate the Fund’s assets to sub-adviser(s) retained by GE Asset Management. Mr. Layman manages the equity portion of the Fund and Mr. Colonna manages the fixed income portion of the Fund, each with a team of portfolio managers and analysts. The sub-portfolios underlying the Fund are managed independently of each other, and the portfolio managers have full discretion over their particular sub-portfolio; however, the portfolio management team is collaborative to ensure strict adherence to seek the Fund’s objectives. In addition to oversight authority for asset allocation, Mr. Hartch and Mr. Wiederecht may at times adjust the Fund’s investment exposure through the use of various investment techniques such as investments in derivative instruments. . See portfolio managers’ biographical information beginning on page 113.
Q. | How did the Elfun Diversified Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2011? |
A. | For the twelve-month period ended December 31, 2011, the Elfun Diversified Fund returned -2.60%. The S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, the Fund’s broad based benchmarks, returned 2.11% and 7.84%, respectively. The Fund’s Morningstar peer group of 963 U.S. Moderate Allocation funds returned an average of -0.40% over the same period. |
Q. | What market factors affected the Funds performance? |
A. | It was a very volatile year driven by several macro events both in the U.S. and abroad. In the first half of the year the markets were affected by the |
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upheaval of governments in the Middle East and North Africa, a massive earthquake in Japan that affected global supply chains and the bailout of Greece due to their debt crisis. The turmoil intensified in the second half of the year as sovereign debt fears expanded beyond the periphery of Europe. S&P cut the U.S. AAA debt rating due to concerns about the ongoing budget deficit and the ECB had to start buying the sovereign debt of several nations in the secondary market due to the drastic widening of bond yields. High inflation in emerging markets was also a concern throughout most of the year, particularly in China as the government took several steps to stem rising prices in the real estate market. |
Q. | What were the primary drivers of Fund performance? |
A. | The primary drivers of the Fund’s performance were its asset allocation and the performance of the underlying strategies within the Fund. During the year the Fund’s average weight to fixed income was approximately 32%. This negatively impacted the Fund’s performance due to the strong performance of the fixed income markets compared to equities. Ongoing concerns throughout the year about Europe’s sovereign debt crisis led many investors to seek safety through investing in U.S. government securities, driving the Barclays Capital U.S. Aggregate Bond Index up 7.84% compared to only a slight rise in the S&P 500 Index of 2.11%, while the MSCI EAFE Index fell 12.14%. Stock selection also negatively impacted the Fund’s performance. The Fund’s large cap growth, mid cap and international equity strategy underperformed their respective benchmarks, offsetting the positive relative performance from the Fund’s fixed income strategy and equity yield strategy. |
Q. | Were there any significant changes to the Fund during the period? |
A. | During the year the biggest change in the Fund was the decision to reduce the Fund’s exposure to large cap growth in favor of an equity yield strategy that is focused on dividend yield and dividend growth. As a result, the Fund’s large cap growth exposure was reduced by 6% while its equity yield exposure was increased throughout the year by approximately 5%. This change positively impacted Fund performance. The Fund also reduced its international equity exposure throughout the year by 5% due to increased concerns about the European sovereign debt crisis and slowing economic growth. |
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Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2011.
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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any.
July 1, 2011 – December 31, 2011
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | ||||||||||
Actual Fund Return** | 1,000.00 | 938.50 | 1.95 | |||||||||
Hypothetical 5% Return (2.5% for the period) | 1,000.00 | 1,023.19 | 2.04 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.40% (for the period July 1, 2011 - December 31, 2011), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Actual Fund Return for the six-month period ended December 31, 2011 was: -6.15%. Past performance does not guarantee future results. |
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Investment Profile
A mutual fund designed for investors who seek the highest total return, composed of income and capital appreciation, as is consistent with prudent investment management and the preservation of capital. The Fund seeks its objective by investing primarily in a combination of U.S. and foreign (non-U.S.) equity and debt securities and cash. The Fund’s asset allocation process utilizes information from GE Asset Management’s Asset Allocation Committee to diversify holdings across these asset classes.
Top Ten Largest Holdings
as of December 31, 2011 as a % of Fair Value(b)(c)
Vangaurd MSCI Emerging Markets | 3.96% | |||
Federal National Mortgage Assoc. 4.50%, | 3.44% | |||
U.S. Treasury Bonds 3.75%, 08/15/41 | 2.20% | |||
U.S. Treasury Notes 0.81%, 11/30/16 | 1.31% | |||
Vangaurd REIT | 1.24% | |||
Federal National Mortgage Assoc. 5.00%, TBA | 1.15% | |||
U.S. Treasury Notes 0.80%, 10/30/16 | 1.10% | |||
Apple Inc. | 1.10% | |||
Cisco Systems Inc. | 0.83% | |||
Microsoft Corp. | 0.82% |
Sector Allocation
as a % of the Fair Value of $215,462 (in thousands) as of December 31, 2011.(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended 12/31/11
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 963 | 736 | 393 | |||||||||
Peer group average annual total return | -0.40 | % | 0.98 | % | 3.53 | % | ||||||
Morningstar category in peer group: Moderate Allocation |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2011
(Inception date: 01/01/88) | ||||||||||||||||
One Year | Five Year | Ten Year | Ending value of a $10,000 investment (a) | |||||||||||||
Elfun Diversified Fund | -2.60% | -0.15% | 3.54% | $14,175 | ||||||||||||
S&P 500 Index | 2.11% | -0.25% | 2.92% | $13,340 | ||||||||||||
Barclays Capital U.S. Aggregate Bond Index | 7.84% | 6.50% | 5.78% | $17,535 |
(a) | Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
(c) | Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
See Notes to Performance on page 1 for further information.
Past performance does not predict future performance. The performance shown on the graph and tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
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Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Domestic Equity – 39.9%† | ||||||||||
Advertising — 0.5% | ||||||||||
Omnicom Group Inc. | 23,144 | $ | 1,032 | |||||||
Aerospace & Defense — 0.9% | ||||||||||
Alliant Techsystems Inc. | 1,663 | 95 | ||||||||
Hexcel Corp. | 13,991 | 339 | (a) | |||||||
Honeywell International Inc. | 17,377 | 945 | ||||||||
Rockwell Collins Inc. | 5,891 | 326 | ||||||||
United Technologies Corp. | 2,718 | 199 | ||||||||
1,904 | ||||||||||
Agricultural Products — 0.2% | ||||||||||
Archer-Daniels-Midland Co. | 14,000 | 400 | ||||||||
Air Freight & Logistics — 0.5% | ||||||||||
FedEx Corp. | 3,862 | 323 | ||||||||
United Parcel Service Inc. | 8,809 | 645 | ||||||||
Uti Worldwide Inc. | 5,656 | 75 | ||||||||
1,043 | ||||||||||
Apparel Retail — 0.1% | ||||||||||
Urban Outfitters Inc. | 6,004 | 165 | (a) | |||||||
Apparel, Accessories & Luxury Goods — 0.2% | ||||||||||
Coach Inc. | 6,468 | 395 | ||||||||
Michael Kors Holdings Ltd. | 749 | 20 | (a) | |||||||
415 | ||||||||||
Application Software — 0.3% | ||||||||||
Citrix Systems Inc. | 4,592 | 279 | (a) | |||||||
SuccessFactors Inc. | 8,472 | 338 | (a) | |||||||
617 | ||||||||||
Asset Management & Custody Banks — 1.2% | ||||||||||
Affiliated Managers Group Inc. | 3,717 | 357 | (a) | |||||||
Ameriprise Financial Inc. | 13,538 | 672 | ||||||||
Invesco Ltd. | 35,989 | 723 | ||||||||
State Street Corp. | 19,465 | 785 | (e) | |||||||
2,537 |
Number of Shares | Fair Value | |||||||||
Auto Parts & Equipment — 0.1% | ||||||||||
Johnson Controls Inc. | 5,117 | $ | 160 | |||||||
Automotive Retail — 0.2% | ||||||||||
O’Reilly Automotive Inc. | 4,325 | 346 | (a) | |||||||
Biotechnology — 1.1% | ||||||||||
Alexion Pharmaceuticals Inc. | 4,923 | 352 | ||||||||
Amgen Inc. | 13,927 | 894 | ||||||||
Gilead Sciences Inc. | 17,321 | 709 | (a) | |||||||
Human Genome Sciences Inc. | 7,040 | 52 | (a) | |||||||
Incyte Corp Ltd | 7,087 | 106 | (a) | |||||||
Vertex Pharmaceuticals Inc. | 4,233 | 141 | (a) | |||||||
2,254 | ||||||||||
Brewers — 0.1% | ||||||||||
Molson Coors Brewing Co. | 6,497 | 283 | ||||||||
Broadcasting — 0.1% | ||||||||||
Discovery Communications | 1,814 | 74 | (a) | |||||||
Discovery Communications | 3,042 | 115 | (a) | |||||||
189 | ||||||||||
Cable & Satellite — 0.4% | ||||||||||
DIRECTV | 8,531 | 365 | (a) | |||||||
Liberty Global Inc. | 8,712 | 345 | (a) | |||||||
Sirius XM Radio Inc. | 11,394 | 21 | (a) | |||||||
731 | ||||||||||
Casinos & Gaming — 0.3% | ||||||||||
Las Vegas Sands Corp. | 7,619 | 326 | (a) | |||||||
Penn National Gaming Inc. | 7,146 | 272 | (a) | |||||||
598 | ||||||||||
Coal & Consumable Fuels — 0.1% | ||||||||||
Alpha Natural Resources Inc. | 2,400 | 49 | (a) | |||||||
Peabody Energy Corp. | 3,826 | 127 | ||||||||
176 | ||||||||||
Communications Equipment — 1.6% | ||||||||||
Cisco Systems Inc. | 98,519 | 1,781 |
See Notes to Schedules of Investments and Notes to Financial Statements.
20
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Juniper Networks Inc. | 8,650 | $ | 177 | (a) | ||||||
Qualcomm Inc. | 26,672 | 1,459 | ||||||||
3,417 | ||||||||||
Computer Hardware — 1.2% | ||||||||||
Apple Inc. | 5,856 | 2,371 | (a) | |||||||
Hewlett-Packard Co. | 5,793 | 149 | ||||||||
2,520 | ||||||||||
Computer Storage & Peripherals — 0.1% | ||||||||||
Synaptics Inc. | 8,342 | 252 | (a) | |||||||
Construction & Engineering — 0.1% | ||||||||||
Quanta Services Inc. | 10,593 | 228 | (a) | |||||||
Construction & Farm Machinery & Heavy Trucks — 0.1% | ||||||||||
Cummins Inc. | 1,970 | 173 | ||||||||
Deere & Co. | 965 | 75 | ||||||||
248 | ||||||||||
Consumer Finance — 0.3% | ||||||||||
American Express Co. | 12,960 | 612 | ||||||||
Discover Financial Services | 4,453 | 107 | ||||||||
719 | ||||||||||
Data Processing & Outsourced Services — 0.6% | ||||||||||
Automatic Data Processing Inc. | 2,912 | 157 | ||||||||
The Western Union Co. | 21,243 | 388 | ||||||||
Visa Inc. | 6,856 | 696 | ||||||||
1,241 | ||||||||||
Department Stores — 0.1% | ||||||||||
Macy’s Inc. | 8,104 | 261 | ||||||||
Distributors — 0.1% | ||||||||||
Genuine Parts Co. | 3,151 | 193 | ||||||||
Diversified Chemicals — 0.1% | ||||||||||
EI du Pont de Nemours & Co. | 3,636 | 166 | ||||||||
Diversified Financial Services — 1.2% | ||||||||||
Bank of America Corp. | 44,194 | 245 | ||||||||
Comerica Inc. | 12,503 | 323 |
Number of Shares | Fair Value | |||||||||
JPMorgan Chase & Co. | 33,769 | $ | 1,123 | |||||||
US Bancorp | 3,689 | 100 | ||||||||
Wells Fargo & Co. | 25,931 | 715 | ||||||||
2,506 | ||||||||||
Diversified Metals & Mining — 0.2% | ||||||||||
Freeport-McMoRan Copper & Gold Inc. | 9,404 | 346 | ||||||||
Molycorp Inc. | 2,081 | 50 | (a) | |||||||
396 | ||||||||||
Drug Retail — 0.2% | ||||||||||
CVS Caremark Corp. | 10,428 | 425 | ||||||||
Electric Utilities — 0.8% | ||||||||||
FirstEnergy Corp. | 5,445 | 241 | ||||||||
ITC Holdings Corp. | 8,026 | 609 | ||||||||
NextEra Energy Inc. | 5,986 | 364 | ||||||||
The Southern Co. | 7,875 | 365 | ||||||||
1,579 | ||||||||||
Electrical Components & Equipment — 0.5% | ||||||||||
Cooper Industries PLC | 12,946 | 701 | ||||||||
Emerson Electric Co. | 6,309 | 294 | ||||||||
995 | ||||||||||
Environmental & Facilities Services — 0.1% | ||||||||||
Stericycle Inc. | 2,296 | 179 | (a) | |||||||
Fertilizers & Agricultural Chemicals — 0.4% | ||||||||||
Intrepid Potash Inc. | 3,984 | 90 | (a) | |||||||
Monsanto Co. | 10,795 | 757 | ||||||||
847 | ||||||||||
General Merchandise Stores — 0.4% | ||||||||||
Target Corp. | 15,182 | 777 | ||||||||
Healthcare Equipment — 0.8% | ||||||||||
Baxter International Inc. | 3,562 | 176 | ||||||||
Covidien PLC | 24,754 | 1,114 | ||||||||
Gen-Probe Inc. | 1,950 | 115 | (a) | |||||||
Masimo Corp. | 9,971 | 186 | (a) | |||||||
ResMed Inc. | 7,285 | 185 | (a) | |||||||
1,776 |
See Notes to Schedules of Investments and Notes to Financial Statements.
21
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Healthcare Facilities — 0.2% | ||||||||||
HCA Holdings Inc. | 8,207 | $ | 181 | (a) | ||||||
Universal Health Services Inc. | 6,216 | 242 | ||||||||
423 | ||||||||||
Healthcare Services — 0.8% | ||||||||||
Catalyst Health Solutions Inc. | 7,154 | 372 | (a) | |||||||
DaVita Inc. | 1,063 | 81 | (a) | |||||||
Express Scripts Inc. | 23,237 | 1,038 | (a) | |||||||
Omnicare Inc. | 2,897 | 100 | ||||||||
1,591 | ||||||||||
Home Building — 0.1% | ||||||||||
MDC Holdings Inc. | 7,500 | 132 | ||||||||
Home Entertainment Software — 0.1% | ||||||||||
Activision Blizzard Inc. | 23,912 | 295 | ||||||||
Home Furnishing Retail — 0.2% | ||||||||||
Bed Bath & Beyond Inc. | 6,206 | 360 | (a) | |||||||
Home Improvement Retail — 0.5% | ||||||||||
Lowe’s Companies Inc. | 15,685 | 398 | ||||||||
The Home Depot Inc. | 14,601 | 613 | ||||||||
1,011 | ||||||||||
Hotels, Resorts & Cruise Lines — 0.1% | ||||||||||
Carnival Corp. | 4,654 | 152 | ||||||||
Royal Caribbean Cruises Ltd. | 6,089 | 151 | ||||||||
303 | ||||||||||
Household Products — 0.7% | ||||||||||
Kimberly-Clark Corp. | 3,845 | 283 | ||||||||
The Clorox Co. | 5,629 | 375 | ||||||||
The Procter & Gamble Co. | 13,343 | 890 | ||||||||
1,548 | ||||||||||
Independent Power Producers & Energy Traders — 0.5% | ||||||||||
Calpine Corp. | 22,440 | 366 | (a) | |||||||
The AES Corp. | 64,484 | 764 | ||||||||
1,130 |
Number of Shares | Fair Value | |||||||||
Industrial Gases — 0.5% | ||||||||||
Praxair Inc. | 9,519 | $ | 1,018 | |||||||
Industrial Machinery — 0.3% | ||||||||||
Eaton Corp. | 7,373 | 321 | ||||||||
Harsco Corp. | 13,330 | 274 | ||||||||
595 | ||||||||||
Insurance Brokers — 0.1% | ||||||||||
Marsh & McLennan Companies Inc. | 6,358 | 201 | ||||||||
Integrated Oil & Gas — 1.7% | ||||||||||
Chevron Corp. | 14,680 | 1,562 | ||||||||
ConocoPhillips | 7,959 | 580 | ||||||||
Exxon Mobil Corp. | 6,290 | 533 | ||||||||
Hess Corp. | 5,506 | 312 | ||||||||
Occidental Petroleum Corp. | 7,153 | 670 | ||||||||
3,657 | ||||||||||
Integrated Telecommunication Services — 0.6% | ||||||||||
AT&T Inc. | 22,183 | 671 | ||||||||
Verizon Communications Inc. | 12,589 | 505 | ||||||||
Windstream Corp. | 7,382 | 87 | ||||||||
1,263 | ||||||||||
Internet Retail — 0.0%* | ||||||||||
Amazon.com Inc. | 485 | 84 | (a) | |||||||
HomeAway Inc. | 519 | 12 | (a) | |||||||
96 | ||||||||||
Internet Software & Services — 0.9% | ||||||||||
Equinix Inc. | 6,170 | 626 | (a) | |||||||
Google Inc. | 1,426 | 921 | (a) | |||||||
MercadoLibre Inc. | 2,878 | 229 | ||||||||
Monster Worldwide Inc. | 16,978 | 135 | (a) | |||||||
1,911 | ||||||||||
Investment Banking & Brokerage — 0.2% | ||||||||||
The Goldman Sachs Group Inc. | 4,692 | 424 | ||||||||
IT Consulting & Other Services — 1.0% | ||||||||||
Cognizant Technology Solutions Corp. | 5,869 | 377 | (a) |
See Notes to Schedules of Investments and Notes to Financial Statements.
22
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
International Business Machines Corp. | 8,985 | $ | 1,652 | (h) | ||||||
2,029 | ||||||||||
Life & Health Insurance — 0.5% | ||||||||||
MetLife Inc. | 16,069 | 501 | ||||||||
Prudential Financial Inc. | 10,522 | 527 | ||||||||
1,028 | ||||||||||
Life Sciences Tools & Services — 0.5% | ||||||||||
Covance Inc. | 3,857 | 176 | (a) | |||||||
Illumina Inc. | 5,427 | 165 | (a) | |||||||
Mettler-Toledo International Inc. | 1,441 | 213 | (a) | |||||||
PerkinElmer Inc. | 14,696 | 294 | ||||||||
Thermo Fisher Scientific Inc. | 5,642 | 254 | (a) | |||||||
1,102 | ||||||||||
Managed Healthcare — 0.0%* | ||||||||||
UnitedHealth Group Inc. | 1,545 | 78 | ||||||||
Movies & Entertainment — 0.8% | ||||||||||
Liberty Media Corporation — Capital | 1,834 | 143 | (a) | |||||||
The Walt Disney Co. | 14,483 | 543 | ||||||||
Time Warner Inc. | 26,066 | 942 | ||||||||
1,628 | ||||||||||
Multi-Line Insurance — 0.2% | ||||||||||
Hartford Financial Services Group Inc. | 4,827 | 78 | ||||||||
HCC Insurance Holdings Inc. | 14,749 | 406 | ||||||||
484 | ||||||||||
Multi-Utilities — 0.4% | ||||||||||
Dominion Resources Inc. | 10,900 | 579 | ||||||||
Public Service Enterprise Group Inc. | 2,494 | 82 | ||||||||
Xcel Energy Inc. | 4,603 | 127 | ||||||||
788 | ||||||||||
Office REITs — 0.1% | ||||||||||
Douglas Emmett Inc. | 8,839 | 161 | ||||||||
SL Green Realty Corp. | 1,846 | 123 | ||||||||
284 |
Number of Shares | Fair Value | |||||||||
Oil & Gas Drilling — 0.1% | ||||||||||
Noble Corp. | 6,752 | $ | 204 | |||||||
Oil & Gas Equipment & Services — 1.0% | ||||||||||
McDermott International Inc. | 13,768 | 158 | (a) | |||||||
National Oilwell Varco Inc. | 2,582 | 176 | ||||||||
Schlumberger Ltd. | 23,693 | 1,619 | ||||||||
Weatherford International Ltd. | 11,174 | 164 | (a) | |||||||
2,117 | ||||||||||
Oil & Gas Exploration & Production — 0.9% | ||||||||||
Anadarko Petroleum Corp. | 11,900 | 909 | ||||||||
Apache Corp. | 1,821 | 165 | ||||||||
Forest Oil Corp. | 5,773 | 78 | (a) | |||||||
Pioneer Natural Resources Co. | 2,637 | 236 | ||||||||
Range Resources Corp. | 3,240 | 201 | ||||||||
Southwestern Energy Co. | 8,803 | 281 | (a) | |||||||
Ultra Petroleum Corp. | 2,360 | 70 | (a) | |||||||
1,940 | ||||||||||
Oil & Gas Refining & Marketing — 0.1% | ||||||||||
Marathon Petroleum Corp. | 4,631 | 154 | ||||||||
Oil & Gas Storage & Transportation — 0.4% | ||||||||||
El Paso Corp. | 11,945 | 317 | ||||||||
Spectra Energy Corp. | 15,030 | 462 | ||||||||
The Williams Companies Inc. | 4,827 | 159 | ||||||||
938 | ||||||||||
Packaged Foods & Meats — 1.0% | ||||||||||
ConAgra Foods Inc. | 9,173 | 242 | ||||||||
General Mills Inc. | 4,852 | 196 | ||||||||
Kraft Foods Inc. | 33,670 | 1,258 | ||||||||
McCormick & Company Inc. | 4,017 | 203 | ||||||||
Mead Johnson Nutrition Co. | 2,809 | 193 | ||||||||
2,092 | ||||||||||
Pharmaceuticals — 1.8% | ||||||||||
Bristol-Myers Squibb Co. | 20,066 | 707 | ||||||||
Johnson & Johnson | 18,337 | 1,203 | ||||||||
Merck & Company Inc. | 8,639 | 326 | ||||||||
Pfizer Inc. | 73,649 | 1,594 | ||||||||
3,830 |
See Notes to Schedules of Investments and Notes to Financial Statements.
23
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Property & Casualty Insurance — 0.9% | ||||||||||
ACE Ltd. | 17,686 | $ | 1,241 | |||||||
The Chubb Corp. | 8,155 | 564 | ||||||||
1,805 | ||||||||||
Railroads — 0.1% | ||||||||||
Union Pacific Corp. | 2,038 | 216 | ||||||||
Real Estate Services — 0.1% | ||||||||||
CBRE Group Inc. (REIT) | 16,304 | 248 | (a,h) | |||||||
Regional Banks — 0.0%* | ||||||||||
Zions Bancorporation | 6,189 | 101 | ||||||||
Reinsurance — 0.2% | ||||||||||
PartnerRe Ltd. | 4,008 | 257 | ||||||||
RenaissanceRe Holdings Ltd. | 2,607 | 194 | ||||||||
451 | ||||||||||
Research & Consulting Services — 0.3% | ||||||||||
FTI Consulting Inc. | 3,719 | 158 | (a) | |||||||
IHS Inc. | 3,655 | 315 | (a) | |||||||
Nielsen Holdings N.V. | 5,343 | 159 | (a) | |||||||
632 | ||||||||||
Restaurants — 0.4% | ||||||||||
Darden Restaurants Inc. | 2,427 | 111 | ||||||||
McDonald’s Corp. | 6,406 | 643 | ||||||||
754 | ||||||||||
Retail REITs — 0.1% | ||||||||||
Simon Property Group Inc. | 1,311 | 169 | ||||||||
Security & Alarm Services — 0.2% | ||||||||||
Corrections Corporation of America | 20,327 | 414 | (a) | |||||||
Semiconductor Equipment — 0.0%* | ||||||||||
KLA-Tencor Corp. | 2,135 | 103 | ||||||||
Semiconductors — 1.1% | ||||||||||
Altera Corp. | 4,634 | 172 | ||||||||
Cree Inc. | 1,952 | 43 | (a) |
Number of Shares | Fair Value | |||||||||
Hittite Microwave Corp. | 5,076 | $ | 251 | (a) | ||||||
Intel Corp. | 26,156 | 634 | (h) | |||||||
Marvell Technology Group Ltd. | 15,670 | 217 | (a) | |||||||
Microchip Technology Inc. | 6,872 | 251 | ||||||||
Texas Instruments Inc. | 22,269 | 648 | ||||||||
2,216 | ||||||||||
Soft Drinks — 1.0% | ||||||||||
Coca-Cola Enterprises Inc. | 19,723 | 509 | ||||||||
PepsiCo Inc. | 22,793 | 1,512 | ||||||||
2,021 | ||||||||||
Specialized Finance — 0.4% | ||||||||||
CBOE Holdings Inc. | 5,727 | 148 | ||||||||
CME Group Inc. | 2,239 | 545 | ||||||||
MSCI Inc. | 3,828 | 126 | (a) | |||||||
819 | ||||||||||
Specialized REITs — 0.1% | ||||||||||
Public Storage | 1,456 | 196 | ||||||||
Rayonier Inc. | 2,266 | 101 | ||||||||
297 | ||||||||||
Specialty Chemicals — 0.2% | ||||||||||
Albemarle Corp. | 976 | 50 | ||||||||
Celanese Corp. | 1,841 | 82 | ||||||||
Cytec Industries Inc. | 2,560 | 114 | ||||||||
Ecolab Inc. | 3,762 | 217 | ||||||||
463 | ||||||||||
Specialty Stores — 0.1% | ||||||||||
Dick’s Sporting Goods Inc. | 4,556 | 168 | ||||||||
Steel — 0.5% | ||||||||||
Allegheny Technologies Inc. | 21,587 | 1,032 | ||||||||
Steel Dynamics Inc. | 6,126 | 81 | ||||||||
1,113 | ||||||||||
Systems Software — 1.4% | ||||||||||
Microsoft Corp. | 68,420 | 1,777 | (h) | |||||||
Oracle Corp. | 32,859 | 842 | ||||||||
Rovi Corp. | 9,712 | 239 | (a) | |||||||
2,858 |
See Notes to Schedules of Investments and Notes to Financial Statements.
24
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Thrifts & Mortgage Finance — 0.3% | ||||||||||
BankUnited Inc. | 6,043 | $ | 133 | |||||||
People’s United Financial Inc. | 38,023 | 488 | ||||||||
621 | ||||||||||
Tobacco — 0.2% | ||||||||||
Philip Morris International Inc. | 6,095 | 478 | ||||||||
Trading Companies & Distributors — 0.1% | ||||||||||
MSC Industrial Direct Company Inc. | 3,960 | 283 | ||||||||
Water Utilities — 0.1% | ||||||||||
American Water Works Company Inc. | 4,271 | 136 | ||||||||
Wireless Telecommunication Services — 0.6% | ||||||||||
American Tower Corp. | 13,537 | 813 | (a) | |||||||
NII Holdings Inc. | 21,551 | 459 | (a) | |||||||
1,272 | ||||||||||
Total Domestic Equity | 83,867 | |||||||||
Foreign Equity — 17.9% |
| |||||||||
Common Stock — 17.7% | ||||||||||
Advertising — 0.1% | ||||||||||
WPP PLC | 30,245 | 317 | ||||||||
Aerospace & Defense — 0.4% | ||||||||||
CAE Inc. | 17,264 | 168 | ||||||||
European Aeronautic Defence and Space Company N.V. | 5,063 | 159 | ||||||||
Safran S.A. | 17,351 | 523 | ||||||||
850 | ||||||||||
Apparel, Accessories & Luxury Goods — 0.3% | ||||||||||
Adidas AG | 4,537 | 296 | ||||||||
LVMH Moet Hennessy Louis Vuitton S.A. | 1,955 | 278 | ||||||||
574 |
Number of Shares | Fair Value | |||||||||
Application Software — 0.2% | ||||||||||
SAP AG | 8,186 | $ | 434 | |||||||
Automobile Manufacturers — 0.6% | ||||||||||
Daimler AG | 1,653 | 73 | ||||||||
Hyundai Motor Co. | 1,776 | 328 | (a) | |||||||
Suzuki Motor Corp. | 32,066 | 663 | ||||||||
Toyota Motor Corp. | 4,430 | 148 | ||||||||
1,212 | ||||||||||
Brewers — 0.1% | ||||||||||
Carlsberg A/S | 1,529 | 108 | ||||||||
Building Products — 0.1% | ||||||||||
Daikin Industries Ltd. | 9,400 | 258 | ||||||||
Communications Equipment — 0.2% | ||||||||||
Telefonaktiebolaget LM Ericsson | 35,106 | 361 | ||||||||
Construction & Engineering — 0.2% | ||||||||||
Larsen & Toubro Ltd. | 6,676 | 125 | ||||||||
VInci S.A. | 5,500 | 241 | ||||||||
366 | ||||||||||
Distillers & Vintners — 0.4% | ||||||||||
Diageo PLC | 32,276 | 705 | ||||||||
Diageo PLC ADR | 1,986 | 174 | ||||||||
879 | ||||||||||
Diversified Capital Markets — 0.1% | ||||||||||
Credit Suisse Group AG | 8,490 | 200 | ||||||||
Diversified Financial Services — 1.5% | ||||||||||
Banco Santander S.A. | 33,543 | 256 | ||||||||
Bank of China Ltd. | 457,669 | 169 | ||||||||
BNP Paribas S.A. | 11,648 | 459 | ||||||||
HSBC Holdings PLC | 103,294 | 788 | ||||||||
ICICI Bank Ltd. | 11,718 | 151 | ||||||||
ING Groep N.V. | 38,587 | 279 | (a) | |||||||
Lloyds Banking Group PLC | 696,054 | 280 | (a) | |||||||
Standard Chartered PLC | 20,249 | 443 | ||||||||
United Overseas Bank Ltd. | 31,694 | 373 | ||||||||
3,198 |
See Notes to Schedules of Investments and Notes to Financial Statements.
25
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Diversified Metals & Mining — 0.9% | ||||||||||
Antofagasta PLC | 4,841 | $ | 91 | |||||||
BHP Billiton PLC | 22,516 | 657 | ||||||||
First Quantum Minerals Ltd. | 3,471 | 68 | ||||||||
Lynas Corporation Ltd. | 263,916 | 283 | (a) | |||||||
Rio Tinto PLC | 13,689 | 665 | ||||||||
Xstrata PLC | 7,029 | 107 | ||||||||
1,871 | ||||||||||
Diversified Real Estate Activities — 0.2% | ||||||||||
Sumitomo Realty & Development Company Ltd. (REIT) | 14,000 | 245 | ||||||||
Wharf Holdings Ltd. | 44,625 | 202 | ||||||||
447 | ||||||||||
Diversified Support Services — 0.3% | ||||||||||
Aggreko PLC | 7,727 | 242 | ||||||||
Brambles Ltd. | 52,063 | 382 | ||||||||
624 | ||||||||||
Electric Utilities — 0.1% | ||||||||||
Power Grid Corporation of India Ltd. | 90,819 | 171 | ||||||||
Reliance Infrastructure Ltd. | 4,712 | 30 | ||||||||
201 | ||||||||||
Electrical Components & Equipment — 0.1% | ||||||||||
Schneider Electric S.A. | 2,047 | 108 | ||||||||
Electronic Components — 0.1% | ||||||||||
Delta Electronics Inc. | 60,000 | 143 | ||||||||
Electronic Equipment & Instruments — 0.1% | ||||||||||
Hexagon AB | 16,223 | 244 | ||||||||
Fertilizers & Agricultural Chemicals — 0.7% | ||||||||||
Potash Corporation of Saskatchewan Inc. †† | 13,382 | 554 | ||||||||
Potash Corporation of Saskatchewan Inc. †† | 5,310 | 219 | ||||||||
Sociedad Quimica y Minera de Chile S.A. ADR | 1,017 | 55 |
Number of Shares | Fair Value | |||||||||
Syngenta AG | 1,866 | $ | 549 | |||||||
1,377 | ||||||||||
Food Retail — 0.2% | ||||||||||
Koninklijke Ahold N.V. | 6,382 | 86 | ||||||||
Tesco PLC | 50,438 | 316 | ||||||||
402 | ||||||||||
Gold — 0.2% | ||||||||||
Barrick Gold Corp. | 1,064 | 48 | ||||||||
Goldcorp Inc. | 1,447 | 64 | ||||||||
Kinross Gold Corp. | 33,911 | 387 | ||||||||
499 | ||||||||||
Healthcare Services — 0.2% | ||||||||||
Fresenius SE & Company KGaA | 4,821 | 447 | ||||||||
Healthcare Supplies — 0.2% | ||||||||||
Cie Generale d’Optique Essilor International S.A. | 7,395 | 524 | ||||||||
Heavy Electrical Equipment — 0.1% | ||||||||||
ABB Ltd. ADR | 5,794 | 109 | ||||||||
Hotels, Resorts & Cruise Lines — 0.0%* | ||||||||||
Accor S.A. | 858 | 22 | ||||||||
Household Products — 0.5% | ||||||||||
Reckitt Benckiser Group PLC | 10,994 | 543 | ||||||||
Unicharm Corp. | 10,600 | 523 | ||||||||
1,066 | ||||||||||
Human Resource & Employment Services — 0.1% | ||||||||||
The Capita Group PLC | 14,940 | 146 | ||||||||
Hypermarkets & Super Centers — 0.1% | ||||||||||
Metro AG | 3,458 | 127 | ||||||||
Industrial Conglomerates — 0.6% | ||||||||||
Hutchison Whampoa Ltd. | 36,356 | 306 | ||||||||
Koninklijke Philips Electronics N.V. | 10,218 | 216 | ||||||||
Siemens AG | 4,923 | 473 |
See Notes to Schedules of Investments and Notes to Financial Statements.
26
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Siemens AG ADR | 2,322 | $ | 222 | |||||||
1,217 | ||||||||||
Industrial Gases — 0.4% | ||||||||||
Linde AG | 5,853 | 873 | ||||||||
OCI Materials Company Ltd. | 680 | 47 | (a) | |||||||
920 | ||||||||||
Industrial Machinery — 0.5% | ||||||||||
FANUC Corp. | 3,000 | 459 | ||||||||
Mitsubishi Heavy Industries Ltd. | 29,000 | 124 | ||||||||
SMC Corp. | 1,700 | 274 | ||||||||
Vallourec S.A. | 4,877 | 318 | ||||||||
1,175 | ||||||||||
Integrated Oil & Gas — 1.8% | ||||||||||
BG Group PLC | 21,389 | 458 | (a) | |||||||
Cenovus Energy Inc. | 2,063 | 69 | ||||||||
China Petroleum & Chemical Corp. | 134,167 | 141 | ||||||||
ENI S.p.A | 5,769 | 120 | ||||||||
Gazprom OAO ADR | 8,305 | 89 | ||||||||
Petroleo Brasileiro S.A. ADR | 20,263 | 476 | ||||||||
Royal Dutch Shell PLC | 39,763 | 1,465 | ||||||||
Suncor Energy Inc. †† | 9,111 | 263 | ||||||||
Suncor Energy Inc. †† | 14,737 | 425 | ||||||||
Total S.A. | 3,429 | 176 | ||||||||
3,682 | ||||||||||
Integrated Telecommunication Services — 0.2% | ||||||||||
Telefonica S.A. | 13,595 | 236 | ||||||||
Telefonica S.A. ADR | 7,571 | 130 | ||||||||
366 | ||||||||||
Internet Software & Services — 0.5% | ||||||||||
Baidu Inc. ADR | 9,680 | 1,127 | (a) | |||||||
IT Consulting & Other Services — 0.1% | ||||||||||
Cap Gemini S.A. | 7,313 | 229 | ||||||||
Life & Health Insurance — 0.6% | ||||||||||
AIA Group Ltd. | 148,272 | 463 | ||||||||
Prudential PLC | 61,588 | 611 |
Number of Shares | Fair Value | |||||||||
Sony Financial Holdings Inc. | 20,300 | $ | 299 | |||||||
1,373 | ||||||||||
Multi-Line Insurance — 0.3% | ||||||||||
AXA S.A. | 22,349 | 291 | ||||||||
Zurich Financial Services AG | 1,175 | 267 | ||||||||
558 | ||||||||||
Multi-Utilities — 0.3% | ||||||||||
National Grid PLC | 59,771 | 581 | ||||||||
Oil & Gas Drilling — 0.0%* | ||||||||||
China Oilfield Services Ltd. | 39,044 | 62 | ||||||||
Oil & Gas Equipment & Services — 0.1% | ||||||||||
Cie Generale de Geophysique — Veritas | 3,868 | 91 | (a) | |||||||
Gasfrac Energy Services Inc. | 13,012 | 89 | (a) | |||||||
180 | ||||||||||
Oil & Gas Exploration & Production — 0.1% | ||||||||||
Afren PLC | 60,487 | 81 | (a) | |||||||
Canadian Natural Resources Ltd. | 6,726 | 252 | ||||||||
Lone Pine Resources Inc. | 223 | 2 | (a) | |||||||
335 | ||||||||||
Packaged Foods & Meats — 0.7% | ||||||||||
Nestle S.A. | 16,329 | 943 | ||||||||
Nestle S.A. ADR | 2,414 | 139 | ||||||||
Unilever N.V. | 11,179 | 386 | ||||||||
1,468 | ||||||||||
Pharmaceuticals — 0.9% | ||||||||||
Bayer AG | 5,002 | 321 | (a) | |||||||
Novartis AG | 12,516 | 719 | ||||||||
Novartis AG ADR | 11,500 | 657 | ||||||||
Teva Pharmaceutical Industries Ltd. ADR | 5,412 | 218 | ||||||||
1,915 | ||||||||||
Regional Banks — 0.1% | ||||||||||
The Bank of Yokohama Ltd. | 63,600 | 301 | ||||||||
Restaurants — 0.1% | ||||||||||
Arcos Dorados Holdings Inc. | 6,149 | 126 |
See Notes to Schedules of Investments and Notes to Financial Statements.
