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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
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Elfun Money Market Fund
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(Exact name of registrant as specified in charter)
3001, SUMMER STREET,STAMFORD, CONNECTICUT, 06905
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(Address of principal executive offices) (Zip code)
GE ASSET MANAGEMENT INC,3001, SUMMER STREET,STAMFORD,CONNECTICUT, 06905
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(Name and address of agent for service)
Registrant"s telephone number, including area code: 800-242-0134
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Date of fiscal year end: 12/31
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Date of reporting period: : 12/31/09
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ITEM 1. REPORTS TO STOCKHOLDERS.
Elfun Funds
Annual Report
December 31, 2009
[LOGO]
[GRAPHIC]
NOTES TO PERFORMANCE........................................ 1
MANAGER REVIEWS AND SCHEDULES OF INVESTMENTS
ELFUN INTERNATIONAL EQUITY FUND.......................... 2
ELFUN TRUSTS............................................. 10
ELFUN DIVERSIFIED FUND................................... 16
ELFUN TAX-EXEMPT INCOME FUND............................. 42
ELFUN INCOME FUND........................................ 55
ELFUN MONEY MARKET FUND.................................. 71
NOTES TO SCHEDULES OF INVESTMENTS........................... 77
FINANCIAL STATEMENTS
Financial Highlights....................................... 79
Statements of Assets and Liabilities....................... 82
Statements of Operations................................... 84
Statements of Changes in Net Assets........................ 86
Notes to Financial Statements.............................. 88
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM..... 102
TAX INFORMATION............................................. 103
ADVISORY AGREEMENT RENEWAL.................................. 104
ADDITIONAL INFORMATION...................................... 107
INVESTMENT TEAM............................................. 110
SHAREHOLDER SERVICES........................................ 113
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This report has been prepared for shareholders and may be distributed to others
only if preceded or accompanied by a current prospectus.
[GRAPHIC]
Information on the following performance pages relating to the Elfun Funds' one
year total return and Schedule of Investments is audited. All other
information, including the portfolio manager Q&A pages, is unaudited.
Total returns take into account changes in share price and assume reinvestment
of all dividends and capital gains distributions, if any.
The performance data quoted represent past performance; past performance does
not guarantee future results. Investment return and principal value will
fluctuate so your shares, when redeemed, may be worth more or less than their
original cost. Current performance may be higher or lower than the performance
data quoted. Periods less than one year are not annualized. Please call
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(R)
Composite Price Index of stocks (S&P 500 Index), Morgan Stanley Capital
International Europe, Australasia, Far East Index (MSCI EAFE Index), Barclays
Capital U.S. Aggregate Bond Index and the Barclays Capital U.S. Municipal Bond
Index are unmanaged indices and do not reflect the actual cost of investing in
the instruments that comprise each index.
S&P 500 Index is an unmanaged, market capitalization-weighted index of stocks
of 500 large U.S. companies, which is widely used as a measure of large-cap
stock market performance. MSCI(R) EAFE(R) Index is a market
capitalization-weighted index of equity securities of companies domiciled in
various countries. The Index is designed to represent the performance of
developed stock markets outside the U.S. and Canada and excludes certain market
segments unavailable to U.S. based investors. Barclays Capital U.S. Aggregate
Bond Index is a market value-weighted index of taxable investment-grade debt
issues, including government, corporate, asset-backed and mortgage-backed
securities, with maturities of one year or more. This index is designed to
represent the performance of the U.S. investment-grade first-rate bond market.
Barclays Capital U.S. Municipal Bond Index is an unmanaged index comprised of
investment-grade, fixed rate securities with maturities of at least eight years
and less than twelve years.
The 90 Day T-Bill is an unmanaged measure/index of the performance of U.S.
Treasury bills currently available in the marketplace having a remaining
maturity of 90 days.
The results shown for the foregoing indices assume the reinvestment of net
dividends or interest.
The peer universe of funds used in our peer ranking calculation is based on the
blend of Lipper peer categories, as shown. This blend is the same as the
category blend used by the Wall Street Journal (except for the Elfun
Diversified Fund for which we use the specific Lipper peer group and the Elfun
Money Market Fund which is not in the Wall Street Journal). The actual number
of funds and numerical rankings in the Lipper and Wall Street Journal universes
could differ since the Wall Street Journal excludes certain funds which do not
meet their net asset or shareholder publication thresholds. Lipper is an
independent mutual fund rating service. A Fund's performance may be compared to
or ranked within a universe of mutual funds with investment objectives and
policies similar but not necessarily identical to the Fund's. Such comparisons
or rankings are made on the basis of several factors, including the Fund's
objectives and policies, management style and strategy, and portfolio
composition, and may change over time if any of those factors change. Lipper is
an independent mutual fund rating service.
- -------------
GE Investment Distributors, Inc., Member of FINRA & SIPC, 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.
1
[GRAPHIC]
[PHOTO]
Ralph R. Layman
The Elfun International Equity Fund is managed by a team of portfolio managers
that includes Brian Hopkinson, Ralph R. Layman (pictured to the left), Paul
Nestro, Jonathan L. Passmore and Michael J. Solecki. As lead portfolio manager
for the Fund, Mr. Layman oversees the entire team and assigns a portion of the
Fund to each manager, including himself. Each portfolio manager is limited to
the management of his or her portion of the Fund, the size of the portion which
Mr. Layman determines on an annual basis. The portfolio managers do not operate
independently of each other, rather, the team operates collaboratively,
communicating purchases or sales of securities on behalf of the Fund. See
portfolio managers' biographical information beginning on page 109.
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,
2009?
A.For the twelve-month period ended December 31, 2009, the Elfun International
Equity Fund returned 27.69%. The MSCI EAFE Index, the Fund's benchmark,
returned 31.78% and the Fund's Morningstar peer group of 827 Foreign Large
Blend funds returned an average of 30.91% for the same period.
Q.WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE?
A.For the first ten weeks of the year, markets fell at a faster rate than what
was experienced in 2008. However, evidence that world governments were
prepared to use all available tools to support the global economy prompted a
refocus on valuations but also on survivability. Massive cash on the
sidelines supported a turnaround in market sentiment while second and third
quarter earnings beat modest expectations. The fear of being short replaced
the fear of being long, and bond yields offered little by way of competition
to under-owned stocks.
Q.WHAT DOMESTIC OR WORLD EVENTS HAD A MAJOR IMPACT ON THE FINANCIAL MARKETS?
A.Fears of systemic financial sector failure drove sentiment at the beginning
of the year but the authorities were determined to prevent such a collapse.
Anecdotal evidence of restocking of depleted inventories and proof that
companies could still be profitable started the recovery. China and India
avoiding recession provided a destination for investment funds and markets
for companies with infrastructure goods and services to sell. As the year
progressed, purchasing manager surveys, confidence indicators and GDP
forecasts all improved although in uneven fashion. The U.S. dollar weakened,
providing support for commodities and boosting emerging markets.
Q.WHICH STOCKS AND SECTORS SIGNIFICANTLY AFFECTED FUND PERFORMANCE?
A.The bulk of the negative attribution came from holdings in financials, most
notably in Japan. Picked for their defensive
2
[GRAPHIC]
qualities, Japan's banks (MUFG, Yokohama) and other financials (Nomura
Holdings, Mitsubishi Estate) proved only too vulnerable to the weakness of
the local economy and market. Also, an underweight in cyclical discretionary
stocks, and an overweight in defensive staples underperformed in the recovery.
Positive attribution came from holdings in energy (Paladin Resources,
Petrobras) boosted by higher prices, telecom stocks for their defensive
qualities, and utilities, a significant underweight in the Fund.
Q.DID THE WEIGHTINGS/COUNTRY ALLOCATIONS OF THE FUND CHANGE? WHY?
A.The overweight in consumer staples was reduced, based on weakening
fundamentals and achievement of valuation targets. Similarly the underweight
in consumer discretionary was reduced as company fundamentals (in autos and
retail) screened better under our investment approach. The materials weight
(including basic resources) increased to overweight based on commodity price
gains driven by China growth and the overall cash weight declined as
conviction improved regarding the global outlook.
The weight in emerging markets increased as the China growth story created a
ripple effect in both Asia and some of the resource supplier nations in the
developing world.
Q.WHAT WERE THE MAJOR BUYS AND SELLS FOR THE PERIOD AND WHY?
A.Several new holdings were added to the Fund's portfolio including HSBC
Holdings and Deutsche Boerse under the improving climate for financial stocks
that may benefit from stricter regulation. Also, Yamada Denki (retail),
Suzuki (autos) and Nomura Holdings (banking) were added in Japan for their
attractive valuations and ability to perform in any local recovery.
Eliminations and trims included East Japan Rail and Nintendo for
deteriorating fundamentals and Vodafone Group (UK) for its inability to
convert its widespread operational depth to meaningful improvements in cash
earnings growth.
3
[GRAPHIC]
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur ongoing expenses, which 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 each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the
entire six-month period ended December 31, 2009.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the
period. To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. You may use this information to compare the ongoing costs
of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholders reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2009 - DECEMBER 31, 2009
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ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
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Actual Fund Return** 1,000.00 1,203.72 1.56
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Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,023.52 1.43
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*Expenses are equal to the Fund's annualized expense ratio of 0.28% (for the
period between July 1, 2009 - December 31, 2009), multiplied by the average
account value over the period, multiplied by 184/365 (to reflect the
six-month period).
**Actual Fund Return for the six-month period ended December 31, 2009 was:
20.37%.
4
[GRAPHIC]
CHANGE IN VALUE OF A $10,000 INVESTMENT
[CHART]
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2009
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FIVE TEN
ONE YEAR YEAR YEAR
- -----------------------------------------
Elfun International
Equity Fund 27.69% 5.89% 2.61%
MSCI EAFE Index 31.78% 3.54% 1.15%
[GRAPHIC]
INVESTMENT PROFILE
A Mutual Fund designed for investors who seek long-term growth of capital and
future income by investing principally in foreign securities consistent with
prudent investment management and the preservation of capital. The Fund invests
at least 80% of its net assets under normal circumstances in common and
preferred stocks and other types of equity securities. The Fund invests
primarily (meaning at least 65%) in equity securities of companies located in
developed and emerging market countries outside the United States.
MORNINGSTAR PERFORMANCE COMPARISON
US OE Foreign Large Blend Peer Group
Based on average annual returns
for periods ended 12/31/09
ONE FIVE TEN
YEAR YEAR YEAR
Fund's Rank in peer group.............. 559 78 43
Number of funds in peer group.......... 827 462 249
Peer group average annual total return. 30.91% 3.42% 0.13%
Morningstar Category in peer group: Foreign Large Blend
TOP TEN LARGEST HOLDINGS
AS OF DECEMBER 31, 2009
AS A % OF MARKET VALUE
- --------------------------------------------------------------------------------
Roche Holding AG 3.38%
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Nomura Holdings Inc. 2.91%
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Nestle S.A. (Regd.) 2.84%
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BNP Paribas 2.82%
- -----------------------------------
Banco Santander S.A. (Regd.) 2.65%
- -----------------------------------
HSBC Holdings PLC 2.51%
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Reckitt Benckiser Group PLC 2.36%
- -----------------------------------
Rio Tinto PLC (Regd.) 2.01%
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Bayer AG 1.99%
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BHP Billiton PLC 1.97%
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SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF MORNINGSTAR PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND
DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
5
ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
ELFUN INTERNATIONAL EQUITY FUND
Portfolio Composition as a % of the Market Value of $300,309 as of December 31,
2009.