27
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Number of Shares | Fair Value | |||||||||
Security & Alarm Services — 0.1% | ||||||||||
G4S PLC †† | 8,452 | $ | 35 | |||||||
G4S PLC †† | 39,473 | 167 | ||||||||
202 | ||||||||||
Semiconductors — 0.6% | ||||||||||
Samsung Electronics Company Ltd. | 829 | 761 | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 233,484 | 584 | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 1,921 | 25 | ||||||||
1,370 | ||||||||||
Specialized Finance — 0.1% | ||||||||||
Deutsche Boerse AG | 3,275 | 172 | (a) | |||||||
Specialty Chemicals — 0.1% | ||||||||||
Neo Material Technologies Inc. | 9,785 | 70 | (a) | |||||||
Novozymes A/S | 1,710 | 53 | ||||||||
Symrise AG | 1,896 | 51 | ||||||||
174 | ||||||||||
Steel — 0.2% | ||||||||||
Mechel ADR | 9,211 | 32 | ||||||||
ThyssenKrupp AG | 7,781 | 179 | ||||||||
Vale S.A. ADR | 13,693 | 282 | ||||||||
493 | ||||||||||
Trading Companies & Distributors — 0.2% | ||||||||||
Mitsubishi Corp. | 17,800 | 360 | ||||||||
Wireless Telecommunication Services — 0.8% | ||||||||||
America Movil SAB de C.V. ADR | 11,238 | 254 | ||||||||
Mobile Telesystems OJSC ADR | 6,352 | 93 | ||||||||
MTN Group Ltd. | 8,824 | 157 | ||||||||
Softbank Corp. | 14,500 | 427 | ||||||||
Vodafone Group PLC | 249,163 | 693 | ||||||||
1,624 | ||||||||||
Total Common Stock | 37,124 |
Number of Shares | Fair Value | |||||||||
Preferred Stock — 0.2% | ||||||||||
Automobile Manufacturers — 0.2% | ||||||||||
Volkswagen AG | 3,497 | $ | 525 | |||||||
Total Foreign Equity | 37,649 |
Principal Amount | ||||||||||||
Bonds and Notes — 30.8% | ||||||||||||
U.S. Treasuries — 5.7% | ||||||||||||
U.S. Treasury Bonds | ||||||||||||
3.13% | 11/15/41 | $ | 28 | 29 | ||||||||
3.75% | 08/15/41 | 4,029 | 4,739 | |||||||||
4.38% | 05/15/41 | 841 | 1,096 | (h) | ||||||||
U.S. Treasury Notes | ||||||||||||
0.24% | 10/31/13 | 277 | 277 | (d) | ||||||||
0.80% | 10/31/16 | 2,350 | 2,373 | (d,h) | ||||||||
0.81% | 11/30/16 | 2,819 | 2,827 | (d) | ||||||||
2.00% | 11/15/21 | 735 | 743 | |||||||||
12,084 | ||||||||||||
Agency Mortgage Backed — 9.8% | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
4.50% | 06/01/33 - 02/01/35 | 15 | 17 | (h) | ||||||||
5.00% | 07/01/35 - 06/01/41 | 445 | 487 | (h) | ||||||||
5.50% | 05/01/20 - 04/01/39 | 220 | 243 | (h) | ||||||||
6.00% | 04/01/17 - 11/01/37 | 465 | 517 | (h) | ||||||||
6.50% | 11/01/28 - 07/01/29 | 16 | 18 | (h) | ||||||||
7.00% | 10/01/16 - 08/01/36 | 51 | 55 | (h) | ||||||||
7.50% | 09/01/12 - 09/01/33 | 12 | 15 | (h) | ||||||||
8.00% | 07/01/26 - 11/01/30 | 6 | 7 | (h) | ||||||||
8.50% | 04/01/30 - 05/01/30 | 18 | 22 | (h) | ||||||||
Federal National Mortgage Assoc. | ||||||||||||
4.00% | 05/01/19 - 12/01/40 | 941 | 995 | (h) | ||||||||
4.50% | 05/01/18 - 08/01/41 | 6,906 | 7,408 | (h) | ||||||||
5.00% | 07/01/20 - 06/01/41 | 979 | 1,073 | (h) | ||||||||
5.14% | 03/01/37 | 1 | 1 | (i) | ||||||||
5.47% | 04/01/37 | 1 | 1 | (i) | ||||||||
5.50% | 04/01/14 - 01/01/39 | 1,304 | 1,424 | (h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
28
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
6.00% | 02/01/14 - 08/01/35 | $ | 526 | $ | 590 | (h) | ||||||
6.50% | 12/01/14 - 08/01/36 | 118 | 133 | (h) | ||||||||
7.00% | 01/01/16 - 12/01/33 | 11 | 13 | (h) | ||||||||
7.50% | 09/01/13 - 03/01/34 | 35 | 38 | (h) | ||||||||
8.00% | 12/01/12 - 11/01/33 | 38 | 44 | (h) | ||||||||
8.50% | 05/01/31 | 3 | 3 | (h) | ||||||||
9.00% | 04/01/16 - 12/01/22 | 8 | 9 | (h) | ||||||||
4.00% | TBA | 60 | 63 | (c) | ||||||||
4.50% | TBA | 1,599 | 1,702 | (c) | ||||||||
5.00% | TBA | 2,304 | 2,485 | (c) | ||||||||
6.50% | TBA | 490 | 545 | (c) | ||||||||
Government National Mortgage Assoc. | ||||||||||||
4.50% | 08/15/33 - 03/20/41 | 989 | 1,082 | (h) | ||||||||
5.00% | 08/15/33 | 31 | 34 | (h) | ||||||||
6.00% | 04/15/30 - 09/15/36 | 34 | 38 | (h) | ||||||||
6.50% | 06/15/24 - 07/15/36 | 58 | 69 | (h) | ||||||||
7.00% | 03/15/12 - 10/15/36 | 38 | 44 | (h) | ||||||||
7.50% | 07/15/23 - 04/15/28 | 18 | 17 | (h) | ||||||||
8.00% | 05/15/30 | 1 | 1 | (h) | ||||||||
8.50% | 10/15/17 | 16 | 18 | (h) | ||||||||
9.00% | 11/15/16 - 12/15/21 | 17 | 18 | (h) | ||||||||
4.50% | TBA | 1,120 | 1,220 | (c) | ||||||||
5.50% | TBA | 50 | 56 | (c) | ||||||||
20,505 | ||||||||||||
Agency Collateralized Mortgage Obligations — 0.7% | ||||||||||||
Collateralized Mortgage Obligation Trust | ||||||||||||
0.94% | 11/01/18 | 1 | 1 | (d,f,q) | ||||||||
Fannie Mae Whole Loan | ||||||||||||
0.99% | 08/25/43 | 205 | 4 | (g,h,i) | ||||||||
1.07% | 11/25/33 | 105 | 2 | (g,i) | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
0.08% | 09/25/43 | 320 | 3 | (g,h,i) | ||||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||||||
3.50% | 11/15/24 | 102 | 6 | (g,r) | ||||||||
5.00% | 05/15/38 | 59 | 66 | |||||||||
5.50%** | 04/15/17 | 6 | — | (g,h,r) | ||||||||
6.10% | 10/15/37 | 377 | 62 | (g,i) |
Principal Amount | Fair Value | |||||||||||
6.32% | 08/15/25 | $ | 281 | $ | 43 | (g,i) | ||||||
6.37% | 07/15/37 | 370 | 66 | (g,i) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 1980) | ||||||||||||
7.50% | 07/15/27 | 19 | 3 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2631) | ||||||||||||
5.50% | 06/15/33 | 38 | 5 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2643) | ||||||||||||
4.50% | 03/15/18 | 35 | 2 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2645) | ||||||||||||
4.50% | 02/15/18 | 14 | 1 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2763) | ||||||||||||
5.00% | 10/15/18 | 27 | 2 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2781) | ||||||||||||
5.00% | 05/15/18 | 16 | 1 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 33) | ||||||||||||
8.00% | 04/15/20 | 1 | 1 | (h) | ||||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||||||
8.00%** | 02/01/23 - 07/01/24 | 4 | — | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. STRIPS (Series 227) | ||||||||||||
5.00% | 12/01/34 | 122 | 18 | (g,h,r) | ||||||||
Federal Home Loan Mortgage STRIPS | ||||||||||||
2.69% | 08/01/27 | 1 | 1 | (d,f,h) | ||||||||
Federal National Mortgage Assoc. REMIC | ||||||||||||
1.21% | 12/25/42 | 76 | 2 | (g,h,i) | ||||||||
5.00% | 08/25/38 | 58 | 66 |
See Notes to Schedules of Investments and Notes to Financial Statements.
29
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
5.00% | 09/25/40 | 355 | 52 | (g,r) | ||||||||
5.71% | 07/25/38 - 01/25/41 | 360 | 46 | (g,i) | ||||||||
5.76% | 02/25/39 | 851 | 140 | (g,i) | ||||||||
6.36% | 11/25/37 | 438 | 64 | (g,i) | ||||||||
Federal National Mortgage Assoc. REMIC (Class B) | ||||||||||||
3.18% | 12/25/22 | 1 | 1 | (d,f,h) | ||||||||
Federal National Mortgage Assoc. REMIC (Class VZ) | ||||||||||||
5.00% | 10/25/35 | 55 | 63 | |||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) | ||||||||||||
7.21% | 05/25/18 | 263 | 29 | (g,h,i) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) | ||||||||||||
5.00% | 10/25/22 | 13 | 1 | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) | ||||||||||||
5.00% | 02/25/32 | 62 | 5 | (g,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) | ||||||||||||
4.50%** | 05/25/18 | 3 | — | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) | ||||||||||||
15.96% | 03/25/31 | 30 | 33 | (h,i) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2008) | ||||||||||||
5.00% | 07/25/38 | 47 | 53 | |||||||||
Federal National Mortgage Assoc. STRIPS | ||||||||||||
5.00% | 05/25/38 | 45 | 6 | (g,r) | ||||||||
6.00% | 01/01/35 | 40 | 7 | (g,r) | ||||||||
Federal National Mortgage Assoc. STRIPS (Class 2) | ||||||||||||
4.50% | 08/01/35 | 66 | 8 | (g,r) | ||||||||
5.00% | 03/25/38 | 48 | 7 | (g,r) | ||||||||
5.50% | 12/01/33 | 20 | 3 | (g,r) | ||||||||
7.50% | 11/01/23 | 37 | 7 | (g,h,r) |
Principal Amount | Fair Value | |||||||||||
8.00% | 08/01/23 - 07/01/24 | $ | 7 | $ | 1 | (g,h,r) | ||||||
8.50%** | 03/01/17 - 07/25/22 | 3 | — | (g,h,r) | ||||||||
9.00%** | 05/25/22 | 1 | — | (g,h,r) | ||||||||
Federal National Mortgage Assoc. STRIPS (Series 378) | ||||||||||||
4.50% | 01/01/36 | 72 | 9 | (g,r) | ||||||||
Federal National Mortgage Association REMIC (Series 2008 | ||||||||||||
5.98% | 02/25/38 | 393 | 58 | (g,i) | ||||||||
Government National Mortgage Assoc. | ||||||||||||
4.50% | 04/16/34 - 08/16/39 | 1,429 | 185 | (g,r) | ||||||||
4.50% | 11/20/39 | 139 | 152 | |||||||||
5.00% | 12/20/35 - 09/20/38 | 461 | 55 | (g,r) | ||||||||
Government National Mortgage Assoc. (Class IC) | ||||||||||||
5.97% | 04/16/37 | 117 | 22 | (g,i) | ||||||||
Vendee Mortgage Trust | ||||||||||||
0.37% | 04/15/40 | 455 | 9 | (g,h,i) | ||||||||
0.58% | 09/15/46 | 1,079 | 35 | (g,h,i) | ||||||||
0.84% | 05/15/33 | 142 | 5 | (g,i) | ||||||||
1,411 | ||||||||||||
Asset Backed — 0.3% | ||||||||||||
Bear Stearns Asset Backed Securities Trust | ||||||||||||
6.17% | 01/25/34 | 4 | 3 | (d,i,q) | ||||||||
Citicorp Residential Mortgage Securities Inc. | ||||||||||||
6.04% | 09/25/36 | 50 | 35 | (h) | ||||||||
Countrywide Asset-Backed Certificates | ||||||||||||
1.15% | 05/25/33 | 3 | 2 | (h,i) | ||||||||
14.07% | 04/25/32 | 13 | 7 | (d,h,i) | ||||||||
Mid-State Trust | ||||||||||||
7.54% | 07/01/35 | 8 | 8 | (q) | ||||||||
Popular ABS Mortgage Pass- Through Trust | ||||||||||||
5.30% | 11/25/35 | 50 | 34 | (h) | ||||||||
Residential Asset Mortgage Products Inc. | ||||||||||||
5.28% | 06/25/32 | 13 | 10 | (d,i,q) |
See Notes to Schedules of Investments and Notes to Financial Statements.
30
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Residential Asset Securities Corp. | ||||||||||||
14.34% | 07/25/32 | $ | 4 | $ | 2 | (d,q) | ||||||
Saxon Asset Securities Trust | ||||||||||||
5.23% | 08/25/35 | 568 | 541 | (h,i) | ||||||||
642 | ||||||||||||
Corporate Notes — 11.2% | ||||||||||||
Advanced Micro Devices Inc. |
| |||||||||||
7.75% | 08/01/20 | 68 | 70 | |||||||||
AES El Salvador Trust | ||||||||||||
6.75% | 02/01/16 | 100 | 97 | (b) | ||||||||
AES Gener S.A. | ||||||||||||
5.25% | 08/15/21 | 21 | 21 | (b) | ||||||||
AES Panama S.A. | ||||||||||||
6.35% | 12/21/16 | 30 | 32 | (b,h) | ||||||||
Agilent Technologies Inc. | ||||||||||||
5.50% | 09/14/15 | 81 | 89 | (h) | ||||||||
Alcoa Inc. | ||||||||||||
5.40% | 04/15/21 | 49 | 49 | |||||||||
5.55% | 02/01/17 | 38 | 41 | |||||||||
Allergan Inc. | ||||||||||||
3.38% | 09/15/20 | 58 | 60 | (h) | ||||||||
Alliance One International Inc. | ||||||||||||
10.00% | 07/15/16 | 80 | 72 | |||||||||
Alpha Natural Resources Inc. | ||||||||||||
6.00% | 06/01/19 | 70 | 68 | |||||||||
American Axle & Manufacturing Inc. | ||||||||||||
7.88% | 03/01/17 | 69 | 68 | |||||||||
American International Group Inc. | ||||||||||||
5.85% | 01/16/18 | 121 | 118 | (h) | ||||||||
Amgen Inc. | ||||||||||||
1.88% | 11/15/14 | 38 | 38 | |||||||||
2.30% | 06/15/16 | 56 | 56 | |||||||||
2.50% | 11/15/16 | 38 | 38 | |||||||||
5.65% | 06/15/42 | 115 | 125 | (h) | ||||||||
Amsted Industries Inc. | ||||||||||||
8.13% | 03/15/18 | 63 | 67 | (b,h) | ||||||||
Anadarko Petroleum Corp. | ||||||||||||
5.95% | 09/15/16 | 159 | 180 | |||||||||
6.20% | 03/15/40 | 129 | 144 | (h) | ||||||||
6.38% | 09/15/17 | 165 | 191 |
Principal Amount | Fair Value | |||||||||||
6.45% | 09/15/36 | $ | 38 | $ | 43 | |||||||
6.95% | 06/15/19 | 94 | 112 | |||||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||||||
3.63% | 04/15/15 | 123 | 131 | (h) | ||||||||
5.38% | 11/15/14 | 94 | 104 | (h) | ||||||||
Aon Corp. | ||||||||||||
3.13% | 05/27/16 | 96 | 97 | (h) | ||||||||
ArcelorMittal | ||||||||||||
5.50% | 03/01/21 | 81 | 74 | |||||||||
6.75% | 03/01/41 | 96 | 86 | |||||||||
Arch Coal Inc. | ||||||||||||
7.00% | 06/15/19 | 70 | 71 | (b,h) | ||||||||
Archer-Daniels-Midland Co. | ||||||||||||
5.77% | 03/01/41 | 156 | 197 | (h) | ||||||||
Arizona Public Service Co. | ||||||||||||
6.25% | 08/01/16 | 80 | 94 | (h) | ||||||||
AT&T Inc. | ||||||||||||
2.95% | 05/15/16 | 67 | 70 | |||||||||
5.60% | 05/15/18 | 136 | 158 | |||||||||
6.40% | 05/15/38 | 94 | 116 | (h) | ||||||||
6.70% | 11/15/13 | 79 | 87 | |||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||||||
2.40% | 11/23/16 | 250 | 248 | (b) | ||||||||
Baker Hughes Inc. | ||||||||||||
3.20% | 08/15/21 | 76 | 79 | (b,h) | ||||||||
Banco de Credito del Peru | ||||||||||||
4.75% | 03/16/16 | 44 | 44 | (b,h) | ||||||||
Banco Mercantil del Norte S.A. | ||||||||||||
6.86% | 10/13/21 | 100 | 101 | (b,h,i) | ||||||||
BanColombia S.A. | ||||||||||||
6.13% | 07/26/20 | 15 | 15 | |||||||||
Bank of America Corp. | ||||||||||||
3.75% | 07/12/16 | 160 | 148 | (h) | ||||||||
5.00% | 05/13/21 | 115 | 105 | |||||||||
5.42% | 03/15/17 | 300 | 271 | (h) | ||||||||
5.63% | 10/14/16 | 40 | 38 | (h) | ||||||||
6.50% | 08/01/16 | 195 | 196 | (h) | ||||||||
Banque Centrale de Tunisie S.A. | ||||||||||||
7.38% | 04/25/12 | 200 | 202 | (h) | ||||||||
Baxter International Inc. | ||||||||||||
1.85% | 01/15/17 | 90 | 91 |
See Notes to Schedules of Investments and Notes to Financial Statements.
31
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Becton Dickinson and Co. | ||||||||||||
3.13% | 11/08/21 | $ | 114 | $ | 118 | |||||||
BG Energy Capital PLC | ||||||||||||
4.00% | 10/15/21 | 76 | 78 | (b,h) | ||||||||
Boise Paper Holdings LLC | ||||||||||||
8.00% | 04/01/20 | 99 | 105 | |||||||||
Bombardier Inc. | ||||||||||||
7.75% | 03/15/20 | 354 | 386 | (b,h) | ||||||||
BP Capital Markets PLC | ||||||||||||
2.25% | 11/01/16 | 115 | 116 | (h) | ||||||||
Braskem Finance Ltd. | ||||||||||||
5.75% | 04/15/21 | 212 | 210 | (b) | ||||||||
Broadcom Corp. | ||||||||||||
2.70% | 11/01/18 | 114 | 115 | |||||||||
Calpine Corp. | ||||||||||||
7.25% | 10/15/17 | 12 | 13 | (b,h) | ||||||||
Cargill Inc. | ||||||||||||
5.20% | 01/22/13 | 215 | 225 | (b,h) | ||||||||
6.00% | 11/27/17 | 1 | 1 | (b,h) | ||||||||
Case New Holland Inc. | ||||||||||||
7.88% | 12/01/17 | 40 | 45 | |||||||||
Caterpillar Inc. | ||||||||||||
3.90% | 05/27/21 | 80 | 88 | |||||||||
CCO Holdings LLC | ||||||||||||
7.88% | 04/30/18 | 188 | 200 | (h) | ||||||||
8.13% | 04/30/20 | 61 | 67 | |||||||||
Central American Bank for Economic Integration | ||||||||||||
5.38% | 09/24/14 | 60 | 64 | (b,h) | ||||||||
CenturyLink Inc. | ||||||||||||
5.15% | 06/15/17 | 78 | 77 | (h) | ||||||||
CenturyLink Inc. (Series G) | ||||||||||||
6.88% | 01/15/28 | 59 | 55 | |||||||||
Chesapeake Energy Corp. | ||||||||||||
6.13% | 02/15/21 | 63 | 65 | (h) | ||||||||
Chesapeake Midstream Partners LP | ||||||||||||
5.88% | 04/15/21 | 101 | 101 | (b,h) | ||||||||
Chrysler Group LLC | ||||||||||||
8.00% | 06/15/19 | 200 | 183 | (b,h) | ||||||||
Cigna Corp. | ||||||||||||
2.75% | 11/15/16 | 76 | 76 | |||||||||
4.00% | 02/15/22 | 177 | 175 |
Principal Amount | Fair Value | |||||||||||
5.38% | 02/15/42 | $ | 128 | $ | 127 | |||||||
CIncinnati Bell Inc. | ||||||||||||
8.25% | 10/15/17 | 110 | 111 | (h) | ||||||||
Citigroup Inc. | ||||||||||||
4.50% | 01/14/22 | 159 | 153 | |||||||||
5.00% | 09/15/14 | 290 | 287 | (h) | ||||||||
CityCenter Holdings LLC | ||||||||||||
7.63% | 01/15/16 | 68 | 70 | (b) | ||||||||
CNA Financial Corp. | ||||||||||||
5.88% | 08/15/20 | 74 | 76 | |||||||||
Consolidated Edison Co of New York Inc. | ||||||||||||
6.65% | 04/01/19 | 190 | 240 | (h) | ||||||||
Consolidated Edison Company of New York Inc. (Series 2008) | ||||||||||||
5.85% | 04/01/18 | 16 | 20 | (h) | ||||||||
Corp Lindley S.A. | ||||||||||||
6.75% | 11/23/21 | 7 | 7 | (b) | ||||||||
Corp Nacional del Cobre de Chile | ||||||||||||
3.75% | 11/04/20 | 100 | 102 | (b,h) | ||||||||
5.63% | 09/21/35 | 12 | 14 | (b,h) | ||||||||
Crown Castle Towers LLC | ||||||||||||
4.88% | 08/15/40 | 100 | 102 | (b,h) | ||||||||
6.11% | 01/15/40 | 55 | 61 | (b,h) | ||||||||
CSX Corp. | ||||||||||||
4.25% | 06/01/21 | 73 | 78 | |||||||||
CVS Caremark Corp. | ||||||||||||
3.25% | 05/18/15 | 30 | 32 | (h) | ||||||||
5.75% | 06/01/17 | 84 | 98 | (h) | ||||||||
Danaher Corp. | ||||||||||||
2.30% | 06/23/16 | 80 | 83 | (h) | ||||||||
3.90% | 06/23/21 | 16 | 18 | (h) | ||||||||
DaVita Inc. | ||||||||||||
6.38% | 11/01/18 | 68 | 70 | (h) | ||||||||
Denbury Resources Inc. | ||||||||||||
6.38% | 08/15/21 | 60 | 63 | (h) | ||||||||
8.25% | 02/15/20 | 56 | 63 | (h) | ||||||||
DENTSPLY International Inc. | ||||||||||||
2.75% | 08/15/16 | 117 | 118 | |||||||||
4.13% | 08/15/21 | 77 | 79 | |||||||||
DIRECTV Holdings LLC | ||||||||||||
3.55% | 03/15/15 | 85 | 88 | (h) | ||||||||
4.75% | 10/01/14 | 109 | 118 | (h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
32
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Dominion Resources Inc. | ||||||||||||
1.95% | 08/15/16 | $ | 54 | $ | 54 | (h) | ||||||
4.90% | 08/01/41 | 32 | 35 | (h) | ||||||||
DPL Inc. | ||||||||||||
7.25% | 10/15/21 | 188 | 203 | (b,h) | ||||||||
Duke Realty LP (REIT) | ||||||||||||
6.50% | 01/15/18 | 118 | 130 | (h) | ||||||||
Ecolab Inc. | ||||||||||||
3.00% | 12/08/16 | 106 | 110 | |||||||||
Ecopetrol S.A. | ||||||||||||
7.63% | 07/23/19 | 14 | 17 | |||||||||
EH Holding Corp. | ||||||||||||
6.50% | 06/15/19 | 109 | 114 | (b,h) | ||||||||
Empresa de Energia de Bogota S.A. | ||||||||||||
6.13% | 11/10/21 | 14 | 14 | (b) | ||||||||
Energy Transfer Equity LP | ||||||||||||
7.50% | 10/15/20 | 51 | 56 | |||||||||
Energy Transfer Partners LP | ||||||||||||
6.70% | 07/01/18 | 56 | 62 | (h) | ||||||||
European Investment Bank | ||||||||||||
1.46% | 12/15/14 | 110 | 108 | (d,h) | ||||||||
4.88% | 01/17/17 | 300 | 343 | (h) | ||||||||
Exelon Corp. | ||||||||||||
4.90% | 06/15/15 | 111 | 120 | (h) | ||||||||
First Horizon National Corp. | ||||||||||||
5.38% | 12/15/15 | 122 | 123 | (h) | ||||||||
Florida Power & Light Co. | ||||||||||||
4.13% | 02/01/42 | 68 | 70 | |||||||||
FMG Resources August 2006 Pty Ltd. | ||||||||||||
7.00% | 11/01/15 | 68 | 69 | (b) | ||||||||
Forest Oil Corp. | ||||||||||||
7.25% | 06/15/19 | 95 | 97 | (h) | ||||||||
Fresenius Medical Care US Finance Inc. | ||||||||||||
5.75% | 02/15/21 | 143 | 143 | (b,h) | ||||||||
Frontier Communications Corp. | ||||||||||||
7.13% | 03/15/19 | 142 | 138 | |||||||||
Georgia-Pacific LLC | ||||||||||||
5.40% | 11/01/20 | 53 | 59 | (b) | ||||||||
Gilead Sciences Inc. | ||||||||||||
3.05% | 12/01/16 | 60 | 61 | |||||||||
4.40% | 12/01/21 | 122 | 129 |
Principal Amount | Fair Value | |||||||||||
5.65% | 12/01/41 | $ | 99 | $ | 110 | |||||||
Goldman Sachs Capital I | ||||||||||||
6.35% | 02/15/34 | 64 | 54 | |||||||||
Great Plains Energy Inc. | ||||||||||||
4.85% | 06/01/21 | 80 | 84 | |||||||||
Halliburton Co. | ||||||||||||
3.25% | 11/15/21 | 38 | 39 | |||||||||
4.50% | 11/15/41 | 38 | 39 | |||||||||
Hanesbrands Inc. | ||||||||||||
6.38% | 12/15/20 | 197 | 200 | |||||||||
HCA Inc. | ||||||||||||
6.50% | 02/15/20 | 119 | 123 | |||||||||
7.50% | 02/15/22 | 68 | 70 | |||||||||
HealthSouth Corp. | ||||||||||||
7.75% | 09/15/22 | 68 | 67 | |||||||||
Hewlett-Packard Co. | ||||||||||||
3.00% | 09/15/16 | 77 | 78 | (h) | ||||||||
4.65% | 12/09/21 | 75 | 79 | |||||||||
Host Hotels & Resorts LP (REIT) | ||||||||||||
6.00% | 11/01/20 | 68 | 70 | (h) | ||||||||
HSBC Finance Corp. | ||||||||||||
6.68% | 01/15/21 | 168 | 174 | |||||||||
Intelsat Jackson Holdings S.A. | ||||||||||||
7.25% | 10/15/20 | 56 | 57 | |||||||||
Inter-American Development Bank | ||||||||||||
1.38% | 10/18/16 | 115 | 117 | |||||||||
Inversiones CMPC S.A. | ||||||||||||
4.75% | 01/19/18 | 14 | 15 | (b,h) | ||||||||
IPIC GMTN Ltd. | ||||||||||||
3.75% | 03/01/17 | 200 | 199 | (b) | ||||||||
John Deere Capital Corp. | ||||||||||||
3.15% | 10/15/21 | 38 | 39 | (h) | ||||||||
JPMorgan Chase & Co. | ||||||||||||
3.15% | 07/05/16 | 115 | 116 | (h) | ||||||||
4.35% | 08/15/21 | 367 | 371 | (h) | ||||||||
5.13% | 09/15/14 | 37 | 39 | |||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
5.80% | 03/01/21 | 39 | 44 | |||||||||
Korea Development Bank | ||||||||||||
3.25% | 03/09/16 | 122 | 120 | (h) | ||||||||
Korea National Oil Corp. | ||||||||||||
2.88% | 11/09/15 | 100 | 100 | (b,h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
33
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Kraft Foods Inc. | ||||||||||||
4.13% | 02/09/16 | $ | 122 | $ | 132 | (h) | ||||||
5.38% | 02/10/20 | 37 | 43 | |||||||||
Kreditanstalt fuer Wiederaufbau | ||||||||||||
3.50% | 03/10/14 | 62 | 65 | |||||||||
4.50% | 07/16/18 | 102 | 119 | (h) | ||||||||
Linn Energy LLC | ||||||||||||
8.63% | 04/15/20 | 56 | 61 | |||||||||
Lockheed Martin Corp. | ||||||||||||
3.35% | 09/15/21 | 77 | 77 | (h) | ||||||||
4.85% | 09/15/41 | 77 | 78 | (h) | ||||||||
Lorillard Tobacco Co. | ||||||||||||
3.50% | 08/04/16 | 78 | 79 | (h) | ||||||||
7.00% | 08/04/41 | 71 | 75 | (h) | ||||||||
MetroPCS Wireless Inc. | ||||||||||||
6.63% | 11/15/20 | 73 | 68 | (h) | ||||||||
Midamerican Energy Holdings Co. | ||||||||||||
6.13% | 04/01/36 | 45 | 54 | (h) | ||||||||
Morgan Stanley | ||||||||||||
3.80% | 04/29/16 | 100 | 92 | |||||||||
5.50% | 07/28/21 | 39 | 36 | |||||||||
5.75% | 01/25/21 | 200 | 187 | (h) | ||||||||
Mylan Inc. | ||||||||||||
7.88% | 07/15/20 | 27 | 30 | (b,h) | ||||||||
Nationwide Mutual Insurance Co. | ||||||||||||
7.88% | 04/01/33 | 38 | 39 | (b,h) | ||||||||
9.38% | 08/15/39 | 17 | 21 | (b,h) | ||||||||
Newfield Exploration Co. | ||||||||||||
5.75% | 01/30/22 | 95 | 103 | (h) | ||||||||
News America Inc. | ||||||||||||
6.65% | 11/15/37 | 47 | 53 | (h) | ||||||||
Nextel Communications Inc. (Series E) | ||||||||||||
6.88% | 10/31/13 | 107 | 106 | (h) | ||||||||
NextEra Energy Capital Holdings Inc. | ||||||||||||
2.60% | 09/01/15 | 163 | 164 | (h) | ||||||||
Nisource Finance Corp. | ||||||||||||
6.13% | 03/01/22 | 56 | 64 | (h) | ||||||||
Noble Energy Inc. | ||||||||||||
4.15% | 12/15/21 | 99 | 102 | |||||||||
Nordea Bank AB | ||||||||||||
4.88% | 05/13/21 | 200 | 169 | (b) |
Principal Amount | Fair Value | |||||||||||
Novelis Inc. | ||||||||||||
8.38% | 12/15/17 | $ | 80 | $ | 85 | |||||||
NRG Energy Inc. | ||||||||||||
7.63% | 05/15/19 | 50 | 49 | (b,h) | ||||||||
Occidental Petroleum Corp. | ||||||||||||
1.75% | 02/15/17 | 77 | 78 | (h) | ||||||||
3.13% | 02/15/22 | 77 | 79 | (h) | ||||||||
Oglethorpe Power Corp. | ||||||||||||
5.38% | 11/01/40 | 42 | 50 | |||||||||
ONEOK Partners LP | ||||||||||||
6.13% | 02/01/41 | 85 | 98 | |||||||||
Pacific Gas & Electric Co. | ||||||||||||
5.80% | 03/01/37 | 60 | 73 | |||||||||
6.05% | 03/01/34 | 63 | 78 | |||||||||
Pacific Rubiales Energy Corp. | ||||||||||||
7.25% | 12/12/21 | 115 | 116 | (b) | ||||||||
PacifiCorp | ||||||||||||
6.25% | 10/15/37 | 102 | 134 | (h) | ||||||||
PAETEC Holding Corp. | ||||||||||||
8.88% | 06/30/17 | 20 | 22 | (h) | ||||||||
Peabody Energy Corp. | ||||||||||||
6.00% | 11/15/18 | 20 | 20 | (b) | ||||||||
6.25% | 11/15/21 | 40 | 41 | (b) | ||||||||
Pemex Project Funding Master Trust | ||||||||||||
6.63% | 06/15/35 - 06/15/38 | 35 | 40 | (h) | ||||||||
Pernod-Ricard S.A. | ||||||||||||
4.45% | 01/15/22 | 150 | 157 | (b) | ||||||||
Petrobras International Finance Co. | ||||||||||||
3.88% | 01/27/16 | 76 | 78 | (h) | ||||||||
Petroleos Mexicanos | ||||||||||||
6.00% | 03/05/20 | 20 | 22 | (h) | ||||||||
6.50% | 06/02/41 | 14 | 16 | (b) | ||||||||
8.00% | 05/03/19 | 20 | 25 | (h) | ||||||||
Philip Morris International Inc. | ||||||||||||
2.50% | 05/16/16 | 80 | 83 | (h) | ||||||||
Pioneer Natural Resources Co. | ||||||||||||
7.50% | 01/15/20 | 117 | 137 | (h) | ||||||||
Plains All American Pipeline LP | ||||||||||||
3.95% | 09/15/15 | 76 | 80 | (h) | ||||||||
Power Sector Assets & Liabilities Management Corp. | ||||||||||||
7.25% | 05/27/19 | 200 | 242 |
See Notes to Schedules of Investments and Notes to Financial Statements.
34
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
7.39% | 12/02/24 | $ | 100 | $ | 122 | (b,h) | ||||||
Pride International Inc. | ||||||||||||
6.88% | 08/15/20 | 112 | 131 | (h) | ||||||||
Protective Life Corp. | ||||||||||||
8.45% | 10/15/39 | 145 | 166 | (h) | ||||||||
Prudential Financial Inc. | ||||||||||||
5.40% | 06/13/35 | 52 | 50 | (h) | ||||||||
QVC Inc. | ||||||||||||
7.50% | 10/01/19 | 51 | 55 | (b,h) | ||||||||
RailAmerica Inc. | ||||||||||||
9.25% | 07/01/17 | 63 | 69 | (h) | ||||||||
Range Resources Corp. | ||||||||||||
5.75% | 06/01/21 | 68 | 74 | (h) | ||||||||
Raytheon Co. | ||||||||||||
1.40% | 12/15/14 | 76 | 76 | |||||||||
Republic Services Inc. | ||||||||||||
5.25% | 11/15/21 | 36 | 41 | (h) | ||||||||
5.70% | 05/15/41 | 53 | 61 | (h) | ||||||||
Reynolds Group Issuer Inc. | ||||||||||||
8.75% | 10/15/16 | 155 | 163 | (b,h) | ||||||||
Roche Holdings Inc. | ||||||||||||
6.00% | 03/01/19 | 101 | 123 | (b,h) | ||||||||
Russian Agricultural Bank OJSC Via RSHB Capital S.A. | ||||||||||||
6.00% | 06/03/21 | 200 | 175 | (b,h,i) | ||||||||
Schlumberger Investment S.A. | ||||||||||||
3.30% | 09/14/21 | 38 | 39 | (b,h) | ||||||||
Schlumberger Norge AS | ||||||||||||
1.95% | 09/14/16 | 38 | 38 | (b,h) | ||||||||
Seagate HDD Cayman | ||||||||||||
7.75% | 12/15/18 | 46 | 49 | (b,h) | ||||||||
Solutia Inc. | ||||||||||||
7.88% | 03/15/20 | 61 | 66 | (h) | ||||||||
Southern Copper Corp. | ||||||||||||
6.75% | 04/16/40 | 24 | 24 | (h) | ||||||||
Sunoco Logistics Partners Operations LP | ||||||||||||
4.65% | 02/15/22 | 80 | 82 | (h) | ||||||||
Susser Holdings LLC | ||||||||||||
8.50% | 05/15/16 | 117 | 126 | (h) | ||||||||
Teva Pharmaceutical Finance Co BV | ||||||||||||
2.40% | 11/10/16 | 76 | 77 |
Principal Amount | Fair Value | |||||||||||
Teva Pharmaceutical Finance II BV | ||||||||||||
3.00% | 06/15/15 | $ | 164 | $ | 171 | (h) | ||||||
Texas Instruments Inc. | ||||||||||||
2.38% | 05/16/16 | 120 | 125 | |||||||||
Textron Inc. | ||||||||||||
6.20% | 03/15/15 | 106 | 114 | (h) | ||||||||
The AES Corp. | ||||||||||||
8.00% | 10/15/17 | 56 | 62 | (h) | ||||||||
The Coca-Cola Co. | ||||||||||||
3.30% | 09/01/21 | 88 | 93 | |||||||||
The Dow Chemical Co. | ||||||||||||
5.25% | 11/15/41 | 76 | 80 | |||||||||
The Goldman Sachs Group Inc. | ||||||||||||
3.63% | 02/07/16 | 127 | 123 | |||||||||
3.70% | 08/01/15 | 116 | 114 | (h) | ||||||||
5.25% | 07/27/21 | 221 | 216 | |||||||||
6.15% | 04/01/18 | 153 | 158 | |||||||||
6.75% | 10/01/37 | 81 | 75 | (h) | ||||||||
The Potomac Edison Co. | ||||||||||||
5.35% | 11/15/14 | 40 | 44 | (h) | ||||||||
Time Warner Cable Inc. | ||||||||||||
4.00% | 09/01/21 | 66 | 67 | |||||||||
5.50% | 09/01/41 | 134 | 141 | |||||||||
6.75% | 07/01/18 | 162 | 192 | (h) | ||||||||
Time Warner Inc. | ||||||||||||
3.15% | 07/15/15 | 71 | 74 | (h) | ||||||||
4.00% | 01/15/22 | 76 | 78 | |||||||||
5.38% | 10/15/41 | 113 | 122 | |||||||||
5.88% | 11/15/16 | 166 | 192 | (h) | ||||||||
TNK-BP Finance S.A. | ||||||||||||
6.13% | 03/20/12 | 100 | 101 | |||||||||
7.25% | 02/02/20 | 10 | 10 | (b,h) | ||||||||
Transocean Inc. | ||||||||||||
6.38% | 12/15/21 | 23 | 24 | |||||||||
UBS AG | ||||||||||||
5.88% | 07/15/16 | 100 | 100 | (h) | ||||||||
Vail Resorts Inc. | ||||||||||||
6.50% | 05/01/19 | 134 | 137 | |||||||||
Verizon Communications Inc. | ||||||||||||
3.50% | 11/01/21 | 138 | 144 | (h) | ||||||||
Viacom Inc. | ||||||||||||
2.50% | 12/15/16 | 52 | 52 | |||||||||
3.88% | 12/15/21 | 92 | 94 |
See Notes to Schedules of Investments and Notes to Financial Statements.
35
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Visteon Corp. | ||||||||||||
6.75% | 04/15/19 | $ | 74 | $ | 74 | (b,h) | ||||||
Williams Partners LP | ||||||||||||
4.13% | 11/15/20 | 20 | 21 | (h) | ||||||||
Willis Group Holdings PLC | ||||||||||||
4.13% | 03/15/16 | 84 | 85 | (h) | ||||||||
Windstream Corp. | ||||||||||||
7.75% | 10/01/21 | 74 | 76 | (h) | ||||||||
7.88% | 11/01/17 | 12 | 13 | |||||||||
Woodside Finance Ltd. | ||||||||||||
4.50% | 11/10/14 | 131 | 138 | (b,h) | ||||||||
Wynn Las Vegas LLC | ||||||||||||
7.88% | 05/01/20 | 140 | 154 | (h) | ||||||||
XL Group PLC (Series E) | ||||||||||||
6.50% | 12/31/49 | 76 | 59 | (h,i) | ||||||||
XLIT Ltd. | ||||||||||||
5.75% | 10/01/21 | 84 | 89 | (h) | ||||||||
Xstrata Finance Canada Ltd. | ||||||||||||
5.80% | 11/15/16 | 101 | 110 | (b,h) | ||||||||
23,451 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations — 2.1% | ||||||||||||
Banc of America Merrill Lynch Commercial Mortgage Inc. | ||||||||||||
5.19% | 09/10/47 | 110 | 122 | (i) | ||||||||
5.63% | 07/10/46 | 80 | 89 | (h) | ||||||||
5.72% | 02/10/51 | 210 | 230 | (h,i) | ||||||||
5.73% | 07/10/46 | 70 | 34 | (h,i) | ||||||||
5.79% | 02/10/51 | 120 | 114 | (h,i) | ||||||||
5.89% | 07/10/44 | 140 | 153 | (h,i) | ||||||||
6.21% | 02/10/51 | 280 | 316 | (h,i) | ||||||||
6.25% | 02/10/51 | 100 | 98 | (h,i) | ||||||||
Banc of America Mortgage Securities Inc. | ||||||||||||
6.00%** | 01/25/36 | 7 | — | (i,q) | ||||||||
Bear Stearns Commercial Mortgage Securities | ||||||||||||
4.93% | 02/13/42 | 140 | 152 | (i) | ||||||||
5.39% | 03/11/39 | 39 | 39 | (h,i) | ||||||||
5.53% | 04/12/38 | 80 | 83 | (i) | ||||||||
5.71% | 06/11/40 | 60 | 38 | (h,i) | ||||||||
5.76% | 09/11/38 | 110 | 115 | (i) | ||||||||
5.98% | 09/11/42 | 20 | 7 | (i,q) |
Principal Amount | Fair Value | |||||||||||
Commercial Mortgage Pass Through Certificates | ||||||||||||
4.98% | 05/10/43 | 40 | 44 | (i) | ||||||||
5.78% | 06/10/46 | 100 | 101 | (h,i) | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||||||
5.32% | 10/25/35 | 43 | 1 | (h,i,q) | ||||||||
Credit Suisse Mortgage Capital Certificates | ||||||||||||
5.42% | 02/15/39 | 125 | 98 | (i) | ||||||||
5.62%** | 02/25/36 | 18 | — | (i,q) | ||||||||
DBUBS Mortgage Trust | ||||||||||||
5.56% | 11/10/46 | 70 | 45 | (b,h,i) | ||||||||
Extended Stay America Trust | ||||||||||||
5.50% | 11/05/27 | 200 | 201 | (b,h) | ||||||||
GS Mortgage Securities Corp. II | ||||||||||||
3.00% | 08/10/44 | 80 | 82 | (h) | ||||||||
5.54% | 03/10/44 | 110 | 85 | (b,i) | ||||||||
Indymac INDA Mortgage Loan Trust | ||||||||||||
4.98%** | 01/25/36 | 5 | — | (i,q) | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||||||
5.04% | 03/15/46 | 40 | 43 | (i) | ||||||||
5.34% | 08/12/37 | 190 | 207 | (i) | ||||||||
5.44% | 06/12/47 | 140 | 150 | |||||||||
5.51% | 04/15/43 | 60 | 31 | (i) | ||||||||
5.79% | 02/12/51 | 340 | 374 | (h,i) | ||||||||
6.19% | 02/12/51 | 30 | 10 | (i,q) | ||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||||
4.95% | 09/15/30 | 50 | 55 | |||||||||
5.16% | 02/15/31 | 80 | 88 | (h) | ||||||||
6.15% | 04/15/41 | 80 | 73 | (i) | ||||||||
14.41% | 12/15/39 | 545 | 10 | (d,i,q) | ||||||||
MASTR Alternative Loans Trust | ||||||||||||
5.00% | 08/25/18 | 21 | 2 | (g,q,r) | ||||||||
Merrill Lynch Mortgage Trust | ||||||||||||
5.67% | 05/12/39 | 116 | 91 | (h,i) | ||||||||
Morgan Stanley Capital I | ||||||||||||
5.16% | 10/12/52 | 100 | 110 | (h,i) | ||||||||
5.48% | 02/12/44 | 140 | 133 | (h,i) | ||||||||
5.62% | 12/12/49 | 60 | 61 | (h) | ||||||||
5.64% | 06/11/42 | 70 | 53 | (i) | ||||||||
5.73% | 10/15/42 | 104 | 68 | (h,i) |
See Notes to Schedules of Investments and Notes to Financial Statements.
36
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
5.81% | 08/12/41 - 12/12/49 | $ | 330 | $ | 364 | (h,i) | ||||||
6.28% | 01/11/43 | 80 | 83 | (h,i) | ||||||||
Opteum Mortgage Acceptance Corp. | ||||||||||||
5.78% | 02/25/35 | 58 | 54 | (d,h,i) | ||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||||
5.47% | 01/15/45 | 80 | 81 | (h,i) | ||||||||
6.03% | 06/15/45 | 50 | 25 | (h,i) | ||||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||||||
5.50%** | 01/25/36 - 03/25/36 | 67 | — | (h) | ||||||||
4,413 | ||||||||||||
Sovereign Bonds — 0.8% | ||||||||||||
Government of Argentina | ||||||||||||
2.50% | 12/31/38 | 11 | 4 | (j) | ||||||||
8.28% | 12/31/33 | 8 | 5 | |||||||||
Government of Belize | ||||||||||||
6.00% | 02/20/29 | 7 | 4 | (b,j) | ||||||||
6.00% | 02/20/29 | 34 | 20 | (j) | ||||||||
Government of Brazil | ||||||||||||
5.63% | 01/07/41 | 100 | 116 | |||||||||
8.25% | 01/20/34 | 12 | 18 | |||||||||
Government of Chile | ||||||||||||
3.25% | 09/14/21 | 100 | 103 | (h) | ||||||||
Government of Costa Rica | ||||||||||||
10.00% | 08/01/20 | 13 | 18 | (b,h) | ||||||||
Government of Dominican Republic | ||||||||||||
7.50% | 05/06/21 | 100 | 98 | (b,h) | ||||||||
Government of El Salvador | ||||||||||||
7.65% | 06/15/35 | 20 | 20 | (b,h) | ||||||||
Government of Georgia | ||||||||||||
6.88% | 04/12/21 | 200 | 206 | (b) | ||||||||
Government of Grenada | ||||||||||||
4.50% | 09/15/25 | 22 | 12 | (b,h,j) | ||||||||
Government of Hungary | ||||||||||||
4.75% | 02/03/15 | 100 | 91 | (h) | ||||||||
6.38% | 03/29/21 | 29 | 26 | (h) | ||||||||
Government of Indonesia | ||||||||||||
6.63% | 02/17/37 | 233 | 282 | (b) |
Principal Amount | Fair Value | |||||||||||
Government of Lebanon | ||||||||||||
4.00% | 12/31/17 | $ | 5 | $ | 5 | |||||||
5.15% | 11/12/18 | 14 | 14 | |||||||||
6.10% | 10/04/22 | 14 | 14 | |||||||||
Government of Lithuania | ||||||||||||
7.38% | 02/11/20 | 100 | 108 | (b,h) | ||||||||
Government of Mexico | ||||||||||||
5.13% | 01/15/20 | 17 | 19 | (h) | ||||||||
5.75% | 10/12/49 | 28 | 30 | (h) | ||||||||
6.75% | 09/27/34 | 14 | 18 | |||||||||
Government of Panama | ||||||||||||
6.70% | 01/26/36 | 29 | 38 | (h) | ||||||||
Government of Peru | ||||||||||||
5.63% | 11/18/50 | 28 | 31 | |||||||||
6.55% | 03/14/37 | 39 | 50 | (h) | ||||||||
Government of Poland | ||||||||||||
5.00% | 03/23/22 | 54 | 54 | |||||||||
5.13% | 04/21/21 | 15 | 15 | (h) | ||||||||
6.38% | 07/15/19 | 7 | 8 | |||||||||
Government of Turkey | ||||||||||||
5.63% | 03/30/21 | 100 | 101 | (h) | ||||||||
6.88% | 03/17/36 | 14 | 15 | |||||||||
Government of Uruguay | ||||||||||||
6.88% | 09/28/25 | 54 | 69 | |||||||||
Government of Venezuela | ||||||||||||
10.75% | 09/19/13 | 15 | 15 | (h) | ||||||||
Government of Vietnam | ||||||||||||
1.32% | 03/12/16 | 6 | 5 | (i) | ||||||||
ProvInce of Manitoba Canada | ||||||||||||
4.90% | 12/06/16 | 30 | 35 | (h) | ||||||||
Russian Foreign Bond - Eurobond | ||||||||||||
5.00% | 04/29/20 | 100 | 103 | (b,h) | ||||||||
7.50% | 03/31/30 | 11 | 13 | (j) | ||||||||
1,783 | ||||||||||||
Municipal Bonds and Notes — 0.2% | ||||||||||||
American Municipal Power Inc. | ||||||||||||
6.27% | 02/15/50 | 45 | 51 | |||||||||
Municipal Electric Authority of Georgia | ||||||||||||
6.64% | 04/01/57 | 149 | 155 | (h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
New Jersey State Turnpike Authority | ||||||||||||
7.10% | 01/01/41 | $ | 40 | $ | 55 | (h) | ||||||
7.41% | 01/01/40 | 20 | 29 | (h) | ||||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
6.88% | 12/15/39 | 15 | 17 | (h) | ||||||||
South Carolina State Public Service Authority | ||||||||||||
6.45% | 01/01/50 | 40 | 54 | (h) | ||||||||
State of California | ||||||||||||
5.70% | 11/01/21 | 55 | 60 | |||||||||
421 | ||||||||||||
FNMA — 0.0%* | ||||||||||||
Lehman TBA | ||||||||||||
5.50%** | TBA | 60 | — | (c,o,q,s) | ||||||||
Total Bonds and Notes | 64,710 |
Number of Shares | Fair Value | |||||||||
Exchange Traded Funds — 5.4% | ||||||||||
Financial Select Sector | 15,760 | $ | 204 | (p) | ||||||
Industrial Select Sector | 25,997 | 877 | (p) | |||||||
Vanguard MSCI Emerging Markets | 204,931 | 7,830 | ||||||||
Vanguard REIT | 42,381 | 2,458 | ||||||||
Total Exchange Traded Funds | 11,369 | |||||||||
Other Investments — 0.1% | ||||||||||
GEI Investment Fund | 160 | (k) | ||||||||
Total Investments in Securities | 197,755 |
Number of Shares | Fair Value | |||||||
Short-Term Investments — 8.5% | ||||||||
GE Institutional Money Market Fund — Investment | ||||||||
Class 0.06% | ||||||||
(Cost $17,707) | 17,707 | (d,k) | ||||||
Total Investments | 215,462 | |||||||
Liabilities in Excess of Other Assets, | (5,367) | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 210,095 | ||||||
|
|
Other Information
The Fund had the following long futures contracts open at December 31, 2011:
Description | Expiration Date | Number Contracts | Current Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
EURO Stoxx | March 2012 | 3 | $ | 90 | $ | 2 | ||||||||
FTSE 100 Index Futures | March 2012 | 1 | 86 | 2 | ||||||||||
Russell 2000 Mini Index Futures | March 2012 | 38 | 2,807 | 34 | ||||||||||
S&P 500 Emini Index Futures | March 2012 | 8 | 501 | 13 | ||||||||||
S&P Midcap | March 2012 | 3 | 263 | 3 | ||||||||||
Topix Index Futures | March 2012 | 1 | 95 | (2) | ||||||||||
2 Yr. U.S. | March 2012 | 37 | 8,160 | — | ** |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
Description | Expiration Date | Number Contracts | Current Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
5 Yr. U.S. | March 2012 | 30 | $ | 3,698 | $ | 23 | ||||||||
30 Yr. U.S. Treasury | March 2012 | 4 | 579 | 9 | ||||||||||
|
| |||||||||||||
$ | 84 | |||||||||||||
|
|
The Fund had the following short futures contracts open at December 31, 2011 :
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized (Depreciation) | ||||||||||
S&P 500 Emini Index Futures | March 2012 | 6 | $ | (376) | $ | (13) | ||||||||
Ultra long U.S. Treasury Bond Futures | March 2012 | 21 | (3,364) | (77) | ||||||||||
10 Yr. U.S. Treasury Notes Futures | March 2012 | 71 | (9,310) | (115) | ||||||||||
|
| |||||||||||||
$ | (205) | |||||||||||||
|
| |||||||||||||
$ | (121) | |||||||||||||
|
|
At December 31, 2011, the Fund had the following foreign currency forward exchange contracts :
Description | Unrealized Appreciation/ (Depreciation) | |
Sold 1,900 EURO; Purchased $2,473 for settlement on 03/21/2012 | $ 5 | |
Sold 157,000 Japanese yen; Purchased $2,022 for settlement on 06/21/2012 | (26) | |
| ||
$ (21) | ||
|
The Fund was invested in the following countries at December 31, 2011 as a % based on Fair Value:
Country | (Unaudited) | |||
United States | 79.24% | |||
United Kingdom | 4.38% | |||
Germany | 2.10% | |||
Japan | 1.89% | |||
Switzerland | 1.71% | |||
France | 1.66% | |||
Canada | 1.53% | |||
China | 0.70% | |||
South Korea | 0.63% | |||
Brazil | 0.55% | |||
Australia | 0.52% | |||
Hong Kong | 0.45% | |||
Netherlands | 0.45% | |||
Sweden | 0.36% | |||
Taiwan | 0.35% | |||
Supranational | 0.29% | |||
Spain | 0.29% | |||
Russian Federation | 0.29% | |||
Mexico | 0.24% | |||
India | 0.22% | |||
Israel | 0.22% | |||
Singapore | 0.17% | |||
Philippines | 0.17% | |||
Ireland | 0.15% | |||
Chile | 0.14% | |||
Indonesia | 0.13% | |||
Georgia | 0.10% | |||
Tunisia | 0.09% | |||
United Arab Emirates | 0.09% | |||
Colombia | 0.08% | |||
Denmark | 0.07% | |||
Luxembourg | 0.07% | |||
South Africa | 0.07% | |||
Peru | 0.07% | |||
Argentina | 0.06% | |||
Italy | 0.06% | |||
El Salvador | 0.05% | |||
Hungary | 0.05% | |||
Turkey | 0.05% | |||
Lithuania | 0.05% | |||
Dominican Republic | 0.05% |
See Notes to Schedules of Investments and Notes to Financial Statements.
39
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
(Unaudited)
Poland | 0.04% | |||
Panama | 0.03% | |||
Uruguay | 0.03% | |||
Lebanon | 0.02% | |||
Belize | 0.01% | |||
Costa Rica | 0.01% | |||
Bolivarian Republic of Venezuela | 0.01% | |||
Grenada | 0.01% | |||
|
| |||
100.00% | ||||
|
|
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2011:
Industry | Domestic | Foreign | Total | |||||||||
Exchange Traded Funds | 5.28% | 0.00% | 5.28% | |||||||||
Integrated Oil & Gas | 1.70% | 1.71% | 3.41% | |||||||||
Pharmaceuticals | 1.78% | 0.89% | 2.67% | |||||||||
Diversified Financial Services | 1.16% | 1.48% | 2.64% | |||||||||
Communications Equipment | 1.59% | 0.17% | 1.76% | |||||||||
Semiconductors | 1.03% | 0.64% | 1.67% | |||||||||
Packaged Foods & Meats | 0.97% | 0.68% | 1.65% | |||||||||
Internet Software & Services | 0.89% | 0.52% | 1.41% | |||||||||
Wireless Telecommunication Services | 0.58% | 0.74% | 1.32% | |||||||||
Systems Software | 1.33% | 0.00% | 1.33% | |||||||||
Aerospace & Defense | 0.88% | 0.39% | 1.27% | |||||||||
Household Products | 0.72% | 0.49% | 1.21% | |||||||||
Asset Management & Custody Banks | 1.18% | 0.00% | 1.18% | |||||||||
Computer Hardware | 1.17% | 0.00% | 1.17% | |||||||||
Life & Health Insurance | 0.48% | 0.64% | 1.12% | |||||||||
Oil & Gas Equipment & Services | 0.98% | 0.08% | 1.06% | |||||||||
Oil & Gas Exploration & Production | 0.90% | 0.16% | 1.06% | |||||||||
Diversified Metals & Mining | 0.18% | 0.87% | 1.05% | |||||||||
IT Consulting & Other Services | 0.94% | 0.11% | 1.05% | |||||||||
Biotechnology | 1.04% | 0.00% | 1.04% | |||||||||
Fertilizers & Agricultural Chemicals | 0.39% | 0.64% | 1.03% | |||||||||
Healthcare Services | 0.74% | 0.21% | 0.95% | |||||||||
Soft Drinks | 0.94% | 0.00% | 0.94% |
Industrial Gases | 0.47% | 0.43% | 0.90% | |||||||||
Property & Casualty Insurance | 0.84% | 0.00% | 0.84% | |||||||||
Electric Utilities | 0.73% | 0.09% | 0.82% | |||||||||
Healthcare Equipment | 0.82% | 0.00% | 0.82% | |||||||||
Industrial Machinery | 0.28% | 0.55% | 0.83% | |||||||||
Automobile Manufacturers | 0.00% | 0.81% | 0.81% | |||||||||
Integrated Telecommunication Services | 0.59% | 0.17% | 0.76% | |||||||||
Movies & Entertainment | 0.76% | 0.00% | 0.76% | |||||||||
Steel | 0.52% | 0.23% | 0.75% | |||||||||
Multi-Utilities | 0.37% | 0.27% | 0.64% | |||||||||
Advertising | 0.48% | 0.15% | 0.63% | |||||||||
Data Processing & Outsourced Services | 0.58% | 0.00% | 0.58% | |||||||||
Industrial Conglomerates | 0.00% | 0.56% | 0.56% | |||||||||
Independent Power Producers & Energy Traders | 0.52% | 0.00% | 0.52% | |||||||||
Electrical Components & Equipment | 0.46% | 0.05% | 0.51% | |||||||||
Life Sciences Tools & Services | 0.51% | 0.00% | 0.51% | |||||||||
Application Software | 0.29% | 0.20% | 0.49% | |||||||||
Multi-Line Insurance | 0.22% | 0.26% | 0.48% | |||||||||
Air Freight & Logistics | 0.48% | 0.00% | 0.48% | |||||||||
Home Improvement Retail | 0.47% | 0.00% | 0.47% | |||||||||
Specialized Finance | 0.38% | 0.08% | 0.46% | |||||||||
Apparel, Accessories & Luxury Goods | 0.19% | 0.27% | 0.46% | |||||||||
Oil & Gas Storage & Transportation | 0.44% | 0.00% | 0.44% | |||||||||
Restaurants | 0.34% | 0.06% | 0.40% | |||||||||
Distillers & Vintners | 0.00% | 0.41% | 0.41% | |||||||||
General Merchandise Stores | 0.36% | 0.00% | 0.36% | |||||||||
Cable & Satellite | 0.34% | 0.00% | 0.34% | |||||||||
Consumer Finance | 0.33% | 0.00% | 0.33% | |||||||||
Trading Companies & Distributors | 0.13% | 0.17% | 0.30% | |||||||||
Specialty Chemicals | 0.22% | 0.08% | 0.30% | |||||||||
Research & Consulting Services | 0.29% | 0.00% | 0.29% | |||||||||
Diversified Support Services | 0.00% | 0.29% | 0.29% | |||||||||
Thrifts & Mortgage Finance | 0.29% | 0.00% | 0.29% | |||||||||
Security & Alarm Services | 0.19% | 0.09% | 0.28% | |||||||||
Casinos & Gaming | 0.28% | 0.00% | 0.28% | |||||||||
Construction & Engineering | 0.11% | 0.17% | 0.28% | |||||||||
Healthcare Supplies | 0.00% | 0.24% | 0.24% | |||||||||
Gold | 0.00% | 0.23% | 0.23% | |||||||||
Tobacco | 0.22% | 0.00% | 0.22% |
See Notes to Schedules of Investments and Notes to Financial Statements.
40
Table of Contents
Elfun Diversified Fund | (in thousands) — December 31, 2011 |
(Unaudited)
Reinsurance | 0.21% | 0.00% | 0.21% | |||||||||
Diversified Real Estate Activities | 0.00% | 0.21% | 0.21% | |||||||||
Drug Retail | 0.20% | 0.00% | 0.20% | |||||||||
Investment Banking & Brokerage | 0.20% | 0.00% | 0.20% | |||||||||
Healthcare Facilities | 0.20% | 0.00% | 0.20% | |||||||||
Food Retail | 0.00% | 0.19% | 0.19% | |||||||||
Regional Banks | 0.04% | 0.14% | 0.18% | |||||||||
Agricultural Products | 0.19% | 0.00% | 0.19% | |||||||||
Brewers | 0.13% | 0.05% | 0.18% | |||||||||
Home Furnishing Retail | 0.17% | 0.00% | 0.17% | |||||||||
Automotive Retail | 0.16% | 0.00% | 0.16% | |||||||||
Hotels, Resorts & Cruise Lines | 0.14% | 0.01% | 0.15% | |||||||||
Specialized REITs | 0.14% | 0.00% | 0.14% | |||||||||
Home Entertainment Software | 0.14% | 0.00% | 0.14% | |||||||||
Office REITs | 0.13% | 0.00% | 0.13% | |||||||||
Oil & Gas Drilling | 0.09% | 0.03% | 0.12% | |||||||||
Department Stores | 0.12% | 0.00% | 0.12% | |||||||||
Building Products | 0.00% | 0.12% | 0.12% | |||||||||
Computer Storage & Peripherals | 0.12% | 0.00% | 0.12% | |||||||||
Real Estate Services | 0.12% | 0.00% | 0.12% | |||||||||
Construction & Farm Machinery & Heavy Trucks | 0.12% | 0.00% | 0.12% | |||||||||
Electronic Equipment & Instruments | 0.00% | 0.11% | 0.11% | |||||||||
Railroads | 0.10% | 0.00% | 0.10% | |||||||||
Insurance Brokers | 0.09% | 0.00% | 0.09% | |||||||||
Diversified Capital Markets | 0.00% | 0.09% | 0.09% | |||||||||
Distributors | 0.09% | 0.00% | 0.09% | |||||||||
Broadcasting | 0.09% | 0.00% | 0.09% | |||||||||
Environmental & Facilities Services | 0.08% | 0.00% | 0.08% | |||||||||
Coal & Consumable Fuels | 0.08% | 0.00% | 0.08% | |||||||||
Retail REITs | 0.08% | 0.00% | 0.08% | |||||||||
Specialty Stores | 0.08% | 0.00% | 0.08% | |||||||||
Diversified Chemicals | 0.08% | 0.00% | 0.08% | |||||||||
Apparel Retail | 0.08% | 0.00% | 0.08% | |||||||||
Auto Parts & Equipment | 0.07% | 0.00% | 0.07% | |||||||||
Oil & Gas Refining & Marketing | 0.07% | 0.00% | 0.07% | |||||||||
Human Resource & Employment Services | 0.00% | 0.07% | 0.07% | |||||||||
Electronic Components | 0.00% | 0.07% | 0.07% | |||||||||
Water Utilities | 0.06% | 0.00% | 0.06% | |||||||||
Home Building | 0.06% | 0.00% | 0.06% | |||||||||
Hypermarkets & Super Centers | 0.00% | 0.06% | 0.06% |
Heavy Electrical Equipment | 0.00% | 0.05% | 0.05% | |||||||||
Semiconductor Equipment | 0.04% | 0.00% | 0.04% | |||||||||
Internet Retail | 0.04% | 0.00% | 0.04% | |||||||||
Managed Healthcare | 0.04% | 0.00% | 0.04% | |||||||||
|
| |||||||||||
61.68% | ||||||||||||
|
|
Sector | % (based on Fair Value) | |||||
Corporate Notes | 10.88% | |||||
Agency Mortgage Backed | 9.52% | |||||
U.S. Treasuries | 5.61% | |||||
Non-Agency Collateralized Mortgage Obligations | 2.05% | |||||
Sovereign Bonds | 0.83% | |||||
Agency Collateralized Mortgage Obligations | 0.65% | |||||
Asset Backed | 0.30% | |||||
Municipal Bonds and Notes | 0.19% | |||||
|
| |||||
30.03% | ||||||
|
|
Short—Term and Other Investments | ||||
Short-Term | 8.22% | |||
Other Investments | 0.07% | |||
|
| |||
8.29% | ||||
|
| |||
100.00% | ||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
41
Table of Contents
(Unaudited)
Michael J.Caufield
Senior Vice President
The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See portfolio managers’ biographical information beginning on page 113.
Q. | How did the Elfun Tax-Exempt Income Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2011? |
A. | For the twelve-month period ended December 31, 2011, the Elfun Tax-Exempt Income Fund returned 10.57%. The Barclay’s Capital U.S. Municipal Bond Index, the Fund’s benchmark, returned 10.70% and the Fund’s Morningstar peer group of 246 US Insurance Large Growth Funds returned an average of 10.64% over the same period. |
Q. | What market conditions affected the Fund’s performance? |
A. | The municipal bond market began 2011 engulfed in a massive sell-off fueled by mutual fund redemptions related to a much publicized credit report issued during the fourth quarter of 2010 predicting extensive defaults for the municipal asset class. The tax-exempt market rebounded sharply at mid-year and ended the year with strong investor support and limited supply which when combined with a move to lower treasury yields translated into double digit returns. |
While States and municipalities were under severe fiscal challenges driven by declining property values, high unemployment and diminished federal aid, many States bound by constitutionally mandated annual
balanced budget requirements, were forced to reduce capital programs and raise fees to balance their fiscal budgets. Municipal issuers with a variety of levers available to them demonstrated a reassuring level of competence, avoiding widespread financial distress and regaining investor confidence. One key by-product of new governmental austerity programs was a reduction in the issuance of state and local debt obligations. With municipal bond issuance declining by 32% over 2010 there was less municipal product available and as the return of investor confidence broadened demand, tax-exempt yields followed the lead of the rates market toward historic lows. Municipal bonds had once again regained the safe harbor attributes that attract the individual investor and the supply-demand imbalance that followed eventually propelled tax-exempt returns through all other asset classes. Investors that stayed the course with a long term investment horizon were rewarded.
Q. | What were the primary drivers of Fund performance? |
A. | With a historically steep yield curve available, investors were compensated for assuming additional interest rate risk as interest rates fell steadily throughout 2011. The Fund’s positioning in the 15-20 year sector took advantage of this opportunity, providing above average income while producing favorable risk adjusted returns. Among the primary drivers of returns in the Fund for 2011 |
42
Table of Contents
(Unaudited)
was our commitment to the revenue bond sector, characterized by overweight positions in essential service revenue bonds and health care debt. The Fund’s overweight position throughout the revenue bond sector was a winning strategy as sector selection returns exceeded the comparable returns of the Barclays Municipal Bond Index. |
Q. | Were there any significant changes to the Fund during the period? |
A. | Our interest rate management during 2011 took advantage of wide variances between ten and thirty year debt. There was a 200 basis point differential throughout much of the year which we favored for curve positioning. Over the course of the year as interest rates fell, the subsequent “flattening” of the yield curve allowed us to gradually reduce the Fund’s interest rate exposure and we lowered the Fund’s duration from the top of our tolerance range to near neutral levels by year-end. In addition as States started show some improvement in tax collections and fiscal health we increased the Fund’s General Obligation exposure slightly but continued to remain underweight to the sector. |
43
Table of Contents
(Unaudited)
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2011.
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 $1,000 = 8.6), then multiply
the result by the number given for your class under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any.
July 1, 2011 – December 31, 2011
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | ||||||||||
Actual Fund Return** | 1,000.00 | 1,062.50 | 0.99 | |||||||||
Hypothetical 5% Return | 1,000.00 | 1,024.25 | 0.97 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.19% (for the period July 1, 2011 - December 31, 2011), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Actual Fund Return for the six-month period ended December 31, 2011 was: 6.25%. Past performance does not guarantee future results. |
44
Table of Contents
(Unaudited)
Investment Profile
A mutual fund designed for investors who seek as high a level of current interest income exempt from federal income taxation as is available from concentration of investment in municipal bonds consistent with prudent investment management and the preservation of capital. The Fund seeks its objective by investing primarily in investment-grade municipal obligations.
Quality Ratings
as of December 31, 2011 as a % of Fair Value(b)
Moody’s / S&P Rating* |
| Percentage of Fair Value |
| |
Aaa / AAA | 10.73% | |||
Aa / AA | 46.73% | |||
A / A | 31.57% | |||
Baa / BBB | 8.94% | |||
Ba / BB and lower | 0.29% | |||
NR / Other | 1.74% | |||
100.00% |
* | Moody’s Investors Services Inc and Standard & Poor’s are nationally recognized statistical rating organizations. |
Sector Allocation
as a % of the Fair Value of $1,663,051 (in thousands) as of December 31, 2011.(b)
Morningstar Performance Comparison
Based on average annual returns for periods ended 12/31/11
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 246 | 211 | 181 | |||||||||
Peer group average annual total return | 10.64 | % | 3.95 | % | 4.44 | % | ||||||
Morningstar category in peer group: Muni National Long |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2011
(Inception date: 01/01/80) | ||||||||||||||||
One Year | Five Year | Ten Year | Ending value of a $10,000 investment (a) | |||||||||||||
Elfun Tax-Exempt Fund | 10.57% | 5.14% | 5.32% | $16,791 | ||||||||||||
Barclays Capital U.S. Municipal Bond Index | 10.70% | 5.23% | 5.38% | $16,884 |
(a) | Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
See Notes to Performance on page 1 for further information.
Past performance does not predict future performance. The performance shown on the graph and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
45
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Municipal Bonds and Notes — 95.8%† |
| |||||||||||
Alabama — 1.0% | ||||||||||||
East Alabama Healthcare Authority | ||||||||||||
5.00% | 09/01/33 | $ | 5,500 | $ | 5,730 | |||||||
Montgomery BMC Special Care Facilities Financing Authority (MBIA Insured) | ||||||||||||
5.00% | 11/15/20 | 8,375 | 9,378 | (m,n) | ||||||||
Montgomery Medical Clinic Board | ||||||||||||
5.25% | 03/01/31 - 03/01/36 | 3,000 | 2,844 | |||||||||
17,952 | ||||||||||||
Arizona — 3.3% | ||||||||||||
Arizona State University | ||||||||||||
5.25% | 07/01/15 | 5,000 | 5,157 | (n) | ||||||||
City of Phoenix AZ | ||||||||||||
5.00% | 07/01/19 | 5,000 | 5,913 | |||||||||
Glendale Western Loop 101 Public Facilites Corp. | ||||||||||||
6.25% | 07/01/38 | 10,000 | 10,276 | |||||||||
Maricopa County Industrial Development Authority | ||||||||||||
5.50% | 07/01/26 | 5,000 | 5,255 | |||||||||
Maricopa County Stadium District (AMBAC Insured) | ||||||||||||
5.38% | 06/01/16 | 2,145 | 2,082 | (n) | ||||||||
Phoenix Civic Improvement Corp. | ||||||||||||
5.00% | 07/01/40 | 4,750 | 4,882 | |||||||||
Phoenix Civic Improvement Corp. (FGIC Insured) | ||||||||||||
5.50% | 07/01/23 - 07/01/24 | 7,260 | 9,366 | (n) | ||||||||
Salt River Project Agricultural Improvement & Power District | ||||||||||||
5.00% | 12/01/21 | 10,000 | 12,353 | |||||||||
University Medical Center Corp. | ||||||||||||
6.50% | 07/01/39 | 1,000 | 1,080 | |||||||||
56,364 |
Principal Amount | Fair Value | |||||||||||
California — 7.0% | ||||||||||||
Abag Finance Authority for Nonprofit Corps | ||||||||||||
5.00% | 12/01/37 | $ | 2,940 | $ | 2,873 | |||||||
Bay Area Toll Authority | ||||||||||||
5.00% | 04/01/31 | 10,000 | 10,553 | |||||||||
California Educational Facilities Authority | ||||||||||||
5.25% | 10/01/39 | 6,000 | 6,513 | |||||||||
6.13% | 10/01/36 | 1,500 | 1,678 | |||||||||
California Health Facilities Financing Authority | ||||||||||||
5.50% | 08/15/26 | 5,000 | 5,706 | |||||||||
6.00% | 07/01/39 | 5,000 | 5,380 | |||||||||
6.50% | 10/01/33 | 3,500 | 4,021 | |||||||||
California State Department of Water Resources | ||||||||||||
5.00% | 05/01/21 - 12/01/21 | 6,585 | 8,222 | |||||||||
California State Public Works Board | ||||||||||||
5.00% | 10/01/28 | 1,500 | 1,545 | |||||||||
5.13% | 10/01/31 | 2,000 | 2,034 | |||||||||
6.00% | 04/01/26 | 8,475 | 9,854 | |||||||||
California State University | ||||||||||||
5.00% | 11/01/37 | 3,000 | 3,174 | |||||||||
Coast Community College District (FSA Insured) | ||||||||||||
4.63% | 08/01/33 | 8,750 | 8,271 | (d,n) | ||||||||
Foothill-De Anza Community College District | ||||||||||||
4.50% | 08/01/31 | 4,600 | 4,756 | (n) | ||||||||
Los Angeles Harbor Department | ||||||||||||
5.00% | 08/01/26 | 8,000 | 9,001 | |||||||||
Metropolitan Water District of Southern California | ||||||||||||
5.00% | 07/01/35 | 5,000 | 5,279 | |||||||||
Sacramento Municipal Utility District | ||||||||||||
5.00% | 08/15/28 | 2,500 | 2,759 | |||||||||
San Diego Community College District | ||||||||||||
5.00% | 08/01/41 | 10,000 | 10,780 |
See Notes to Schedules of Investments and Notes to Financial Statements.
46
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
San Diego Unified School District (FSA Insured) | ||||||||||||
5.25% | 07/01/17 - 07/01/19 | $ | 8,795 | $ | 9,464 | (n) | ||||||
State of California | ||||||||||||
5.00% | 09/01/41 | 7,500 | 7,708 | |||||||||
University of California | ||||||||||||
5.00% | 05/15/34 | 2,225 | 2,149 | (n) | ||||||||
121,720 | ||||||||||||
Colorado — 0.9% | ||||||||||||
Colorado Health Facilities Authority | ||||||||||||
5.00% | 02/01/41 | 5,000 | 5,154 | |||||||||
Colorado Water Resources & Power Development Authority | ||||||||||||
5.25% | 09/01/17 - 09/01/18 | 5,880 | 6,049 | |||||||||
Regional Transportation District | ||||||||||||
5.38% | 06/01/31 | 2,500 | 2,713 | |||||||||
University of Colorado Hospital Authority | ||||||||||||
5.25% | 11/15/39 | 2,250 | 2,300 | |||||||||
16,216 | ||||||||||||
Connecticut — 2.7% | ||||||||||||
Connecticut State Health & Educational Facility Authority | ||||||||||||
5.00% | 07/01/40 | 5,500 | 5,716 | |||||||||
Connecticut State Health & Educational Facility Authority (MBIA Insured) | ||||||||||||
4.50% | 07/01/37 | 5,000 | 5,053 | (n) | ||||||||
South Central Connecticut Regional Water Authority | ||||||||||||
5.00% | 08/01/41 | 8,000 | 8,644 | |||||||||
South Central Connecticut Regional Water Authority (MBIA Insured) | ||||||||||||
5.00% | 08/01/27 | 3,000 | 3,151 | (n) | ||||||||
State of Connecticut | ||||||||||||
5.00% | 01/01/22 - 01/01/24 | 9,705 | 12,053 | |||||||||
State of Connecticut Special Tax Revenue | ||||||||||||
5.00% | 11/01/26 | 10,000 | 11,258 |
Principal Amount | Fair Value | |||||||||||
Town of Fairfield CT | ||||||||||||
5.00% | 08/01/21 | $ | 1,000 | $ | 1,268 | |||||||
47,143 | ||||||||||||
Delaware — 1.3% | ||||||||||||
County of New Castle DE | ||||||||||||
5.00% | 07/15/33 - 07/15/39 | 10,000 | 10,883 | |||||||||
Delaware State Health Facilities Authority | ||||||||||||
5.00% | 10/01/40 | 7,800 | 8,270 | |||||||||
State of Delaware | ||||||||||||
5.00% | 07/01/28 | 3,000 | 3,473 | |||||||||
22,626 | ||||||||||||
District of Columbia — 1.5% | ||||||||||||
District of Columbia | ||||||||||||
5.00% | 04/01/30 | 4,500 | 5,170 | |||||||||
5.50% | 04/01/36 | 15,000 | 16,006 | |||||||||
District of Columbia Water & Sewer Authority | ||||||||||||
5.25% | 10/01/29 | 5,000 | 5,610 | |||||||||
26,786 | ||||||||||||
Florida — 1.9% | ||||||||||||
Brevard County Health Facilities Authority | ||||||||||||
7.00% | 04/01/39 | 1,000 | 1,121 | |||||||||
City of Tampa FL | ||||||||||||
5.00% | 10/01/27 | 8,560 | 9,786 | |||||||||
Hillsborough County Industrial Development Authority | ||||||||||||
5.00% | 10/01/18 | 5,000 | 5,242 | |||||||||
5.25% | 10/01/15 - 10/01/24 | 9,590 | 9,942 | |||||||||
South Miami Health Facilities Authority | ||||||||||||
5.25% | 11/15/33 | 6,380 | 6,710 | (m) | ||||||||
32,801 | ||||||||||||
Georgia — 6.3% | ||||||||||||
Athens-Clarke County GA Unified Government Water & Sewerage Revenue | ||||||||||||
5.50% | 01/01/38 | 7,000 | 7,644 |
See Notes to Schedules of Investments and Notes to Financial Statements.