[CHART]
NUMBER
OF SHARES VALUE
COMMON STOCK -- 99.0%+
---------------------------------------------------------------
AUSTRALIA -- 2.5%
Brambles Ltd................. 729,036 $ 4,427
Paladin Energy Ltd........... 467,770 1,748 /(a)/
Telstra Corporation Ltd...... 407,004 1,253
7,428
BRAZIL -- 2.6%
Banco Santander Brasil S.A... 188,200 2,580
Petroleo Brasileiro S.A. ADR. 60,701 2,573
Vale S.A..................... 113,023 2,805
7,958
CANADA -- 3.3%
Kinross Gold Corp............ 57,912 1,070
Potash Corp of Saskatchewan
Inc......................... 45,156 4,927
Research In Motion Ltd....... 36,542 2,476 /(a)/
Suncor Energy Inc............ 41,274 1,465
9,938
NUMBER
OF SHARES VALUE
CHILE -- 0.3%
Sociedad Quimica y Minera de
Chile S.A. ADR (Series B)..... 25,505 $ 958
CHINA -- 0.9%
China Mobile Ltd............... 132,191 1,230
China South Locomotive and
Rolling Stock Corp............ 2,151,155 1,571
2,801
DENMARK -- 0.5%
A P Moller -- Maersk A/S
(Series B).................... 80 563
G4S PLC........................ 199,968 836
1,399
FINLAND -- 0.4%
Nokia Oyj...................... 100,301 1,298
FRANCE -- 14.1%
Alstom S.A..................... 8,083 566
AXA S.A........................ 111,906 2,630
BNP Paribas.................... 106,581 8,461
Cie Generale d'Optique Essilor
International S.A............. 84,599 5,064
Credit Agricole S.A............ 259,671 4,561
Groupe Danone.................. 55,950 3,433
Schneider Electric S.A......... 19,321 2,248
Total S.A...................... 82,934 5,331
Veolia Environnement........... 109,071 3,598
Vinci S.A...................... 40,330 2,271
Vivendi........................ 147,800 4,390
42,553
GERMANY -- 10.0%
Adidas AG...................... 49,291 2,672
Bayer AG....................... 74,597 5,975
Daimler AG (Regd.)............. 31,170 1,662
Deutsche Boerse AG............. 34,884 2,891
E.ON AG........................ 59,351 2,493
Linde AG....................... 35,496 4,280
Metro AG....................... 45,983 2,811
Siemens AG (Regd.)............. 63,439 5,827
ThyssenKrupp AG................ 36,575 1,376
29,987
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See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
6
ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
HONG KONG -- 0.9%
Esprit Holdings Ltd.......... 428,445 $ 2,842
INDIA -- 0.6%
Larsen & Toubro Ltd.......... 49,068 1,766
IRELAND -- 0.9%
CRH PLC...................... 102,564 2,806
ITALY -- 2.7%
ENI S.p.A.................... 112,874 2,877
Intesa Sanpaolo S.p.A........ 774,594 3,489
Saipem S.p.A................. 35,717 1,234
UniCredit S.p.A.............. 186,847 625
8,225
JAPAN -- 16.0%
Asahi Glass Company Ltd...... 75,000 714
Daiichi Sankyo Company Ltd... 66,400 1,393
Daikin Industries Ltd........ 31,000 1,225
Mitsubishi Corp.............. 56,000 1,395
Mitsubishi Estate
Company Ltd................. 232,946 3,721
Mitsubishi Heavy
Industries Ltd.............. 422,000 1,489
Mitsubishi UFJ Financial
Group Inc................... 1,133,869 5,588
Nomura Holdings Inc.......... 1,173,912 8,734
Shiseido Company Ltd......... 151,430 2,912
Sony Financial Holdings Inc.. 1,305 3,398 /(a)/
Sumitomo Metal
Industries Ltd.............. 1,317,923 3,544
Sumitomo Mitsui Financial
Group Inc................... 12,544 360
Suzuki Motor Corp............ 119,031 2,933
The Bank of Yokohama Ltd..... 473,007 2,158
Toyota Motor Corp............ 112,482 4,744
Yamada Denki Company Ltd..... 55,460 3,743
48,051
MEXICO -- 0.3%
America Movil SAB de C.V.
ADR (Series L).............. 19,675 924
NUMBER
OF SHARES VALUE
NETHERLANDS -- 2.7%
Heineken N.V.................... 37,792 $ 1,796
Koninklijke Ahold N.V........... 128,495 1,704
Koninklijke Philips
Electronics N.V................ 157,121 4,648
8,148
RUSSIA -- 0.6%
LUKOIL ADR...................... 10,794 618
Mobile Telesystems OJSC ADR..... 21,875 1,069
1,687
SINGAPORE -- 0.3%
CapitaLand Ltd.................. 331,500 984
SOUTH AFRICA -- 0.8%
MTN Group Ltd................... 156,750 2,500
SOUTH KOREA -- 1.9%
KB Financial Group Inc.......... 35,723 1,819 /(a)/
Samsung Electronics
Company Ltd.................... 5,610 3,847
5,666
SPAIN -- 4.7%
Banco Santander S.A. (Regd.).... 482,038 7,972 /(h)/
Iberdrola S.A................... 247,647 2,375
Telefonica S.A.................. 131,544 3,685
14,032
SWEDEN -- 0.7%
Hennes & Mauritz AB (Series B).. 29,933 1,663
Telefonaktiebolaget LM Ericsson
(Series B)..................... 37,064 342
2,005
SWITZERLAND -- 10.9%
ABB Ltd. (Regd.)................ 111,242 2,145 /(a)/
Credit Suisse Group AG (Regd.).. 59,451 2,947
Nestle S.A. (Regd.)............. 175,458 8,521
Novartis AG (Regd.)............. 71,456 3,905
Roche Holding AG................ 59,265 10,142
Syngenta AG..................... 11,032 3,118
Zurich Financial Services AG.... 9,131 1,998
32,776
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See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
7
ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
TAIWAN -- 1.6%
Taiwan Semiconductor
Manufacturing
Company Ltd.................... 2,029,400 $ 4,090
Taiwan Semiconductor
Manufacturing
Company Ltd. ADR............... 65,546 750
4,840
UNITED KINGDOM -- 18.8%
BG Group PLC.................... 189,902 3,428
BHP Billiton PLC................ 185,307 5,906 /(h)/
BP PLC.......................... 290,966 2,809
G4S PLC......................... 416,663 1,746
HSBC Holdings PLC............... 662,052 7,551
Lloyds Banking Group PLC........ 4,358,017 3,506
National Grid PLC............... 491,761 5,366
Prudential PLC.................. 442,365 4,527
Reckitt Benckiser Group PLC..... 130,713 7,074
Rio Tinto PLC (Regd.)........... 111,855 6,038
Tesco PLC....................... 705,419 4,865
The Capita Group PLC............ 60,532 732
Vodafone Group PLC.............. 1,272,332 2,946
56,494
TOTAL COMMON STOCK
(COST $280,131)................ 298,066
--------------------------------------------------------------------
OTHER INVESTMENTS -- 0.0%*
--------------------------------------------------------------------
GEI Investment Fund
(COST $131).................... 100 /(k)/
TOTAL INVESTMENTS IN SECURITIES
(COST $280,262)................ 298,166
--------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.7%
--------------------------------------------------------------------
GE Money Market Fund Institutional Class
0.01%........................... 2,143 /(d,p)/
(COST $2,143)
VALUE
TOTAL INVESTMENTS
(COST $282,405).............. $ 300,309
OTHER ASSETS AND LIABILITIES,
NET -- 0.3%.................. 1,023
---------
NET ASSETS -- 100.0%.......... $ 301,332
=========
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
The Elfun International Equity had the following long futures contracts open at
December 31, 2009:
NUMBER CURRENT
EXPIRATION OF NOTIONAL UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE APPRECIATION
- -----------------------------------------------------------
DJ Euro Stoxx
50 Index
Futures March 2010 8 $341 $ 6
FTSE 100 Index
Futures March 2010 2 173 3
Topix Index
Futures March 2010 2 194 2
-----
$ 11
=====
The Elfun International Equity was invested in the following industries at
December 31, 2009: (unaudited)
INDUSTRIES PERCENTAGE (BASED ON MARKET VALUE)
- -------------------------------------------------
Commercial Banks 16.21%
Pharmaceuticals 7.13%
Oil, Gas & Consumable Fuels 6.94%
Metals & Mining 6.91%
Chemicals 4.42%
Insurance 4.18%
Food Products 3.98%
Capital Markets 3.89%
Industrial Conglomerates 3.49%
Food & Staples Retailing 3.12%
Automobiles 3.11%
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
8
ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
Multi-Utilities 2.99%
Semiconductors & Semiconductor Equipment 2.89
Wireless Telecommunication Services 2.89%
Specialty Retail 2.75%
Household Products 2.36%
Commercial Services & Supplies 2.33%
Healthcare Equipment & Supplies 1.69%
Electrical Equipment 1.65%
Diversified Telecommunication Services 1.64%
Electric Utilities 1.62%
Real Estate Management & Development 1.57%
Media 1.46%
Communications Equipment 1.37%
Construction & Engineering 1.34%
Machinery 1.02%
Personal Products 0.97%
Diversified Financial Services 0.96%
Construction Materials 0.93%
Textiles Apparel & Luxury Goods 0.89%
Short-Term 0.71%
Building Products 0.65%
Beverages 0.60%
Trading Companies & Distributors 0.47%
Energy Equipment & Services 0.41%
Professional Services 0.24%
Marine 0.19%
Other Investments 0.03%
--------
100.00%
========
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
9
[GRAPHIC]
[GRAPHIC]
David B. Carlson
The Elfun Trusts is managed by David B. Carlson. See portfolio managers'
biographical information beginning on page 109.
Q.HOW DID THE ELFUN TRUSTS PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR
PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009?
A.For the twelve-month period ended December 31, 2009, the Elfun Trusts
returned 33.62%. The S&P 500 Index, the Fund's benchmark, returned 26.46% and
the Fund's Morningstar peer group of 1,793 U.S. Large-Cap Growth funds
returned an average of 35.22% for the same period.
Q.WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE?
A.It was another volatile year as stocks fell sharply in the first quarter,
bottomed in early March, and rose for the balance of the year. Despite the
strong year, the major averages are still below the highs set in October 2007.
Sector allocation was more differentiated last year as only three sectors
(out of ten) outperformed the S&P 500 in 2009: technology (+62%), materials
(+49%), and consumer discretionary (+42%). The more defensive sectors lagged.
The growth style of investing outperformed the value style, with the
strongest returns among medium capitalization companies.
The financial sector was the most volatile, plunging in the first quarter and
then rocketing back in the balance of the year as the financial crisis
abated. For the year, the financial sector was up 17%. Technology was the
best performing sector for the year (+62%) and telecommunications was the
worst (+9%).
Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE?
A.Elfun Trusts outperformed the market due both to sector allocation
(overweighting the right sectors), and stock selection within sectors. In the
energy sector, our stocks were up 44% compared to a rise of 14% for the S&P
500 sector. Transocean (+75%) and Schlumberger (+56%) were the principle
contributors. In the financial sector, the portfolio was modestly
overweighted and our holdings were up 35% compared to a sector return of 17%.
CB Richard Ellis and Goldman Sachs were strong performers. The portfolio was
also overweighted in the consumer-discretionary sector, where our holdings
were up 44% compared to 41% return for the S&P 500 sector. Liberty Media was
the strongest performer (+94) in this sector. Late in the year, Liberty Media
merged with Direct TV, and we now have a position in Direct TV.
On the negative side, we were underweight in the materials sector which was
up 49% for the year. Our sole holding in this sector was Monsanto, which
gained 18%. In technology, we benefited from overweighting the sector, but
our holdings were "only" up 44% compared to a gain of 62% for the sector. Not
owning Apple and Google detracted from performance as both of
10
[GRAPHIC]
these stocks doubled in price last year. In healthcare, we were modestly
overweight and our holdings were up 17% versus a gain of 19% for the sector.
Our two biotech holdings, Amgen and Gilead, lagged the market.
Q.WERE THERE ANY SIGNIFICANT CHANGES IN THE FUND DURING THE YEAR?
A.We began the year with 49 stocks in the portfolio and ended the year with 51.
Once again, the turnover rate remained low at 8% for the year. We continue to
seek high quality, above-average growers and buy stocks with a long term time
horizon.
Technology remains the largest sector weight in the portfolio at 31%. The
appeal of technology is several fold: greater proportion of growth and
earnings outside the US, strong balance sheets and free cash flow generation,
long term growth in niche sectors such as wireless and internet.
The portfolio is also overweight in the consumer discretionary sector, with
the predominant exposure in the media and retail industries. We remain
underweighted in the utility, telecomm and staples sectors, primarily due to
the more modest growth expectations of these sectors.
Q.HOW IS THE FUND POSITIONED FOR THE YEAR AHEAD?
A.As we start the new year, it appears that the recession is over, the
financial crisis is over, and we are in the early stages of a gradual
recovery. But there are still plenty of macro issues to worry about; record
fiscal deficits, unsustainably low interest rates, new regulations for
certain industries, just to name a few. We are focused on finding companies
that can drive their growth in just about any macro-economic environment. We
look for global growth, such as Qualcomm's opportunity to sell wireless chips
in emerging markets. We look for innovation driven growth, such as Monsanto's
opportunity to sell genetically modified seeds around the world. We look for
financially strong companies that can drive growth both internally and
externally via acquisitions.
Over the last ten years, we have had two recessions and two rather severe
bear markets and the stock market is lower than it was ten years ago. One
silver lining in these clouds is a stock market trading at a valuation level
that's more compelling than it's been for many years. We are finding
attractive companies at reasonable valuations. We will continue to seek high
quality, well managed companies and hope that the next ten years will be
better than the last.
11
[GRAPHIC]
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur ongoing expenses, which 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 each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the
entire six-month period ended December 31, 2009.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the
period. To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. You may use this information to compare the ongoing costs
of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholders reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2009 - DECEMBER 31, 2009
-----------------------------------------------------------------------
ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
-----------------------------------------------------------------------
Actual Fund Return** 1,000.00 1,183.19 1.32
-----------------------------------------------------------------------
Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,023.72 1.22
-----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.24% (for the
period between July 1, 2009 - December 31, 2009), multiplied by the average
account value over the period, multiplied by 184/365 (to reflect the
six-month period).
**Actual Fund Return for the six-month period ended December 31, 2009 was:
18.32%.
12
[GRAPHIC]
CHANGE IN VALUE OF A $10,000 INVESTMENT
[CHART]
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2009
- --------------------------------------------------------------------------------
FIVE TEN
ONE YEAR YEAR YEAR
- ------------------------------------
Elfun Trusts 33.62% 0.94% 1.04%
S&P 500 Index 26.46% 0.42% -0.96%
[GRAPHIC]
INVESTMENT PROFILE
A Mutual Fund designed for investors who seek long-term growth of capital and
future income rather than current income by investing primarily in common and
preferred stocks and other types of equity securities of U.S. companies.
MORNINGSTAR PERFORMANCE COMPARISON
US OE Large Growth Peer Group
Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN
YEAR YEAR YEAR
Fund's rank in peer group.............. 971 691 87
Number of Funds in peer group.......... 1789 1270 694
Peer group average annual total return. 35.22% 0.63% -3.43%
Morningstar Category in peer group: Large Growth
TOP TEN LARGEST HOLDINGS
AS OF DECEMBER 31, 2009
AS A % OF MARKET VALUE
- --------------------------------------------------------------------------------
QUALCOMM Inc. 4.30%
- ----------------------------
The Western Union Co. 4.02%
- ----------------------------
Schlumberger Ltd. 3.97%
- ----------------------------
Intuit, Inc. 3.75%
- ----------------------------
Microsoft Corp. 3.72%
- ----------------------------
DIRECTV (Class A) 3.70%
- ----------------------------
PepsiCo, Inc. 3.63%
- ----------------------------
Amgen Inc. 3.62%
- ----------------------------
Dover Corp. 3.60%
- ----------------------------
Cisco Systems, Inc. 3.45%
- ----------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF MORNINGSTAR PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND
DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
13
ELFUN TRUSTS (dollars in thousands) -- December 31, 2009
[GRAPHIC]
ELFUN TRUSTS
Portfolio Composition as a % of the Market Value of $1,639,855 as of December
31, 2009.
[CHART]
NUMBER
OF SHARES VALUE
COMMON STOCK -- 98.5%+
---------------------------------------------------------
BEVERAGES -- 3.6%
PepsiCo, Inc.......... 980,000 $ 59,584
BIOTECHNOLOGY -- 4.1%
Amgen Inc............. 1,050,000 59,398 /(a)/
Gilead Sciences, Inc.. 170,000 7,358 /(a)/
66,756
CAPITAL MARKETS -- 5.5%
State Street Corp..... 1,190,000 51,813 /(e)/
The Goldman Sachs
Group, Inc........... 225,000 37,989
89,802
CHEMICALS -- 3.3%
Ecolab Inc............ 110,000 4,904
Monsanto Co........... 600,000 49,050
53,954
NUMBER
OF SHARES VALUE
COMMERCIAL SERVICES & SUPPLIES -- 1.1%
Iron Mountain Inc............. 580,000 $ 13,201 /(a)/
Ritchie Bros Auctioneers Inc.. 90,000 2,019
Stericycle, Inc............... 45,000 2,483 /(a)/
17,703
COMMUNICATIONS EQUIPMENT -- 9.4%
Cisco Systems, Inc............ 2,360,000 56,498 /(a)/
QUALCOMM Inc.................. 1,525,000 70,546
Research In Motion Ltd........ 390,000 26,341 /(a)/
153,385
DIVERSIFIED FINANCIAL SERVICES -- 3.5%
CME Group Inc................. 120,000 40,314
JPMorgan Chase & Co........... 390,000 16,251
56,565
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1%
Corning Inc................... 700,000 13,517
Molex Inc. (Class A).......... 1,100,000 21,043
34,560
ENERGY EQUIPMENT & SERVICES -- 6.7%
Schlumberger Ltd.............. 1,000,000 65,090
Transocean Ltd................ 530,000 43,884 /(a)/
108,974
FOOD PRODUCTS -- 0.2%
McCormick & Company Inc....... 110,000 3,974
HEALTHCARE EQUIPMENT & SUPPLIES -- 2.8%
Becton Dickinson & Co......... 130,000 10,252
DENTSPLY International Inc.... 60,000 2,110
Medtronic, Inc................ 770,000 33,865
46,227
HEALTHCARE PROVIDERS & SERVICES -- 4.0%
Express Scripts, Inc.......... 220,000 19,019 /(a)/
Lincare Holdings Inc.......... 980,000 36,378 /(a)/
VCA Antech, Inc............... 430,000 10,716 /(a)/
66,113
HOTELS RESTAURANTS & LEISURE -- 1.6%
Carnival Corp................. 830,000 26,303 /(a)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
14
ELFUN TRUSTS (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
INSURANCE -- 4.6%
AFLAC Inc....................... 700,000 $ 32,375
Alleghany Corp.................. 39,413 10,878 /(a)/
Berkshire Hathaway Inc.
(Class B)...................... 10,000 32,860 /(a)/
76,113
INTERNET SOFTWARE & SERVICES -- 2.5%
Baidu, Inc ADR.................. 37,000 15,215 /(a)/
eBay Inc........................ 1,125,000 26,483 /(a)/
41,698
IT SERVICES -- 9.2%
Automatic Data
Processing, Inc................ 520,000 22,266
Paychex, Inc.................... 1,170,000 35,849
The Western Union Co............ 3,500,000 65,975
Visa, Inc. (Class A)............ 310,000 27,113
151,203
MACHINERY -- 3.6%
Dover Corp...................... 1,420,000 59,086
MEDIA -- 8.9%
Comcast Corp. (Class A)......... 2,260,000 36,183
DIRECTV (Class A)............... 1,820,000 60,697 /(a)/
Liberty Global, Inc. (Series C). 2,250,000 49,162 /(a)/
146,042
OIL, GAS & CONSUMABLE FUELS -- 1.6%
Exxon Mobil Corp................ 290,000 19,775
Southwestern Energy Co.......... 120,000 5,784 /(a)/
25,559
PHARMACEUTICALS -- 4.6%
Abbott Laboratories............. 460,000 24,835
Bristol-Myers Squibb Co......... 750,000 18,937
Johnson & Johnson............... 500,000 32,205
75,977
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.5%
CB Richard Ellis Group, Inc.
(Class A)...................... 1,800,000 24,426 /(a)/
NUMBER
OF SHARES VALUE
SOFTWARE -- 7.5%
Intuit, Inc................... 2,000,000 $ 61,420 /(a)/
Microsoft Corp................ 2,000,000 60,980
122,400
SPECIALTY RETAIL -- 5.3%
Bed Bath & Beyond, Inc........ 1,300,000 50,219 /(a)/
Lowe's Companies, Inc......... 1,580,000 36,956
87,175
WIRELESS TELECOMMUNICATION SERVICES -- 1.3%
American Tower Corp.
(Class A).................... 500,000 21,605 /(a)/
TOTAL COMMON STOCK
(COST $1,343,555)............ 1,615,184
----------------------------------------------------------------
OTHER INVESTMENTS -- 0.0%*
----------------------------------------------------------------
GEI Investment Fund
(COST $603).................. 458 /(k)/
TOTAL INVESTMENTS IN
SECURITIES
(COST $1,344,158)............ 1,615,642
----------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.5%
----------------------------------------------------------------
GE Money Market Fund Institutional Class
0.01%......................... 24,213 /(d,p)/
(COST $24,213)
TOTAL INVESTMENTS
(COST $1,368,371)............ 1,639,855
OTHER ASSETS AND LIABILITIES,
NET -- 0.0%*................. 41
-----------
NET ASSETS -- 100.0%.......... $ 1,639,896
===========
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
15
[GRAPHIC]
[PHOTO]
Paul M. Colonna
[PHOTO]
Ralph R. Layman
[PHOTO]
Thomas R. Lincoln
[PHOTO]
Judith A. Studer
[PHOTO] Diane M. Wehner
Diane M. Wehner
The Elfun Diversified Fund is managed by a team of portfolio managers that
includes Paul M. Colonna, Ralph R. Layman, Thomas R. Lincoln, Judith A. Studer
and Diane M. Wehner. Ms. Studer is vested with oversight authority for
determining asset allocations for the Fund, while each of the other portfolio
managers is responsible for managing one of three sub-portfolios: U.S. equity,
U.S. mid-cap equity, international equity and fixed income. A sub-portfolio
refers to the portion of the Fund's assets that are allocated to, and managed
by, a particular portfolio manager on the Fund's portfolio management team.
Mr. Lincoln manages the U.S. equity portion, Ms. Wehner manages the U.S.
mid-cap equity portion, Mr. Layman manages the international equity portion and
Mr. Colonna manages the fixed income portion, each with a team of portfolio
managers and analysts. The sub-portfolios underlying this Fund are managed
independently of each other and the portfolio managers have full discretion
over their particular sub-portfolio; however, the portfolio management team is
collaborative to ensure strict adherence to the Fund's objectives. See
portfolio managers' biographical information beginning on page 109.
Q.HOW DID THE ELFUN DIVERSIFIED FUND PERFORM COMPARED TO ITS BENCHMARK AND
MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009?
A.For the twelve-month period ended December 31, 2009, the Elfun Diversified
Fund returned 22.13%. The Fund's broad based benchmarks, the S&P 500 Index
and the Barclays Capital U.S. Aggregate Bond Index, returned 26.46% and
5.93%, respectively. The Fund's Morningstar peer group of 1,177 US Moderate
Allocation funds returned an average of 24.04% for the same period.
Q.WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE AND WHAT WERE THE PRIMARY
DRIVERS OF FUND PERFORMANCE?
A.The performance of the Elfun Diversified Fund for the twelve-month period
ended December 31, 2009 was primarily driven by the Fund's equity
performance, its underweight position in fixed income, and an overweight in
cash. The Fund benefited from the Tactical Asset Allocation Committee's
decision to opportunistically increase equity exposure by reducing cash
throughout the last six months of the period.
The U.S. equity markets fell sharply through early March against a backdrop
of severe global economic recession, falling home prices, and the prospect of
huge losses by global financial institutions. After the U.S. government
passed a $790 billion stimulus bill and the Federal Reserve announced plans
to pump $1.25 trillion into the economy, the S&P 500 rallied 67% through
year-end off its March 9 intraday low. In addition to the unprecedented
fiscal and monetary stimulus, stocks were supported by earnings reports in
the second and third quarter that generally beat expectations, a pick-up in
corporate acquisition activity, and strong free cash flow as companies cut
capital spending and reduced their cost structures. Despite this strong
snap-back, the S&P 500 still remained 29% below the high it reached in
October 2007.