47
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Athens-Clarke County Unified Government Development Authority | ||||||||||||
4.35% | 06/15/31 | $ | 6,050 | $ | 5,846 | (d) | ||||||
Augusta GA Water & Sewerage Revenue (AGMC Insured) | ||||||||||||
5.25% | 10/01/34 | 5,400 | 5,639 | (n) | ||||||||
City of Atlanta GA | ||||||||||||
6.25% | 11/01/39 | 10,000 | 11,397 | |||||||||
City of Atlanta GA Airport Revenue | ||||||||||||
5.00% | 01/01/25 | 10,000 | 11,099 | |||||||||
City of Atlanta GA Airport Revenue (FSA Insured) | ||||||||||||
5.25% | 01/01/33 | 4,000 | 4,155 | (n) | ||||||||
City of Atlanta GA | ||||||||||||
5.75% | 11/01/30 | 4,500 | 5,582 | (n) | ||||||||
City of Atlanta GA (FSA Insured) | ||||||||||||
5.75% | 11/01/27 | 5,000 | 6,205 | (n) | ||||||||
County of Dekalb GA | ||||||||||||
5.25% | 10/01/41 | 5,150 | 5,510 | |||||||||
County of Fulton GA Water & Sewerage Revenue | ||||||||||||
5.00% | 01/01/30 | 5,000 | 5,260 | (n) | ||||||||
DeKalb Newton & Gwinnett Counties Joint Development Authority | ||||||||||||
6.00% | 07/01/34 | 8,500 | 9,309 | |||||||||
Fayette County School District (FSA Insured) | ||||||||||||
4.80% | 03/01/22 | 2,520 | 2,777 | (n) | ||||||||
4.85% | 03/01/23 | 2,290 | 2,508 | (n) | ||||||||
Henry County Hospital Authority (MBIA Insured) | ||||||||||||
5.00% | 07/01/24 | 1,865 | 1,951 | (n) | ||||||||
Municipal Electric Authority of Georgia | ||||||||||||
5.25% | 01/01/19 | 2,490 | 2,996 | |||||||||
Private Colleges & Universities Authority | ||||||||||||
6.00% | 06/01/21 | 2,180 | 2,186 |
Principal Amount | Fair Value | |||||||||||
Private Colleges & Universities Authority (MBIA Insured) | ||||||||||||
6.50% | 11/01/15 | $ | 4,010 | $ | 4,510 | (l,n) | ||||||
State of Georgia | ||||||||||||
4.50% | 01/01/29 | 3,000 | 3,310 | |||||||||
5.00% | 08/01/22 - 01/01/26 | 4,790 | 5,593 | |||||||||
5.00% | 08/01/22 | 4,460 | 5,449 | (m) | ||||||||
108,926 | ||||||||||||
Hawaii — 2.2% | ||||||||||||
City & County of Honolulu HI | ||||||||||||
5.00% | 04/01/33 | 10,000 | 10,911 | |||||||||
6.00% | 01/01/12 | 735 | 735 | (l) | ||||||||
6.00% | 01/01/12 | 1,265 | 1,265 | |||||||||
State of Hawaii (FSA Insured) | ||||||||||||
5.75% | 02/01/14 | 6,500 | 7,173 | (n) | ||||||||
State of Hawaii Airports System Revenue | ||||||||||||
5.25% | 07/01/24 | 15,800 | 18,002 | |||||||||
38,086 | ||||||||||||
Idaho — 1.4% | ||||||||||||
Idaho Health Facilities Authority | ||||||||||||
6.75% | 11/01/37 | 4,000 | 4,461 | |||||||||
Idaho Housing & Finance Assoc. (MBIA Insured) | ||||||||||||
5.00% | 07/15/22 - 07/15/24 | 17,625 | 19,254 | (n) | ||||||||
23,715 | ||||||||||||
Illinois — 2.7% | ||||||||||||
City of Chicago IL O’Hare International Airport Revenue | ||||||||||||
5.63% | 01/01/35 | 5,000 | 5,462 | |||||||||
5.75% | 01/01/39 | 11,500 | 12,651 | |||||||||
County of Cook IL | ||||||||||||
5.50% | 11/15/26 | 10,000 | 10,453 | (m,n) | ||||||||
Illinois Finance Authority | ||||||||||||
5.50% | 08/15/43 | 5,000 | 5,618 | (m) | ||||||||
Metropolitan Pier & Exposition Authority (MBIA Insured) | ||||||||||||
3.25% | 06/15/19 | 4,000 | 4,363 | (d,n) | ||||||||
3.86% | 06/15/22 | 4,305 | 3,778 | (d,n) |
See Notes to Schedules of Investments and Notes to Financial Statements.
48
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Southwestern Illinois Development Authority | ||||||||||||
5.00% | 10/01/21 | $ | 4,000 | $ | 4,898 | (n) | ||||||
47,223 | ||||||||||||
Indiana — 1.0% | ||||||||||||
Indiana Municipal Power Agency | ||||||||||||
5.50% | 01/01/27 | 2,500 | 2,798 | |||||||||
5.75% | 01/01/34 | 2,000 | 2,083 | |||||||||
Indianapolis Local Public Improvement Bond Bank | ||||||||||||
5.75% | 01/01/38 | 7,000 | 7,705 | |||||||||
Merrillville Multi School Building Corp. | ||||||||||||
5.25% | 07/15/28 | 5,000 | 5,340 | |||||||||
17,926 | ||||||||||||
Kansas — 0.2% | ||||||||||||
University of Kansas Hospital Authority | ||||||||||||
5.63% | 09/01/32 | 4,150 | 4,295 | (m) | ||||||||
Kentucky — 2.8% | ||||||||||||
Kentucky Economic Development Finance Authority | ||||||||||||
6.38% | 06/01/40 | 5,000 | 5,267 | |||||||||
Kentucky State Property & Building Commission | ||||||||||||
5.25% | 02/01/27 - 02/01/28 | 14,745 | 16,450 | (n) | ||||||||
Kentucky Turnpike Authority (AMBAC Insured) | ||||||||||||
5.00% | 07/01/26 | 5,000 | 5,448 | (n) | ||||||||
Louisville & Jefferson County Metropolitan Sewer District | ||||||||||||
5.00% | 05/15/30 | 8,040 | 8,918 | |||||||||
Louisville-Jefferson County Metropolitan Government | ||||||||||||
5.25% | 10/01/36 | 12,750 | 12,871 | |||||||||
48,954 |
Principal Amount | Fair Value | |||||||||||
Louisiana — 1.2% | ||||||||||||
Louisiana Public Facilities Authority (MBIA Insured) | ||||||||||||
5.38% | 05/15/16 | $ | 7,870 | $ | 8,405 | (m,n) | ||||||
State of Louisiana | ||||||||||||
5.00% | 09/01/19 | 10,050 | 12,470 | |||||||||
20,875 | ||||||||||||
Maine — 0.2% | ||||||||||||
Maine Health & Higher Educational Facilities Authority | ||||||||||||
5.25% | 07/01/21 | 1,790 | 2,058 | |||||||||
Maine Turnpike Authority | ||||||||||||
6.00% | 07/01/34 | 1,250 | 1,427 | |||||||||
3,485 | ||||||||||||
Maryland — 5.1% | ||||||||||||
County of Montgomery MD | ||||||||||||
5.00% | 07/01/21 - 12/01/40 | 15,905 | 19,721 | |||||||||
County of PrInce George’s MD | ||||||||||||
5.00% | 10/01/22 | 6,820 | 7,375 | (m) | ||||||||
5.00% | 09/15/24 - 09/15/25 | 15,080 | 18,357 | |||||||||
Maryland Economic Development Corp. | ||||||||||||
5.75% | 06/01/35 | 3,000 | 3,018 | |||||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||||||
5.00% | 07/01/32 - 08/15/41 | 16,960 | 17,135 | |||||||||
5.13% | 11/15/34 | 7,200 | 7,830 | (m) | ||||||||
State of Maryland | ||||||||||||
5.00% | 11/01/18 | 4,000 | 5,008 | |||||||||
Washington Suburban Sanitation Commission | ||||||||||||
4.50% | 06/01/26 | 8,470 | 9,499 | |||||||||
87,943 | ||||||||||||
Massachusetts — 4.1% | ||||||||||||
Massachusetts Department of Transportation | ||||||||||||
5.00% | 01/01/37 | 10,000 | 10,421 |
See Notes to Schedules of Investments and Notes to Financial Statements.
49
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Massachusetts Development Finance Agency | ||||||||||||
5.00% | 01/01/40 - 07/01/41 | $ | 7,535 | $ | 7,497 | |||||||
Massachusetts Health & Educational Facilities Authority | ||||||||||||
5.00% | 07/01/34 - 07/15/35 | 20,000 | 21,175 | |||||||||
5.50% | 11/15/36 | 4,000 | 4,586 | |||||||||
5.75% | 07/01/39 | 7,500 | 7,748 | |||||||||
Massachusetts Water Resources Authority | ||||||||||||
5.00% | 08/01/41 | 3,000 | 3,259 | |||||||||
6.50% | 07/15/19 | 14,125 | 17,205 | (l) | ||||||||
71,891 | ||||||||||||
Michigan — 2.6% | ||||||||||||
City of Detroit MI Sewage Disposal System Revenue (FSA Insured) | ||||||||||||
5.25% | 07/01/21 - 07/01/22 | 4,545 | 5,114 | (n) | ||||||||
City of Detroit MI Water Supply System Revenue | ||||||||||||
5.25% | 07/01/41 | 9,360 | 9,409 | |||||||||
5.75% | 07/01/37 | 5,000 | 5,343 | |||||||||
Lansing Board of Water & Light | ||||||||||||
5.00% | 07/01/37 | 3,500 | 3,746 | |||||||||
Michigan Municipal Bond Authority | ||||||||||||
5.25% | 10/01/17 | 6,465 | 6,681 | |||||||||
Michigan State Hospital Finance Authority | ||||||||||||
5.38% | 12/01/30 | 1,830 | 1,849 | |||||||||
5.38% | 12/01/30 | 170 | 178 | (m) | ||||||||
State of Michigan | ||||||||||||
5.50% | 11/01/18 | 6,000 | 7,529 | |||||||||
State of Michigan (FSA Insured) | ||||||||||||
5.25% | 09/15/27 | 5,000 | 5,459 | (n) | ||||||||
45,308 | ||||||||||||
Mississippi — 0.5% | ||||||||||||
State of Mississippi | ||||||||||||
5.50% | 09/01/14 | 7,500 | 8,450 |
Principal Amount | Fair Value | |||||||||||
Missouri — 0.9% | ||||||||||||
Missouri Highway & Transportation Commission | ||||||||||||
5.00% | 05/01/21 | $ | 4,610 | $ | 5,665 | |||||||
Missouri Joint Municipal Electric Utility Commission | ||||||||||||
5.75% | 01/01/29 | 4,500 | 4,870 | |||||||||
Missouri State Environmental Improvement & Energy Resources Authority | ||||||||||||
5.00% | 01/01/24 | 4,475 | 4,971 | (m) | ||||||||
5.00% | 01/01/24 | 525 | 567 | |||||||||
16,073 | ||||||||||||
Nevada — 0.1% | ||||||||||||
City of Las Vegas N.V. | ||||||||||||
5.55% | 06/01/16 | 1,605 | 1,629 | (n) | ||||||||
New Jersey — 9.2% | ||||||||||||
Cape May County Municipal Utilities Authority | ||||||||||||
5.75% | 01/01/15 - 01/01/16 | 8,500 | 9,857 | (n) | ||||||||
Essex County Improvement Authority (FSA Insured) | ||||||||||||
5.25% | 12/15/17 | 9,765 | 10,527 | (n) | ||||||||
5.25% | 12/15/17 | 235 | 257 | (m,n) | ||||||||
New Jersey Economic Development Authority | ||||||||||||
5.50% | 12/15/29 | 5,000 | 5,516 | |||||||||
New Jersey Educational Facilities Authority | ||||||||||||
5.25% | 07/01/32 | 2,625 | 2,814 | (m) | ||||||||
6.00% | 12/01/17 | 10,000 | 11,850 | |||||||||
New Jersey Healthcare Facilities Financing Authority | ||||||||||||
5.63% | 07/01/37 | 2,000 | 2,018 | |||||||||
New Jersey Higher Education Student Assistance Authority | ||||||||||||
5.63% | 06/01/30 | 7,500 | 8,093 | |||||||||
New Jersey State Turnpike Authority | ||||||||||||
5.25% | 01/01/40 | 10,000 | 10,755 |
See Notes to Schedules of Investments and Notes to Financial Statements.
50
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
New Jersey State Turnpike Authority (AMBAC Insured) | ||||||||||||
6.50% | 01/01/16 | $ | 7,910 | $ | 8,710 | (n) | ||||||
6.50% | 01/01/16 | 33,180 | 36,731 | (l,n) | ||||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
5.00% | 06/15/42 | 11,000 | 11,393 | |||||||||
5.50% | 06/15/19 | 5,000 | 5,374 | (m) | ||||||||
5.50% | 06/15/23 - 06/15/24 | 26,280 | 28,248 | (m) | ||||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
5.75% | 12/15/14 | 1,390 | 1,569 | (n) | ||||||||
5.75% | 12/15/14 | 4,610 | 5,305 | (l,n) | ||||||||
159,017 | ||||||||||||
New Mexico — 1.3% | ||||||||||||
New Mexico Finance Authority | ||||||||||||
5.00% | 06/15/18 - 12/15/26 | 18,850 | 21,643 | |||||||||
New York — 6.6% | ||||||||||||
Albany Industrial Development Agency | ||||||||||||
5.25% | 11/15/27 - 11/15/32 | 6,500 | 6,457 | |||||||||
Brooklyn Arena Local Development Corp. | ||||||||||||
6.00% | 07/15/30 | 4,500 | 4,680 | |||||||||
Hempstead Town Industrial Development Agency | ||||||||||||
5.00% | 10/01/30 | 1,945 | 2,006 | |||||||||
Long Island Power Authority | ||||||||||||
6.00% | 05/01/33 | 7,500 | 8,540 | |||||||||
New York City Municipal Water Finance Authority | ||||||||||||
5.00% | 06/15/44 | 5,000 | 5,374 | |||||||||
New York City Transitional Finance Authority Building Aid Revenue | ||||||||||||
5.50% | 07/15/31 | 10,000 | 11,195 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||||||
5.00% | 11/01/21 | 5,000 | 6,261 |
Principal Amount | Fair Value | |||||||||||
New York Liberty Development Corp. | ||||||||||||
5.00% | 11/15/44 | $ | 5,000 | $ | 5,089 | |||||||
5.13% | 01/15/44 | 5,000 | 5,097 | |||||||||
New York State Dormitory Authority | ||||||||||||
5.00% | 03/15/25 | 6,565 | 7,397 | |||||||||
5.25% | 11/15/23 | 10,400 | 10,581 | |||||||||
5.50% | 07/01/36 - 05/01/37 | 4,000 | 4,298 | |||||||||
6.00% | 07/01/40 | 2,000 | 2,119 | |||||||||
6.50% | 12/01/21 | 4,500 | 4,798 | |||||||||
New York State Urban Development Corp. | ||||||||||||
5.50% | 01/01/19 | 9,000 | 11,038 | |||||||||
Triborough Bridge & Tunnel Authority | ||||||||||||
5.00% | 11/15/26 | 10,000 | 11,238 | |||||||||
Westchester County Healthcare Corp. | ||||||||||||
5.00% | 11/01/30 | 4,500 | 4,559 | |||||||||
6.13% | 11/01/37 | 2,500 | 2,704 | |||||||||
113,431 | ||||||||||||
North Carolina — 2.3% | ||||||||||||
Charlotte-Mecklenburg Hospital Authority | ||||||||||||
5.25% | 01/15/42 | 2,000 | 2,100 | |||||||||
City of Charlotte NC | ||||||||||||
5.00% | 06/01/23 - 07/01/38 | 10,780 | 12,205 | |||||||||
County of Wake NC | ||||||||||||
5.00% | 03/01/21 | 1,500 | 1,933 | |||||||||
North Carolina Capital Facilities Finance Agency | ||||||||||||
5.00% | 01/01/38 | 1,000 | 1,069 | |||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.00% | 01/01/26 | 5,000 | 5,452 | |||||||||
North Carolina Medical Care Commission | ||||||||||||
4.75% | 11/01/43 | 6,000 | 5,855 | |||||||||
State of North Carolina | ||||||||||||
4.00% | 05/01/25 | 1,500 | 1,590 | |||||||||
4.75% | 05/01/30 | 4,130 | 4,544 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
University of North Carolina at Greensboro | ||||||||||||
5.00% | 04/01/36 | $ | 4,000 | $ | 4,322 | |||||||
39,070 | ||||||||||||
Ohio — 2.4% | ||||||||||||
American Municipal Power Inc. | ||||||||||||
5.00% | 02/15/38 | 5,000 | 5,154 | |||||||||
City of CInc.innati OH Water System Revenue | ||||||||||||
5.00% | 12/01/36 | 2,500 | 2,763 | |||||||||
City of Columbus OH Sewerage Revenue | ||||||||||||
4.50% | 06/01/32 | 700 | 728 | |||||||||
4.75% | 06/01/31 | 5,000 | 5,317 | |||||||||
County of Cuyahoga OH | ||||||||||||
6.00% | 01/01/32 | 10,000 | 10,839 | (m) | ||||||||
County of Franklin OH | ||||||||||||
4.50% | 12/01/37 | 1,750 | 1,718 | |||||||||
5.25% | 05/15/24 | 1,400 | 1,442 | |||||||||
County of Hamilton OH | ||||||||||||
5.00% | 12/01/19 | 4,250 | 4,620 | (m,n) | ||||||||
Cuyahoga Community College District | ||||||||||||
5.00% | 08/01/26 - 08/01/27 | 3,000 | 3,325 | |||||||||
Ohio Higher Educational Facility Commission | ||||||||||||
6.25% | 05/01/38 | 5,000 | 5,565 | |||||||||
41,471 | ||||||||||||
Oklahoma — 1.2% | ||||||||||||
Claremore Public Works Authority (Class AFAC) | ||||||||||||
5.25% | 06/01/34 | 6,315 | 7,084 | (m,n) | ||||||||
Oklahoma Municipal Power Authority (FGIC Insured) | ||||||||||||
4.50% | 01/01/47 | 9,000 | 9,096 | (n) | ||||||||
Oklahoma Turnpike Authority | ||||||||||||
5.00% | 01/01/28 | 3,500 | 3,986 | |||||||||
20,166 |
Principal Amount | Fair Value | |||||||||||
Pennsylvania — 5.1% | ||||||||||||
City of Philadelphia PA Water & Sewer Revenue | ||||||||||||
5.00% | 01/01/36 - 01/01/41 | $ | 18,000 | $ | 18,832 | |||||||
Commonwealth of Pennsylvania | ||||||||||||
5.00% | 11/15/30 | 8,890 | 10,161 | |||||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||||||
5.25% | 08/15/25 | 1,750 | 1,939 | |||||||||
Pennsylvania Industrial Development Authority (AMBAC Insured) | ||||||||||||
5.50% | 07/01/17 | 3,100 | 3,197 | (n) | ||||||||
Pennsylvania Turnpike Commission | ||||||||||||
4.86% | 12/01/34 | 12,000 | 10,437 | (d) | ||||||||
5.00% | 06/01/29 | 10,000 | 10,550 | |||||||||
5.25% | 06/01/39 | 9,500 | 9,835 | |||||||||
Pennsylvania Turnpike Commission (AMBAC Insured) | ||||||||||||
5.25% | 12/01/32 | 12,000 | 12,602 | (n) | ||||||||
Philadelphia Authority for Industrial Development | ||||||||||||
5.25% | 09/01/36 | 1,750 | 1,326 | |||||||||
State Public School Building Authority (FSA Insured) | ||||||||||||
5.25% | 06/01/27 | 8,000 | 8,549 | (m,n) | ||||||||
87,428 | ||||||||||||
Puerto Rico — 3.2% | ||||||||||||
Commonwealth of Puerto Rico | ||||||||||||
5.75% | 07/01/38 | 7,000 | 7,338 | |||||||||
6.00% | 07/01/39 | 10,000 | 10,631 | |||||||||
Puerto Rico Infrastructure Financing Authority | ||||||||||||
6.00% | 12/15/26 | 5,000 | 5,520 | |||||||||
Puerto Rico Public Buildings Authority | ||||||||||||
6.00% | 07/01/41 | 3,000 | 3,190 |
See Notes to Schedules of Investments and Notes to Financial Statements.
52
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Puerto Rico Sales Tax Financing Corp. | ||||||||||||
4.69% | 08/01/32 | $ | 12,000 | $ | 11,290 | (d) | ||||||
5.00% | 08/01/43 | 3,000 | 3,043 | |||||||||
5.25% | 08/01/40 | 3,000 | 3,229 | |||||||||
5.50% | 08/01/42 | 10,000 | 10,601 | |||||||||
54,842 | ||||||||||||
Rhode Island — 0.2% | ||||||||||||
Rhode Island Health & Educational Building Corp. | ||||||||||||
6.25% | 09/15/34 | 1,300 | 1,461 | |||||||||
6.50% | 09/15/28 | 1,000 | 1,172 | |||||||||
2,633 | ||||||||||||
South Carolina — 5.3% | ||||||||||||
Berkeley County School District | ||||||||||||
5.25% | 12/01/24 | 15,000 | 15,691 | |||||||||
Charleston Educational Excellence Finance Corp. | ||||||||||||
5.25% | 12/01/27 - 12/01/30 | 21,850 | 23,613 | |||||||||
City of Greenville SC | ||||||||||||
5.13% | 02/01/22 | 5,195 | 5,214 | (m) | ||||||||
County of Beaufort SC | ||||||||||||
5.50% | 06/01/17 - 06/01/18 | 4,150 | 4,289 | (n) | ||||||||
Georgetown County School District | ||||||||||||
5.00% | 03/01/18 | 3,640 | 4,444 | |||||||||
Greenville County School District | ||||||||||||
5.25% | 12/01/21 | 2,000 | 2,111 | |||||||||
5.50% | 12/01/28 | 10,725 | 11,336 | (m) | ||||||||
Lexington County Health Services District Inc. | ||||||||||||
5.50% | 11/01/13 | 3,030 | 3,270 | |||||||||
Piedmont Municipal Power Agency (AGMC Insured) | ||||||||||||
5.75% | 01/01/34 | 5,500 | 6,171 | (n) | ||||||||
South Carolina Educational Facilities Authority | ||||||||||||
5.00% | 10/01/38 | 7,400 | 7,648 | |||||||||
South Carolina State Public Service Authority | ||||||||||||
5.50% | 01/01/38 | 7,500 | 8,300 | |||||||||
92,087 |
Principal Amount | Fair Value | |||||||||||
Tennessee — 1.0% | ||||||||||||
County of Shelby TN | ||||||||||||
5.00% | 03/01/21 | $ | 3,500 | $ | 4,340 | |||||||
Metropolitan Government of |
| |||||||||||
5.00% | 05/15/25 | 10,000 | 11,162 | |||||||||
State of Tennessee | ||||||||||||
5.00% | 05/01/19 | 1,000 | 1,223 | |||||||||
16,725 | ||||||||||||
Texas — 5.0% | ||||||||||||
City of Austin TX Water & Wastewater System Revenue (AMBAC Insured) | ||||||||||||
5.50% | 11/15/16 | 5,450 | 6,553 | (n) | ||||||||
City of Houston TX Utility System Revenue | ||||||||||||
5.00% | 11/15/33 | 5,470 | 5,925 | |||||||||
5.25% | 11/15/30 - 11/15/31 | 12,000 | 13,576 | |||||||||
City of Houston TX Utility System Revenue | ||||||||||||
5.75% | 12/01/14 | 5,000 | 5,242 | (m,n) | ||||||||
City of Houston TX Utility System Revenue | ||||||||||||
5.25% | 05/15/22 | 10,000 | 10,874 | (n) | ||||||||
Frisco Independent School District | ||||||||||||
1.83% | 08/15/19 | 2,000 | 1,741 | (d) | ||||||||
North Texas Tollway Authority | ||||||||||||
5.00% | 09/01/31 | 3,500 | 3,792 | |||||||||
5.75% | 01/01/38 - 01/01/40 | 21,475 | 22,469 | |||||||||
6.00% | 01/01/38 | 5,000 | 5,484 | |||||||||
Tarrant County Cultural Education Facilities Finance Corp. | ||||||||||||
5.00% | 11/15/40 | 5,000 | 5,115 | |||||||||
University of Texas System | ||||||||||||
5.00% | 08/15/24 | 5,000 | 5,929 | |||||||||
86,700 |
See Notes to Schedules of Investments and Notes to Financial Statements.
53
Table of Contents
Elfun Tax-Exempt Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Utah — 0.3% | ||||||||||||
Utah State Board of Regents | ||||||||||||
5.00% | 11/01/30 | $ | 4,000 | $ | 4,360 | |||||||
Vermont — 0.3% | ||||||||||||
Vermont Educational & Health Buildings Financing Agency | ||||||||||||
5.00% | 10/31/46 | 5,700 | 5,963 | |||||||||
Virginia — 0.7% | ||||||||||||
Virginia College Building Authority | ||||||||||||
4.38% | 02/01/28 | 845 | 893 | |||||||||
Virginia Resources Authority | ||||||||||||
5.25% | 11/01/38 | 5,000 | 5,476 | |||||||||
Virginia Small Business Financing Authority | ||||||||||||
5.00% | 11/01/40 | 4,890 | 5,085 | |||||||||
11,454 | ||||||||||||
Washington — 0.6% | ||||||||||||
County of King WA | ||||||||||||
5.50% | 12/01/13 | 10,000 | 10,970 | (l) | ||||||||
Wisconsin — 0.2% | ||||||||||||
Wisconsin Department of Transportation | ||||||||||||
5.75% | 07/01/14 | 2,990 | 3,065 | (n) | ||||||||
Total Municipal | 1,657,412 | |||||||||||
Other Investments — 0.0%* |
| |||||||||||
GEI Investment Fund | 219 | (k) | ||||||||||
Total Investment in Securities |
| 1,657,631 |
Principal Amount | Fair Value | |||||||||||
Short-Term Investments — 0.3% |
| |||||||||||
Time Deposit — 0.3% | ||||||||||||
State Street Corp. | ||||||||||||
0.01% | 01/03/12 | $ | 5,420 | 5,420 | (e) | |||||||
(Cost $5,420) | ||||||||||||
Total Investments | 1,663,051 | |||||||||||
Other Assets and |
| 67,853 | ||||||||||
|
| |||||||||||
NET ASSETS—100.0% |
| $1,730,904 | ||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
54
Table of Contents
(Unaudited)
Paul M. Colonna
President and
Chief Investment
Officer – Fixed Income
The Elfun Income Fund is managed by a team of portfolio managers that includes Paul M. Colonna (pictured to the left), William M. Healey, Mark H. Johnson and Vita Marie Pike. The team is led by Mr. Colonna, who is vested with oversight authority. Each portfolio manager is assigned a class of assets, the size of which are determined by team consensus and adjusted on a monthly basis, if necessary. Although each portfolio manager manages his or her asset class independent of the other team members, the team is highly collaborative and communicative. See portfolio managers’ biographical information beginning on page 113.
Q. | How did the Elfun Income Fund perform compared to its benchmark for the twelve-month period ended December 31, 2011? |
A. | For the twelve-month period ended December 31, 2011, the Elfun Income Fund returned 7.87%. The Barclays Capital U.S. Aggregate Bond Index, the Fund’s benchmark, returned 7.84% and the Fund’s Morningstar peer group of 1,195 U.S. Intermediate-Term Funds returned an average of 5.78% over the same period. |
Q. | Discuss the factors that materially affected the Fund’s performance during the period. |
A. | Weak economic growth and the deepening crisis in Europe drove U.S. interest rates lower and credit spreads wider in 2011. The drop in interest rates, particularly at the long end of the yield curve had a large impact on the Fund’s performance. While U.S. treasury 2-year notes fell 35 basis |
points to 0.24%, 10-year and 30-year bond yields fell 142 and 144 basis points respectively, finishing the year at 1.88% and 2.89%. The combination of declining rates and a flatter yield curve benefited the Fund’s performance as it was positioned for most of the year to take advantage of such a movement in the yield curve. U.S. treasuries outperformed other investment grade sectors in 2011 returning 9.81%. Investment grade credit (+8.35%), agency MBS (+6.32%) and commercial MBS (+6.02%) all underperformed treasuries as yield spreads widened. The Fund’s underweight in investment grade credit contributed positively, however, its overweight in commercial MBS dampened performance. Performance was also hurt relative to its benchmark from the allocation to non-index sectors including high yield (BB/B-rated issues returned 6.09%) and emerging market debt (+8.46%). Security selection in the agency MBS and high yield sectors proved beneficial, while specific securities in IG credit and commercial MBS produced a performance drag. |
Q. | Were there any significant changes to the Fund during the period? |
A. | Late in the first quarter, the Fund’s duration was extended to take advantage of declining interest rates. This long duration bias versus the benchmark was maintained for the balance of the year, with periodic tactical moves back to neutral. During the third quarter, the Fund’s yield curve |
55
Table of Contents
(Unaudited)
positioning emphasized heavier allocations to 30-year securities in anticipation of a flatter yield curve. The Fund’s allocation to high yield and emerging market debt were reduced early in the year to avoid expected volatility caused by the European debt crisis. As yield spreads in these sectors widened, the Fund’s allocations were increased in the third and fourth quarters taking advantage of cheaper valuations. The Fund’s underweight in investment grade credit was brought back to neutral in the fourth quarter, while the Fund’s overweight in commercial MBS was reduced in the third quarter. |
56
Table of Contents
(Unaudited)
Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2011.
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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any.
57
July 1, 2011 — December 31, 2011
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | ||||||||||
Actual Fund Return** | 1,000.00 | 1,044.70 | 1.24 | |||||||||
Hypothetical 5% Return | 1,000.00 | 1,024.00 | 1.22 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.24% (for the period July 1, 2011 - December 31, 2011), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Actual Fund Return for the six-month period ended December 31, 2011 was: 4.47%. Past performance does not guarantee future results. |
Table of Contents
(Unaudited)
Investment Profile
A mutual fund designed for investors who seek a high level of income consistent with prudent investment management and the preservation of capital. The Fund seeks its objective by investing at least 80% of its net assets under normal circumstances in debt securities. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.
Quality Ratings
as of December 31, 2011 as a % of Fair Value(b)(c)
Moody’s / S&P Rating * | | Percentage of Fair Value | | |
Aaa / AAA | 13.63% | |||
Aa / AA | 47.76% | |||
A / A | 11.84% | |||
Baa / BBB | 15.44% | |||
Ba / BB and lower | 11.20% | |||
NR / Other | 0.13% | |||
100.00% |
* | Moody’s Investors Services Inc and Standard & Poor’s are nationally recognized statistical rating organizations. |
Sector Allocation
as a % of the Fair Value of $386,843 (in thousands) as of December 31, 2011(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended 12/31/11
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 1,195 | 872 | 582 | |||||||||
Peer group average annual total return | 5.78 | % | 5.13 | % | 4.84 | % | ||||||
Morningstar category in peer group: Intermediate-Term Bond |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2011
(Inception date: 12/31/84) | ||||||||||||||||
One Year | Five Year | Ten Year | Ending value of a $10,000 investment (a) | |||||||||||||
Elfun Income Fund | 7.87% | 5.60% | 5.35% | $16,834 | ||||||||||||
Barclays Capital U.S. Aggregate Bond Index | 7.84% | 6.50% | 5.78% | $17,535 |
(a) | Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
(c) | Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
See Notes to Performance on page 1 for further information.
Past performance does not predict future performance. The performance shown on the graph and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
58
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
[GRAPHIC]
Principal Amount | Fair Value | |||||||||||
Bonds and Notes — 95.1%† |
| |||||||||||
U.S. Treasuries — 18.8% | ||||||||||||
U.S. Treasury Bonds | ||||||||||||
3.13% | 11/15/41 | $ | 1,230 | $ | 1,288 | |||||||
3.75% | 08/15/41 | 18,696 | 21,988 | |||||||||
4.38% | 05/15/41 | 3,728 | 4,857 | (h) | ||||||||
U.S. Treasury Notes | ||||||||||||
0.24% | 10/31/13 | 14,167 | 14,170 | (d) | ||||||||
0.80% | 10/31/16 | 10,788 | 10,892 | (d) | ||||||||
0.81% | 11/30/16 | 14,227 | 14,270 | (d) | ||||||||
2.00% | 11/15/21 | 858 | 867 | |||||||||
3.13% | 05/15/19 | 2 | 2 | |||||||||
68,334 | ||||||||||||
Agency Mortgage Backed — 29.3% | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
4.50% | 06/01/33 - 02/01/35 | 82 | 88 | (h) | ||||||||
5.00% | 07/01/35 - 06/01/41 | 2,437 | 2,671 | (h) | ||||||||
5.50% | 05/01/20 - 04/01/39 | 1,387 | 1,531 | (h) | ||||||||
6.00% | 04/01/17 - 11/01/37 | 2,377 | 2,648 | (h) | ||||||||
6.50% | 07/01/29 | 2 | 3 | (h) | ||||||||
7.00% | 10/01/16 - 08/01/36 | 268 | 306 | (h) | ||||||||
7.50% | 09/01/12 - 09/01/33 | 27 | 32 | (h) | ||||||||
8.00% | 11/01/30 | 12 | 14 | (h) | ||||||||
5.50% | TBA | 1,570 | 1,703 | (c) | ||||||||
Federal National Mortgage Assoc. | ||||||||||||
4.00% | 05/01/19 - 12/01/40 | 4,409 | 4,663 | (h) | ||||||||
4.50% | 05/01/18 - 08/01/41 | 40,256 | 43,149 | (h) | ||||||||
5.00% | 07/01/20 - 06/01/41 | 4,917 | 5,395 | (h) | ||||||||
5.14% | 03/01/37 | 5 | 5 | (i) | ||||||||
5.47% | 04/01/37 | 3 | 3 | (i) | ||||||||
5.50% | 03/01/14 - 01/01/39 | 7,378 | 8,075 | (h) | ||||||||
6.00% | 02/01/14 - 08/01/35 | 3,969 | 4,427 | (h) | ||||||||
6.50% | 02/01/14 - 08/01/36 | 655 | 743 | (h) | ||||||||
7.00% | 08/01/13 - 02/01/34 | 70 | 82 | (h) | ||||||||
7.50% | 08/01/13 - 03/01/34 | 290 | 333 | (h) | ||||||||
8.00% | 12/01/12 - 11/01/33 | 125 | 146 | (h) | ||||||||
8.50% | 04/01/30 - 05/01/31 | 19 | 24 | (h) | ||||||||
9.00% | 04/01/16 - 12/01/22 | 32 | 37 | (h) | ||||||||
4.50% | TBA | 8,490 | 9,034 | (c) | ||||||||
5.00% | TBA | 2,664 | 2,865 | (c) |
Principal Amount | Fair Value | |||||||||||
5.50% | TBA | $ | 1,095 | $ | 1,188 | (c) | ||||||
6.00% | TBA | 7,726 | 8,422 | (c) | ||||||||
6.50% | TBA | 878 | 977 | (c) | ||||||||
Government National Mortgage Assoc. | ||||||||||||
4.50% | 08/15/33 - 03/20/41 | 4,137 | 4,524 | (h) | ||||||||
5.00% | 08/15/33 | 191 | 212 | (h) | ||||||||
6.00% | 04/15/27 - 09/15/36 | 767 | 879 | (h) | ||||||||
6.50% | 04/15/19 - 09/15/36 | 532 | 613 | (h) | ||||||||
7.00% | 03/15/12 - 10/15/36 | 249 | 289 | (h) | ||||||||
7.50% | 03/15/23 - 10/15/33 | 80 | 89 | (h) | ||||||||
8.00% | 09/15/27 - 06/15/30 | 37 | 40 | (h) | ||||||||
8.50% | 10/15/17 | 31 | 35 | (h) | ||||||||
9.00% | 11/15/16 - 12/15/21 | 70 | 79 | (h) | ||||||||
4.50% | TBA | 565 | 615 | (c) | ||||||||
5.50% | TBA | 435 | 488 | (c) | ||||||||
106,427 | ||||||||||||
Agency Collateralized Mortgage Obligations — 2.3% | ||||||||||||
Collateralized Mortgage Obligation Trust | ||||||||||||
0.94% | 11/01/18 | 9 | 9 | (d,f,h,q) | ||||||||
Fannie Mae Whole Loan | ||||||||||||
0.99% | 08/25/43 | 1,416 | 29 | (g,i) | ||||||||
1.07% | 11/25/33 | 520 | 12 | (g,i) | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
0.08% | 09/25/43 | 2,186 | 17 | (g,h,i) | ||||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||||||
3.50% | 11/15/24 | 515 | 31 | (g,r) | ||||||||
5.00% | 02/15/38 | 204 | 22 | (g,r) | ||||||||
5.00% | 05/15/38 | 344 | 385 | |||||||||
5.50%** | 04/15/17 | 17 | — | (g,h,r) | ||||||||
6.10% | 10/15/37 | 2,002 | 328 | (g,i) | ||||||||
6.32% | 08/15/25 | 1,326 | 204 | (g,i) | ||||||||
6.37% | 07/15/37 | 1,956 | 348 | (g,i) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Class YQ) | ||||||||||||
5.00% | 05/15/17 | 21 | 1 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2631) (Class DI) | ||||||||||||
5.50% | 06/15/33 | 273 | 37 | (g,h,r) |
See Notes to Schedules of Investments and Notes to Financial Statements.