16
[GRAPHIC]
Sector allocation has been important in this environment, as only the
technology (+62%), materials (+49%), and consumer discretionary
(+42%) sectors outperformed the S&P 500 in 2009 while the more defensive
sectors lagged. In this context, the growth style of investing outperformed
the value style, with the strongest returns coming from medium capitalization
companies. Careful stock selection was warranted in the financials sector,
which plummeted 29% in the first quarter but advanced a whopping 140% off of
March lows, reflecting relief that the sector would remain intact. This was
reinforced by the fact that most large U.S. banks passed their stress tests
and credit markets strengthened. By year-end, several large commercial and
investment banks had reimbursed the U.S. Treasury for the government TARP
investments. Going forward, we do not expect the markets to simply reward
survivorship with performance since earnings estimate achievability should
matter more prospectively.
Strong stock selection among energy companies was a key driver of U.S. equity
performance, despite the fact that the sector overall showed lackluster
performance. Good stock selection in financials was also beneficial. One
theme for these holdings was financial strength and the ability to take
market share and emerge from the recession as a stronger competitor. A
beneficial underweight in the defensive consumer staples sector was another
driver to performance, as this group underperformed the market averages.
Consumer discretionary and technology were the only two sectors to detract
from relative performance this year.
We continued to seek large-cap, high quality companies that we felt had the
potential to survive and grow market share during the down-cycle and in a
gradual recovery. We maintained a consistent emphasis on companies with
strong balance sheets and earnings stability, over more cyclical or leveraged
opportunities. We took advantage of relative underperformance in high-quality
brand-name companies, to add several new positions during the year. We
reduced our holdings in technology and several semiconductor companies
although technology remained the largest sector position within U.S. equity.
We took advantage of relative weakness in energy to boost our exposure to
that sector, which we believe faces tremendous long-term supply-demand
imbalances. At year-end, the largest U.S. equity overweights were in
technology, healthcare, and financials, and the largest underweights were in
consumer staples, industrials, and utilities.
Valuations for many companies remain attractive, even after the strong
rebound from March through year-end. While lower quality companies
outperformed during the rally, we believe any future market rally will be
dominated by outperformance by market share winners with strong balance
sheets and management teams. Amid rapidly changing market conditions we have
maintained our bottom-up stock selection approach with focus on a long-term
investment horizon.
Mid-cap equities outperformed during this period, largely due to solid stock
selection within the information technology, financials, consumer staples,
and consumer discretionary sectors. The overweight in information technology,
the best performing sector during the year, was additive to performance. The
underweight in the underperforming financials sector was also beneficial.
While mid-cap equities benefited from sizable exposure to the healthcare
sector, which outperformed the market, performance of some individual stocks
suffered from company specific
17
[GRAPHIC]
issues, which more than offset the benefit of being exposed to this
relatively defensive growth industry. During the period we increased the
mid-cap equity weighting in the financials, consumer discretionary, and
materials sectors, and we reduced our exposure to consumer staples, and
healthcare sectors. We are focused on investing in attractively valued
companies with strong balance sheets, experienced management teams, solid
earnings prospects, leading market shares, and superior long-term
fundamentals. With an emphasis on growth, we continue to look to invest in
innovative companies that provide prospects for above-average earnings
growth. Therefore, healthcare and information technology companies represent
a meaningful percentage of our holdings.
For the first ten weeks of the year, international equity markets fell at a
faster rate than experienced in 2008 as fears of systemic financial sector
failure drove sentiment. However, evidence that world governments were
prepared to use all available tools to prevent such a collapse and to support
the global economy prompted a refocus on valuations and survivability.
Massive cash on the sidelines supported a turnaround in market sentiment
while second and third quarter earnings beat modest expectations. The fear of
being short replaced the fear of being long and bond yields offered little by
way of competition to under-owned stocks.
Anecdotal evidence of restocking of depleted inventories and proof that
companies could still be profitable started the recovery. China and India
avoiding recession provided a destination for investment funds and markets
for companies with infrastructure goods and services to sell. As the year
progressed, purchasing manager surveys, confidence indicators, and GDP
forecasts all improved although in uneven fashion. The U.S. dollar weakened,
providing support for commodities and boosting emerging markets.
The bulk of the negative attribution came from holdings in financials, most
notably in Japan. Picked for their defensive qualities, Japan's banks and
other financials proved only too vulnerable to the weakness of the local
economy and market. Also, an underweight in cyclical discretionary stocks and
an overweight in defensive staples underperformed in the recovery. Positive
attribution came from holdings in energy boosted by higher prices, telecom
stocks for their defensive qualities, and utilities which was a significant
underweight in the portfolio.
The overweight in consumer staples was reduced, based on weakening
fundamentals and achievement of valuation targets. Similarly the underweight
in consumer discretionary was reduced as company fundamentals in autos and
retail screened better under our investment approach. Materials were
increased to overweight based on commodity price gains driven by China
growth, and the overall cash weight declined as conviction improved regarding
the global outlook. The weight in emerging markets increased as the China
growth story created a ripple effect in both Asia and some of the resource
supplier nations in the developing world.
Financial markets rallied strongly beginning in March 2009 as policymakers
around the world kept the liquidity pump primed and the global economy began
recovering from the recession in 2008. GDP growth in the U.S. turned positive
in the third quarter, while unemployment continued to rise, ending the year
at 10%. The U.S. lost over 4 million jobs in 2009 according to the Bureau of
Labor Statistics. Government support programs targeting the auto and housing
industries created
18
[GRAPHIC]
demand which boosted second half growth. Central banks around the globe kept
interest rates low throughout the year. The Federal Reserve held its federal
funds target at 0% - 0.25% and finished the year with a balance sheet over
$2.2 trillion, 2 1/2 times its size prior to the financial crisis in August
2007. In its final meeting in December, the FOMC stated that economic
conditions are likely to warrant exceptionally low levels of the federal
funds rate for an extended period. Quantitative easing measures including the
purchase of $1.25 trillion of agency mortgage-backed securities (MBS) and
$175 billion of agency debt are scheduled to wind down early in 2010 along
with many of the special liquidity facilities given the improvement in
financial markets.
The improving fundamental backdrop created a performance environment in which
the non-government related issues, corporate, commercial MBS, and
asset-backed securities, outperformed U.S. government securities including
agency mortgage-backed securities. Interest rates rose across the maturity
spectrum in 2009 producing negative total returns for U.S. treasuries.
Default expectations tumbled as economic activity recovered and credit
spreads collapsed from March highs. Lower quality credit rewarded investors
with outsized returns. The high yield market returned over 58% compared to
high-grade credit which gained just over 16%. Commercial mortgage-backed and
asset-backed securities also performed strongly, up 28.5% and 24.7%,
respectively, with help from the Term Asset-Backed Loan Facility (TALF)
program.
The primary drivers of fixed income performance in 2009 were sector
allocation and duration positioning. The allocation to high yield and
emerging market debt had a large positive impact on total return as those two
sectors far outpaced the return of the benchmark. Overweight positions in
high-grade credit and commercial MBS during the second half of the year also
contributed positively as yield spreads narrowed. Duration positioning added
to relative return, particularly in December, when interest rates rose and
the duration of the fixed income portfolio was short relative to the
benchmark.
Q.WERE THERE ANY SIGNIFICANT CHANGES TO THE FUND DURING THE PERIOD?
A.During the first part of the year, we lowered the Fund's exposure to U.S.
large-cap growth equity and international equity and increased its exposure
to cash. This defensive positioning helped to dampen volatility and preserve
capital. During the second half of this period, we lowered the Fund's
exposure to cash, fixed income, and large-cap growth equity and increased its
exposure to small-cap, mid-cap, and large-cap core U.S. equity as well as
international and emerging markets equity to take advantage of market
opportunities. At the end of the period, the Fund was overweight equities and
underweight fixed income.
19
[GRAPHIC]
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur transaction and ongoing expenses.
Transaction expenses including sales charges on purchase payments, reinvested
dividends (or other distributions), and redemption fees directly reduce the
investment return of the Fund. Ongoing costs include portfolio management fees,
distribution and service fees, professional fees, administrative fees and other
Fund expenses. The following example is intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors in each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the
entire six-month period ended December 31, 2009.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the
period. To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. You may use this information to compare the ongoing costs
of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholders reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2009 - DECEMBER 31, 2009
-----------------------------------------------------------------------
ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
-----------------------------------------------------------------------
Actual Fund Return** 1,000.00 1,141.26 2.54
-----------------------------------------------------------------------
Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,022.59 2.40
-----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.47% (for the
period between July 1, 2009 - December 31, 2009), multiplied by the average
account value over the period, multiplied by 184/365 (to reflect the
six-month period).
**Actual Fund Return for the six-month period ended December 31, 2009 was
14.13%.
20
[GRAPHIC]
CHANGE IN VALUE OF A $10,000 INVESTMENT
[CHART]
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2009
- --------------------------------------------------------------------------------
FIVE TEN
ONE YEAR YEAR YEAR
- ---------------------------------------------
Elfun Diversified Fund 22.13% 2.01% 3.10%
S&P 500 Index 26.46% 0.42% -0.96%
Barclays Capital U.S.
Aggregate
Bond Index 5.93% 4.97% 6.33%
[CHART]
INVESTMENT PROFILE
A Mutual Fund designed for investors who seek the highest total return
consistent with prudent investment
management and the preservation of capital by investing primarily in a
combination of U.S. and
foreign equity securities and investment-grade debt securities.
MORNINGSTAR PERFORMANCE COMPARISON
US OE Moderate Allocation Peer Group
Based on average annual returns
for periods ended 12/31/09
ONE FIVE TEN
YEAR YEAR YEAR
Fund's Rank in peer group.... 740 410 144
Number of funds in peer
group....................... 1178 787 441
Peer group average annual
total return................ 24.04% 1.99% 2.05%
Morningstar Category in peer group: Moderate Allocation
TOP TEN LARGEST HOLDINGS
AS OF DECEMBER 31, 2009
AS A % OF MARKET VALUE
- --------------------------------------------------------------------------------
U.S. Treasury Notes 3.76%
- ---------------------------------------
Federal National Mortgage Assoc. 1.62%
- ---------------------------------------
Microsoft Corp. 0.88%
- ---------------------------------------
Amgen Inc. 0.79%
- ---------------------------------------
Roche Holding AG 0.75%
- ---------------------------------------
PepsiCo, Inc. 0.73%
- ---------------------------------------
U.S. Treasury Bonds 0.71%
- ---------------------------------------
Cisco Systems, Inc. 0.69%
- ---------------------------------------
Nomura Holdings Inc. 0.64%
- ---------------------------------------
QUALCOMM Inc. 0.64%
- ---------------------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF MORNINGSTAR PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND
DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
21
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
ELFUN DIVERSIFIED FUND
Portfolio Composition as a % of the Market Value of $220,472 as of December 31,
2009.
[CHART]
NUMBER
OF SHARES VALUE
DOMESTIC EQUITY -- 32.1%+
---------------------------------------------------------------
AEROSPACE & DEFENSE -- 0.8%
Alliant Techsystems, Inc..... 505,610 $ 506 /(a)/
Hexcel Corp.................. 329,082 329 /(a)/
Honeywell International Inc.. 254,878 255
ITT Corp..................... 474,420 474
Rockwell Collins, Inc........ 205,275 205
1,769
BEVERAGES -- 0.8%
Brown-Forman Corp. (Class B). 25,553 26
Molson Coors Brewing Co.
(Class B)................... 146,770 147
PepsiCo, Inc................. 1,599,952 1,600
1,773
BIOTECHNOLOGY -- 1.4%
Amgen Inc.................... 1,731,778 1,732 /(a)/
Gilead Sciences, Inc......... 1,149,733 1,150 /(a)/
Vertex Pharmaceuticals Inc... 295,536 296 /(a)/
3,178
NUMBER
OF SHARES VALUE
CAPITAL MARKETS -- 1.9%
Affiliated Managers Group Inc.. 347,863 $ 348 /(a)/
Ameriprise Financial, Inc...... 282,881 283
Invesco Ltd.................... 282,514 283
Morgan Stanley................. 169,194 169
State Street Corp.............. 1,216,290 1,217 /(e)/
The Bank of New York
Mellon Corp................... 356,534 357
The Charles Schwab Corp........ 171,432 171
The Goldman Sachs Group, Inc... 1,289,094 1,289
4,117
CHEMICALS -- 0.8%
Air Products & Chemicals, Inc.. 26,344 26
Intrepid Potash, Inc........... 226,534 227 /(a)/
Monsanto Co.................... 861,808 861
Praxair, Inc................... 632,120 632
1,746
COMMERCIAL BANKS -- 0.2%
Regions Financial Corp......... 152,135 152
SunTrust Banks, Inc............ 107,821 108
US Bancorp..................... 131,751 132
Wells Fargo & Co............... 61,780 62
Zions Bancorporation........... 35,206 35
489
COMMERCIAL SERVICES & SUPPLIES -- 0.6%
Corrections Corporation of
America....................... 839,561 839 /(a)/
Iron Mountain Inc.............. 266,702 267 /(a)/
Stericycle, Inc................ 114,588 115 /(a)/
1,221
COMMUNICATIONS EQUIPMENT -- 1.5%
Cisco Systems, Inc............. 1,527,707 1,528 /(a)/
Juniper Networks, Inc.......... 320,627 321 /(a)/
Motorola, Inc.................. 22,682 23
QUALCOMM Inc................... 1,411,578 1,412
3,284
COMPUTERS & PERIPHERALS -- 0.8%
Hewlett-Packard Co............. 529,265 529
International Business
Machines Corp................. 919,049 919
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
22
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
Synaptics Inc.................. 383,830 $ 384 /(a)/
1,832
DIVERSIFIED FINANCIAL SERVICES -- 1.1%
Bank of America Corp........... 498,878 499
CME Group Inc.................. 1,206,397 1,207
JPMorgan Chase & Co............ 653,385 653
MSCI Inc. (Class A)............ 126,469 126 /(a)/
2,485
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3%
AT&T Inc....................... 455,600 456
Verizon Communications Inc..... 215,577 216
672
ELECTRIC UTILITIES -- 0.6%
Edison International........... 316,707 317
Entergy Corp................... 159,506 160
ITC Holdings Corp.............. 467,039 467
Northeast Utilities............ 409,571 410
1,354
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.3%
Cogent, Inc.................... 167,487 167 /(a)/
Corning Inc.................... 416,459 417
584
ENERGY EQUIPMENT & SERVICES -- 1.0%
Dresser-Rand Group Inc......... 252,437 252 /(a)/
Halliburton Co................. 299,395 299
National Oilwell Varco, Inc.... 157,754 158 /(a)/
Noble Corp..................... 253,561 254
Schlumberger Ltd............... 1,265,805 1,266
2,229
FOOD & STAPLES RETAILING -- 0.0%*
CVS Caremark Corp.............. 83,810 84
FOOD PRODUCTS -- 0.5%
Archer-Daniels-Midland Co...... 82,533 83
Kraft Foods Inc. (Class A)..... 173,300 173
McCormick & Company Inc........ 584,259 584
Sara Lee Corp.................. 208,315 208
1,048
NUMBER
OF SHARES VALUE
GAS UTILITIES -- 0.1%
EQT CORP........................ 155,609 $ 156
HEALTHCARE EQUIPMENT & SUPPLIES -- 1.5%
Baxter International Inc........ 266,994 267
Becton Dickinson & Co........... 246,043 246
Boston Scientific Corp.......... 128,907 129 /(a)/
Covidien PLC.................... 779,745 780
DENTSPLY International Inc...... 144,197 144
Gen-Probe Inc................... 183,097 183 /(a)/
Hologic, Inc.................... 297,540 298 /(a)/
Masimo Corp..................... 421,560 422 /(a)/
Medtronic, Inc.................. 434,127 434
ResMed, Inc..................... 502,628 503 /(a)/
3,406
HEALTHCARE PROVIDERS & SERVICES -- 1.1%
Aetna Inc....................... 205,765 206
Cardinal Health, Inc............ 297,672 298
Catalyst Health Solutions, Inc.. 297,340 297 /(a)/
Express Scripts, Inc............ 928,127 928 /(a)/
McKesson Corp................... 97,875 98
Psychiatric Solutions, Inc...... 59,720 60 /(a)/
UnitedHealth Group, Inc......... 606,979 607
2,494
HOTELS RESTAURANTS & LEISURE -- 0.4%
Carnival Corp................... 377,048 377 /(a)/
Marriott International, Inc.
(Class A)...................... 67,062 67
Penn National Gaming, Inc....... 223,420 223 /(a)/
The Cheesecake Factory Inc...... 207,199 207 /(a)/
874
HOUSEHOLD DURABLES -- 0.1%
MDC Holdings, Inc............... 121,335 121
HOUSEHOLD PRODUCTS -- 0.4%
Clorox Co....................... 91,134 91
Kimberly-Clark Corp............. 182,147 182
The Procter & Gamble Co......... 697,306 697
970
INDUSTRIAL CONGLOMERATES -- 0.2%
McDermott International, Inc.... 113,231 113 /(a)/
Textron, Inc.................... 293,549 294
407
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
23
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
INSURANCE -- 1.3%
ACE Ltd............................ 737,906 $ 737
AFLAC Inc.......................... 432,345 432
AON Corp........................... 164,594 165
HCC Insurance Holdings, Inc........ 573,301 573
MetLife, Inc....................... 298,743 299
PartnerRe Ltd...................... 174,704 175
Principal Financial Group, Inc..... 171,814 172
Prudential Financial, Inc.......... 271,739 272
2,825
INTERNET SOFTWARE & SERVICES -- 0.5%
AOL Inc............................ 44,698 45 /(a)/
Equinix, Inc....................... 89,591 90 /(a)/
Google Inc. (Class A).............. 794,194 794 /(a)/
MercadoLibre, Inc.................. 252,140 252 /(a)/
1,181
IT SERVICES -- 1.4%
Accenture PLC...................... 37,765 38
Affiliated Computer Services, Inc.
(Class A)......................... 308,657 309 /(a)/
Cognizant Technology Solutions
Corp. (Class A)................... 375,129 375 /(a)/
Cybersource Corp................... 172,906 173 /(a)/
DST Systems, Inc................... 106,959 107 /(a)/
Paychex, Inc....................... 233,170 233
Telvent GIT S.A.................... 92,032 92
The Western Union Co............... 1,026,043 1,026
Visa, Inc. (Class A)............... 688,747 689
3,042
LIFE SCIENCES TOOLS & SERVICES -- 0.7%
Covance Inc........................ 346,574 347 /(a)/
Illumina, Inc...................... 231,162 231 /(a)/
Life Technologies Corp............. 115,376 115 /(a)/
Mettler-Toledo
International, Inc................ 284,628 285 /(a)/
Thermo Fisher Scientific, Inc...... 507,278 507 /(a)/
1,485
MACHINERY -- 0.4%
Deere & Co......................... 288,516 289
Eaton Corp......................... 227,569 228
Harsco Corp........................ 368,872 369
886
NUMBER
OF SHARES VALUE
MEDIA -- 1.4%
Comcast Corp. (Class A)......... 47,229 $ 47
DIRECTV (Class A)............... 669,568 670 /(a)/
Liberty Global, Inc. (Series C). 448,514 448 /(a)/
Omnicom Group Inc............... 830,450 830
Regal Entertainment Group
(Class A)...................... 274,273 274
The Walt Disney Co.............. 230,684 231
Time Warner Inc................. 615,699 616
3,116
METALS & MINING -- 0.4%
Allegheny Technologies Inc...... 423,480 423
Freeport-McMoRan Copper &
Gold Inc....................... 447,858 448 /(a)/
871
MULTILINE RETAIL -- 0.5%
Dollar General Corp............. 189,376 189 /(a)/
Kohl's Corp..................... 406,633 407 /(a)/
Target Corp..................... 537,245 537
1,133
MULTI-UTILITIES -- 0.2%
Dominion Resources, Inc......... 316,420 316
SCANA Corp...................... 179,018 179
495
OIL, GAS & CONSUMABLE FUELS -- 1.9%
Apache Corp..................... 488,510 488
Chesapeake Energy Corp.......... 47,102 47
Chevron Corp.................... 475,490 475
Devon Energy Corp............... 368,088 368
Exxon Mobil Corp................ 903,994 904 /(h)/
Marathon Oil Corp............... 904,381 904
Occidental Petroleum Corp....... 211,673 212
Peabody Energy Corp............. 187,486 187
Southwestern Energy Co.......... 632,336 633 /(a)/
4,218
PAPER & FOREST PRODUCTS -- 0.1%
Weyerhaeuser Co................. 168,203 168
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
24
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
PERSONAL PRODUCTS -- 0.2%
Alberto-Culver Co............ 219,060 $ 219
Avon Products, Inc........... 40,950 41
Mead Johnson Nutrition Co.
(Class A)................... 188,609 189 /(a)/
449
PHARMACEUTICALS -- 0.7%
Abbott Laboratories.......... 105,388 105
Bristol-Myers Squibb Co...... 422,155 422
Johnson & Johnson............ 481,400 481
Merck & Company Inc.......... 52,362 52
Pfizer Inc................... 396,396 396
1,456
PROFESSIONAL SERVICES -- 0.1%
HIS, Inc. (Class A).......... 255,305 255 /(a)/
REAL ESTATE INVESTMENT TRUSTS (REIT'S) -- 0.1%
Douglas Emmett, Inc. (REIT).. 122,821 123
SL Green Realty Corp. (REIT). 128,866 129
252
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3%
CB Richard Ellis Group, Inc.
(Class A)................... 634,520 635 /(a)/
ROAD & RAIL -- 0.1%
Union Pacific Corp........... 265,760 266
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8%
Hittite Microwave Corp....... 337,247 337 /(a)/
Intel Corp................... 724,995 725
Kla-Tencor Corp.............. 30,700 31
Marvell Technology
Group Ltd................... 452,205 452 /(a)/
Microchip Technology Inc..... 105,052 105
Nvidia Corp.................. 48,531 49 /(a)/
Texas Instruments Inc........ 132,359 132
1,831
SOFTWARE -- 1.9%
Activision Blizzard, Inc..... 329,434 329 /(a)/
Blackboard Inc............... 229,310 229 /(a)/
NUMBER
OF SHARES VALUE
Citrix Systems, Inc.............. 313,240 $ 313 /(a)/
Intuit, Inc...................... 394,931 395 /(a)/
Microsoft Corp................... 1,934,712 1,935
Oracle Corp...................... 223,486 223
Rovi Corp........................ 729,759 730 /(a)/
4,154
SPECIALTY RETAIL -- 1.1%
Bed Bath & Beyond, Inc........... 1,043,899 1,044 /(a,h)/
Lowe's Companies, Inc............ 1,005,607 1,005
O'Reilly Automotive, Inc......... 298,098 298 /(a)/
Urban Outfitters, Inc............ 150,947 151 /(a)/
2,498
TEXTILES APPAREL & LUXURY GOODS -- 0.2%
Coach, Inc....................... 328,368 328
NIKE, Inc. (Class B)............. 34,356 34
362
THRIFTS & MORTGAGE FINANCE -- 0.1%
People's United Financial, Inc... 247,461 247
TOBACCO -- 0.2%
Altria Group, Inc................ 63,856 64
Philip Morris International Inc.. 328,704 329
393
WATER UTILITIES -- 0.1%
American Water Works
Company, Inc.................... 264,886 265
WIRELESS TELECOMMUNICATION SERVICES -- 1.0%
American Tower Corp.