59
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2643) (Class IM) | ||||||||||||
4.50% | 03/15/18 | $ | 216 | $ | 15 | (g,h,r) | ||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2645) (Class BI) | ||||||||||||
4.50% | 02/15/18 | 41 | 2 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2763) (Class JI) | ||||||||||||
5.00% | 10/15/18 | 162 | 12 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2781) (Class CI) | ||||||||||||
5.00% | 11/15/17 | 42 | 1 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2781) (Class IC) | ||||||||||||
5.00% | 05/15/18 | 78 | 4 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 2795) (Class IC) | ||||||||||||
5.00%** | 07/15/17 | 17 | — | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. REMIC (Series 33) (Class 33) | ||||||||||||
8.00% | 04/15/20 | 6 | 7 | (h) | ||||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||||||
8.00% | 02/01/23 - 07/01/24 | 12 | 2 | (g,h,r) | ||||||||
Federal Home Loan Mortgage Corp. STRIPS (Series 227) (Class IO) | ||||||||||||
5.00% | 12/01/34 | 148 | 22 | (g,h,r) | ||||||||
Federal Home Loan Mortgage STRIPS | ||||||||||||
2.69% | 08/01/27 | 3 | 3 | (d,f,h) | ||||||||
Federal National Mortgage Assoc. REMIC | ||||||||||||
1.21% | 12/25/42 | 529 | 15 | (g,h,i) | ||||||||
5.00% | 08/25/38 | 343 | 384 | |||||||||
5.00% | 02/25/40 - 09/25/40 | 1,955 | 281 | (g,r) | ||||||||
5.71% | 07/25/38 - 01/25/41 | 1,841 | 233 | (g,i) | ||||||||
5.76% | 02/25/39 | 4,503 | 742 | (g,i) |
Principal Amount | Fair Value | |||||||||||
6.36% | 11/25/37 | $ | 2,311 | $ | 339 | (g,i) | ||||||
Federal National Mortgage Assoc. REMIC (Class B) | ||||||||||||
3.18% | 12/25/22 | 9 | 8 | (d,f,h) | ||||||||
Federal National Mortgage Assoc. REMIC (Class BZ) | ||||||||||||
5.50% | 01/25/33 | 412 | 452 | |||||||||
Federal National Mortgage Assoc. REMIC (Class VZ) | ||||||||||||
5.00% | 10/25/35 | 313 | 359 | |||||||||
Federal National Mortgage Assoc. REMIC (Series 1992) (Class K) | ||||||||||||
8.00%** | 05/25/22 | — | — | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) | ||||||||||||
5.00% | 08/25/17 | 50 | 2 | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) (Class HI) | ||||||||||||
5.00% | 10/25/22 | 79 | 4 | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) (Class IJ) | ||||||||||||
5.00% | 02/25/32 | 371 | 30 | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) (Class KI) | ||||||||||||
4.50%** | 05/25/18 | 18 | — | (g,h,r) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2003) (Class SL) | ||||||||||||
15.96% | 03/25/31 | 226 | 250 | (h,i) | ||||||||
Federal National Mortgage Assoc. REMIC (Series 2008) (Class ZW) | ||||||||||||
5.00% | 07/25/38 | 274 | 308 | |||||||||
Federal National Mortgage Assoc. STRIPS | ||||||||||||
1.76% | 12/01/34 | 355 | 337 | (d,f,h) | ||||||||
5.00% | 05/25/38 | 268 | 39 | (g,r) | ||||||||
6.00% | 01/01/35 | 269 | 47 | (g,h,r) | ||||||||
Federal National Mortgage Assoc. STRIPS (Class 2) | ||||||||||||
4.50% | 08/01/35 | 388 | 49 | (g,h,r) | ||||||||
5.00% | 03/25/38 | 283 | 39 | (g,r) | ||||||||
5.50% | 12/01/33 | 95 | 13 | (g,r) | ||||||||
7.50% | 11/01/23 | 38 | 7 | (g,h,r) | ||||||||
8.00% | 08/01/23 - 07/01/24 | 24 | 5 | (g,h,r) | ||||||||
8.50% | 03/01/17 - 07/25/22 | 24 | 3 | (g,h,r) |
See Notes to Schedules of Investments and Notes to Financial Statements.
60
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
9.00% | 05/25/22 | $ | 8 | $ | 2 | (g,h,r) | ||||||
Federal National Mortgage Assoc. STRIPS (Series 378) (Class 1) | ||||||||||||
4.50% | 01/01/36 | 467 | 56 | (g,h,r) | ||||||||
Federal National Mortgage Association REMIC (Series 2008 Class SA) | ||||||||||||
5.98% | 02/25/38 | 2,095 | 308 | (g,i) | ||||||||
Government National Mortgage Assoc. | ||||||||||||
4.50% | 04/16/34 - 08/16/39 | 7,510 | 965 | (g,r) | ||||||||
4.50% | 11/20/39 | 671 | 734 | |||||||||
5.00% | 12/20/35 - 09/20/38 | 2,861 | 344 | (g,r) | ||||||||
Government National Mortgage Assoc. (Class IC) | ||||||||||||
5.97% | 04/16/37 | 805 | 149 | (g,i) | ||||||||
Vendee Mortgage Trust | ||||||||||||
0.37% | 04/15/40 | 2,705 | 53 | (g,h,i) | ||||||||
0.58% | 09/15/46 | 5,089 | 164 | (g,i) | ||||||||
0.84% | 05/15/33 | 982 | 37 | (g,h,i) | ||||||||
8,249 | ||||||||||||
Asset Backed — 0.7% | ||||||||||||
Capital One Multi-Asset Execution Trust | ||||||||||||
1.33% | 01/15/19 | 500 | 484 | (d,h,i) | ||||||||
Chase Funding Mortgage Loan Asset-Backed Certificates | ||||||||||||
3.99% | 11/25/33 | 543 | 479 | (h) | ||||||||
5.75% | 11/25/34 | 38 | 16 | (i,q) | ||||||||
Citicorp Residential Mortgage Securities Inc. | ||||||||||||
6.04% | 09/25/36 | 360 | 250 | |||||||||
Countrywide Asset-Backed Certificates | ||||||||||||
1.15% | 05/25/33 | 21 | 16 | (h,i) | ||||||||
2.50% | 06/25/33 | 2 | 2 | (d,i,q) | ||||||||
9.38% | 08/25/32 | 29 | 17 | (d,i,q) | ||||||||
GSAA Trust | ||||||||||||
7.97% | 05/25/34 | 86 | 70 | (d,h,i) | ||||||||
Mid-State Trust | ||||||||||||
7.54% | 07/01/35 | 46 | 46 | (q) |
Principal Amount | Fair Value | |||||||||||
Popular ABS Mortgage Pass- Through Trust | ||||||||||||
5.30% | 11/25/35 | $ | 350 | $ | 235 | |||||||
Residential Asset Securities Corp. | ||||||||||||
13.86% | 06/25/33 | 45 | 26 | (d,i,q) | ||||||||
14.34% | 07/25/32 | 23 | 13 | (d,i,q) | ||||||||
Saxon Asset Securities Trust | ||||||||||||
5.23% | 08/25/35 | 809 | 771 | (h,i) | ||||||||
2,425 | ||||||||||||
Corporate Notes — 34.0% | ||||||||||||
Abu Dhabi National Energy Co. | ||||||||||||
6.25% | 09/16/19 | 100 | 109 | (b) | ||||||||
Adaro Indonesia PT | ||||||||||||
7.63% | 10/22/19 | 100 | 109 | (b) | ||||||||
Advanced Micro Devices Inc. | ||||||||||||
7.75% | 08/01/20 | 358 | 368 | |||||||||
AES El Salvador Trust | ||||||||||||
6.75% | 02/01/16 | 100 | 97 | (b,h) | ||||||||
AES Gener S.A. | ||||||||||||
5.25% | 08/15/21 | 106 | 107 | (b) | ||||||||
AES Panama S.A. | ||||||||||||
6.35% | 12/21/16 | 219 | 236 | (b) | ||||||||
Agilent Technologies Inc. | ||||||||||||
5.50% | 09/14/15 | 411 | 453 | (h) | ||||||||
Air Jamaica Ltd. | ||||||||||||
9.38% | 07/08/15 | 6 | 6 | |||||||||
Alcoa Inc. | ||||||||||||
5.40% | 04/15/21 | 333 | 334 | |||||||||
5.55% | 02/01/17 | 202 | 215 | |||||||||
Allergan Inc. | ||||||||||||
3.38% | 09/15/20 | 362 | 373 | |||||||||
Alliance One International Inc. | ||||||||||||
10.00% | 07/15/16 | 396 | 356 | (h) | ||||||||
Alpha Natural Resources Inc. | ||||||||||||
6.00% | 06/01/19 | 355 | 344 | (h) | ||||||||
ALROSA Finance S.A. | ||||||||||||
7.75% | 11/03/20 | 200 | 199 | (b) | ||||||||
America Movil SAB de C.V. | ||||||||||||
2.38% | 09/08/16 | 283 | 282 | |||||||||
American Axle & Manufacturing Inc. | ||||||||||||
7.88% | 03/01/17 | 367 | 363 |
See Notes to Schedules of Investments and Notes to Financial Statements.
61
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
American International Group Inc. | ||||||||||||
5.85% | 01/16/18 | $ | 604 | $ | 591 | |||||||
Amgen Inc. | ||||||||||||
1.88% | 11/15/14 | 202 | 205 | |||||||||
2.30% | 06/15/16 | 281 | 283 | (h) | ||||||||
2.50% | 11/15/16 | 202 | 204 | |||||||||
5.65% | 06/15/42 | 340 | 370 | (h) | ||||||||
Amsted Industries Inc. | ||||||||||||
8.13% | 03/15/18 | 398 | 422 | (b,h) | ||||||||
Anadarko Petroleum Corp. | ||||||||||||
5.95% | 09/15/16 | 841 | 953 | (h) | ||||||||
6.20% | 03/15/40 | 736 | 819 | (h) | ||||||||
6.38% | 09/15/17 | 871 | 1,010 | |||||||||
6.45% | 09/15/36 | 201 | 229 | |||||||||
6.95% | 06/15/19 | 486 | 580 | (h) | ||||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||||||
3.63% | 04/15/15 | 606 | 645 | (h) | ||||||||
5.38% | 11/15/14 | 498 | 553 | (h) | ||||||||
Aon Corp. | ||||||||||||
3.13% | 05/27/16 | 484 | 489 | (h) | ||||||||
ArcelorMittal | ||||||||||||
5.50% | 03/01/21 | 401 | 368 | (h) | ||||||||
6.75% | 03/01/41 | 482 | 433 | (h) | ||||||||
Arch Coal Inc. | ||||||||||||
7.00% | 06/15/19 | 379 | 387 | (b,h) | ||||||||
Archer-Daniels-Midland Co. | ||||||||||||
5.77% | 03/01/41 | 740 | 935 | (h) | ||||||||
Arizona Public Service Co. | ||||||||||||
6.25% | 08/01/16 | 485 | 569 | (h) | ||||||||
AT&T Inc. | ||||||||||||
2.95% | 05/15/16 | 319 | 332 | (h) | ||||||||
5.60% | 05/15/18 | 718 | 834 | |||||||||
6.40% | 05/15/38 | 1,023 | 1,264 | (h) | ||||||||
6.70% | 11/15/13 | 460 | 507 | |||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||||||
2.40% | 11/23/16 | 580 | 575 | (b) | ||||||||
Baker Hughes Inc. | ||||||||||||
3.20% | 08/15/21 | 404 | 417 | (b) | ||||||||
Banco de Credito del Peru | ||||||||||||
4.75% | 03/16/16 | 210 | 209 | (b) | ||||||||
Banco del Estado de Chile | ||||||||||||
4.13% | 10/07/20 | 100 | 102 | (b) |
Principal Amount | Fair Value | |||||||||||
Banco do Brasil S.A. | ||||||||||||
5.88% | 01/26/22 | $ | 404 | $ | 404 | (b) | ||||||
Banco do Nordeste do Brasil S.A. | ||||||||||||
3.63% | 11/09/15 | 100 | 100 | (b) | ||||||||
Banco Mercantil del Norte S.A. | ||||||||||||
6.86% | 10/13/21 | 100 | 101 | (b,i) | ||||||||
BanColombia S.A. | ||||||||||||
4.25% | 01/12/16 | 150 | 149 | |||||||||
5.95% | 06/03/21 | 162 | 163 | |||||||||
6.13% | 07/26/20 | 70 | 71 | |||||||||
Bank of America Corp. | ||||||||||||
3.75% | 07/12/16 | 800 | 741 | (h) | ||||||||
5.00% | 05/13/21 | 740 | 674 | |||||||||
5.42% | 03/15/17 | 1,600 | 1,444 | (h) | ||||||||
5.63% | 10/14/16 | 200 | 192 | |||||||||
6.50% | 08/01/16 | 990 | 997 | |||||||||
Bank of Montreal | ||||||||||||
1.30% | 10/31/14 | 403 | 402 | (b) | ||||||||
Baxter International Inc. | ||||||||||||
1.85% | 01/15/17 | 482 | 486 | |||||||||
BBVA Bancomer S.A. | ||||||||||||
6.50% | 03/10/21 | 100 | 96 | (b) | ||||||||
Becton Dickinson and Co. | ||||||||||||
3.13% | 11/08/21 | 605 | 626 | |||||||||
BG Energy Capital PLC | ||||||||||||
2.88% | 10/15/16 | 206 | 211 | (b) | ||||||||
4.00% | 10/15/21 | 403 | 415 | (b) | ||||||||
Boise Paper Holdings LLC | ||||||||||||
8.00% | 04/01/20 | 318 | 336 | (h) | ||||||||
Bombardier Inc. | ||||||||||||
7.75% | 03/15/20 | 299 | 326 | (b) | ||||||||
BP Capital Markets PLC | ||||||||||||
2.25% | 11/01/16 | 604 | 608 | |||||||||
Broadcom Corp. | ||||||||||||
2.70% | 11/01/18 | 605 | 612 | |||||||||
Calpine Corp. | ||||||||||||
7.25% | 10/15/17 | 765 | 803 | (b,h) | ||||||||
Cargill Inc. | ||||||||||||
5.20% | 01/22/13 | 131 | 137 | (b,h) | ||||||||
6.00% | 11/27/17 | 247 | 291 | (b,h) | ||||||||
Case New Holland Inc. | ||||||||||||
7.88% | 12/01/17 | 214 | 242 | |||||||||
Caterpillar Inc. | ||||||||||||
3.90% | 05/27/21 | 404 | 444 | (h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
62
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
CCO Holdings LLC | ||||||||||||
7.88% | 04/30/18 | $ | 192 | $ | 205 | |||||||
8.13% | 04/30/20 | 373 | 408 | |||||||||
Centrais Eletricas Brasileiras S.A. | ||||||||||||
5.75% | 10/27/21 | 200 | 208 | (b) | ||||||||
6.88% | 07/30/19 | 68 | 77 | (b) | ||||||||
Central American Bank for Economic Integration | ||||||||||||
5.38% | 09/24/14 | 380 | 403 | (b,h) | ||||||||
CenturyLink Inc. | ||||||||||||
5.15% | 06/15/17 | 403 | 399 | (h) | ||||||||
CenturyLink Inc. (Series G) | ||||||||||||
6.88% | 01/15/28 | 280 | 261 | (h) | ||||||||
Chesapeake Energy Corp. | ||||||||||||
6.13% | 02/15/21 | 334 | 343 | |||||||||
Chesapeake Midstream Partners LP | ||||||||||||
5.88% | 04/15/21 | 490 | 490 | (b) | ||||||||
Chrysler Group LLC | ||||||||||||
8.00% | 06/15/19 | 400 | 366 | (b) | ||||||||
Cigna Corp. | ||||||||||||
2.75% | 11/15/16 | 403 | 402 | |||||||||
4.00% | 02/15/22 | 1,004 | 995 | |||||||||
5.38% | 02/15/42 | 677 | 673 | |||||||||
CIncinnati Bell Inc. | ||||||||||||
8.25% | 10/15/17 | 676 | 679 | |||||||||
Citigroup Inc. | ||||||||||||
4.50% | 01/14/22 | 986 | 949 | |||||||||
5.00% | 09/15/14 | 1,813 | 1,794 | (h) | ||||||||
CityCenter Holdings LLC | ||||||||||||
7.63% | 01/15/16 | 358 | 367 | (b) | ||||||||
Clarendon Alumina Production Ltd. | ||||||||||||
8.50% | 11/16/21 | 129 | 130 | (b,h) | ||||||||
CNA Financial Corp. | ||||||||||||
5.88% | 08/15/20 | 393 | 404 | |||||||||
CNPC HK Overseas Capital Ltd. | ||||||||||||
4.50% | 04/28/21 | 200 | 208 | (b) | ||||||||
Comision Federal de Electricidad | ||||||||||||
4.88% | 05/26/21 | 200 | 206 | (b) | ||||||||
Consolidated Edison Co of New York Inc. | ||||||||||||
6.65% | 04/01/19 | 608 | 768 | (h) |
Principal Amount | Fair Value | |||||||||||
Consolidated Edison Company of New York Inc. (Series 2008) | ||||||||||||
5.85% | 04/01/18 | $ | 180 | $ | 220 | |||||||
Corp Lindley S.A. | ||||||||||||
6.75% | 11/23/21 | 36 | 37 | (b) | ||||||||
Corp Nacional del Cobre de Chile | ||||||||||||
3.75% | 11/04/20 | 397 | 403 | (b) | ||||||||
3.88% | 11/03/21 | 200 | 204 | (b) | ||||||||
5.63% | 09/21/35 | 76 | 88 | (b) | ||||||||
Credit Suisse AG | ||||||||||||
2.60% | 05/27/16 | 405 | 410 | (b) | ||||||||
Crown Castle Towers LLC | ||||||||||||
4.88% | 08/15/40 | 379 | 387 | (b,h) | ||||||||
6.11% | 01/15/40 | 189 | 209 | (b) | ||||||||
CSX Corp. | ||||||||||||
4.25% | 06/01/21 | 389 | 416 | |||||||||
CVS Caremark Corp. | ||||||||||||
3.25% | 05/18/15 | 207 | 218 | |||||||||
5.75% | 06/01/17 | 355 | 414 | |||||||||
Danaher Corp. | ||||||||||||
2.30% | 06/23/16 | 402 | 418 | |||||||||
3.90% | 06/23/21 | 80 | 88 | |||||||||
DaVita Inc. | ||||||||||||
6.38% | 11/01/18 | 358 | 367 | (h) | ||||||||
Denbury Resources Inc. | ||||||||||||
6.38% | 08/15/21 | 304 | 318 | |||||||||
8.25% | 02/15/20 | 383 | 428 | |||||||||
DENTSPLY International Inc. | ||||||||||||
2.75% | 08/15/16 | 617 | 623 | |||||||||
4.13% | 08/15/21 | 404 | 417 | |||||||||
Digicel Ltd. | ||||||||||||
8.25% | 09/01/17 | 100 | 101 | (b) | ||||||||
DIRECTV Holdings LLC | ||||||||||||
3.55% | 03/15/15 | 401 | 417 | |||||||||
4.75% | 10/01/14 | 392 | 423 | |||||||||
Dolphin Energy Ltd. | ||||||||||||
5.89% | 06/15/19 | 253 | 274 | (b) | ||||||||
Dominion Resources Inc. | ||||||||||||
1.95% | 08/15/16 | 283 | 284 | |||||||||
4.90% | 08/01/41 | 161 | 174 | |||||||||
DPL Inc. | ||||||||||||
7.25% | 10/15/21 | 58 | 63 | (b) |
See Notes to Schedules of Investments and Notes to Financial Statements.
63
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Dubai Electricity & Water Authority | ||||||||||||
7.38% | 10/21/20 | $ | 200 | $ | 205 | (b) | ||||||
Duke Realty LP (REIT) | ||||||||||||
6.50% | 01/15/18 | 604 | 667 | |||||||||
Ecolab Inc. | ||||||||||||
3.00% | 12/08/16 | 564 | 583 | |||||||||
Ecopetrol S.A. | ||||||||||||
7.63% | 07/23/19 | 71 | 86 | |||||||||
EH Holding Corp. | ||||||||||||
6.50% | 06/15/19 | 783 | 816 | (b) | ||||||||
Empresa de Energia de Bogota S.A. | ||||||||||||
6.13% | 11/10/21 | 71 | 71 | (b) | ||||||||
Empresa Nacional Del Petroleo | ||||||||||||
4.75% | 12/06/21 | 100 | 100 | (b) | ||||||||
5.25% | 08/10/20 | 300 | 316 | (b) | ||||||||
Energy Transfer Equity LP | ||||||||||||
7.50% | 10/15/20 | 269 | 294 | |||||||||
Energy Transfer Partners LP | ||||||||||||
6.70% | 07/01/18 | 282 | 313 | |||||||||
ENN Energy Holdings Ltd. | ||||||||||||
6.00% | 05/13/21 | 200 | 181 | (b) | ||||||||
European Investment Bank | ||||||||||||
1.46% | 12/15/14 | 600 | 590 | (d) | ||||||||
4.88% | 01/17/17 | 1,050 | 1,200 | (h) | ||||||||
Exelon Corp. | ||||||||||||
4.90% | 06/15/15 | 505 | 544 | |||||||||
Export Credit Bank of Turkey | ||||||||||||
5.38% | 11/04/16 | 225 | 222 | (b) | ||||||||
First Citizens St Lucia Ltd. | ||||||||||||
4.90% | 02/09/16 | 150 | 155 | (b) | ||||||||
First Horizon National Corp. | ||||||||||||
5.38% | 12/15/15 | 599 | 606 | |||||||||
Florida Power & Light Co. | ||||||||||||
4.13% | 02/01/42 | 362 | 373 | |||||||||
FMG Resources August 2006 Pty Ltd. | ||||||||||||
7.00% | 11/01/15 | 358 | 362 | (b) | ||||||||
Ford Motor Credit Company LLC | ||||||||||||
5.00% | 05/15/18 | 600 | 602 | (h) | ||||||||
5.88% | 08/02/21 | 400 | 417 | (h) | ||||||||
Forest Oil Corp. | ||||||||||||
7.25% | 06/15/19 | 501 | 511 | (h) |
Principal Amount | Fair Value | |||||||||||
Fresenius Medical Care US Finance Inc. | ||||||||||||
5.75% | 02/15/21 | $ | 296 | $ | 296 | (b,h) | ||||||
Frontier Communications Corp. | ||||||||||||
7.13% | 03/15/19 | 708 | 690 | |||||||||
Georgia-Pacific LLC | ||||||||||||
5.40% | 11/01/20 | 180 | 199 | (b) | ||||||||
Gilead Sciences Inc. | ||||||||||||
3.05% | 12/01/16 | 322 | 330 | |||||||||
4.40% | 12/01/21 | 924 | 978 | |||||||||
5.65% | 12/01/41 | 524 | 580 | |||||||||
Globo Comunicacao e Participacoes S.A. | ||||||||||||
6.25% | 12/31/49 | 100 | 105 | (b,j) | ||||||||
Goldman Sachs Capital I | ||||||||||||
6.35% | 02/15/34 | 306 | 259 | |||||||||
Great Plains Energy Inc. | ||||||||||||
4.85% | 06/01/21 | 403 | 422 | (h) | ||||||||
Halliburton Co. | ||||||||||||
3.25% | 11/15/21 | 202 | 209 | (h) | ||||||||
4.50% | 11/15/41 | 202 | 207 | (h) | ||||||||
Hanesbrands Inc. | ||||||||||||
6.38% | 12/15/20 | 351 | 356 | (h) | ||||||||
HCA Inc. | ||||||||||||
6.50% | 02/15/20 | 309 | 321 | (h) | ||||||||
7.50% | 02/15/22 | 358 | 366 | (h) | ||||||||
HealthSouth Corp. | ||||||||||||
7.75% | 09/15/22 | 358 | 352 | (h) | ||||||||
Hewlett-Packard Co. | ||||||||||||
3.00% | 09/15/16 | 404 | 407 | (h) | ||||||||
4.65% | 12/09/21 | 403 | 425 | |||||||||
Host Hotels & Resorts LP (REIT) | ||||||||||||
6.00% | 11/01/20 | 928 | 949 | (h) | ||||||||
HSBC Finance Corp. | ||||||||||||
6.68% | 01/15/21 | 816 | 844 | |||||||||
HSBC Holdings PLC | ||||||||||||
6.50% | 05/02/36 | 409 | 413 | (h) | ||||||||
Indo Energy Finance BV | ||||||||||||
7.00% | 05/07/18 | 100 | 100 | (b) | ||||||||
Ingles Markets Inc. | ||||||||||||
8.88% | 05/15/17 | 545 | 590 | (h) | ||||||||
Instituto Costarricense de Electricidad | ||||||||||||
6.95% | 11/10/21 | 200 | 203 | (b,h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
64
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Intelsat Jackson Holdings S.A. | ||||||||||||
7.25% | 10/15/20 | $ | 141 | $ | 143 | |||||||
Inter-American Development Bank | ||||||||||||
1.38% | 10/18/16 | 604 | 612 | (h) | ||||||||
Inversiones CMPC S.A. | ||||||||||||
4.75% | 01/19/18 | 69 | 72 | (b) | ||||||||
IPIC GMTN Ltd. | ||||||||||||
3.75% | 03/01/17 | 295 | 294 | (b) | ||||||||
John Deere Capital Corp. | ||||||||||||
3.15% | 10/15/21 | 201 | 205 | |||||||||
JPMorgan Chase & Co. | ||||||||||||
3.15% | 07/05/16 | 604 | 607 | (h) | ||||||||
4.35% | 08/15/21 | 1,934 | 1,953 | |||||||||
5.13% | 09/15/14 | 310 | 327 | (h) | ||||||||
Kazakhstan Temir Zholy Finance BV | ||||||||||||
6.38% | 10/06/20 | 200 | 208 | (b) | ||||||||
KazMunayGas National Co. | ||||||||||||
9.13% | 07/02/18 | 100 | 117 | (b) | ||||||||
11.75% | 01/23/15 | 100 | 118 | (b,h) | ||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
5.80% | 03/01/21 | 202 | 229 | |||||||||
Korea Development Bank | ||||||||||||
3.25% | 03/09/16 | 380 | 374 | |||||||||
4.00% | 09/09/16 | 220 | 223 | |||||||||
Korea Hydro & Nuclear Power Company Ltd. | ||||||||||||
4.75% | 07/13/21 | 300 | 304 | (b) | ||||||||
6.25% | 06/17/14 | 100 | 108 | (b,h) | ||||||||
Korea National Oil Corp. | ||||||||||||
2.88% | 11/09/15 | 278 | 277 | (b) | ||||||||
4.00% | 10/27/16 | 200 | 205 | (b) | ||||||||
5.38% | 07/30/14 | 100 | 106 | (b,h) | ||||||||
Kraft Foods Inc. | ||||||||||||
4.13% | 02/09/16 | 602 | 654 | (h) | ||||||||
5.38% | 02/10/20 | 245 | 283 | |||||||||
Kreditanstalt fuer Wiederaufbau | ||||||||||||
3.50% | 03/10/14 | 765 | 808 | (h) | ||||||||
4.50% | 07/16/18 | 238 | 277 | (h) | ||||||||
Levi Strauss & Co. | ||||||||||||
7.63% | 05/15/20 | 615 | 628 | (h) | ||||||||
Linn Energy LLC | ||||||||||||
8.63% | 04/15/20 | 295 | 320 | (h) |
Principal Amount | Fair Value | |||||||||||
Listrindo Capital BV | ||||||||||||
9.25% | 01/29/15 | $ | 200 | $ | 218 | (b,h) | ||||||
Lockheed Martin Corp. | ||||||||||||
3.35% | 09/15/21 | 405 | 403 | (h) | ||||||||
4.85% | 09/15/41 | 405 | 410 | (h) | ||||||||
Lorillard Tobacco Co. | ||||||||||||
3.50% | 08/04/16 | 403 | 408 | (h) | ||||||||
7.00% | 08/04/41 | 371 | 390 | (h) | ||||||||
Lyondell Chemical Co. | ||||||||||||
8.00% | 11/01/17 | 108 | 118 | (h) | ||||||||
Majapahit Holding BV | ||||||||||||
7.75% | 10/17/16 | 100 | 112 | (b) | ||||||||
MDC-GMTN B.V. | ||||||||||||
5.50% | 04/20/21 | 300 | 309 | (b,h) | ||||||||
MetroPCS Wireless Inc. | ||||||||||||
6.63% | 11/15/20 | 348 | 325 | |||||||||
Midamerican Energy Holdings Co. | ||||||||||||
6.13% | 04/01/36 | 330 | 394 | (h) | ||||||||
Morgan Stanley | ||||||||||||
3.80% | 04/29/16 | 200 | 184 | |||||||||
5.50% | 07/28/21 | 202 | 187 | |||||||||
5.75% | 01/25/21 | 603 | 562 | |||||||||
Mylan Inc. | ||||||||||||
7.88% | 07/15/20 | 523 | 577 | (b) | ||||||||
National Agricultural Cooperative Federation | ||||||||||||
4.25% | 01/28/16 | 231 | 235 | (b) | ||||||||
National JSC Naftogaz of Ukraine | ||||||||||||
9.50% | 09/30/14 | 200 | 188 | |||||||||
Nationwide Mutual Insurance Co. | ||||||||||||
7.88% | 04/01/33 | 179 | 184 | (b) | ||||||||
9.38% | 08/15/39 | 80 | 97 | (b) | ||||||||
NET Servicos de Comunicacao S.A. | ||||||||||||
7.50% | 01/27/20 | 100 | 115 | |||||||||
Newfield Exploration Co. | ||||||||||||
5.75% | 01/30/22 | 501 | 541 | |||||||||
News America Inc. | ||||||||||||
6.65% | 11/15/37 | 206 | 233 | |||||||||
Nextel Communications Inc. (Series E) | ||||||||||||
6.88% | 10/31/13 | 566 | 563 | |||||||||
NextEra Energy Capital Holdings Inc. | ||||||||||||
2.60% | 09/01/15 | 801 | 808 |
See Notes to Schedules of Investments and Notes to Financial Statements.
65
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Nisource Finance Corp. | ||||||||||||
6.13% | 03/01/22 | $ | 496 | $ | 571 | |||||||
Noble Energy Inc. | ||||||||||||
4.15% | 12/15/21 | 663 | 686 | |||||||||
Nordea Bank AB | ||||||||||||
4.88% | 05/13/21 | 863 | 729 | (b) | ||||||||
Novelis Inc. | ||||||||||||
8.38% | 12/15/17 | 418 | 444 | |||||||||
NRG Energy Inc. | ||||||||||||
7.63% | 01/15/18 | 308 | 308 | |||||||||
7.63% | 05/15/19 | 80 | 78 | (b) | ||||||||
Occidental Petroleum Corp. | ||||||||||||
1.75% | 02/15/17 | 404 | 409 | |||||||||
3.13% | 02/15/22 | 404 | 414 | |||||||||
Oglethorpe Power Corp. | ||||||||||||
5.38% | 11/01/40 | 200 | 237 | |||||||||
ONEOK Partners LP | ||||||||||||
6.13% | 02/01/41 | 428 | 493 | |||||||||
Pacific Gas & Electric Co. | ||||||||||||
5.80% | 03/01/37 | 83 | 101 | |||||||||
6.05% | 03/01/34 | 571 | 707 | (h) | ||||||||
Pacific Rubiales Energy Corp. | ||||||||||||
7.25% | 12/12/21 | 230 | 231 | (b) | ||||||||
PacifiCorp | ||||||||||||
6.00% | 01/15/39 | 500 | 638 | (h) | ||||||||
6.25% | 10/15/37 | 14 | 18 | |||||||||
PAETEC Holding Corp. | ||||||||||||
8.88% | 06/30/17 | 1,069 | 1,155 | (h) | ||||||||
Peabody Energy Corp. | ||||||||||||
6.00% | 11/15/18 | 107 | 109 | (b) | ||||||||
6.25% | 11/15/21 | 213 | 220 | (b) | ||||||||
Pemex Project Funding Master Trust | ||||||||||||
6.63% | 06/15/35 - 06/15/38 | 164 | 186 | (h) | ||||||||
Pernod-Ricard S.A. | ||||||||||||
4.45% | 01/15/22 | 573 | 600 | (b) | ||||||||
Petrobras International Finance Co. | ||||||||||||
3.88% | 01/27/16 | 358 | 369 | |||||||||
Petroleos Mexicanos | ||||||||||||
6.00% | 03/05/20 | 150 | 167 | |||||||||
6.50% | 06/02/41 | 71 | 80 | (b) | ||||||||
8.00% | 05/03/19 | 70 | 87 |
Principal Amount | Fair Value | |||||||||||
Petroleum Company of Trinidad & Tobago Ltd. | ||||||||||||
6.00% | 05/08/22 | $ | 131 | $ | 129 | |||||||
Petronas Capital Ltd. | ||||||||||||
7.88% | 05/22/22 | 100 | 135 | (b) | ||||||||
Petronas Global Sukuk Ltd. | ||||||||||||
4.25% | 08/12/14 | 200 | 210 | (b) | ||||||||
Philip Morris International Inc. | ||||||||||||
2.50% | 05/16/16 | 403 | 417 | |||||||||
Pioneer Natural Resources Co. | ||||||||||||
7.50% | 01/15/20 | 656 | 769 | (h) | ||||||||
Plains All American Pipeline LP | ||||||||||||
3.95% | 09/15/15 | 406 | 430 | |||||||||
Power Sector Assets & Liabilities Management Corp. | ||||||||||||
7.39% | 12/02/24 | 100 | 122 | (b,h) | ||||||||
Pride International Inc. | ||||||||||||
6.88% | 08/15/20 | 586 | 687 | (h) | ||||||||
Protective Life Corp. | ||||||||||||
8.45% | 10/15/39 | 679 | 778 | (h) | ||||||||
Prudential Financial Inc. | ||||||||||||
5.40% | 06/13/35 | 250 | 241 | (h) | ||||||||
PTTEP Australia International Finance Proprietary Ltd. | ||||||||||||
4.15% | 07/19/15 | 100 | 102 | (b) | ||||||||
PTTEP Canada International Finance Ltd. | ||||||||||||
5.69% | 04/05/21 | 200 | 209 | (b,h) | ||||||||
Qatari Diar Finance QSC (REIT) | ||||||||||||
5.00% | 07/21/20 | 200 | 213 | (b,h) | ||||||||
QVC Inc. | ||||||||||||
7.50% | 10/01/19 | 443 | 475 | (b,h) | ||||||||
RailAmerica Inc. | ||||||||||||
9.25% | 07/01/17 | 354 | 387 | (h) | ||||||||
Range Resources Corp. | ||||||||||||
5.75% | 06/01/21 | 358 | 388 | |||||||||
Raytheon Co. | ||||||||||||
1.40% | 12/15/14 | 402 | 404 | |||||||||
Republic Services Inc. | ||||||||||||
5.25% | 11/15/21 | 324 | 367 | (h) | ||||||||
5.70% | 05/15/41 | 250 | 287 | |||||||||
Reynolds Group Issuer Inc. | ||||||||||||
8.75% | 10/15/16 | 872 | 918 | (b) |
See Notes to Schedules of Investments and Notes to Financial Statements.