(Class A)....................... 571,884 572 /(a)/
NII Holdings, Inc................ 1,368,284 1,368 /(a)/
Syniverse Holdings, Inc.......... 190,672 191 /(a)/
2,131
TOTAL DOMESTIC EQUITY
(COST $68,145).................. 70,907
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
25
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
FOREIGN EQUITY -- 28.6%
-----------------------------------------------------------
COMMON STOCK -- 28.0%
AEROSPACE & DEFENSE -- 0.2%
CAE, Inc....................... 377,135 $ 377
AUTO COMPONENTS -- 0.1%
Hankook Tire Company Ltd....... 124,583 125 /(a)/
AUTOMOBILES -- 0.7%
Daimler AG (Regd.)............. 272,725 273
Suzuki Motor Corp.............. 479,595 480
Toyota Motor Corp.............. 781,578 782
1,535
BEVERAGES -- 0.2%
Coca-Cola Icecek AS (Class C).. 118,023 118
Heineken N.V................... 294,677 295
413
BUILDING PRODUCTS -- 0.2%
Asahi Glass Company Ltd........ 114,194 114
Daikin Industries Ltd.......... 237,085 237
351
CAPITAL MARKETS -- 1.0%
Credit Suisse Group AG (Regd.). 483,702 484
Egyptian Financial Group-
Hermes Holding................ 95,013 95
Mirae Asset Securities
Company Ltd................... 60,735 61
Nomura Holdings Inc............ 1,414,728 1,415
Woori Investment & Securities
Company Ltd................... 57,982 58
Yuanta Financial Holding
Company Ltd................... 68,557 69
2,182
CHEMICALS -- 1.3%
Linde AG....................... 702,396 702
Potash Corp of
Saskatchewan Inc.............. 808,646 809
NUMBER
OF SHARES VALUE
Potash Corp of
Saskatchewan Inc............... 239,676 $ 240
Sinofert Holdings Ltd........... 95,403 95
Sociedad Quimica y Minera de
Chile S.A. ADR (Series B)...... 241,462 241
SODIFF Advanced Materials
Company Ltd.................... 75,690 76 /(a)/
Syngenta AG..................... 511,504 511
Taiwan Fertilizer
Company Ltd.................... 106,821 107
2,781
COMMERCIAL BANKS -- 4.2%
Akbank TAS...................... 110,717 111
Axis Bank Ltd................... 55,610 56
Banco do Brasil S.A............. 42,594 43
Banco Santander Brasil S.A...... 584,064 584
Banco Santander Chile ADR....... 56,877 57
Banco Santander S.A. (Regd.).... 1,308,327 1,308
Bank of China Ltd............... 36,817 37
BNP Paribas..................... 1,386,449 1,386
China Construction
Bank Corp...................... 63,201 63
China Merchants Bank
Company Ltd.................... 86,506 87
Credit Agricole S.A............. 748,496 747
Grupo Financiero Banorte SAB
de C.V. (Series O)............. 69,328 69
HSBC Holdings PLC............... 1,212,808 1,213
Industrial & Commercial Bank of
China.......................... 123,688 124
Intesa Sanpaolo S.p.A........... 572,517 573
Kazkommertsbank GDR............. 70,398 70 /(a)/
KB Financial Group Inc.......... 470,808 471 /(a)/
Lloyds Banking Group PLC........ 546,327 546
Metropolitan Bank & Trust....... 71,163 71
Mitsubishi UFJ Financial
Group Inc...................... 924,168 924
Raiffeisen International Bank
Holding AG (Regd.)............. 62,958 63
Siam Commercial Bank PCL........ 43,318 43
Standard Bank Group Ltd......... 67,451 67
Sumitomo Mitsui Financial
Group Inc...................... 60,056 60
The Bank of Yokohama Ltd........ 353,980 354
UniCredit S.p.A................. 102,642 103
9,230
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
26
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
COMMERCIAL SERVICES & SUPPLIES -- 0.5%
Brambles Ltd.................... 726,514 $ 727
G4S PLC......................... 137,138 137
G4S PLC......................... 286,553 287
Pan Asia Environmental
Protection Group Ltd........... 10,995 11
1,162
COMMUNICATIONS EQUIPMENT -- 0.8%
Nokia Oyj....................... 213,019 213
Research In Motion Ltd.......... 1,150,679 1,151 /(a)/
Research In Motion Ltd.......... 406,321 406 /(a)/
Telefonaktiebolaget LM Ericsson
(Series B)..................... 56,105 56
ZTE Corp........................ 64,116 64
1,890
COMPUTERS & PERIPHERALS -- 0.1%
Asustek Computer Inc............ 69,714 70
HTC Corp........................ 130,227 130
200
CONSTRUCTION & ENGINEERING -- 0.5%
China Communications
Construction Company Ltd....... 70,307 70
China State Construction
International Holdings Ltd..... 55,859 56
Doosan Heavy Industries and
Construction Company Ltd....... 127,971 128 /(a)/
Empresas ICA SAB de C.V......... 68,376 68 /(a)/
Larsen & Toubro Ltd............. 354,891 355
Murray & Roberts
Holdings Ltd................... 61,546 62
Vinci S.A....................... 372,770 373
1,112
CONSTRUCTION MATERIALS -- 0.2%
CRH PLC......................... 460,461 460
DIVERSIFIED FINANCIAL SERVICES -- 0.2%
Deutsche Boerse AG.............. 474,482 474
Reliance Capital Ltd............ 40,253 40
514
NUMBER
OF SHARES VALUE
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4%
Telefonica S.A.................. 604,733 $ 605
Telekomunikasi Indonesia Tbk PT
(Series B)..................... 81,625 82
Telstra Corporation Ltd......... 205,605 206
893
ELECTRIC UTILITIES -- 0.4%
CEZ AS.......................... 39,287 39
E.ON AG......................... 409,169 409
Iberdrola S.A................... 389,788 390
838
ELECTRICAL EQUIPMENT -- 0.5%
ABB Ltd. (Regd.)................ 352,019 352 /(a)/
ABB Ltd. ADR.................... 298,208 298 /(a)/
Alstom S.A...................... 92,812 93
Schneider Electric S.A.......... 364,005 364
Zhuzhou CSR Times Electric
Company Ltd.................... 68,604 69
1,176
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.1%
Delta Electronics, Inc.......... 164,510 165
HON HAI Precision Industry
Company Ltd.................... 92,326 92
Prime View International
Company Ltd.................... 18,290 18
275
ENERGY EQUIPMENT & SERVICES -- 0.6%
Saipem S.p.A.................... 202,469 202
Tesco Corp...................... 151,408 151 /(a)/
Transocean Ltd.................. 1,052,719 1,053 /(a)/
1,406
FOOD & STAPLES RETAILING -- 0.7%
Koninklijke Ahold N.V........... 279,609 280
Metro AG........................ 450,972 451
President Chain Store Corp...... 44,582 45 /(a)/
Tesco PLC....................... 798,478 798
X5 Retail Group N.V. GDR........ 76,815 77 /(a)/
1,651
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
27
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
FOOD PRODUCTS -- 1.2%
China Agri-Industries
Holdings Ltd.................. 73,158 $ 73
Cosan SA Industria e
Comercio...................... 174,759 175 (a)
Groupe Danone.................. 563,406 563
IOI Corp. Bhd.................. 66,241 66
Nestle S.A. (Regd.)............ 1,398,422 1,398
Nestle S.A. ADR................ 157,331 157
Perdigao S.A................... 91,094 91 /(a)/
Want Want China
Holdings Ltd.................. 42,219 42
2,565
HEALTHCARE EQUIPMENT & SUPPLIES -- 0.4%
Cie Generale d'Optique Essilor
International S.A............. 831,118 831
HEALTHCARE PROVIDERS & SERVICES -- 0.1%
Diagnosticos da America S.A.... 70,911 71 /(a)/
Fleury S.A..................... 69,384 69 /(a)/
140
HOUSEHOLD DURABLES -- 0.1%
Desarrolladora Homex SAB
de C.V........................ 65,291 65 /(a)/
Dynamex, Inc................... 172,010 172
237
HOUSEHOLD PRODUCTS -- 0.5%
Reckitt Benckiser Group PLC.... 1,160,893 1,161
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.0%*
Huaneng Power
International, Inc............ 39,716 40
INDUSTRIAL CONGLOMERATES -- 0.9%
Chongqing Machinery & Electric
Company Ltd................... 59,234 59 /(a)/
Koninklijke Philips
Electronics N.V............... 762,825 763
MAX India Ltd.................. 51,442 51 /(a)/
Siemens AG (Regd.)............. 956,226 956
Siemens AG ADR................. 89,407 89
1,918
NUMBER
OF SHARES VALUE
INSURANCE -- 1.0%
AXA S.A....................... 431,552 $ 432
China Life Insurance
Company Ltd.................. 127,826 128
Prudential PLC................ 725,020 725
Samsung Fire & Marine
Insurance Company Ltd........ 75,314 75
Sony Financial Holdings Inc... 557,159 557 /(a)/
Tong Yang Life Insurance...... 52,899 53 /(a)/
Zurich Financial Services AG.. 327,720 328
2,298
INTERNET SOFTWARE & SERVICES -- 0.2%
Baidu, Inc ADR................ 472,914 473 /(a)/
MACHINERY -- 0.3%
China South Locomotive and
Rolling Stock Corp........... 375,413 375
Mitsubishi Heavy
Industries Ltd............... 243,465 243
618
MARINE -- 0.0%*
A P Moller - Maersk A/S
(Series B)................... 91,418 91
MEDIA -- 0.4%
Focus Media Holding Ltd. ADR.. 101,931 102 /(a)/
Vivendi....................... 720,484 720
822
METALS & MINING -- 1.9%
Antofagasta PLC............... 123,909 124
Barrick Gold Corp............. 153,661 154
BHP Billiton PLC.............. 969,292 969
China Molybdenum
Company Ltd.................. 34,253 34
Harmony Gold Mining Company
Ltd. ADR..................... 88,540 89
Hidili Industry International
Development Ltd.............. 49,663 50
Kinross Gold Corp............. 175,584 176
New World Resources N.V.
(Class A).................... 65,740 66
POSCO......................... 131,843 132
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
28
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
Rio Tinto PLC (Regd.).......... 991,004 $ 991
Sumitomo Metal Industries Ltd.. 580,750 581
Tata Steel Ltd................. 54,607 55
ThyssenKrupp AG................ 225,818 226
Vale S.A....................... 460,361 460
4,107
MULTI-UTILITIES -- 0.6%
National Grid PLC.............. 880,675 881
Veolia Environnement........... 573,082 573
1,454
OIL, GAS & CONSUMABLE FUELS -- 2.3%
BG Group PLC................... 562,602 563
BP PLC......................... 460,982 461
China Shenhua Energy
Company Ltd................... 92,224 92
CNOOC Ltd...................... 118,200 118
ENI S.p.A...................... 472,123 472
Gazprom OAO ADR................ 266,707 267
LUKOIL ADR..................... 353,541 353
Paladin Energy Ltd............. 286,912 287 /(a)/
PetroChina Company Ltd......... 99,855 100
Petroleo Brasileiro S.A. ADR... 722,410 722
Reliance Industries Ltd........ 41,885 42
Reliance Industries Ltd. GDR... 96,255 96 /(b)/
Suncor Energy Inc.............. 432,971 433
Suncor Energy Inc.............. 240,435 240
Total S.A...................... 874,901 875
5,121
PERSONAL PRODUCTS -- 0.2%
Shiseido Company Ltd........... 472,510 473
PHARMACEUTICALS -- 1.6%
Bayer AG....................... 980,468 980
Daiichi Sankyo Company Ltd..... 228,687 229
Novartis AG (Regd.)............ 640,836 641
Roche Holding AG............... 1,664,397 1,664
Sinopharm Group Co............. 2,903 3 /(a)/
Teva Pharmaceutical
Industries Ltd. ADR........... 113,484 113
3,630
PROFESSIONAL SERVICES -- 0.1%
The Capita Group PLC........... 120,091 120
NUMBER
OF SHARES VALUE
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
CapitaLand Ltd.................. 160,297 $ 160
Franshion Properties China Ltd.. 47,802 48
Hung Poo Real Estate
Development Corp............... 87,533 88
Mitsubishi Estate Company Ltd... 606,676 607
Shenzhen Investment Ltd......... 33,813 34
937
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0%
ASM Pacific Technology Ltd...... 59,030 59
Samsung Electronics
Company Ltd.................... 946,307 946
Taiwan Semiconductor
Manufacturing
Company Ltd.................... 842,023 842
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR....................... 319,257 320
2,167
SOFTWARE -- 0.1%
Shanda Interactive
Entertainment Ltd. ADR......... 124,528 125 /(a)/
SPECIALTY RETAIL -- 0.6%
Esprit Holdings Ltd............. 460,487 460
Hennes & Mauritz AB (Series B).. 272,360 272
Yamada Denki Company Ltd........ 606,066 606
1,338
TEXTILES APPAREL & LUXURY GOODS -- 0.2%
Adidas AG....................... 438,511 439
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Mitsubishi Corp................. 224,274 224
TRANSPORTATION INFRASTRUCTURE -- 0.0%*
Dalian Port PDA Company Ltd..... 46,551 47
WIRELESS TELECOMMUNICATION SERVICES -- 0.9%
America Movil SAB de C.V. ADR
(Series L)..................... 151,464 151
China Mobile Ltd................ 312,596 312
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
29
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER
OF SHARES VALUE
Mobile Telesystems OJSC ADR. 348,683 $ 349
MTN Group Ltd............... 560,981 561
Philippine Long Distance
Telephone Co............... 46,293 46
Vodafone Group PLC.......... 483,429 483
1,902
TOTAL COMMON STOCK
(COST $60,516)............. 61,849
----------------------------------------------------------------
PREFERRED STOCK -- 0.6%
----------------------------------------------------------------
COMMERCIAL BANKS -- 0.1%
Itau Unibanco Banco
Multiplo S.A............... 283,450 283
DIVERSIFIED FINANCIAL SERVICES -- 0.1%
Bank of America Corp........ 260,712 261 /(a,i)/
ELECTRIC UTILITIES -- 0.0%*
Cia Energetica de Minas
Gerais..................... 50,304 50
MEDIA -- 0.0%*
NET Servicos de
Comunicacao S.A............ 54,754 55
METALS & MINING -- 0.2%
Cia Vale do Rio Doce........ 380,580 381
OIL, GAS & CONSUMABLE FUELS -- 0.1%
Petroleo Brasileiro S.A..... 134,325 134
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
Vivo Participacoes S.A...... 167,953 168
TOTAL PREFERRED STOCK
(COST $1,019).............. 1,332
TOTAL FOREIGN EQUITY
(COST $61,535)............. 63,181
PRINCIPAL
AMOUNT VALUE
BONDS AND NOTES -- 22.3%
-----------------------------------------------------
U.S. TREASURIES -- 4.9%
U.S. Treasury Bonds
4.50% 08/15/39............ $ 1,607 $ 1,570
U.S. Treasury Notes
0.02% 11/30/11............ 2,290 2,275 /(d)/
0.05% 01/31/11............ 560 562 /(d)/
1.00% 10/31/11............ 1,581 1,580 /(d)/
1.25% 11/30/10............ 32 32
1.75% 08/15/12............ 345 347
2.13% 11/30/14............ 2,544 2,483
3.38% 11/15/19............ 2,029 1,952 /(h)/
4.50% 11/15/10............ 13 13
10,814
AGENCY MORTGAGE BACKED -- 5.5%
Federal Home Loan
Mortgage Corp.
4.50% 06/01/33 - 02/01/35. 29 29 /(h)/
5.00% 07/01/35............ 87 90 /(h)/
5.50% 05/01/20 - 04/01/39. 995 1,049 /(h)/
6.00% 04/01/17 - 11/01/37. 753 803 /(h)/
6.50% 11/01/28 - 07/01/29. 19 22 /(h)/
7.00% 10/01/16 - 08/01/36. 74 83 /(h)/
7.50% 09/01/12 - 09/01/33. 24 27 /(h)/
8.00% 07/01/26 - 11/01/30. 7 8 /(h)/
8.50% 04/01/30 - 05/01/30. 24 28 /(h)/
Federal National
Mortgage Assoc.
4.00% 05/01/19 - 06/01/19. 79 81 /(h)/
4.50% 05/01/18 - 12/01/34. 369 380 /(h)/
5.00% 07/01/20 - 05/01/39. 617 635 /(h)/
5.47% 04/01/37............ 5 5 /(i)/
5.50% 04/01/14 - 04/01/38. 3,493 3,670 /(h)/
5.81% 03/01/37............ 5 5 /(i)/
6.00% 02/01/14 - 11/01/39. 2,428 2,592 /(h)/
6.50% 12/01/14 - 08/01/36. 208 225 /(h)/
7.00% 01/01/16 - 12/01/33. 17 19 /(h)/
7.50% 09/01/13 - 03/01/34. 51 56 /(h)/
8.00% 12/01/11 - 11/01/33. 56 62 /(h)/
8.50% 05/01/31............ 3 4 /(h)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
30
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
9.00% 04/01/16 - 12/01/22.. $ 13 $ 14 /(h)/
4.50% TBA.................. 253 256 /(c)/
5.00% TBA.................. 819 856 /(c)/
5.50% TBA.................. 65 68 /(c)/
6.50% TBA.................. 490 525 /(c)/
7.00% TBA.................. 90 99 /(c)/
Government National
Mortgage Assoc.
4.50% 08/15/33 - 09/15/34.. 99 100 /(h)/
5.00% 08/15/33............. 40 41 /(h)/
6.00% 04/15/30 - 09/15/36.. 55 59 /(h)/
6.50% 06/15/24 - 07/15/36.. 98 105 /(h)/
7.00% 03/15/12 - 10/15/36.. 62 67 /(h)/
7.50% 07/15/23 - 04/15/28.. 31 35 /(h)/
8.00% 05/15/30............. 1 1 /(h)/
8.50% 10/15/17............. 27 29 /(h)/
9.00% 11/15/16 - 12/15/21.. 26 30 /(h)/
5.50% TBA.................. 50 52 /(c)/
12,210
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6%
Collateralized Mortgage
Obligation Trust (Class B)
9.24% 11/01/18............. 2 1 /(d,f,h,q)/
Federal Home Loan
Mortgage Corp.
0.00% 11/15/37............. 113 92 /(g,r)/
0.17% 09/25/43............. 389 4 /(g,h,i,r)/
0.62% 09/15/34............. 57 43 /(d,f)/
4.50% 10/15/16 - 03/15/19.. 129 10 /(g,h,r)/
5.00% 05/15/18 - 12/01/34.. 360 59 /(g,h,r)/
5.00% 05/15/38............. 54 53
5.50% 04/15/17 - 06/15/33.. 114 16 /(g,h,r)/
7.50% 01/15/16............. 4 4 /(h)/
7.50% 07/15/27............. 29 6 /(g,h,r)/
8.00% 04/15/20............. 1 1 /(h)/
8.00% 02/01/23 - 07/01/24.. 6 2 /(g,h,r)/
Federal Home Loan
Mortgage Corp. REMIC
6.01% 12/15/39............. 192 20 /(g,i,r)/
6.36% 05/15/36............. 417 57 /(g,i,r)/
6.97% 02/15/36............. 341 50 /(g,i,r)/
7.47% 04/15/36............. 400 57 /(g,i,r)/
PRINCIPAL
AMOUNT VALUE
Federal Home Loan
Mortgage STRIPS
9.46% 08/01/27............ $ 1 $ 1 /(d,f,h)/
Federal National
Mortgage Assoc.
1.20% 12/25/42............ 99 5 /(g,h,i,r)/
4.50% 11/25/13 - 05/25/18. 21 1 /(g,r)/
4.75%** 11/25/14............ 1 -- /(g,h,r)/
5.00% 02/25/32............ 117 15 /(g,r)/
5.00% 10/25/35 - 08/25/38. 145 143
6.12% 03/25/38............ 547 64 /(g,i,r)/
7.27% 05/25/18............ 487 56 /(g,h,i,r)/
7.37% 09/25/42............ 274 52 /(g,h,i,r)/
7.47% 08/25/16............ 14 1 /(g,h,i,r)/
16.10% 03/25/31............ 65 73 /(h,i)/
Federal National
Mortgage Assoc. (Class 1)
4.50% 09/01/35 - 01/01/36. 333 69 /(g,r)/
5.00% 05/25/38............ 107 19 /(g,r)/
Federal National
Mortgage Assoc. (Class 2)
4.50% 08/01/35............ 110 26 /(g,r)/
5.00% 03/25/38............ 101 20 /(g,r)/
5.50% 12/01/33............ 36 8 /(g,r)/
7.50% 11/01/23............ 56 9 /(g,h,r)/
8.00% 08/01/23 - 07/01/24. 12 2 /(g,h,r)/
8.50%** 03/01/17 - 07/25/22. 5 -- /(g,h,r)/
9.00% 05/25/22............ 2 1 /(g,h,r)/
Federal National
Mortgage Assoc. (Class B)
6.69% 12/25/22............ 2 2 /(d,f,h)/
Federal National
Mortgage Assoc. (Class H)
5.00% 10/25/22............ 34 4 /(g,h,r)/
Federal National
Mortgage Assoc. REMIC
6.01% 01/25/40............ 716 81 /(g,i,r)/
6.31% 07/25/36............ 425 52 /(g,i,r)/
6.42% 06/25/36............ 202 27 /(g,i,r)/
Government National
Mortgage Assoc.
6.17% 05/20/39............ 378 42 /(g,i,r)/
6.27% 01/20/37............ 572 55 /(g,i,r)/
1,303
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
31
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
ASSET BACKED -- 0.8%
Bear Stearns Asset Backed
Securities Trust (Class A)
0.60% 01/25/34...... $ 8 $ 6 /(h,i)/
Chase Funding Mortgage Loan
Asset-Backed Certificates
0.73% 03/25/32...... 19 11 /(h,i)/
Countrywide Asset-Backed
Certificates
1.09% 05/25/33...... 4 2 /(h,i)/
5.31% 08/25/35...... 750 691 /(i)/
Countrywide Asset-Backed
Certificates (Class A)
0.89% 04/25/32...... 16 8 /(h,i)/
Discover Card Master Trust I
(Class A)
0.56% 06/16/15...... 40 38 /(i)/
Discover Card Master Trust I
(Class B) (Series 2)
0.41% 05/15/12...... 60 57 /(i)/
Mid-State Trust
7.54% 07/01/35...... 10 9 /(h,q)/
Residential Asset Mortgage
Products Inc. (Class A)
0.79% 06/25/32...... 14 11 /(h,i)/
Residential Asset Securities Corp.
0.73% 07/25/32...... 5 3 /(h,i)/
Saxon Asset Securities Trust
5.23% 08/25/35...... 1,008 875 /(i)/
Wells Fargo Home Equity Trust
3.97% 05/25/34...... 4 4 /(h,i,q)/
1,715
CORPORATE NOTES -- 8.4%
Alliance One International, Inc.
10.00% 07/15/16...... 58 61 /(b)/
AMC Entertainment Inc.
8.75% 06/01/19...... 77 79
American Electric Power
Company, Inc. (Series C)
5.38% 03/15/10...... 340 343 /(h)/
American Tower Corp.
4.63% 04/01/15...... 88 89 /(b)/
PRINCIPAL
AMOUNT VALUE
Anheuser-Busch InBev
Worldwide Inc.
5.38% 11/15/14.... $ 76 $ 80 /(b)/
7.20% 01/15/14.... 25 28 /(b)/
7.75% 01/15/19.... 92 108 /(b)/
Apria Healthcare Group Inc.
11.25% 11/01/14.... 98 108 /(b)/
ARAMARK Corp.
8.50% 02/01/15.... 142 146
Archer-Daniels-Midland Co.
6.45% 01/15/38.... 59 66
Arizona Public Service Co.
6.25% 08/01/16.... 80 85 /(h)/
AT&T Inc.
6.40% 05/15/38.... 26 27
6.70% 11/15/13.... 84 95
Axtel SAB de C.V.
9.00% 09/22/19.... 6 6 /(b)/
Banco do Brasil S.A.
8.50% 10/29/49.... 100 107 /(b)/
Banco Mercantil del Norte S.A.