66
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Roche Holdings Inc. | ||||||||||||
6.00% | 03/01/19 | $ | 405 | $ | 492 | (b) | ||||||
RZD Capital Ltd. | ||||||||||||
5.74% | 04/03/17 | 100 | 101 | |||||||||
Schlumberger Investment S.A. | ||||||||||||
3.30% | 09/14/21 | 202 | 208 | (b) | ||||||||
Schlumberger Norge AS | ||||||||||||
1.95% | 09/14/16 | 202 | 204 | (b) | ||||||||
Seagate HDD Cayman | ||||||||||||
7.75% | 12/15/18 | 240 | 255 | (b) | ||||||||
Solutia Inc. | ||||||||||||
7.88% | 03/15/20 | 322 | 350 | |||||||||
Southern Copper Corp. | ||||||||||||
6.75% | 04/16/40 | 120 | 120 | |||||||||
Sunoco Logistics Partners Operations LP | ||||||||||||
4.65% | 02/15/22 | 401 | 410 | |||||||||
Susser Holdings LLC | ||||||||||||
8.50% | 05/15/16 | 618 | 667 | |||||||||
Teva Pharmaceutical Finance Co BV | ||||||||||||
2.40% | 11/10/16 | 403 | 410 | |||||||||
Teva Pharmaceutical Finance II BV | ||||||||||||
3.00% | 06/15/15 | 801 | 834 | (h) | ||||||||
Texas Instruments Inc. | ||||||||||||
2.38% | 05/16/16 | 605 | 630 | |||||||||
Textron Inc. | ||||||||||||
6.20% | 03/15/15 | 540 | 580 | |||||||||
The AES Corp. | ||||||||||||
8.00% | 10/15/17 | 401 | 441 | |||||||||
The Coca-Cola Co. | ||||||||||||
3.30% | 09/01/21 | 442 | 465 | |||||||||
The Dow Chemical Co. | ||||||||||||
5.25% | 11/15/41 | 403 | 424 | |||||||||
The Goldman Sachs Group Inc. | ||||||||||||
3.63% | 02/07/16 | 701 | 677 | |||||||||
3.70% | 08/01/15 | 378 | 370 | |||||||||
5.25% | 07/27/21 | 1,293 | 1,261 | |||||||||
6.15% | 04/01/18 | 811 | 837 | |||||||||
6.75% | 10/01/37 | 401 | 373 | |||||||||
The Potomac Edison Co. | ||||||||||||
5.35% | 11/15/14 | 245 | 272 | (h) | ||||||||
Time Warner Cable Inc. | ||||||||||||
4.00% | 09/01/21 | 442 | 447 |
Principal Amount | Fair Value | |||||||||||
5.50% | 09/01/41 | $ | 707 | $ | 745 | |||||||
6.75% | 07/01/18 | 908 | 1,078 | |||||||||
Time Warner Inc. | ||||||||||||
3.15% | 07/15/15 | 864 | 899 | |||||||||
4.00% | 01/15/22 | 403 | 416 | |||||||||
5.38% | 10/15/41 | 603 | 653 | |||||||||
5.88% | 11/15/16 | 454 | 524 | |||||||||
TNK-BP Finance S.A. | ||||||||||||
6.13% | 03/20/12 | 200 | 202 | |||||||||
7.25% | 02/02/20 | 5 | 5 | (b) | ||||||||
Transnet SOC Ltd. | ||||||||||||
4.50% | 02/10/16 | 400 | 405 | (b,h) | ||||||||
Transocean Inc. | ||||||||||||
6.38% | 12/15/21 | 125 | 133 | |||||||||
UBS AG | ||||||||||||
5.88% | 07/15/16 | 596 | 594 | (h) | ||||||||
Vail Resorts Inc. | ||||||||||||
6.50% | 05/01/19 | 706 | 720 | |||||||||
Verizon Communications Inc. | ||||||||||||
3.50% | 11/01/21 | 865 | 901 | |||||||||
Viacom Inc. | ||||||||||||
2.50% | 12/15/16 | 282 | 282 | |||||||||
3.88% | 12/15/21 | 585 | 597 | |||||||||
Vimpel Communications Via VIP Finance Ireland Limited OJSC | ||||||||||||
7.75% | 02/02/21 | 200 | 171 | (b) | ||||||||
Visteon Corp. | ||||||||||||
6.75% | 04/15/19 | 348 | 347 | (b,h) | ||||||||
Voto-Votorantim Ltd. | ||||||||||||
6.75% | 04/05/21 | 100 | 106 | (b,h) | ||||||||
Williams Partners LP | ||||||||||||
4.13% | 11/15/20 | 100 | 103 | (h) | ||||||||
Willis Group Holdings PLC | ||||||||||||
4.13% | 03/15/16 | 400 | 406 | (h) | ||||||||
Windstream Corp. | ||||||||||||
7.75% | 10/01/21 | 350 | 359 | (h) | ||||||||
7.88% | 11/01/17 | 457 | 495 | (h) | ||||||||
Woodside Finance Ltd. | ||||||||||||
4.50% | 11/10/14 | 699 | 736 | (b,h) | ||||||||
Wynn Las Vegas LLC | ||||||||||||
7.88% | 05/01/20 | 440 | 485 | (h) | ||||||||
XL Group PLC (Series E) | ||||||||||||
6.50% | 12/31/49 | 383 | 300 | (h,i) |
See Notes to Schedules of Investments and Notes to Financial Statements.
67
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
XLIT Ltd. | ||||||||||||
5.75% | 10/01/21 | $ | 443 | $ | 468 | |||||||
Xstrata Finance Canada Ltd. | ||||||||||||
5.80% | 11/15/16 | 547 | 597 | (b,h) | ||||||||
123,531 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations — 6.8% | ||||||||||||
Banc of America Merrill Lynch Commercial Mortgage Inc. | ||||||||||||
5.19% | 09/10/47 | 580 | 641 | (i) | ||||||||
5.63% | 07/10/46 | 380 | 421 | (h) | ||||||||
5.72% | 02/10/51 | 1,030 | 1,127 | (h,i) | ||||||||
5.73% | 07/10/46 | 350 | 168 | (h,i) | ||||||||
5.79% | 02/10/51 | 600 | 568 | (h,i) | ||||||||
5.89% | 07/10/44 | 1,700 | 1,864 | (h,i) | ||||||||
6.21% | 02/10/51 | 380 | 429 | (h,i) | ||||||||
6.25% | 02/10/51 | 490 | 482 | (h,i) | ||||||||
Banc of America Mortgage Securities Inc. | ||||||||||||
4.91% | 02/25/36 | 92 | 3 | (i,q) | ||||||||
6.00%** | 01/25/36 | 61 | — | (i,q) | ||||||||
Bear Stearns Commercial Mortgage Securities | ||||||||||||
4.93% | 02/13/42 | 760 | 824 | (i) | ||||||||
5.39% | 03/11/39 | 222 | 222 | (h,i) | ||||||||
5.53% | 04/12/38 | 370 | 383 | (i) | ||||||||
5.71% | 06/11/40 | 340 | 217 | (i) | ||||||||
5.76% | 09/11/38 | 450 | 470 | (i) | ||||||||
5.98% | 09/11/42 | 100 | 35 | (i,q) | ||||||||
Commercial Mortgage Pass Through Certificates | ||||||||||||
4.98% | 05/10/43 | 220 | 240 | (i) | ||||||||
Countrywide Asset-Backed Certificates | ||||||||||||
8.65% | 11/25/35 | 79 | 73 | (d,h,i) | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||||||
5.32% | 10/25/35 | 244 | 6 | (i,q) | ||||||||
Credit Suisse Mortgage Capital Certificates | ||||||||||||
5.42% | 02/15/39 | 750 | 588 | (h,i) | ||||||||
5.62% | 02/25/36 | 105 | 2 | (i,q) | ||||||||
DBUBS Mortgage Trust | ||||||||||||
5.56% | 11/10/46 | 350 | 223 | (b,i) |
Principal Amount | Fair Value | |||||||||||
Extended Stay America Trust | ||||||||||||
5.50% | 11/05/27 | $ | 800 | $ | 803 | (b) | ||||||
GS Mortgage Securities Corp. II | ||||||||||||
3.00% | 08/10/44 | 410 | 420 | (h) | ||||||||
5.54% | 03/10/44 | 120 | 93 | (b,i) | ||||||||
Impac CMB Trust | ||||||||||||
1.01% | 10/25/34 | 308 | 244 | (h,i) | ||||||||
6.66% | 04/25/35 | 408 | 299 | (d,h,i) | ||||||||
Indymac INDA Mortgage Loan Trust | ||||||||||||
4.98%** | 01/25/36 | 8 | — | (i,q) | ||||||||
Interstar Millennium Trust | ||||||||||||
1.15% | 03/14/36 | 24 | 22 | (d,i) | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||||||
5.04% | 03/15/46 | 250 | 271 | (i) | ||||||||
5.14% | 11/13/44 | 180 | 182 | (b) | ||||||||
5.34% | 08/12/37 | 1,840 | 2,009 | (h,i) | ||||||||
5.44% | 05/15/45 - 06/12/47 | 1,780 | 1,861 | |||||||||
5.51% | 04/15/43 | 280 | 146 | (i) | ||||||||
5.79% | 02/12/51 | 920 | 1,013 | (h,i) | ||||||||
6.19% | 02/12/51 | 155 | 53 | (i,q) | ||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||||
4.95% | 09/15/30 | 310 | 338 | |||||||||
5.16% | 02/15/31 | 410 | 452 | |||||||||
6.15% | 04/15/41 | 440 | 389 | (i) | ||||||||
14.41% | 12/15/39 | 3,458 | 61 | (d,i,q) | ||||||||
MASTR Alternative Loans Trust | ||||||||||||
5.00% | 08/25/18 | 143 | 15 | (g,q,r) | ||||||||
Merrill Lynch Mortgage Trust | ||||||||||||
5.67% | 05/12/39 | 963 | 756 | (i) | ||||||||
Morgan Stanley Capital I | ||||||||||||
5.00% | 01/15/21 | 354 | 303 | (b,d,h,i) | ||||||||
5.16% | 10/12/52 | 450 | 496 | (h,i) | ||||||||
5.48% | 02/12/44 | 640 | 610 | (i) | ||||||||
5.62% | 12/12/49 | 320 | 325 | |||||||||
5.64% | 06/11/42 | 360 | 272 | (i) | ||||||||
5.73% | 10/15/42 | 699 | 454 | (i) | ||||||||
5.81% | 08/12/41 | 160 | 183 | (i) | ||||||||
5.81% | 12/12/49 | 1,000 | 1,101 | (h) | ||||||||
6.28% | 01/11/43 | 400 | 415 | (i) | ||||||||
MortgageIT Trust | ||||||||||||
6.20% | 08/25/35 | 1,783 | 1,293 | (d,h,i) |
See Notes to Schedules of Investments and Notes to Financial Statements.
68
Table of Contents
Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Residential Funding Mortgage Securities I | ||||||||||||
5.75%** | 01/25/36 | $ | 80 | $ | — | (q) | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||||
5.47% | 01/15/45 | 360 | 366 | (h,i) | ||||||||
6.03% | 06/15/45 | 390 | 196 | (h,i) | ||||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||||||
5.50% | 01/25/36 - 03/25/36 | 605 | 25 | (q) | ||||||||
24,452 | ||||||||||||
Sovereign Bonds — 2.4% | ||||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||
5.75% | 01/26/21 | 200 | 204 | (b) | ||||||||
Financing of Infrastrucural Projects State Enterprise | ||||||||||||
8.38% | 11/03/17 | 100 | 83 | (b) | ||||||||
Government of 1Malaysia Sukuk Global Berhad | ||||||||||||
3.93% | 06/04/15 | 125 | 130 | (b) | ||||||||
Government of Argentina | ||||||||||||
2.50% | 12/31/38 | 52 | 18 | (j) | ||||||||
8.28% | 12/31/33 | 36 | 26 | |||||||||
Government of Belize | ||||||||||||
6.00% | 02/20/29 | 258 | 154 | (b,j) | ||||||||
6.00% | (j) | |||||||||||
Government of Brazil | ||||||||||||
4.88% | 01/22/21 | 100 | 112 | |||||||||
5.63% | 01/07/41 | 200 | 232 | |||||||||
8.25% | 01/20/34 | 77 | 116 | |||||||||
Government of Chile | ||||||||||||
3.25% | 09/14/21 | 357 | 367 | |||||||||
Government of Colombia | ||||||||||||
6.13% | 01/18/41 | 100 | 124 | |||||||||
7.38% | 03/18/19 | 200 | 252 | |||||||||
Government of Costa Rica | ||||||||||||
10.00% | 08/01/20 | 74 | 101 | (b) | ||||||||
Government of Dominican Republic | ||||||||||||
7.50% | 05/06/21 | 400 | 392 | (b) | ||||||||
Government of El Salvador | ||||||||||||
7.65% | 06/15/35 | 160 | 163 | (b) |
Principal Amount | Fair Value | |||||||||||
Government of Ghana Republic | ||||||||||||
8.50% | 10/04/17 | $ | 300 | $ | 329 | (b) | ||||||
Government of Grenada | ||||||||||||
4.50% | 09/15/25 | 128 | 73 | (b,j) | ||||||||
Government of Hungary | ||||||||||||
6.38% | 03/29/21 | 140 | 125 | (h) | ||||||||
7.63% | 03/29/41 | 210 | 185 | (h) | ||||||||
Government of Indonesia | ||||||||||||
4.88% | 05/05/21 | 200 | 214 | (b,h) | ||||||||
5.88% | 03/13/20 | 100 | 113 | (b,h) | ||||||||
11.63% | 03/04/19 | 53 | 78 | (b,h) | ||||||||
Government of Lebanon | ||||||||||||
4.00% | 12/31/17 | 25 | 24 | |||||||||
5.15% | 11/12/18 | 69 | 68 | |||||||||
6.10% | 10/04/22 | 69 | 70 | |||||||||
6.38% | 03/09/20 | 100 | 105 | |||||||||
Government of Lithuania | ||||||||||||
6.13% | 03/09/21 | 150 | 149 | (b) | ||||||||
6.75% | 01/15/15 | 100 | 104 | (b) | ||||||||
7.38% | 02/11/20 | 200 | 216 | (b,h) | ||||||||
Government of Mexico | ||||||||||||
5.13% | 01/15/20 | 116 | 133 | (h) | ||||||||
5.75% | 10/12/49 | 142 | 151 | |||||||||
6.05% | 01/11/40 | 84 | 103 | (h) | ||||||||
6.75% | 09/27/34 | 71 | 92 | |||||||||
Government of Namibia | ||||||||||||
5.50% | 11/03/21 | 200 | 204 | (b) | ||||||||
Government of Panama | ||||||||||||
6.70% | 01/26/36 | 155 | 202 | |||||||||
Government of Peru | ||||||||||||
5.63% | 11/18/50 | 142 | 156 | |||||||||
6.55% | 03/14/37 | 225 | 286 | |||||||||
7.35% | 07/21/25 | 100 | 133 | |||||||||
Government of Philippines | ||||||||||||
6.50% | 01/20/20 | 93 | 111 | |||||||||
Government of Poland | ||||||||||||
5.00% | 03/23/22 | 285 | 286 | |||||||||
5.13% | 04/21/21 | 70 | 71 | |||||||||
6.38% | 07/15/19 | 37 | 41 | |||||||||
Government of Serbia Republic | ||||||||||||
7.25% | 09/28/21 | 400 | 389 | (b) | ||||||||
Government of South Africa | ||||||||||||
6.25% | 03/08/41 | 100 | 116 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun Income Fund | (in thousands) — December 31, 2011 |
Principal Amount | Fair Value | |||||||||||
Government of Sri Lanka | ||||||||||||
6.25% | 07/27/21 | $ | 200 | $ | 197 | (b) | ||||||
7.40% | 01/22/15 | 100 | 105 | (b) | ||||||||
8.25% | 10/24/12 | 100 | 102 | |||||||||
Government of Turkey | ||||||||||||
5.13% | 03/25/22 | 300 | 287 | |||||||||
5.63% | 03/30/21 | 240 | 243 | (h) | ||||||||
6.00% | 01/14/41 | 200 | 189 | (h) | ||||||||
6.88% | 03/17/36 | 71 | 74 | |||||||||
Government of Uruguay | ||||||||||||
6.88% | 09/28/25 | 111 | 144 | |||||||||
Government of Venezuela | ||||||||||||
10.75% | 09/19/13 | 80 | 81 | |||||||||
Government of Vietnam | ||||||||||||
1.32% | 03/12/16 | 28 | 25 | (i) | ||||||||
Korea Expressway Corp. | ||||||||||||
4.50% | 03/23/15 | 67 | 69 | (b,h) | ||||||||
ProvInce of Manitoba Canada | ||||||||||||
4.90% | 12/06/16 | 158 | 183 | (h) | ||||||||
Russian Foreign Bond - Eurobond | ||||||||||||
5.00% | 04/29/20 | 200 | 206 | (b,h) | ||||||||
7.50% | 03/31/30 | 60 | 69 | (j) | ||||||||
8,775 | ||||||||||||
Municipal Bonds and Notes — 0.8% | ||||||||||||
American Municipal Power Inc. | ||||||||||||
6.27% | 02/15/50 | 260 | 293 | |||||||||
Municipal Electric Authority of Georgia | ||||||||||||
6.64% | 04/01/57 | 875 | 910 | |||||||||
New Jersey State Turnpike Authority | ||||||||||||
7.10% | 01/01/41 | 200 | 274 | |||||||||
7.41% | 01/01/40 | 560 | 803 | |||||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
6.88% | 12/15/39 | 165 | 184 | |||||||||
South Carolina State Public Service Authority | ||||||||||||
6.45% | 01/01/50 | 200 | 270 | |||||||||
State of California | ||||||||||||
5.70% | 11/01/21 | 280 | 306 | (h) | ||||||||
3,040 |
Principal Amount | Fair Value | |||||||||||
FNMA — 0.0%* | ||||||||||||
Lehman TBA | ||||||||||||
5.50%** | TBA | $ | 239 | $ | — | (c,o,q) | ||||||
Total Bonds and Notes | 345,233 | |||||||||||
Number of Shares | ||||||||||||
Preferred Stock — 0.2% |
| |||||||||||
XLIT Ltd. 3.526% | 914 | 636 | ||||||||||
Other Investments — 0.2% |
| |||||||||||
GEI Investment Fund | 810 | (k) | ||||||||||
Total Investments in Securities | 346,679 | |||||||||||
Short-Term Investments — 11.1% |
| |||||||||||
GE Institutional Money Market Fund — Investment Class | ||||||||||||
0.06% | ||||||||||||
(Cost $40,164) | 40,164 | (d,k) | ||||||||||
Total Investments | 386,843 | |||||||||||
Liabilities in Excess of Other Assets, | (23,814) | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $363,029 | |||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun Income Fund | (in thousands) — December 31, 2011 |
Other Information
The Fund had the following long futures contracts open at December 31, 2011:
Description | Expiration Date | Number of Contracts | Current Notional Value | Unrealized Appreciation | ||||||||||
2 Yr. U.S. Treasury Notes Futures | March 2012 | 159 | $ | 35,067 | $ | — | ** | |||||||
5 Yr. U.S. Treasury Notes Futures | March 2012 | 51 | 6,286 | 39 | ||||||||||
30 Yr. U.S. Treasury Bonds Futures | March 2012 | 18 | 2,607 | 40 | ||||||||||
|
| |||||||||||||
$ | 79 | |||||||||||||
|
|
The Fund had the following short futures contracts open at December 31, 2011:
Description | Expiration Date | Number of Contracts | Current Notional Value | Unrealized (Depreciation) | ||||||||||
Ultra long U.S. Treasury Bond Futures | March 2012 | 82 | $ | (13,135) | $ | (329) | ||||||||
10 Yr. U.S. Treasury Notes Futures | March 2012 | 228 | (29,897) | (352) | ||||||||||
$ | (681) | |||||||||||||
|
| |||||||||||||
$ | (602) | |||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
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Michael E. Martini
Vice President
The Elfun Money Market Fund is managed by a team of portfolio managers that includes James C. Gannon, Michael E. Martini (pictured to the left) and Michael Nowakowski. As lead portfolio manager for the Money Market Fund, Mr. Martini has oversight authority over the Fund. See portfolio managers’ biographical information beginning on page 113.
Q. | How did the Elfun Money Market Fund perform compared to its benchmark for the twelve-month period ended December 31, 2011? |
A. | For the twelve-month period ended December 31, 2011, the Elfun Money Market Fund returned 0.07%. The 90-day Treasury Bill, the Fund’s benchmark, returned 0.05% and the Fund’s Morningstar peer group of 1,004 U.S. Money Market Taxable funds returned an average of 0.02% over the same period. |
Q. | Discuss the factors that materially affected the fund’s performance during the fiscal period. |
A. | 2011 was “The Year of Volatility”, especially for money market funds. Global events’ impact on yields, as well as the supply of investable assets, provided two sources of volatility. The Federal Reserve kept its fed funds target at 0-0.25% throughout the entire year, and forecast that rate range would be held to late-2014 at its August meeting. This action, along with decreased supply of “rates products”, including U.S. Treasuries and agencies as well as repo, conspired to keep yields pinned at historically low levels. Treasury’s decision to run down their Supplementary Financing Program of $200 billion U.S. |
Treasury Bills in the first quarter, the implementation of the FDIC’s new fee calculation causing a $40 billion drop in repo collateral at the start of the second quarter, and the GSE’s continued shrinkage of their portfolios were all causes of the decreased supply. In fact, the 3-month U.S. Treasury Bill traded at negative yields for much of the fourth quarter. |
LIBOR rates declined from April to July; rates increased the remainder of the year, ending 2011 at levels higher than those at the height of the 2010 Greek crisis. From the concern of European bank Greek exposure in the second quarter, to the thought of a U.S. government debt default and U.S. credit downgrade in the third quarter, and finally global bank downgrades in the fourth quarter, stress measures such as LIBOR and Euro/U.S. Dollar cross-currency swaps signaled worsening problems with banks’ funding ability. Several Euro Zone financial institutions were shut out of the wholesale funding markets as money market advisors de-risked their funds. Only those banks in the deemed “safer geographical havens” of Australia, Canada and Scandinavia continued to see demand for their short-term obligations from money funds, albeit at levels commensurate with higher LIBOR valuations.
Q. | Were there any significant changes to the Fund during the period? |
A. | The most significant change to the Fund during 2011 resulted from the continued |
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European sovereign debt crisis, and its impact on financial institutions’ funding situations. As the debt crisis continued to escalate post U.S. downgrade during the summer, the weighted average maturity (“WAM”) of the Fund started decreasing. In fact, the percentage of the Fund allocated to European banks decreased. By the end of the year, the Fund held almost 55% of its assets in U.S. Government and agency securities, up from 37% at year-end 2010. In addition, the only Euro Zone bank exposure at year end 2011 was Rabobank NV at less than 3%. Compare this exposure to the almost 20% allocation at year end 2011. Most other portfolio characteristics, from Fund WAM to the percentage of Fund invested in assets with 1-day and/or 7-day liquidity, remained fairly comparable. |
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Understanding Your Fund’s Expenses
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2011.
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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any.
July 1, 2011 – December 31, 2011
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($)* | ||||||||||
Actual Fund Return** | 1,000.00 | 1,000.70 | 1.16 | |||||||||
Hypothetical 5% Return | 1,000.00 | 1,024.05 | 1.17 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.23% (for the period July 1, 2011 - December 31, 2011), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Actual Fund Return for the six-month period ended December 31, 2011 was: 0.07%. Past performance does not guarantee future results. |
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Investment Profile
A mutual fund designed for investors who seek a high level of current income consistent with prudent investment management and the preservation of capital. The Fund seeks its objective by investing primarily in short-term, U.S. dollar denominated money market instruments.
Fund yield At December 31, 2011
Fund | Money Fund Report* | |||||||
7-day current† | 0.00% | 0.05% | ||||||
7-day effective | 0.00% | 0.05% |
Sector Allocation
as a % of the Fair Value of $177,261 (in thousands) as of December 31, 2011.(b)
Morningstar Performance Comparison
Based on average annual returns for periods ended 12/31/11
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 1,004 | 834 | 612 | |||||||||
Peer group average annual total return | 0.02 | % | 1.36 | % | 1.63 | % | ||||||
Morningstar Category in peer group: Money Market Taxable |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2011
(Inception date: 06/13/90) | ||||||||||||||||
One Year | Five Year | Ten Year | Ending value of a $10,000 investment (a) | |||||||||||||
Elfun Money Market Fund | 0.07% | 1.69% | 2.04% | $12,239 | ||||||||||||
90-Day U.S. T-Bill | 0.05% | 1.22% | 1.82% | $11,971 |
† | The seven day current yield, rather than the total return, more closely reflects the current earnings of the Money Market Fund at December 31, 2011. |
* | iMoneyNet’s IBC’s Money Fund report provides average yield for all major money market funds. |
(a) | Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
See Notes to Performance on page 1 for further information.
Past performance does not predict future performance. The performance shown on the graph and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
An investment in the Elfun Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or by any other Government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per unit, it is possible to lose money by investing in the Fund.
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Elfun Money Market Fund | (in thousands) — December 31, 2011 |
Principal Amount | Amortized Cost | |||||||||||
Short-Term Investments — 99.9%† | ||||||||||||
U.S. Treasuries — 13.1% | ||||||||||||
United States Treasury Bill | ||||||||||||
0.01% | 02/16/12 | $ | 190 | $ | 190 | (d) | ||||||
0.04% | 04/26/12 | 130 | 130 | (d) | ||||||||
United States Treasury Note | ||||||||||||
0.63% | 06/30/12 | 3,950 | 3,961 | |||||||||
0.88% | 01/31/12 | 3,300 | 3,302 | |||||||||
1.00% | 12/31/11 - 04/30/12 | 13,050 | 13,077 | |||||||||
1.13% | 01/15/12 | 2,550 | 2,551 | |||||||||
23,211 | ||||||||||||
U.S. Government Agency Obligations — 20.4% | ||||||||||||
Fannie Mae Discount Notes | ||||||||||||
0.10% | 03/14/12 | 2,600 | 2,599 | (d) | ||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||
0.01% | 02/17/12 - 02/29/12 | 3,950 | 3,950 | (d) | ||||||||
0.02% | 01/27/12 - 03/09/12 | 7,250 | 7,250 | (d) | ||||||||
0.08% | 05/18/12 | 2,500 | 2,499 | (d) | ||||||||
Federal Home Loan Banks | ||||||||||||
0.26% | 02/16/12 | 1,000 | 1,000 | (i) | ||||||||
Federal Home Loan Mortgage Corp | ||||||||||||
0.21% | 05/01/12 | 2,500 | 2,501 | (i) | ||||||||
0.24% | 04/03/12 | 2,800 | 2,801 | (i) | ||||||||
Federal National Mortgage Association | ||||||||||||
0.28% | 07/26/12 | 5,000 | 5,004 | (i) | ||||||||
0.31% | 10/18/12 | 1,400 | 1,402 | (i) | ||||||||
Freddie Mac Discount Notes | ||||||||||||
0.05% | 05/01/12 | 1,600 | 1,600 | (d) | ||||||||
0.08% | 02/27/12 | 2,550 | 2,550 | (d) | ||||||||
0.09% | 01/17/12 | 3,100 | 3,100 | (d) | ||||||||
36,256 | ||||||||||||
Commercial Paper — 24.5% | ||||||||||||
Australia & New Zealand Banking Group Ltd | ||||||||||||
0.31% | 02/28/12 | 2,500 | 2,499 | (b,d) | ||||||||
0.32% | 02/07/12 | 2,000 | 1,999 | (d) |
Principal Amount | Amortized Cost | |||||||||||
Commonwealth Bank of Australia | ||||||||||||
0.50% | 05/21/12 | $ | 5,350 | $ | 5,350 | (d,i) | ||||||
Credit Suisse Group AG | ||||||||||||
0.43% | 02/14/12 | 2,850 | 2,848 | (d) | ||||||||
HSBC Holdings PLC | ||||||||||||
0.12% | 01/23/12 | 5,100 | 5,100 | (d) | ||||||||
Johnson & Johnson | ||||||||||||
0.07% | 04/02/12 | 4,550 | 4,549 | (b,d) | ||||||||
JP Morgan Chase & Co | ||||||||||||
0.01% | 01/04/12 | 5,050 | 5,050 | (d) | ||||||||
National Australia Bank Ltd | ||||||||||||
0.20% | 01/06/12 | 4,500 | 4,500 | (d) | ||||||||
Nestle SA | ||||||||||||
0.05% | 02/03/12 | 3,500 | 3,500 | (d) | ||||||||
Novartis AG | ||||||||||||
0.06% | 01/04/12 | 2,000 | 2,000 | (d) | ||||||||
Procter & Gamble Co. | ||||||||||||
0.06% | 03/20/12 | 1,750 | 1,750 | (d) | ||||||||
Rabobank Nederland NV | ||||||||||||
0.35% | 01/12/12 | 4,200 | 4,200 | (d) | ||||||||
43,345 | ||||||||||||
Repurchase Agreements — 18.3% | ||||||||||||
Barclays Capital Inc. U.S. Treasury Repo | ||||||||||||
0.02% dated 12/31/11, to be repurchased at $9,400 on 01/01/12 collateralized by $ 9,588 U.S.Treasury Bond, 5.38% , maturing on 02/15/31 respectively. 01/03/12 | 9,400 | 9,400 | ||||||||||
Deutsche Bank Securities, Inc. Gov Agcy Repo | ||||||||||||
0.05% dated 12/31/11, to be repurchased at $5,100 on 01/01/12 collateralized by $ 5,208 U.S. Government Agency Bond, 5.50%, maturing 07/15/36 01/03/12 | 5,100 | 5,100 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Elfun Money Market Fund | (in thousands) — December 31, 2011 |
Principal Amount | Amortized Cost | |||||||||||
Goldman Sachs & Co. Gov Agcy Repo | ||||||||||||
0.09% dated 12/31/11, to be repurchased at $10,300 on 01/01/12 collateralized by $ 10,506 U.S. Government Agency Bond, 6.63%, maturing 11/15/30 01/03/12 | $ | 10,300 | $ | 10,300 | ||||||||
HSBC Securities (USA) Inc. Gov Agcy Repo | ||||||||||||
0.02% dated 12/31/11, to be repurchased at $5,540 on 01/01/12 collateralized by $ 5,653 U.S. Government Agency Bond, 1.00%, maturing 09/30/16 01/03/12 | 5,540 | 5,540 | ||||||||||
HSBC Securities (USA) Inc. Us Treasury Repo | ||||||||||||
0.00% dated 12/31/11, to be repurchased at $2,050 on 01/01/12 collateralized by $ 2,094 U.S.Treasury Bond, 2.00% , maturing on 04/30/16 respectively. 01/03/12 | 2,050 | 2,050 | ||||||||||
32,390 | ||||||||||||
Corporates — 7.8% | ||||||||||||
Eksportfinans ASA | ||||||||||||
0.67% | 03/15/12 | 1,200 | 1,167 | (i,s) | ||||||||
0.68% | 03/19/12 | 2,400 | 2,334 | (i,s) | ||||||||
International Bank For Reconstruction & Development | ||||||||||||
0.05% | 02/01/12 | 5,050 | 5,050 | (d) | ||||||||
JP Morgan Chase & Co | ||||||||||||
0.78% | 06/15/12 | 1,650 | 1,654 | (i) | ||||||||
Westpac Banking Corp | ||||||||||||
1.13% | 02/21/12 | 3,600 | 3,603 | (b,i) | ||||||||
13,808 | ||||||||||||
Certificate of Deposit — 15.8% | ||||||||||||
Bank of Montreal/Chicago IL | ||||||||||||
0.44% | 09/26/12 | 2,050 | 2,050 | (i) | ||||||||
Bank of Nova Scotia | ||||||||||||
0.29% | 01/13/12 | 3,800 | 3,800 |
Principal Amount | Amortized Cost | |||||||||||
Barclays Bank PLC | ||||||||||||
0.51% | 02/06/12 | $ | 3,000 | $ | 3,000 | |||||||
Nordea Bank AB | ||||||||||||
0.35% | 01/11/12 | 1,600 | 1,600 | |||||||||
Royal Bank of Canada/New York NY | ||||||||||||
0.54% | 03/12/12 | 3,300 | 3,300 | (i) | ||||||||
Standard Chartered PLC | ||||||||||||
0.43% | 02/10/12 | 3,750 | 3,750 | |||||||||
Svenska Handelsbanken AB | ||||||||||||
0.43% | 02/13/12 | 2,700 | 2,700 | |||||||||
Toronto-Dominion Bank/NY | ||||||||||||
0.31% | 02/08/12 | 3,900 | 3,900 | (i) | ||||||||
Westpac Banking Corp/NY | ||||||||||||
0.47% | 05/11/12 | 4,000 | 4,000 | (i) | ||||||||
28,100 | ||||||||||||
Time Deposit — 0.1% | ||||||||||||
State Street Corporation | ||||||||||||
0.01% | 01/03/12 | 151 | 151 | (e) | ||||||||
Total Short-Term Investments | 177,261 | |||||||||||
Other Assets and Liabilities, | 117 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 177,378 | ||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
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Table of Contents
(In thousands) — December 31, 2011
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Funds have bought and the diversity of areas in which the Funds may invest as of a particular date. It may not be representative of the Funds’ current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | Pursuant to Rule 144A of the Securities Act of 1933, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, these securities amounted to $6,229, $30,992 and 10,651 or 2.96%, 8.54% and 6.00% of the net assets of the Elfun Diversified Fund, Elfun Income Fund and Elfun Money Market Fund respectively. These securities have been determined to be liquid using procedures established by the Fund’s 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 security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder. |
(g) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(h) | At December 31, 2011, all or a portion of this security is reserved and/or 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, 2011. |
(j) | Step coupon bond. Security becomes interest bearing at a future date. |
(k) | GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. |
(l) | Escrowed to maturity Bonds are collateralized by U.S. Treasury securities which are held in escrow by a trustee and used to pay principal and interest on such bonds. |
(m) | Pre refunded Bonds are collateralized by U.S. Treasury securities, which are held in escrow and are used to pay principal and interest on the tax-exempt issue and to retire the bonds at the earliest refunding date. |
(n) | The security is insured by AMBAC, AGC, AGMC, MBIA, FSA or FGIC. The Elfun Tax-Exempt Fund had insurance concentrations of 5% or greater as of December 31, 2011 (as a percentage of net assets) as follows: |
FSA | 6.37% | |||
AMBAC | 5.83% |
(o) | Securities in default. |
(p) | Sponsored by SSGA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s custodian and accounting agent. |
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(In thousands) — December 31, 2011
(q) | Illiquid Securities. At December 31, 2011, these securities amounted to $329 and $54 or 0.09% and 0.03% of net assets for the Elfun Income and Elfun Diversified Fund respectively. These securities have been determined to be illiquid using procedures established by the Board of Trustees (Unaudited). |
(r) | Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based. |
(s) | Fair Valued Security |
† | Percentages are based on net assets as of December 31, 2011. |
†† | Security traded on different exchanges. |
* | Less than 0.05% |
** | Amount is less than $500. |
Abbreviations:
ADR | — | American Depositary Receipt | ||
AGC | — | Assured Guaranty Corporation | ||
AGMC | — | Assured Guaranty Municipal Company | ||
AMBAC | — | AMBAC Indemnity Corporation | ||
FGIC | — | Financial Guaranty Insurance Corporation | ||
FSA | — | Financial Security Assurance | ||
GDR | — | Global Depositary Receipt | ||
MBIA | — | Municipal Bond Investors Assurance Corporation | ||
REIT | — | Real Estate Investment Trust | ||
REMIC | — | Real Estate Mortgage Investment Conduit | ||
SPDR | — | Standard & Poor’s Depository Receipts | ||
STRIPS | — | Separate Trading of Registered Interest and Principal of Security | ||
TBA | — | To be Announced |
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Selected data based on a unit outstanding during the fiscal years indicated
Elfun International Equity Fund | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Inception date | — | — | — | — | 1/1/88 | |||||||||||||||
Net asset value, beginning of year | $18.92 | $18.24 | $14.65 | $28.32 | $25.69 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.44 | 0.36 | 0.43 | 0.77 | 0.63 | |||||||||||||||
Net realized and unrealized | (3.48 | ) | 0.69 | 3.63 | (13.26 | ) | 5.45 | |||||||||||||
Total income (loss) from investment operations | (3.04 | ) | 1.05 | 4.06 | (12.49 | ) | 6.08 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.44 | 0.37 | 0.44 | 0.74 | 0.61 | |||||||||||||||
Net realized gains | — | — | 0.03 | 0.44 | 2.84 | |||||||||||||||
Return of capital | 0.01 | — | — | — | — | |||||||||||||||
Total distributions | 0.45 | 0.37 | 0.47 | 1.18 | 3.45 | |||||||||||||||
Net asset value, end of year | $15.43 | $18.92 | $18.24 | $14.65 | $28.32 | |||||||||||||||
TOTAL RETURN (a) | (16.02 | )% | 5.77% | 27.69 | % | (44.15) | % | 23.78 | % | |||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $240,572 | $309,473 | $301,332 | $248,781 | $483,850 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 2.34 | % | 2.05 | % | 2.66 | % | 3.10 | % | 2.23 | % | ||||||||||
Net expenses | 0.30 | %(c) | 0.32 | %(c) | 0.27 | %(c) | 0.44 | %(c) | 0.20 | % | ||||||||||
Gross expenses | 0.31 | % | 0.34 | % | 0.28 | % | 0.45 | % | 0.20 | % | ||||||||||
Portfolio turnover rate | 39 | % | 42 | % | 45 | % | 41 | % | 31 | % | ||||||||||
Elfun Trusts | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Inception date | — | — | — | — | 5/27/35 | |||||||||||||||
Net asset value, beginning of year | $41.38 | $38.50 | $30.23 | $48.73 | $51.58 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.48 | 0.40 | 0.35 | 0.49 | 0.61 | |||||||||||||||
Net realized and unrealized | 0.06 | 4.64 | 9.83 | (17.35 | ) | 2.01 | ||||||||||||||
Total income (loss) from investment operations | 0.54 | 5.04 | 10.18 | (16.86 | ) | 2.62 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.48 | 0.41 | 0.37 | 0.49 | 0.61 | |||||||||||||||
Return of Capital | — | — | 0.03 | 0.02 | — | |||||||||||||||
Net realized gains | 1.09 | 1.75 | 1.51 | 1.13 | 4.86 | |||||||||||||||
Total distributions | 1.57 | 2.16 | 1.91 | 1.64 | 5.47 | |||||||||||||||
Net asset value, end of year | $40.35 | $41.38 | $38.50 | $30.23 | $48.73 | |||||||||||||||
TOTAL RETURN (a) | 1.33 | % | 13.07 | % | 33.62 | % | (34.53) | % | 5.05 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $1,647,396 | $1,731,716 | $1,639,896 | $1,314,686 | $2,199,017 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 1.09 | % | 1.00 | % | 1.05 | % | 1.10 | % | 1.10 | % | ||||||||||
Net expenses | 0.21 | %(c) | 0.21 | %(c) | 0.23 | %(c) | 0.21 | %(c) | 0.12 | % | ||||||||||
Gross expenses | 0.21 | % | 0.22 | % | 0.24 | % | 0.22 | % | 0.12 | % | ||||||||||
Portfolio turnover rate | 16 | % | 14 | % | 8 | % | 20 | % | 12 | % |
The accompanying Notes are an integral part of these financial statements.
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Selected data based on a unit outstanding during the fiscal years indicated
Elfun Diversified Fund | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Inception date | — | — | — | — | 1/1/88 | |||||||||||||||
Net asset value, beginning of year | $17.41 | $16.08 | $13.41 | $19.80 | $20.15 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.38 | 0.28 | 0.29 | 0.42 | 0.50 | |||||||||||||||
Net realized and unrealized | (0.83) | 1.32 | 2.68 | (6.41) | 1.26 | |||||||||||||||
Total income (loss) from investment operations | (0.45) | 1.60 | 2.97 | (5.99) | 1.76 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.43 | 0.27 | 0.30 | 0.40 | 0.49 | |||||||||||||||
Net realized gains | — | — | 0.00 | * | — | 1.62 | ||||||||||||||
Total distributions | 0.43 | 0.27 | 0.30 | 0.40 | 2.11 | |||||||||||||||
Net asset value, end of year | $16.53 | $17.41 | $16.08 | $13.41 | $19.80 | |||||||||||||||
TOTAL RETURN (a) | (2.60) | % | 9.98 | % | 22.13 | % | (30.23) | % | 8.74 | %(b) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $210,095 | $229,881 | $220,654 | $191,347 | $292,224 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 2.11 | % | 1.76 | % | 1.98 | % | 2.35 | % | 2.31 | % | ||||||||||
Net expenses | 0.40 | %(c) | 0.48 | %(c) | 0.43 | %(c) | 0.31 | %(c) | 0.20 | % | ||||||||||
Gross expenses | 0.41 | % | 0.75 | % | 0.47 | % | 0.33 | % | 0.20 | % | ||||||||||
Portfolio turnover rate | 197 | % | 148 | % | 142 | % | 180 | % | 171 | % | ||||||||||
Elfun Tax-Exempt Income Fund | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Inception date | — | — | — | — | 1/1/80 | |||||||||||||||
Net asset value, beginning of year | $11.33 | $11.64 | $10.73 | $11.54 | $11.74 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.53 | 0.53 | 0.53 | 0.53 | 0.54 | |||||||||||||||
Net realized and unrealized | 0.64 | (0.31) | 0.91 | (0.81) | (0.20) | |||||||||||||||
Total income from investment operations | 1.17 | 0.22 | 1.44 | (0.28) | 0.34 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.53 | 0.53 | 0.53 | 0.53 | 0.54 | |||||||||||||||
Net realized gains | — | — | — | — | 0.00 | * | ||||||||||||||
Total distributions | 0.53 | 0.53 | 0.53 | 0.53 | 0.54 | |||||||||||||||
Net asset value, end of year | $11.97 | 11.33 | $11.64 | $10.73 | $11.54 | |||||||||||||||
TOTAL RETURN (a) | 10.57 | % | 1.86 | % | 13.64 | % | (2.51) | % | 2.96 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $1,730,904 | $1,677,925 | $1,776,803 | $1,623,597 | $1,757,490 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 4.56 | % | 4.54 | % | 4.66 | % | 4.72 | % | 4.63 | % | ||||||||||
Net expenses | 0.19 | % | 0.19 | % | 0.18 | % | 0.12 | % | 0.12 | % | ||||||||||
Gross expenses | 0.19 | % | 0.19 | % | 0.18 | % | 0.12 | % | 0.12 | % | ||||||||||
Portfolio turnover rate | 31 | % | 26 | % | 33 | % | 37 | % | 39 | % |
The accompanying Notes are an integral part of these financial statements.
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Selected data based on a unit outstanding during the fiscal years indicated
Elfun Income Fund | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Inception date | — | — | — | — | 12/31/84 | |||||||||||||||
Net asset value, beginning of year | $11.18 | $10.73 | $10.35 | $11.09 | $11.05 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.39 | 0.36 | 0.43 | 0.52 | 0.61 | |||||||||||||||
Net realized and unrealized | 0.48 | 0.52 | 0.38 | (0.74) | 0.05 | |||||||||||||||
Total income from investment operations | 0.87 | 0.88 | 0.81 | (0.22) | 0.66 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.38 | 0.43 | 0.43 | 0.52 | 0.62 | |||||||||||||||
Net realized gains | 0.09 | — | — | — | 0.00 | * | ||||||||||||||
Total distributions | 0.47 | 0.43 | 0.43 | 0.52 | 0.62 | |||||||||||||||
Net asset value, end of year | $11.58 | $11.18 | $10.73 | $10.35 | $11.09 | |||||||||||||||
TOTAL RETURN (a) | 7.87 | % | 8.31 | % | 8.04% | (2.01) | % | 6.16 | % | |||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $363,029 | $350,325 | $338,481 | $328,913 | $363,695 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.39 | % | 3.34 | % | 4.15 | % | 4.88 | % | 5.58 | % | ||||||||||
Net expenses | 0.24 | %(c) | 0.23 | %(c) | 0.24 | %(c) | 0.16 | %(c) | 0.20 | % | ||||||||||
Gross expenses | 0.26 | % | 0.27 | % | 0.27 | % | 0.20 | % | 0.20 | % | ||||||||||
Portfolio turnover rate | 438 | % | 357 | % | 320 | % | 451 | % | 432 | % | ||||||||||
Elfun Money Market Fund | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Inception date | — | — | — | — | 6/13/90 | |||||||||||||||
Net asset value, beginning of year | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.00 | * | 0.00 | * | 0.00 | * | 0.03 | 0.05 | ||||||||||||
Total income from investment operations | 0.00 | * | 0.00 | * | 0.00 | * | 0.03 | 0.05 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.00 | * | 0.00 | * | 0.00 | * | 0.03 | 0.05 | ||||||||||||
Total distributions | 0.00 | * | 0.00 | * | 0.00 | * | 0.03 | 0.05 | ||||||||||||
Net asset value, end of year | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |||||||||||||||
TOTAL RETURN (a) | 0.07 | % | 0.24 | % | 0.42% | 2.57 | % | 5.24 | % | |||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $177,378 | $207,108 | $244,564 | $285,389 | $327,766 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.01 | % | 0.06 | % | 0.43 | % | 2.57 | % | 5.12 | % | ||||||||||
Net expenses | 0.23 | %** | 0.26 | %** | 0.24 | %** | 0.19 | %** | 0.18 | %** | ||||||||||
Gross expenses | 0.32 | % | 0.28 | % | 0.24 | % | 0.19 | % | 0.18 | % |
Notes to Financial Highlights
(a) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
(b) | The total return includes .03% related to the purchase and sales of initial public offerings. |
(c) | Reflects GEAM’s waiver of a portion of the Fund’s management expenses in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated Money Market Fund formerly managed by GEAM. |
* | Less than 0.005 per share. |
** | GE Asset Management has voluntarily undertaken to reduce its management fee and/or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized yield of 0.00%. |
The accompanying Notes are an integral part of these financial statements.
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The accompanying Notes are an integral part of these financial statements.
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ELFUN DIVERSIFIED FUND | ELFUN TAX-EXEMPT INCOME FUND | ELFUN INCOME FUND | ELFUN MONEY MARKET FUND | |||||||||
$197,595 | $ | 1,657,412 | $ | 345,869 | $ | 3,501 | ||||||
160 | 219 | 810 | — | |||||||||
— | 5,420 | — | 141,370 | |||||||||
17,707 | — | 40,164 | — | |||||||||
— | — | — | 32,390 | |||||||||
455 | — | — | — | |||||||||
1 | — | — | — | |||||||||
9 | 48,369 | 53 | — | |||||||||
727 | 24,085 | 2,782 | 100 | |||||||||
14 | 1,732 | 267 | 558 | |||||||||
6 | — | — | — | |||||||||
60 | — | 89 | — | |||||||||
5 | — | — | — | |||||||||
2 | 10 | 2 | — | |||||||||
216,741 | 1,737,247 | 390,036 | 177,919 | |||||||||
— | 1,897 | 272 | — | |||||||||
6,060 | 3,579 | 26,346 | — | |||||||||
168 | 116 | 105 | 423 | |||||||||
— | 488 | — | 7 | |||||||||
346 | 263 | 200 | 111 | |||||||||
36 | — | 84 | — | |||||||||
26 | — | — | — | |||||||||
10 | — | — | — | |||||||||
6,646 | 6,343 | 27,007 | 541 | |||||||||
$210,095 | $ | 1,730,904 | $ | 363,029 | $ | 177,378 | ||||||
219,882 | 1,623,598 | 357,863 | 177,487 | |||||||||
(7) | — | 64 | — | |||||||||
(11,967) | (7,367 | ) | (223 | ) | (9 | ) | ||||||
2,327 | 114,673 | 5,927 | (100 | ) | ||||||||
(121) | — | (602 | ) | — | ||||||||
(19) | — | — | — | |||||||||
$210,095 | $ | 1,730,904 | $ | 363,029 | $ | 177,378 | ||||||
12,713 | 144,634 | 31,350 | 177,680 | |||||||||
$ 16.53 | $ | 11.97 | $ | 11.58 | $ | 1.00 |
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The accompanying Notes are an integral part of these financial statements.
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ELFUN DIVERSIFIED FUND | ELFUN TAX - EXEMPT INCOME FUND | ELFUN INCOME FUND | ELFUN MONEY MARKET FUND | |||||||||||
$ | 3,174 | $ | — | $ | 12 | $ | — | |||||||
2,544 | 79,358 | 12,913 | 464 | |||||||||||
26 | 2 | 61 | — | |||||||||||
(145 | ) | — | (4 | ) | — | |||||||||
5,599 | 79,360 | 12,982 | 464 | |||||||||||
295 | 2,672 | 540 | 301 | |||||||||||
16 | 121 | 26 | 18 | |||||||||||
57 | 121 | 73 | 58 | |||||||||||
463 | 105 | 170 | 99 | |||||||||||
7 | 34 | 8 | 65 | |||||||||||
86 | 177 | 100 | 81 | |||||||||||
924 | 3,230 | 917 | 622 | |||||||||||
(33 | ) | — | (73 | ) | — | |||||||||
— | — | — | (169 | ) | ||||||||||
891 | 3,230 | 844 | 453 | |||||||||||
4,708 | 76,130 | 12,138 | 11 | |||||||||||
8,840 | (3,028 | ) | 19,652 | 1 | ||||||||||
(1,653 | ) | — | (5,296 | ) | — | |||||||||
221 | — | — | — | |||||||||||
(17,614 | ) | 93,947 | 1,810 | (100 | ) | |||||||||
(302 | ) | — | (1,179 | ) | — | |||||||||
(25 | ) | — | — | — | ||||||||||
(10,533 | ) | 90,919 | 14,987 | (99 | ) | |||||||||
$ | (5,825 | ) | $ | 167,049 | $ | 27,125 | $ | (88 | ) |
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The accompanying Notes are an integral part of these financial statements.
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ELFUN DIVERSIFIED FUND | ELFUN TAX-EXEMPT INCOME FUND | ELFUN INCOME FUND | ELFUN MONEY MARKET FUND | |||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||
$ | 4,708 | $ | 3,847 | $ | 76,130 | $ | 81,578 | $ | 12,138 | $ | 11,675 | $ | 11 | $ | 126 | |||||||||||||||
7,408 | 1,317 | (3,028 | ) | 7,450 | 14,356 | 6,295 | 1 | 2 | ||||||||||||||||||||||
(17,941 | ) | 15,859 | 93,947 | (54,185 | ) | 631 | 9,662 | (100 | ) | — | ||||||||||||||||||||
(5,825 | ) | 21,023 | 167,049 | 34,843 | 27,125 | 27,632 | (88 | ) | 128 | |||||||||||||||||||||
(5,284 | ) | (3,566 | ) | (76,130 | ) | (81,578 | ) | (11,915 | ) | (13,612 | ) | (135 | ) | (312 | ) | |||||||||||||||
— | — | — | — | (2,650 | ) | — | — | — | ||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
(5,284 | ) | (3,566 | ) | (76,130 | ) | (81,578 | ) | (14,565 | ) | (13,612 | ) | (135 | ) | (312 | ) | |||||||||||||||
(11,109 | ) | 17,457 | 90,919 | (46,735 | ) | 12,560 | 14,020 | (223 | ) | (184 | ) | |||||||||||||||||||
9,772 | 9,623 | 62,668 | 60,865 | 32,622 | 23,355 | 81,055 | 83,709 | |||||||||||||||||||||||
4,588 | 3,089 | 52,299 | 56,241 | 10,532 | 9,704 | 121 | 277 | |||||||||||||||||||||||
(23,037 | ) | (20,942 | ) | (152,907 | ) | (169,249 | ) | (43,010 | ) | (35,235 | ) | (110,683 | ) | (121,258 | ) | |||||||||||||||
(8,677 | ) | (8,230 | ) | (37,940 | ) | (52,143 | ) | 144 | (2,176 | ) | (29,507 | ) | (37,272 | ) | ||||||||||||||||
(19,786 | ) | 9,227 | 52,979 | (98,878 | ) | 12,704 | 11,844 | (29,730 | ) | (37,456 | ) | |||||||||||||||||||
229,881 | 220,654 | 1,677,925 | 1,776,803 | 350,325 | 338,481 | 207,108 | 244,564 | |||||||||||||||||||||||
$ | 210,095 | $ | 229,881 | $ | 1,730,904 | $ | 1,677,925 | $ | 363,029 | $ | 350,325 | $ | 177,378 | $ | 207,108 | |||||||||||||||
$ | (7 | ) | $ | 250 | $ | — | $ | — | $ | 64 | $ | (89 | ) | $ | — | $ | 124 | |||||||||||||
557 | 570 | 5,418 | 5,181 | 2,872 | 2,114 | 80,925 | 83,519 | |||||||||||||||||||||||
279 | 178 | 4,522 | 4,788 | 919 | 876 | 121 | 277 | |||||||||||||||||||||||
(1,324 | ) | (1,271 | ) | (13,390 | ) | (14,547 | ) | (3,782 | ) | (3,182 | ) | (110,681 | ) | (121,259 | ) | |||||||||||||||
(488 | ) | (523 | ) | (3,450 | ) | (4,578 | ) | 9 | (192 | ) | (29,635 | ) | (37,463 | ) |
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December 31, 2011
1. | Organization of the Funds |
The Elfun Funds (each a “Fund” and collectively the “Funds”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. The Funds operate as Employees’ Securities Companies (as defined in the 1940 Act) and as such are exempt from certain provisions of the 1940 Act.
GE Asset Management Incorporated (“GEAM”), the Funds’ investment adviser, is a wholly owned subsidiary of General Electric Company.
2. | Summary of Significant Accounting Policies |
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.
Subsequent events after the balance sheet date through the date the financial statements were issued, have been evaluated in the preparation of the financial statements.
There are no items to report.
The following summarizes the significant accounting policies of the Funds:
Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.
Repurchase Agreements Some of the Funds engage in repurchase agreement transactions with respect to instruments that are consistent with the Fund’s invest-
ment objectives or policies. The Funds’ custodian takes possession of the collateral pledged for investments in repurchase agreements on behalf of the Funds. The Funds value the underlying collateral daily on a mark-to-market basis to determine that the value, including accrued interest, is at least equal to 102% for domestic securities and 105% international securities of the repurchase price. In the event the seller defaults and the value of the security declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
Foreign Currency Accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions.
All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuter exchange rate computed at 11:00 a.m., Eastern time.
The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.
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Derivatives The Funds are subject to equity price risk, interest rate risk, credit risk, and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds entered into derivative transactions for the purpose of hedging, to gain market exposure for residual and accumulating cash positions, and for managing the duration of fixed-income investments.
Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Certain Funds invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in interest rates and/or market conditions, gaining market exposure for accumulating and residual cash positions, for duration management, or when the transactions are economically appropriate to the reduction of risks inherent in the management of the Funds. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. A Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.
Upon entering into a financial futures contract, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Funds each day, depending on the daily fluctuation in the fair value of the underlying security. The Funds record an unrealized gain or loss equal to the daily variation margin. Should market conditions
move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Funds recognize a realized gain or loss on the expiration or closing of a futures contract.
When-Issued Securities and Forward Commitments Certain Funds purchase or sell securities on a when-issued or forward commitment basis. These transactions are arrangements in which the Funds purchase and sell securities with payment and delivery scheduled a month or more after entering into the transaction. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the commitments. In connection with such purchases, the Funds maintain cash or liquid assets in an amount equal to the purchase commitments for such underlying securities until settlement date and for sales commitments the Funds maintain equivalent deliverable securities as “cover” for the transaction. Unsettled commitments are valued at the current market value of the underlying security. Daily fluctuations in the value of such commitments are recorded as unrealized gains or losses. The Funds will not enter into such commitments for the purpose of investment leverage.
Forward Foreign Currency Exchange Contracts Certain Funds enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage the Funds’ currency exposure. Forward foreign currency exchange contracts are valued at the mean between the bid and the offered forward rates as last quoted by a recognized dealer. The aggregate principal amounts of the contracts are not recorded in the Funds’ financial statements. Such amounts appear under the caption Forward Foreign Currency Contracts in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (or liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains or losses on foreign currency related transactions. The Funds’ risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform
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under the contracts’ terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of the Fund’s total assets committed to the consummation of the forward contract. If the value of the segregated securities declines, additional cash or securities are segregated so that the value of the account will equal the amount of the Fund’s commitment with respect to the contract.
Investments in Foreign Markets Investments in foreign markets involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile.
The Funds may be subject to capital gains and repatriation taxes imposed by certain countries in which they invest. Such taxes are generally based upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned.
Investment Income Corporate actions (including cash dividends) are recorded on ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
Interest income is recorded on the accrual basis. Accretion of discounts and amortization premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.
Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses
of the fund are generally paid directly by the fund, however, expenses may be paid by GEAM and reimbursed by the fund.
Federal Income Taxes The Funds intend to comply with all sections of the Internal Revenue Code applicable to regulated investment companies, including the distribution of substantially all of their taxable net investment income, tax-exempt income, and net realized capital gains to their shareholders. Therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.
3. | Securities Valuation |
The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.
Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:
Level 1—Quoted prices for identical investments in active markets.
Level 2—Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
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Level 3—Significant inputs to the valuation model are unobservable.
Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.
Fair Value Measurement The following section describes the valuation methodologies the Funds use to measure different financial investments at fair value.
A Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.
Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services are derived from market observable sources, including: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing service uses other available information as applicable such as benchmark curves, benchmarking of similar securities, sector groupings, and matrix pricing. Thus, certain securities may not be priced using quoted prices, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services
may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.
A Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.
Portfolio Securities and any short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2.
If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.
The Funds use the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Funds classify the investment security in Level 2.
If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Funds’ Board of Trustees that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of any Fund in the appropriate circumstances.
Foreign securities may be valued with the assistance of an independent fair value pricing service in circumstances where it is believed that they have been or would be materially affected by events occurring after the close
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of the portfolio security’s primary market and before the close of regular trading on the NYSE. In these circumstances the Fund classifies the investment securities in Level 2. This independent fair value pricing service uses a proprietary model to identify affected securities, taking into consideration various factors, and the fair value of such securities may be something other than the last available quotation or other market price.
All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.
Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.
The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may
be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.
The Funds use closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following tables present the Funds’ investments measured at fair value on a recurring basis at December 31, 2011:
(Dollars in Thousands) | ||||||||||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Elfun International Equity Fund | Investments in Securities † | |||||||||||||||||
Common Stock | $ | 228,627 | $ | — | $ | — | $ | 228,627 | ||||||||||
Preferred Stock | 3,813 | — | — | 3,813 | ||||||||||||||
Other Investments | — | 77 | — | 77 | ||||||||||||||
Short-Term Investments | 6,797 | — | — | 6,797 | ||||||||||||||
Total Investments in Securities | $ | 239,237 | $ | 77 | $ | — | $ | 239,314 | ||||||||||
Other Financial Instruments * | ||||||||||||||||||
Futures Contracts — Unrealized Appreciation | $ | 110 | $ | — | $ | — | $ | 110 | ||||||||||
Futures Contracts — Unrealized Depreciation | (28 | ) | — | — | (28 | ) | ||||||||||||
Total Other Financial Instruments | $ | 82 | $ | — | $ | — | $ | 82 |
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95
(Dollars in Thousands) | ||||||||||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Elfun Trusts | Investments in Securities † | |||||||||||||||||
Common Stock | $ | 1,617,614 | $ | — | $ | — | $ | 1,617,614 | ||||||||||
Other Investments | — | 356 | — | 356 | ||||||||||||||
Short-Term Investments | 29,309 | — | — | 29,309 | ||||||||||||||
Total Investments in Securities | $ | 1,646,923 | $ | 356 | $ | — | $ | 1,647,279 | ||||||||||
Elfun Diversified Fund | Investments in Securities † | |||||||||||||||||
Domestic Equity | $ | 83,867 | $ | — | $ | — | $ | 83,867 | ||||||||||
Foreign Equity | 37,124 | — | — | 37,124 | ||||||||||||||
U.S. Treasuries | — | 12,084 | — | 12,084 | ||||||||||||||
Agency Mortgage Backed | — | 20,505 | — | 20,505 | ||||||||||||||
Agency CMOs | — | 1,411 | — | 1,411 | ||||||||||||||
Asset Backed | — | 642 | — | 642 | ||||||||||||||
Corporate Notes | — | 23,451 | — | 23,451 | ||||||||||||||
Non-Agency CMOs | — | 4,413 | — | 4,413 | ||||||||||||||
Sovereign Bonds | — | 1,783 | — | 1,783 | ||||||||||||||
Municipal Notes and Bonds | — | 421 | — | 421 | ||||||||||||||
Exchange Traded Funds | 11,369 | — | — | 11,369 | ||||||||||||||
Preferred Stock | 525 | — | — | 525 | ||||||||||||||
Other Investments | — | 160 | — | 160 | ||||||||||||||
Short-Term Investments | 17,707 | — | — | 17,707 | ||||||||||||||
Total Investments in Securities | $ | 150,592 | $ | 64,870 | $ | — | $ | 215,462 | ||||||||||
Other Financial Instruments * | ||||||||||||||||||
Futures Contracts — Unrealized Appreciation | $ | 86 | $ | — | $ | — | $ | 86 | ||||||||||
Futures Contracts — Unrealized Depreciation | (207 | ) | — | — | (207 | ) | ||||||||||||
Foreign Currency Forward Exchange Contracts — | ||||||||||||||||||
Unrealized Appreciation | — | 5 | — | 5 | ||||||||||||||
Foreign Currency Forward Exchange Contracts — | ||||||||||||||||||
Unrealized Depreciation | — | (26 | ) | — | (26 | ) | ||||||||||||
Total Other Financial Instruments | $ | (121 | ) | $ | (21 | ) | $ | — | $ | (142 | ) | |||||||
Elfun Tax-Exempt Income Fund | Investments in Securities † | |||||||||||||||||
Municipal Bonds and Notes | $ | — | $ | 1,657,412 | $ | — | $ | 1,657,412 | ||||||||||
Other Investments | — | 219 | — | 219 | ||||||||||||||
Short-Term Investments | — | 5,420 | — | 5,420 | ||||||||||||||
Total Investments in Securities | $ | — | $ | 1,663,051 | $ | — | $ | 1,663,051 |
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(Dollars in Thousands) | ||||||||||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Elfun Income Fund | Investments in Securities † | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 68,334 | $ | — | $ | 68,334 | ||||||||||
Agency Mortgage Backed | — | 106,427 | — | 106,427 | ||||||||||||||
Agency CMOs | — | 8,249 | — | 8,249 | ||||||||||||||
Asset Backed | — | 2,425 | — | 2,425 | ||||||||||||||
Corporate Notes | — | 123,531 | — | 123,531 | ||||||||||||||
Non-Agency CMOs | — | 24,452 | — | 24,452 | ||||||||||||||
Sovereign Bonds | — | 8,775 | — | 8,775 | ||||||||||||||
Municipal Notes and Bonds | — | 3,040 | — | 3,040 | ||||||||||||||
Preferred Stock | 636 | 636 | ||||||||||||||||
Other Investments | — | 810 | — | 810 | ||||||||||||||
Short-Term Investments | 40,164 | — | — | 40,164 | ||||||||||||||
Total Investments in Securities | $ | 40,164 | $ | 346,679 | $ | — | $ | 386,843 | ||||||||||
Other Financial Instruments * | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 79 | $ | — | $ | — | $ | 79 | ||||||||||
Short Futures Contracts — Unrealized Depreciation | (681 | ) | — | — | (681 | ) | ||||||||||||
Total Other Financial Instruments | $ | (602 | ) | $ | — | $ | — | $ | (602 | ) | ||||||||
Elfun Money Market Fund | Investments in Securities † | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 23,211 | $ | — | $ | 23,211 | ||||||||||
U.S. Government Agency Obligations | — | 36,256 | — | 36,256 | ||||||||||||||
Commercial Paper | — | 43,345 | — | 43,345 | ||||||||||||||
Repurchase Agreements | — | 32,390 | — | 32,390 | ||||||||||||||
Corporates | — | 10,307 | 3,501 | 13,808 | ||||||||||||||
Certificates of Deposit | — | 28,100 | — | 28,100 | ||||||||||||||
Time Deposit | — | 151 | — | 151 | ||||||||||||||
Total Investments in Securities | $ | — | $ | 173,760 | $ | 3,501 | $ | 177,261 |
The following tables present the changes in Level 3 investments measured on a recurring basis for the period ended December 31, 2011 (In Thousands):
Elfun Diversified Fund | Agency CMOs | Non-Agency CMOs | Total | |||||||||
Balance at 12/31/10 | $ | 130 | $ | 1 | $ | 131 | ||||||
Accrued discounts/premiums | (2 | ) | — | (2 | ) | |||||||
Realized gain (loss) | (32 | ) | (1 | ) | (33 | ) | ||||||
Change in unrealized gain (loss) | 32 | — | 32 | |||||||||
Purchases | — | — | — | |||||||||
Sales | (23 | ) | — | (23 | ) | |||||||
Issuances | — | — | — | |||||||||
Settlements | — | — | — | |||||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | (105 | ) | — | (105 | ) | |||||||
Balance at 12/31/11 | $ | — | $ | — | $ | — | ||||||
Change in unrealized appreciation relating to | $ | — | $ | — | $ | — |
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Elfun Income Fund | Agency CMOs | Asset Backed | Non-Agency CMOs | Total | ||||||||||||
Balance at 12/31/10 | $ | 515 | $ | 25 | $ | 437 | $ | 977 | ||||||||
Accrued discounts/premiums | (14 | ) | — | — | (14 | ) | ||||||||||
Realized gain (loss) | 37 | — | (72 | ) | (35 | ) | ||||||||||
Change in unrealized gain (loss) | (41 | ) | — | 71 | 30 | |||||||||||
Purchases | — | — | — | — | ||||||||||||
Sales | (149 | ) | — | — | (149 | ) | ||||||||||
Issuances | — | — | — | — | ||||||||||||
Settlements | — | — | — | — | ||||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||
Transfers out of Level 3 | (348 | ) | (25 | ) | (436 | ) | (809 | ) | ||||||||
Balance at 12/31/11 | $ | — | $ | — | $ | — | $ | — | ||||||||
Change in unrealized appreciation relating to securities | $ | — | $ | — | $ | — | $ | — | ||||||||
Elfun Money Market Fund | Corporates | Total | ||||||||||||||
Balance at 12/31/10 | $ | — | $ | — | ||||||||||||
Accrued discounts/premiums | — | — | ||||||||||||||
Realized gain (loss) | — | — | ||||||||||||||
Change in unrealized gain (loss) | (100 | ) | (100 | ) | ||||||||||||
Purchases | 3,601 | 3,601 | ||||||||||||||
Sales | — | — | ||||||||||||||
Issuances | — | — | ||||||||||||||
Settlements | — | — | ||||||||||||||
Transfers into Level 3 | — | — | ||||||||||||||
Transfers out of Level 3 | — | — | ||||||||||||||
Balance at 12/31/11 | $ | 3,501 | $ | 3,501 | ||||||||||||
Change in unrealized depreciation relating to | $ | (100 | ) | $ | (100 | ) |
There were no significant transfers between Level 1 and Level 2. Transfers between fair value levels are considered to occur at the beginning of the period.
† | See Schedule of Investments for Industry Classification |
* | Other financial instruments include derivative instruments such as futures and forward exchange contracts. Amounts shown represent unrealized appreciation (depreciation), at period end. |
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4. | Derivatives Disclosure |
Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of December 31, 2011:
(Dollars in Thousands): | ||||||||||||
Asset Derivatives December 31, 2011 | Liability Derivatives December 31, | |||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Assets and Liabilities | Fair Value ($) | Location in the Statements of Assets and Liabilities | Fair Value ($) | ||||||||
Elfun International Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 110 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (28 | )* | ||||||
Elfun Diversified Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 54 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (15 | )* | ||||||
Interest Rate Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 32 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (192 | )* | ||||||
Foreign Currency Forward Exchange Contracts | Asset, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Forward Exchange Contracts | 5 | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Forward Exchange Contracts | (26 | ) | |||||||
Elfun Income Fund | ||||||||||||
Interest Rate Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 79 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (681 | )* |
* | Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities. |
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Shown below are the effects of derivative instruments on each Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Operations | Total Notional Amount of Futures/Foreign Currency Contracts Purchased/(Sold) ($) | Realized Gain or (Loss) on Derivatives Recognized in Income ($) | Change in Unrealized Appreciation/ (Depreciation)on Derivatives Recognized in Income ($) | ||||||||||
Elfun International Equity Fund | ||||||||||||||
Equity Contracts | Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures | 41,516/(47,971) | (739) | 256 | ||||||||||
Elfun Diversified Fund | ||||||||||||||
Equity Contracts | Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures | 38,751/(42,490) | 49 | (63) | ||||||||||
Interest Rate Contracts | Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures | 205,537/(198,433) | (1,359) | (239) | ||||||||||
Foreign Currency Contracts | Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures | 19,072/(18,729) | (343) | — | ||||||||||
Foreign Currency Forward Exchange Contracts | Realized gain/(loss) on Foreign currency related transactions, Increase/(decrease) in unrealized appreciation/ (depreciation) on Foreign currency related transactions | 0/(4,495) | 269 | (21) | ||||||||||
Elfun Income Fund | ||||||||||||||
Interest Rate Contracts | Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures | 933,000/(906,271) | (5,296) | (1,179) |
5. | Line of Credit |
The Funds share a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is
with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% (prior to November 2, 2011, the rate was
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0.125%) per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Funds have a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) its prospectus limitation or (ii) 20% of its net assets. The credit facilities were not utilized by the Funds during the period ended December 31, 2011.
6. | Compensation and Fees paid to Affiliates |
During 2011, the Funds incurred expenses for the cost of services rendered by GEAM as investment adviser and for services GEAM rendered as unitholder servicing agent. These expenses are included as administration expenses and unitholder servicing agent expenses in the Statements of Operations. The Trustees received no compensation as Trustees for the Elfun Funds.
GEAM has a contractual arrangement with each Fund (except the Elfun Tax-Exempt Income Fund and the Elfun Money Market Fund) to waive a portion of the Funds Management fees in the amount equal to the Management fee earned by GEAM with respect to the Funds investment in the GE Institutional Money Market Fund.
7. | Investment Transactions |
Purchases and Sales of Securities
The cost of purchases and the proceeds from sales of investments, other than short-term securities and short-term options, for the year ended December 31, 2011, were as follows (In Thousands):
U.S. Government Securities | Other Securities | |||||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||||
Elfun International Equity Fund | $ | - | $ | - | $ | 109,813 | $ | 116,159 | ||||||||||
Elfun Trusts | - | - | 270,804 | 340,082 | ||||||||||||||
Elfun Diversified Fund | 277,945 | 279,761 | 131,424 | 135,343 | ||||||||||||||
Elfun Tax-Exempt Income Fund | - | - | 509,103 | 584,750 | ||||||||||||||
Elfun Income Fund | 1,279,689 | 1,276,640 | 196,107 | 205,990 | ||||||||||||||
Elfun Money Market Fund | - | - | - | - |
8. | Income Taxes |
The Funds are subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires
evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Funds’ net assets required under ASC 740. The Funds’ 2008, 2009, 2010, and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.
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At December 31, 2011, information on the tax components of capital is as follows:
(In Thousands) | ||||||||||||||||||||||||||||||||
Gross Unrealized Tax | Net Tax Appreciation/ (Depreciation) | Undistributed | ||||||||||||||||||||||||||||||
Fund | Cost of Investments For Tax Purposes | Appreciation | Depreciation | Investments | Derivatives/ Currency | Income | Accumulated Capital Loss | Late-Year Losses | ||||||||||||||||||||||||
Elfun International Equity Fund | $ | 253,092 | $ | 20,159 | $ | (33,937 | ) | $ | (13,778 | ) | $ | 55 | $ | - | $ | (56,379 | ) | $ | - | |||||||||||||
Elfun Trusts | 1,297,178 | 424,344 | (74,243 | ) | 350,101 | - | - | - | - | |||||||||||||||||||||||
Elfun Diversified Fund | 215,770 | 13,982 | (14,290 | ) | (308 | ) | 2 | - | (9,481 | ) | - | |||||||||||||||||||||
Elfun Tax-Exempt Income Fund | 1,548,495 | 115,810 | (1,254 | ) | 114,556 | - | 39 | (7,289 | ) | - | ||||||||||||||||||||||
Elfun Income Fund | 382,490 | 10,955 | (6,602 | ) | 4,353 | - | 1,026 | - | (214 | ) | ||||||||||||||||||||||
Elfun Money Market Fund | 177,361 | - | (100 | ) | (100 | ) | - | - | (9 | ) | - |
As of December 31, 2011, 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.
Amount (In Thousands) | ||||||||||||
Fund | Short Term | Long Term | Expires | |||||||||
Elfun International Equity Fund | $ | 33,349 | $ | - | 12/31/17 | |||||||
13,483 | - | 12/31/18 | ||||||||||
4,411 | 5,136 | N/A | ||||||||||
Elfun Diversified Fund | 9,481 | - | 12/31/17 | |||||||||
Elfun Tax-Exempt Income Fund | 3,504 | - | 12/31/17 | |||||||||
3,271 | 514 | N/A | ||||||||||
Elfun Money Market Fund | 9 | - | 12/31/16 |
These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
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During the year ended December 31, 2011, the Funds utilized prior year capital loss carryovers as follows:
Fund (In Thousands) | Amount | |||
Elfun Diversified Fund | $ | 6,024 | ||
Elfun Income Fund | 10,795 | |||
Elfun Money Market Fund | 191 |
Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.
The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:
Fund (In Thousands) | Capital | Ordinary | ||||||
Elfun Income Fund | $ | 214 | $ | — |
The tax composition of distributions paid during the years ended December 31, 2011, were as follows:
Fund (In Thousands) | Exempt Interest | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Elfun International Equity Fund | $ | — | $ | 6,736 | $ | — | $ | 199 | $ | 6,935 | ||||||||||
Elfun Trusts | — | 18,959 | 43,352 | — | 62,311 | |||||||||||||||
Elfun Diversified Fund | — | 5,284 | — | — | 5,284 | |||||||||||||||
Elfun Tax-Exempt Income Fund | 74,163 | 1,967 | — | — | 76,130 | |||||||||||||||
Elfun Income Fund | — | 14,565 | — | — | 14,565 | |||||||||||||||
Elfun Money Market Fund | — | 135 | — | — | 135 |
The tax composition of distributions paid during the years ended December 31, 2010, were as follows:
Fund (In Thousands) | Exempt Interest | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Elfun International Equity Fund | $ | — | $ | 5,979 | $ | — | $ | — | $ | 5,979 | ||||||||||
Elfun Trusts | — | 16,402 | 70,387 | — | 86,789 | |||||||||||||||
Elfun Diversified Fund | — | 3,566 | — | — | 3,566 | |||||||||||||||
Elfun Tax-Exempt Income Fund | 78,685 | 2,893 | — | — | 81,578 | |||||||||||||||
Elfun Income Fund | — | 13,612 | — | — | 13,612 | |||||||||||||||
Elfun Money Market Fund | — | 312 | — | — | 312 |
Distributions to Shareholders
Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund declare net investment income dividends daily and pay them monthly. All other Funds declare and pay dividends from net investment income annually. All Funds declare and pay net realized capital gains distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences include (but are not limited to) treatment of realized and unrealized gains and losses on foreign currency contracts, futures, investments organized as partnerships for tax purposes, distributions from Real Estate Investment Trusts (REITs) and other equity investments, losses deferred due to offsetting positions, and losses deferred due to wash sale transactions. Reclassifications are made to the Funds’ capital accounts to reflect income and gains
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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, 2011 were as follows:
Fund (In Thousands) | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) | Capital paid In | |||||||||
Elfun International Equity Fund | $ | 113 | $ | 86 | $ | (199 | ) | |||||
Elfun Trusts | 31 | 304 | (335 | ) | ||||||||
Elfun Diversified Fund | 319 | (140 | ) | (179 | ) | |||||||
Elfun Tax-Exempt Income Fund | - | - | - | |||||||||
Elfun Income Fund | (70 | ) | 240 | (170 | ) | |||||||
Elfun Money Market Fund | - | 190 | (190 | ) |
9. | Recent Accounting Pronouncements |
In April 2011, the Financial Accounting Standards Board (FASB) released Accounting Standards Update (ASU) No. 2011-03, “Reconsideration of Effective Control for Repurchase Agreements”. This ASU amends FASB Accounting Standards Codification (ASC) Topic 860, “Transfers and Servicing”; specifically the criteria required to determine whether a repurchase agreement and similar agreements should be accounted for as sales of financial assets or secured borrowings with commitments. This ASU is effective for fiscal years and interim periods beginning after December 15, 2011, however management has concluded that the adoption of ASU No. 2011-03 is not expected to have a material impact on the Fund’s financial statements and the accompanying notes, net assets or results of operations.
In May 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2011-04, Fair Value Measurement: Amendments to
Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. ASU 2011-04 amended wording resulting in common fair value measurement and disclosure requirements in U.S. GAAP and International Financial Reporting Standards (IFRS). In particular, the amendments clarify how to apply existing fair value measurement and disclosure requirements as well as expand disclosure about valuation techniques and unobservable inputs used in Level 3 fair value measurements. In addition, the amendments require a narrative description of Level 3 measurements’ sensitivity to changes in unobservable inputs if such changes significantly alter the fair value measurement. The amendments are applied prospectively and are effective for an annual period beginning after December 15, 2011.
Management of the Fund does not believe the adoption of ASU 2011-04 will materially impact the financial statement amounts; however, additional disclosures will be required about valuation techniques and inputs.
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The Unitholders and Board of Trustees
Elfun Funds
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund (collectively, the “Funds”), as of December 31, 2011, and the related statement of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the 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, 2011 by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund as of December 31, 2011, the results of its operations, changes in its net assets and financial highlights for each of the years described above, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2012
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For the year ended December 31, 2011
The following funds intend to make an election under Internal Revenue Code Section 853. The election will allow shareholders to treat their attributable share of foreign taxes paid by the Funds to be paid by them directly. For the fiscal year ended December 31, 2011, the total amount of income received by the Funds from sources within foreign countries and possessions of the United States and the total amount of taxes paid by the Funds follows:
Total Foreign Source Income | Total Foreign Taxes Paid | |||||||
Elfun International Equity Fund | $ | 8,430,454 | $ | 742,564 |
Of the dividends paid from net investment income by the Elfun Tax-Exempt Fund during the calendar year ended December 31, 2011, 97.40% represent exempt interest dividends for Federal income tax purposes.
For the year ended December 31, 2011, the Fund hereby designates as capital gain dividends the amounts set forth, or the amount ultimately treated as capital gain net income.
Fund | Gross Amount | |||
Elfun Trusts | $ | 43,351,879 |
For the fiscal year ended December 31, 2011, certain dividends paid by the fund may be subject to a maximum income tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The following represent the amounts that may be considered qualified dividend income:
Fund | Qualified Dividend Income | |||
Elfun International Equity Fund | $ | 6,934,613 | ||
Elfun Trusts | $ | 18,958,809 | ||
Elfun Diversified Fund | $ | 3,231,440 |
For corporate shareholders the following represent the percentages of respective fund distributions that may be eligible for the dividends received deduction:
Fund name | Dividends Received Deduction | |||
Elfun Trusts | 100.00 | % | ||
Elfun Diversified Fund | 31.53 | % |
The amounts presented herein may differ from amounts presented elsewhere in the financial statements due to differences between tax and financial accounting principles. Please consult a tax advisor if you have any questions about Federal or State income tax laws or on how to prepare your tax returns. If you have specific questions about your Fund account, please consult your investment representative or call 1-800-242-0134.
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The Board of Trustees of the Elfun Funds1 (the “Board”) considered and all those that were present unanimously approved the continuance of the investment advisory agreements with GE Asset Management Incorporated (“GEAM”) at a meeting held on December 12, 2011.
In considering whether to approve the Funds’ investment advisory agreements, the Board members considered and discussed a substantial amount of information and analysis provided by GEAM personnel. The Board members also considered detailed information regarding performance and expenses of other investment companies, including those with similar investment strategies and sizes, which was prepared by independent third party provider Morningstar, Inc. (“Morningstar”). The Board members reviewed the fees charged by GEAM for other mutual funds and investment products other than mutual funds that employ the same investment strategies as the Funds. The Board had the opportunity to ask questions and request additional information in connection with its considerations.
Before approving each Fund’s investment advisory agreement, the Board members received and considered memoranda prepared by GEAM personnel that set forth detailed information, including numerous exhibits and other materials related to GEAM’s business and the services it provides to each Fund. The Board members also reviewed materials discussing the legal standards for the consideration of the proposed continuances. The Board members reviewed and discussed the proposed continuance of the agreements with GEAM personnel, including representatives from the legal, compliance and finance departments and senior members of each relevant investment group (e.g., equity, fixed income). The Board members also heard presentations by these representatives, and posed questions and engaged in substantive discussions with them concerning the Funds’ operations and the investment process employed for each Fund. The Board members took into account that many of them possess multi-year experience as Board members and that all of them possess a great deal of knowledge about GEAM and the Funds in their capacities
as senior officers of GEAM. They also took into account their consideration of these types of agreements in recent years. The information was presented in a manner to facilitate comparison to prior periods and to reflect certain enhancements. To focus their review, the Board members asked GEAM personnel, in its oral presentations, to highlight material differences from the information presented in recent years.
In reaching their determinations relating to continuance of the Funds’ investment advisory agreements, the Board members considered all factors that they deemed relevant, including the factors discussed below. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Board member may have attributed different weights to the various factors. The Board members evaluated this information, and all other information available to them, for each Fund separately, and their determinations were made separately in respect of each Fund. In particular, the Board members focused on the following with respect to each Fund:
The Nature, Extent And Quality Of Services Provided
The Board members reviewed the services provided by GEAM and concurred that GEAM provides high quality advisory and administrative services to the Funds. In connection with their consideration of GEAM’s services, the Board members focused on the favorable attributes of GEAM, including (i) an investment philosophy oriented toward long-term performance; (ii) effective processes used for selecting investments and brokers; (iii) effective processes used for providing Fund administration, including controllership and compliance functions and oversight of the performance of other companies that provide services to the Funds; (iv) highly skilled professionals, including analysts, research professionals and portfolio managers with a depth of experience relevant to the Funds; (v) access to significant technological resources from which the Funds may benefit; and (vi) a favorable history and reputation. The Board members noted that each Fund represents only a small amount of the overall assets managed by GEAM, but benefits from a full array of services and resources provided by GEAM. In particular, the Board members discussed that the Funds benefit from a large staff of research analysts employed by GEAM.
In light of the foregoing, the Board members concluded that the services provided by GEAM continue to be satisfactory.
1 The Elfun Funds include the Elfun Trusts, Elfun International Equity Fund, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, Elfun Money Market Fund (each, a “Fund” and collectively, the “Funds”).
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Investment Performance Of The Funds
The Board members considered the investment performance of the Funds for various periods. The Board members reviewed detailed comparisons of the performance of the Funds with the relevant securities indices and peer groupings of mutual funds prepared by Morningstar with respect to various periods. The Board members also engaged in discussions with GEAM personnel regarding the investment process and performance results for each Fund. These discussions focused on each Fund’s investment objective, the number and experience of portfolio management and supporting research personnel, the investment style and approach employed, the likely market cycles for the investment style and, in some instances, relative underperformance in certain periods. The Board members discussed GEAM’s investment approach with respect to each of the Funds, and the reasons for certain Funds’ relative underperformance.
The Board members concluded that the Funds’ performance was acceptable overall taking into consideration the factors discussed above.
Cost Of The Services Provided To The Funds
The Board members considered the cost of the services provided by GEAM, noting that, pursuant to each investment advisory agreement, GEAM is reimbursed for its reasonable costs incurred in providing the services contemplated by those agreements and is not paid a management fee. The Board also noted that GE Investment Distributors, Inc. (“GEID”), a subsidiary of GEAM, is reimbursed for its reasonable costs incurred in providing services specified in its agreement with the Funds as unitholder servicing agent and is not paid a unitholder servicing fee. The Board members considered that the charges resulting from this arrangement involve all of the expenses incurred by GEAM and GEID with respect to the management and unitholder operations of the Funds, including, without limitation, indirect allocable overhead costs and the direct and indirect costs of GEAM and GEID personnel providing investment management and other services to the Funds. The Board members noted and discussed the additional services provided by GEAM to the Funds compared to other investment products managed by GEAM and the charges that result from those services, and previously had been provided a study conducted by the Investment Company Institute that discusses and compares advisory fees and services for
mutual funds and institutional separate accounts. The Board members also noted that none of the charges resulting from the Funds’ arrangements with GEAM and GEID may include any element of profit.
The Board members also noted that the Board had in prior years reviewed with GEAM personnel the underlying assumptions and methods of cost allocation used by GEAM in allocating its costs and those of the other Fund service providers, including GEID, to the Funds, and that such assumptions and methods used in cost allocation had not changed for this year. The Board members also discussed with GEAM personnel that the basis for their belief that the methods of allocation used by GEAM continue to be reasonable for each area of GEAM’s business.
Based on their review, the Board members concluded that they were satisfied that the assumptions and methods used in cost allocation and the level of expenses incurred by the Funds were not unreasonable or excessive.
The Extent to Which Economies of Scale Would be Realized for the Benefit of Fund Shareholders as the Funds Grow
The Board members considered the extent to which economies of scale would be realized for the benefit of Fund investors as the Funds grow. The Board noted that, although none of the Funds experienced significant growth in assets over the past year, the Funds continue to enjoy fee and expense levels within or below the group of lowest fee and expense funds in their respective peer group comparisons.
The Board members recognized the significant benefits to the Funds resulting from their arrangement with GEAM, which causes them to bear only the reasonable costs incurred by GEAM and GEID, without any element of profit, for the substantial services they provide to the Funds. The Board members also recognized the benefits to the Funds of being able to leverage a favorable cost structure achieved with respect to the Funds’ other operating expenses as a result of GEAM’s large overall base of assets under management and its vendor management practices.
Comparison Of Services To Be Rendered And Costs To Be Incurred
The Board members discussed the services provided to the Funds by GEAM, and the costs incurred by the Funds for those services. The Board members reviewed information
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concerning the Funds’ expense ratios, and comparative information with respect to peer groupings of mutual funds prepared by Morningstar. They discussed that, in all cases, the Funds enjoy expense levels within or below the group of lowest cost funds in each peer group comparison. In light of this information, the Board members determined that the level of expenses incurred was reasonable in relation to the services provided to the Funds.
Fall-Out Benefits
The Board members considered other actual and potential financial benefits that GEAM may derive from its relationship with the Funds, including, where applicable, soft dollar commission benefits generated through Fund portfolio transactions. The Board members noted, however, that
the Funds benefit from the vast array of resources available through GEAM, and that each Fund represents only a small amount of the overall assets managed by GEAM.
Conclusion
No single factor was determinative to the Board’s decision. Based on their discussion and such other matters as were deemed relevant, the Board members concluded that the proposed level of cost reimbursement to GEAM and projected total expense ratios for the Funds are reasonable in relation to the services provided. In view of these facts, the Board members concluded that the renewal of each investment advisory agreement was in the best interests of the Funds and their shareholders.
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Information about Trustees and Executive Officers:
The business and affairs of the Funds are managed under the direction of the Funds’ Board of Trustees. Information pertaining to the Trustees and officers of the Company is set forth below.
Interested Trustees and Executive Officers
Dmitri Stockton
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 47
Position(s) Held with Fund Chairman of the Board
Term of Office and Length of Time Served Until successor is elected and qualified – less than 1 year
Principal Occupation(s) During Past 5 Years President and Chief Executive Officer of GEAM since May 2011; President and Chief Executive Officer of GE Capital’s Global Banking unit from January 2009 to April 2011; President and CEO of GE Money’s Central and Eastern European Banking Group from January 2005 to December 2008.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Director of GEAM since May 2011; Member of the Board of GE Foundation since November 2009; Member of the Executive Advisory Council at North Carolina A&T State University School of Business and Economics since March 2011; Trustee of GE Savings & Security Funds and General Electric Pension Trust since May 2011 and Member of the National Board of Directors of A Better Chance since January 2012.
George A. Bicher
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 53
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – less than 1 year
Principal Occupation(s) During Past 5 Years Chief Risk Officer of GEAM since March 2011; formerly, Senior Vice President and Portfolio Manager at GEAM from 2009 to 2011; Director of U.S. Equity Research and Portfolio
Manager at GEAM from 2006 to 2009; U.S. equity research analyst at GEAM from 2002 to 2006.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust and Director of GEAM since March 2011.
Paul M. Colonna
Address c/o GEAM, 1600 Summer St. Stamford, CT 06905
Age 43
Position Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 4 years
Principal Occupation(s) During Past 5 Years President – Fixed Income at GEAM since March 2007; Executive Vice President of GEAM from February 2007 to March 2007; Senior Vice President-Total Return Management at GEAM from March 2005 to March 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since February 2007; Director of GEAM since March 2007; and Director of GE Asset Management Limited (GEAML) since December 2007.
Joon Won Choe
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 42
Position(s) Held with Fund Vice President & Assistant Secretary
Term of Office and Length of Time Served Until successor is elected and qualified – Vice President and Assistant Secretary – 1 year
Principal Occupation(s) During Past 5 Years Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds and GE Investments Funds, Inc. since September 2010; Vice President and Assistant Secretary of GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at
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GEAM from June 2010 to March 2011; and Vice President and Associate General Counsel at GEAM and from November 2005 to June 2010.
Number of Portfolios in Fund Complex Overseen by Officer N/A
Other Directorships Held by Officer N/A
Michael J. Cosgrove
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 62
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 24 years
Principal Occupation(s) During Past 5 Years President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds & Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President – Mutual Funds of GEAM from March 1993 to March 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 28
Other Directorships Held by Trustee Chairman of the Board and President of GE Institutional Funds and GE Investments Funds, Inc. since 1997; Trustee of GE Savings & Security Funds, General Relief and Loan Fund and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of Skin Cancer Foundation since August 2010; Board of Governors for the Investment Company Institute; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management limited since 1998 and GEAM since 1988; Chairman of the Board and President of GE Funds from 1993 to February 2011; and Trustee, GE Volunteers from 1993 to June 2010.
Gregory B. Hartch
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 42
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – less than 1 year
Principal Occupation(s) During Past 5 Years Senior Vice President and the Strategy and Business Development Leader at GE Asset Management since December 2011; formerly Senior Vice President – Tactical Asset Allocation from 2010 to December 2011; Managing Director – International Real Estate from 2007 to 2010; and Director of Fixed Income Research from 2004 to 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since January 2012.
Arthur A. Jensen
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 45
Position(s) Held with Fund Treasurer
Term of Office and Length of Time Served Until successor is elected and qualified – less than 1 year
Principal Occupation(s) During Past 5 Years Treasurer of GE Institutional Funds, GE Investments Funds, Inc. and GE Savings and Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.
Number of Portfolios in Fund Complex Overseen by Officer N/A
Other Directorships Held by Officer N/A
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Jeanne M. LaPorta
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 46
Position(s) Held with Fund Vice President
Term of Office and Length of Time Served Until successor is elected and qualified – 8 years
Principal Occupation(s) During Past 5 Years Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds and GE Investments Funds, Inc. since July 2003; Vice President of Elfun Funds since October 2003; Vice President and Secretary of GE Funds from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of GE Funds from September 2003 to July 2007 and Assistant Secretary of GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.
Number of Portfolios in Fund Complex Overseen by Officer N/A
Other Directorships Held by Officer N/A
Ralph R. Layman
Address c/o GEAM 1600 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 – 20 years
Principal Occupation(s) During Past 5 Years President and Chief Investment Officer – Public Equities at GEAM since July 2009; President – International Equity Investments of GEAM from March 2007 to July 2009; Executive Vice President of GEAM from 1993 to March 2007; Executive Vice President – International Equity Investments at GEAM from 1993 to March 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension
Trust since 1993; Director of GE Asset Management Limited (GEAML) since September 1995 and Director of GEAM since July 2009.
Matthew J. Simpson
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 50
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served 4 years
Principal Occupation(s) During Past 5 Years Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 28
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee of GE Institutional Funds since July 2007; Director of GE Investments Funds, Inc. and GEAM since July 2007; and Trustee of GE Funds from July 2007 to February 2011.
Donald W. Torey
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 54
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 – Alternative Investments at GEAM since March 2007; Executive
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Vice President of GEAM from 1997 to March 2007; Executive Vice President – Alternative Investments from 1997 to March 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1993 and Director of GEAM since 1997.
David Wiederecht
Address c/o GEAM, 1600 Summer St. Stamford, CT 06905
Age 54
Position Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – two year
Principal Occupation(s) During Past 5 Years President – Investment Strategies since February 2008; Managing Director – Alternative Investments from 2004 to 2008; Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004.
Number of Portfolios in Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since 2008; Director of GEAM since August 2008 and Director of Edmunds Holding Company since 1999.
Tracie Winbigler
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 45
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 1 year
Principal Occupation(s) During Past 5 Years Executive Vice President and Chief Financial Officer of GEAM since January 2011; HealthAhead Finance Leader for GE from April 2010 to December 1010; Chief Financial Officer of GE Transportation from January 2008 to March 2010; and Executive Vice President, Chief Financial Officer Integrated Media and TV Group for NBC Universal from March 2006 to December 2007.
Number of Portfolios in Fund Complex Overseen by Trustee 28
Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since January 2011; Director of GEAM since January 2011; Member of the IESE Business School and Global Women’s Forum Advisory Board
The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling 1-800-242-0134.
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Portfolio Manager Biographies
The following sets forth biographical information for those individuals who are primarily responsible for managing the specified Fund’s investments. The portfolio managers may change from time to time.
David B. Carlson is Chief Investment Officer – U.S. Equities at GE Asset Management. He manages the overall U.S. equity investments for GE Asset Management. Mr. Carlson has served as the portfolio manager for Elfun Trusts since 1988. Mr. Carlson joined GE Asset Management in 1982 as a securities analyst for investment operations. He became a Vice President for Mutual Fund Portfolios in 1987, a Senior Vice President in 1989 and an Executive Vice President in 2003.
Michael J. Caufield is a Senior Vice President of GE Asset Management. He is the Chief Investment Officer and portfolio manager of the Elfun Tax-Exempt Income Fund and has served as portfolio manager since October 2000. Mr. Caufield is also the Senior Portfolio Manager for all municipal strategies. Mr. Caufield joined GE Asset Management in 1987 as Vice President, manager of fixed income research & analysis and was promoted to Senior Vice President in 1994.
Paul M. Colonna is the President and Chief Investment Officer – Fixed Income and a Director at GE Asset Management. Since January 2005, he has led the team of portfolio managers for the Elfun Income Fund and has been responsible for the fixed income portion of the Elfun Diversified Fund. Mr. Colonna became President – Fixed Income in March 2007. Prior to joining GE Asset Management in February 2000, Mr. Colonna was a senior portfolio manager with the Federal Home Loan Mortgage Corporation, overseeing the Mortgage Investment Group.
James C. Gannon is an assistant portfolio manager of GE Asset Management. He has served on the portfolio management team for the Elfun Money Market Fund since December 2000. Since joining GE Asset Management in 1995, Mr. Gannon served in various positions at GE Asset Management including Trade operations specialist in fixed income, and became an assistant portfolio manager in February 2003.
Greg Hartch is a Senior Vice President and the Strategy and Business Development Leader at GE Asset Management. He began serving as a portfolio manager to the Elfun Diversified Fund effective January 2011. Mr. Hartch joined GE Asset Management in 2002 and has held various positions at GE Asset Management including Senior Vice President – Alternative Assets from 2002-2004, Director of Fixed Income Research from 2004-2007 and Managing Director – International Real Estate from 2007 to 2010.
William M. Healey is a Senior Vice President of GE Asset Management. He has served on the portfolio management team for the Elfun Income Fund since September 1997. Prior to joining GE Asset Management in 1996, Mr. Healey spent over 10 years in the fixed income group at MetLife.
Brian Hopkinson is a Senior Vice President of GE Asset Management. He has been a portfolio manager for the Elfun International Equity Fund since joining GE Asset Management in October 1996. Prior to joining GE Asset Management, Mr. Hopkinson worked for Fiduciary Trust International in both London and New York.
Mark H. Johnson is a Senior Vice President of GE Asset Management. He has been a member of the portfolio management team for the Elfun Income Fund since 2007. Mr. Johnson joined GE in 1998 and GE Asset Management as a Vice President and portfolio manager in 2002. Prior to joining GE Asset Management, Mr. Johnson held positions at various insurance companies and public accounting firms.
Ralph R. Layman is the President and Chief Investment Officer – Public Equities and a Director at GE Asset Management. He manages the overall equity investments for GE Asset Management. Mr. Layman has led the team of portfolio managers for the Elfun International Equity Fund since 1991 and has been responsible for the international equity portion for the Elfun Diversified Fund since September 1997. Mr. Layman joined GE Asset Management in 1991 as Senior Vice President for International Investments, became an Executive Vice President in 1992, served as President – International Equities from March 2007 to 2009, and has served as President and Chief Investment Officer – Public Equities since July 2009.
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Portfolio | Manager Biographies (continued) |
Mr. Layman joined GE Asset Management in 1991 as Senior Vice President for International Investments, became and Executive Vice President in 1992, President – International Equities in March 2007, and President and Chief Investment Officer – Public Equities since July 2009.
Michael E. Martini is a Vice President and portfolio manager at GE Asset Management. He has served on the portfolio management team for the Elfun Money Market Fund since joining GE Asset Management in March of 2008. Prior to joining GE Asset Management, Mr. Martini was a Vice President at Ceres Capital Partners LLC, where he worked at the firm’s treasury desk from March 2006 to January 2008, and a Senior Vice President at Pacific Investment Management Company (PIMCO) from 1996 to 2004, where he was a portfolio manager at the firm’s money market/short-term desk.
Paul Nestro is a Senior Vice President of GE Asset Management. He has been a member of the portfolio management team for the Elfun International Equity Fund since February 2007. Mr. Nestro joined GE Asset Management in 1993 as a performance and attribution analyst in domestic equities. He became a senior performance and attribution analyst in 1994 and since 1996 has been an analyst and portfolio manager in the international equities group.
Michael Nowakowski is an Assistant Portfolio Manager at GE Asset Management. He has served on the portfolio management team for the Money Market Fund since July 2011. His responsibilities include cash management, including daily money market trade execution, and technical projects. Mr. Nowakowski joined GE Asset Management in 2007 as a Data Analyst working on the fixed income Insurance portfolio. Mr. Nowakowski later
became the Team Lead of Portfolio Analytics for Total Return and Insurance fixed income.
Jonathan L. Passmore is a Senior Vice President of GE Asset Management. He has served as a portfolio manager of the Elfun International Equity Fund since January 2002. Prior to joining GE Asset Management in January 2001, he was with Merrill Lynch for six years, most recently as Director, international equities.
Vita Marie Pike is a Senior Vice President of GE Asset Management. She has served on the portfolio management team for the Elfun Income Fund since March 2005. Prior to joining GE Asset Management in January 2001, she was with Alliance Capital for over nine years serving in a number of different capacities including portfolio manager.
Michael J. Solecki is a Senior Vice President and Co-Chief Investment Officer – International Equities at GE Asset Management. He has served as a portfolio manager of the Elfun International Equity Fund since August 1999. He joined GE Asset Management in 1990 as an international equity analyst. He became a Vice President for international equity portfolios in 1996 and Senior Vice President in 2000.
David Wiederecht is the President and Chief Investment Officer – Investment Strategies and a Director at GE Asset Management. He has served as a portfolio manager to the Elfun Diversified Fund since January 2011. Mr. Wiederecht joined GE Asset Management in 1988 and has held various positions at GE Asset Management including Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004, Managing Director – Alternative Investments from 2004 to 2008, and President and Chief Investment Officer – Investment Strategies since 2008.
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Portfolio Managers
Elfun International Equity Fund
Team led by Ralph R. Layman
Elfun Trusts
David B. Carlson
Elfun Diversified Fund
Paul M. Colonna
Gregory B. Hartch
Ralph R. Layman
David Wiederecht
Elfun Tax-Exempt Income Fund
Michael Caufield
Elfun Income Fund
Team led by Paul M. Colonna
Elfun Money Market Fund
Team led by Michael E. Martini
Investment Adviser
GE Asset Management Incorporated
Independent Registered Public Accounting Firm
KPMG LLP
Custodian
State Street Bank & Trust Company
Unitholder Servicing Agent
Address all inquiries to:
GE Mutual Funds
BNY Mellon Asset Servicing
P.O. Box 9838
Providence, RI 02940
Officers of the Investment Adviser
Dmitri Stockton, Trustee, President and Chief Executive Officer, GE Asset Management Incorporated (since May 2011)
Cheryl H. Beacock, Senior Vice President, Human Resources
George A. Bicher, Trustee, Chief Risk Officer
Paul M. Colonna, Trustee, President and Chief Investment Officer – Fixed Income
Michael J. Cosgrove, Trustee, President of Mutual Funds and Global Investment Programs
Gregory B. Hartch, Trustee*, Senior Vice President – Strategy and Business Development Leader
Ralph R. Layman, Trustee, President and Chief Investment Officer – Public Equities
Maureen B. Mitchell, President of Global Sales and Marketing
Steve Rullo, Senior Vice President – Services and Technology
Matthew J. Simpson, Trustee, Executive Vice President, General Counsel and Secretary
Donald W. Torey, Trustee, President and Chief Investment Officer – Alternative Investments and Real Estate
David Wiederecht, Trustee, President and Chief Investment Officer – Investment Strategies
Tracie A. Winbigler, Trustee, Executive Vice President, Chief Financial Officer
* | Effective January, 2012 |
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New Online Service
Your Elfun Mutual Fund accounts can now be accessed on the Internet at
www.elfun.org.
Here are some of the benefits of our online service:
• View account balance and transaction history | • View and order tax forms | |
• Make exchanges | • View quarterly statements | |
• Redeem shares | • Change address | |
• Purchase shares | • Re-order money market checks |
Many more features will be added to the web site in the future for your convenience.
New Extended Telephone Service
Our Representatives at the Customer Service Center are available Monday to Friday from 8:30 AM to 8:00 PM Eastern Standard Time. Call toll-free, 1-800-242-0134, for assistance.
Automated Voice Response System
You can also access your account anytime during the day, 7 days a week by dialing 1-800-242-0134. Simply follow the menu to obtain information or make certain transactions.
Contact Us By Mail
If you’d like to write to us, address your inquiries regarding your account(s) to:
GE Mutual Funds
BNY Mellon Asset Servicing
P.O. Box 9838
Providence, RI 02940
We are continuing to upgrade a variety of services in order to give you the tools you need to manage your financial objectives. In the meantime, we welcome all your comments and suggestions.
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MORNINGSTAR RATINGS™
Through December 31, 2011
FUND (CATEGORY) | NUMBER OF FUNDS IN CATEGORY | STAR RATING | ||||||||||
Elfun International Equity — (Foreign Large Blend) | ||||||||||||
Overall | 853 | ![]() | ||||||||||
3 year | 741 | ![]() | ||||||||||
5 year | 567 | ![]() | ||||||||||
10 year | 317 | ![]() | ||||||||||
Elfun Trusts — (Large Growth) | ||||||||||||
Overall | 1748 | ![]() | ||||||||||
3 year | 1477 | ![]() | ||||||||||
5 year | 1279 | ![]() | ||||||||||
10 year | 804 | ![]() | ||||||||||
Elfun Diversified — (Moderate Allocation) | ||||||||||||
Overall | 1019 | ![]() | ||||||||||
3 year | 843 | ![]() | ||||||||||
5 year | 736 | ![]() | ||||||||||
10 year | 393 | ![]() | ||||||||||
Elfun Tax-Exempt Income — (Muni National Long) | ||||||||||||
Overall | 250 | ![]() | ||||||||||
3 year | 227 | ![]() | ||||||||||
5 year | 211 | ![]() | ||||||||||
10 year | 181 | ![]() | ||||||||||
Elfun Income — (Intermediate-Term Bond) | ||||||||||||
Overall | 1238 | ![]() | ||||||||||
3 year | 1017 | ![]() | ||||||||||
5 year | 872 | ![]() | ||||||||||
10 year | 582 | ![]() |
Morningstar is an independent fund rating company that seeks to provide a non-biased rating system used in making investment decisions. A fund is rated in its broad asset class on a scale of one to five stars through the evaluation of the historical balance of risk and return after 3 years of performance.
Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top ten percent of the funds in each category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The ratings are subject to change every month. The overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten year (if applicable) Morningstar Rating metrics.
Investment return and principal value of an investment will fluctuate and you may have a gain or loss when you sell your shares. Returns assume changes in share price and reinvestment of dividends and capital gains.
Past performance is no guarantee of future results.
This does not constitute a part of the Funds’ Shareholder Report
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Elfun Funds
1600 Summer Street
Stamford, CT 06905
Distributor
GE Investment Distributors Inc.
Member FINRA and SIPC
1600 Summer Street
P.O. Box 7900
Stamford, CT 06904-7900
www.gefunds.com/elfun
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds’ website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC — information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov. |
![]() | ELF 1 (2/12) |
PRSRT STD
U.S. POSTAGE
PAID
Permit No. 1793
Lancaster, PA
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ITEM 2. | CODE OF ETHICS. |
Please refer to the Code of Ethics included in the following link:
www.ge.com/files/usa/en/commitment/social/integrity/downloads/english.pdf
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Trustees of the Registrant has determined that Donald W. Torey and Tracie Winbigler are designated as audit committee financial experts for the Funds; and further that it is the finding of the Board of Trustees that Mr. Torey and Ms. Winbigler qualify as audit committee financial experts. Each audit committee member is deemed to be an “interested person” of the Funds as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods were $18,576 in 2010 and $13,300 in 2011.
(b) AUDIT RELATED FEES. There were no fees billed by the Auditor for assurance and related services that were related to the performance of the audit for the Registrant during the Reporting Periods.
(c) TAX FEES. There were no fees billed for professional services rendered by the Auditor for tax compliance, tax advice or tax planning for the Registrant during the Reporting Periods.
(d) ALL OTHER FEES. There were no fees billed for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item for the Registrant during the Reporting Periods.
(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.
The Audit Committee of the Elfun Funds (the “Funds”) Board of Trustees is responsible, among other things, for the appointment, compensation and oversight of the work of the Fund’s independent accountants/auditors (the “Auditor”). As part of this responsibility and to ensure that the Auditor’s independence is not impaired, the Audit Committee (1) pre-approves the audit and non-audit services provided to the Funds by the Auditor, and (2) all non-audit services provided to the Funds’ investment adviser and covered affiliates (as defined in the Audit Committee Charter) that provide ongoing services to the Funds if the services directly impact the Funds’ operations or financial reporting, in accordance with the Audit Committee Charter. Following are excerpts from the Audit Committee Charter that sets forth the pre-approval policies and procedures:
1. Selection and Pre-Approval of Auditor and Approval of Fees.
(i) The Audit Committee shall pre-approve the selection of the Auditor and shall recommend for ratification the selection, retention or termination of the Auditor by the full Board, including the independent Trustees/Directors, and, in connection therewith, shall evaluate the independence of the Auditor, including: (i) an evaluation of whether the Auditor provides any consulting services to the Fund’s investment adviser and the extent to which the Auditor provides non-audit services to the Fund’s investment adviser and certain other affiliated service providers as defined in Section 2(f) below, which servicesare not subject to the pre-approval requirements set forth in Section 4 below; (ii) an evaluation of the extent to which the Auditor has any relationships with the Fund or its affiliated persons that are brought to the attention of the Audit Committee by the Auditor in accordance with applicable standards of the Independence Standards Board (“ISB”), because, in the Auditor’s professional judgment, such relationships may reasonably be thought to bear on the Auditor’s independence with respect to the Fund; and (iii) monitoring the Auditor’s compliance with respect to the rotation requirements for the lead and coordinating partners having primary responsibility for the Fund’s audits and any partner responsible for the reviewing the Fund’s audits. The Audit Committee shall review the Auditor’s specific representations as to its independence.
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(b) The Audit Committee shall pre-approve and review the fees charged by the Auditor for audit and non-audit services to be provided to the Fund and certain affiliated service providers (as defined in Section 2(f) below) in accordance with the pre-approval requirements set forth in Section 4 below. The Fund shall provide for appropriate funding, as determined by the Audit Committee, to compensate the Auditor for any authorized service provided to the Fund.
2. Meetings with the Auditor. The Audit Committee shall meet with the Auditor, including private meetings, prior to the commencement of substantial work on the audit and following the conclusion of the audit, as well as such other times as the Audit Committee shall deem necessary or appropriate. The Auditor shall report directly to the Audit Committee. The Auditor shall report at least annually, concerning the following and other pertinent matters:
(a) to review the arrangements for and scope of the annual audit and any special audits;
(b) to provide the Auditor the opportunity to report to the Audit Committee, on a timely basis, all critical accounting policies and practices to be used;
(c) to discuss any matters of concern relating to the Fund’s financial statements, including: (i) any adjustments to such statements recommended by the Auditor, or other results of said audit(s), and (ii) any alternative treatments of financial information within GAAP that have been discussed with Fund management, the ramifications of the use of such alternative disclosures and treatments, and the treatment preferred by the Auditor;
(d) to provide the Auditor the opportunity to report to the Audit Committee, on a timely basis, any material written communication between the Auditor and Fund management, such as any management letter or schedule of unadjusted differences;
(e) to discuss the opinion the Auditor has rendered regarding the Fund’s financial statements;
(f) to report all non-audit services that do not require Audit Committee pre-approval and are provided to certain affiliated persons of the Fund, including: (1) the Fund’s investment adviser or sub-advisers (but excluding any investment sub-adviser whose role is primarily portfolio management and is overseen by the investment adviser), (2) the Fund’s principal underwriter, and (3) any entity controlling, controlled by, or under common control with the investment adviser or principal underwriter, that provides “ongoing” services to the Funds in accordance with the pre-approval requirements of paragraph (c)(7)(i) of Rule 2-01 of Regulation S-X (each, a “Covered Affiliate” and collectively, “Covered Affiliates”);
(g) to review, in accordance with current standards of ISB, all relationships between the Auditor and the Fund or its affiliated persons that, in the Auditor’s professional judgment, may reasonably be thought to bear on its independence, and to confirm, in light of such information, whether the Auditor believes, in its professional judgment, that it may properly serve as independent accountants/auditors with respect to the Fund;
(h) to consider the Auditor’s comments with respect to the Fund’s financial policies, procedures and internal accounting controls and responses thereto by the Fund’s officers and Fund management, as well as other personnel;
(i) to investigate any improprieties or suspected improprieties in the operations of the Fund to the extent necessary or appropriate in light of any internal investigations by the Fund’s officers and/or by officers or employees of the Fund management of such improprieties;
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(j) to receive periodic reports concerning regulatory changes and new accounting pronouncements that significantly affect the value of the Fund’s assets and their financial reporting;
(k) to report on the Fund’s qualification under Subchapter M of the Internal Revenue Code, amounts distributed and reported to shareholders for Federal tax purposes and the Fund’s tax returns; and
(l) to provide the Auditor the opportunity to report on any other matter that the Auditor deems necessary or appropriate to discuss with the Audit Committee.
If the Auditor’s report on the above-listed (and other pertinent) matters is not made in person to the Audit Committee within 60 days following the end of the Fund’s fiscal year, the Auditor shall deliver a written report to the Audit Committee concerning these matters within such 60 day period.
3. Change in Accounting Principles. The Audit Committee shall consider the effect upon the Fund of any changes in accounting principles or practices proposed by the Auditor or the Fund’s officers.
4. Pre-Approval of Audit Related Services and Permissible Non-Audit Services. The Audit Committee shall pre-approve both audit (including audit, review, and attest) services and permissible non-audit services provided to the Fund and, if the nature of the engagement relates directly to the operations and financial reporting of the Fund, permissible non-audit services provided to any Covered Affiliate.
The Audit Committee may determine to delegate the authority to grant pre-approvals to one or more Audit Committee members, each acting on behalf of the Audit Committee. In this event, the member of the Audit Committee so
delegated shall report each delegated pre-approval to the Audit Committee at its next regularly scheduled meeting. The Audit Committee may also adopt and follow, in lieu of explicit pre-approval described above, written policies and procedures detailed as to the particular service, designed to safeguard the continued independence of the Auditor, consistent with the requirements of the Act and SEC regulations there under.
Notwithstanding the foregoing, the pre-approval requirement concerning permissible non-audit services provided to the Fund or any Covered Affiliate is waived if: (1) the aggregate amount of all such non-audit services provided constitutes no more than five percent (5%) of the total amount of revenues paid to the Auditor by the Fund and the Covered Affiliates during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee, (2) the non-audit services were not recognized as non-audit services at the time of the engagement, and (3) such non-audit services are promptly brought to the attention of the Audit Committee and approved by the Audit Committee or one or more designated members of the Audit Committee prior to the completion of the audit.
5. Prohibited Activities of the Auditor. The Audit Committee shall confirm with the Auditor that it is not performing contemporaneously (during the audit and professional engagement period) non-audit services for the Fund that the Audit Committee believes may taint the independence of the Auditor. The Auditor will be responsible for informing the Audit Committee of whether it believes that a particular non-audit service is permissible or prohibited pursuant to applicable regulations and standards.
(2) PERCENTAGE OF SERVICES IN PARAGRAPHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during 2010 or 2011 for audit related, tax or other services as indicated in sections (b) through (d) of this Item.
(f) Not applicable.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $0 in 2010 and $0 in 2011.
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(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to Service Affiliates that were not pre-approved.
ITEM 5. | Audit Committee of Listed Registrants |
The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). The Registrants audit committee members are: Donald W. Torey and Tracie Winbigler.
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) Attached hereto as exhibit 3 is the company’s Code of Ethics.
(b) Attached hereto as Exhibit 1 and Exhibit 2 are the Certifications of Dmitri L. Stockton and Arthur A. Jensen as principal executive officer and principal financial officer, respectively of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)).
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Elfun Money Market Fund
By: | /S/ DMITRI L. STOCKTON | |
Dmitri L. Stockton | ||
Trustee, President and Chief Executive Officer GE Asset Management Incorporated | ||
Date: | February 24, 2012 |
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/ DMITRI L. STOCKTON | |
Dmitri L. Stockton | ||
Trustee, President and Chief Executive Officer GE Asset Management Incorporated | ||
Date: | February 24, 2012 | |
By: | /S/ ARTHUR A. JENSEN | |
Arthur A. Jensen | ||
Treasurer, Elfun Funds | ||
Date: | February 24, 2012 |
Table of Contents
EXHIBIT INDEX
(a) Attached hereto as exhibit 3 is the company’s Code of Ethics.
(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.