6.14% 10/13/16.... 12 12 /(i)/
Banco Nacional de
Desenvolvimento Economico
e Social
6.50% 06/10/19.... 200 215 /(b)/
Bank of America Corp.
5.75% 12/01/17.... 215 220
6.50% 08/01/16.... 85 91
7.38% 05/15/14.... 30 34
Barclays Bank PLC
5.00% 09/22/16.... 100 102
5.20% 07/10/14.... 41 43
Berkshire Hathaway
Finance Corp.
5.00% 08/15/13.... 42 45
BlackRock, Inc.
5.00% 12/10/19.... 76 75
Boston Properties LP (REIT)
5.88% 10/15/19.... 60 60
Boston Scientific Corp.
6.00% 01/15/20.... 38 39
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
32
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Bristol-Myers Squibb Co.
5.88% 11/15/36..... $ 34 $ 35 /(h)/
CA, Inc.
5.38% 12/01/19..... 56 56
6.13% 12/01/14..... 31 34
Calpine Corp.
7.25% 10/15/17..... 5 5 /(b)/
Cantor Fitzgerald LP
7.88% 10/15/19..... 62 61 /(b)/
Cargill Inc.
5.20% 01/22/13..... 215 228 /(b)/
6.00% 11/27/17..... 1 1 /(b)/
Carolina Power & Light Co.
5.15% 04/01/15..... 40 43 /(h)/
5.70% 04/01/35..... 20 20 /(h)/
6.13% 09/15/33..... 3 3 /(h)/
Case New Holland Inc.
7.75% 09/01/13..... 132 135 /(b)/
Cenovus Energy Inc.
4.50% 09/15/14..... 67 69 /(b)/
6.75% 11/15/39..... 61 67 /(b)/
Central American Bank for
Economic Integration
5.38% 09/24/14..... 60 62 /(b)/
Chesapeake Energy Corp.
7.25% 12/15/18..... 144 145
Cincinnati Bell Inc.
8.25% 10/15/17..... 110 112
Citigroup, Inc.
5.00% 09/15/14..... 76 73
5.13% 05/05/14..... 127 126
6.38% 08/12/14..... 150 157
8.50% 05/22/19..... 157 181
City National Capital Trust I
9.63% 02/01/40..... 55 58
Clarendon Alumina
Production Ltd.
8.50% 11/16/21..... 100 73 /(b,h)/
CME Group Inc.
5.40% 08/01/13..... 55 59
Comcast Corp.
6.50% 01/15/15..... 61 68
PRINCIPAL
AMOUNT VALUE
Community Health Systems, Inc.
8.88% 07/15/15........ $ 146 $ 151
Consolidated Edison Company of
New York Inc.
5.85% 04/01/18........ 27 29
6.65% 04/01/19........ 15 17
COX Communications Inc.
7.13% 10/01/12........ 17 19 /(h)/
7.75% 11/01/10........ 70 73 /(h)/
Credit Suisse
6.00% 02/15/18........ 169 177
Credit Suisse First Boston
International for CJSC The
EXIM of Ukraine
7.65% 09/07/11........ 100 84
CVS Caremark Corp.
5.75% 06/01/17........ 46 49
6.13% 09/15/39........ 90 89
6.60% 03/15/19........ 28 31
DASA Finance Corp.
8.75% 05/29/18........ 102 106
Diageo Capital PLC
5.20% 01/30/13........ 47 50
Diageo Finance BV
3.25% 01/15/15........ 60 60
DirecTV Financing Company Inc.
4.75% 10/01/14........ 84 86 /(b)/
5.88% 10/01/19........ 70 71 /(b)/
Dolphin Energy Ltd.
5.89% 06/15/19........ 99 100 /(b)/
Dominion Resources, Inc.
5.20% 08/15/19........ 14 14
Dover Corp.
6.50% 02/15/11........ 49 52 /(h)/
Duke Energy Indiana Inc.
6.35% 08/15/38........ 82 90
Ecopetrol S.A.
7.63% 07/23/19........ 20 22
Embraer Overseas Ltd.
6.38% 01/15/20........ 25 25
European Investment Bank
4.88% 01/17/17........ 100 107
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
33
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Exelon Generation Company LLC
5.20% 10/01/19....... $ 48 $ 48
6.25% 10/01/39....... 76 77
Gaz Capital S.A.
9.25% 04/23/19....... 100 112
Genworth Financial Inc.
8.63% 12/15/16....... 56 58
GlaxoSmithKline Capital Inc.
4.85% 05/15/13....... 119 128
Globo Comunicacao e
Participacoes S.A.
7.25% 04/26/22....... 100 105 /(b)/
HCA Inc.
9.25% 11/15/16....... 130 140
HCC Insurance Holdings, Inc.
6.30% 11/15/19....... 30 30
Health Management
Associates, Inc.
6.13% 04/15/16....... 132 124
Holcim US Finance Sarl & Cie SCS
6.00% 12/30/19....... 48 50 /(b)/
Host Hotels & Resorts LP (REIT)
9.00% 05/15/17....... 169 183 /(b)/
HSBC Finance Corp.
5.00% 06/30/15....... 226 233
5.70% 06/01/11....... 130 136
6.75% 05/15/11....... 50 53
HSBC Holdings PLC
6.50% 05/02/36....... 200 210
6.80% 06/01/38....... 100 109
IIRSA Norte Finance Ltd.
8.75% 05/30/24....... 115 120 /(b,h)/
Illinois Power Co.
9.75% 11/15/18....... 72 90
Ingles Markets Inc.
8.88% 05/15/17....... 130 135
Inmarsat Finance PLC
7.38% 12/01/17....... 100 102 /(b)/
Intelsat Subsidiary Holding
Company Ltd.
8.88% 01/15/15....... 59 61
Intergen N.V.
9.00% 06/30/17....... 449 468 /(b)/
PRINCIPAL
AMOUNT VALUE
International Business
Machines Corp.
7.63% 10/15/18..... $ 100 $ 122
International Paper Co.
7.50% 08/15/21..... 118 132
Johnson & Johnson
5.85% 07/15/38..... 40 43
JPMorgan Chase & Co.
5.13% 09/15/14..... 133 140
6.30% 04/23/19..... 46 51
JPMorgan Chase Bank
5.88% 06/13/16..... 56 59
JPMorgan Chase Capital XXVII
7.00% 11/01/39..... 88 89
KazMunaiGaz Finance Sub BV
11.75% 01/23/15..... 100 121 /(b)/
Kreditanstalt fuer Wiederaufbau
3.50% 03/10/14..... 252 259
4.13% 10/15/14..... 199 209
L-3 Communications Corp.
5.88% 01/15/15..... 67 67
Lincoln National Corp.
8.75% 07/01/19..... 100 114
Majapahit Holding BV
7.25% 10/17/11..... 100 105 /(b)/
7.75% 10/17/16..... 100 106 /(b)/
7.75% 01/20/20..... 100 105
McDonald's Corp.
6.30% 03/01/38..... 79 87
Mead Johnson Nutrition Co.
4.90% 11/01/19..... 64 63 /(b)/
Merrill Lynch & Company Inc.
6.05% 08/15/12..... 65 70
6.88% 04/25/18..... 108 116
Midamerican Energy
Holdings Co.
6.13% 04/01/36..... 45 46 /(h)/
Morgan Stanley
5.05% 01/21/11..... 200 207
5.63% 09/23/19..... 121 122
7.30% 05/13/19..... 62 70
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
34
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Munich Re America Corp.
(Series B)
7.45% 12/15/26.... $ 55 $ 57 /(h)/
National Agricultural
Cooperative Federation
5.00% 09/30/14.... 56 58 /(b)/
Newmont Mining Corp.
5.13% 10/01/19.... 48 48
6.25% 10/01/39.... 92 92
News America Inc.
5.65% 08/15/20.... 43 45 /(b)/
6.65% 11/15/37.... 83 88
Nexen Inc.
6.20% 07/30/19.... 59 62
7.50% 07/30/39.... 74 85
NGPL Pipeco LLC
7.12% 12/15/17.... 259 286 /(b)/
Nisource Finance Corp.
6.13% 03/01/22.... 56 57
NorthWestern Corp.
5.88% 11/01/14.... 100 104 /(h)/
NRG Energy, Inc.
7.38% 02/01/16.... 130 130
Oracle Corp.
5.00% 07/08/19.... 62 64
Pacific Gas & Electric Co.
5.80% 03/01/37.... 120 122
Pacificorp
6.25% 10/15/37.... 102 110
Pemex Finance Ltd.
9.03% 02/15/11.... 20 21 /(h)/
Petrobras International
Finance Co.
5.75% 01/20/20.... 70 71
Petroleos Mexicanos
4.88% 03/15/15.... 70 70 /(b)/
8.00% 05/03/19.... 15 17
Pfizer Inc.
6.20% 03/15/19.... 8 9
7.20% 03/15/39.... 28 34
Pioneer Natural Resources Co.
7.50% 01/15/20.... 117 117
PRINCIPAL
AMOUNT VALUE
Plains All American Pipeline LP
4.25% 09/01/12........ $ 92 $ 95
PNC Funding Corp.
4.25% 09/21/15........ 60 61
Potomac Electric Power Co.
7.90% 12/15/38........ 21 27
President and Fellows of Harvard
College
5.00% 01/15/14........ 100 107 /(b)/
Principal Financial Group, Inc.
8.88% 05/15/19........ 42 48
Prudential Financial, Inc.
3.63% 09/17/12........ 30 30
5.15% 01/15/13........ 70 74
7.38% 06/15/19........ 62 70
Public Service Company of
Colorado
7.88% 10/01/12........ 59 68 /(h)/
QVC Inc.
7.50% 10/01/19........ 51 52 /(b)/
Qwest Communications
International Inc.
8.00% 10/01/15........ 61 63 /(b)/
RailAmerica, Inc.
9.25% 07/01/17........ 121 129
Republic Services Inc.
5.50% 09/15/19........ 43 44 /(b)/
Republic Services, Inc.
5.25% 11/15/21........ 55 54 /(b)/
Reynolds Group DL Escrow Inc.
7.75% 10/15/16........ 55 56 /(b)/
Roche Holdings Inc.
6.00% 03/01/19........ 44 48 /(b)/
Royal Bank of Scotland Group PLC
6.40% 10/21/19........ 40 40
Sabine Pass LNG LP
7.25% 11/30/13........ 60 54
7.50% 11/30/16........ 40 33
SBA Telecommunications Inc.
8.00% 08/15/16........ 26 27 /(b)/
8.25% 08/15/19........ 40 42 /(b)/
Security Benefit Life Insurance
8.75% 05/15/16........ 60 15 /(b)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
35
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Simon Property Group LP (REIT)
6.75% 05/15/14....... $ 72 $ 77
Southern California Edison Co.
5.50% 08/15/18....... 22 24
Spirit Aerosystems Inc.
7.50% 10/01/17....... 62 61 /(b)/
Talisman Energy Inc.
7.75% 06/01/19....... 44 52
Target Corp.
7.00% 01/15/38....... 49 57
Teachers Insurance & Annuity
Association of America
6.85% 12/16/39....... 66 68 /(b)/
Teck Resources Ltd.
10.75% 05/15/19....... 92 110
Telecom Italia Capital S.A.
6.20% 07/18/11....... 99 105
7.18% 06/18/19....... 86 96
Telefonica Emisiones SAU
5.86% 02/04/13....... 375 405
Tesoro Corp. (Series B)
6.63% 11/01/15....... 157 149
The Allstate Corp.
7.45% 05/16/19....... 44 51
The Dow Chemical Co.
5.90% 02/15/15....... 64 69
8.55% 05/15/19....... 32 38
The Goldman Sachs Group, Inc.
5.25% 10/15/13....... 120 127
7.50% 02/15/19....... 102 119
The Potomac Edison Co.
5.35% 11/15/14....... 40 42 /(h)/
The Procter & Gamble Co.
5.50% 02/01/34....... 28 29
The Royal Bank of Scotland PLC
4.88% 08/25/14....... 165 167 /(b)/
The Toledo Edison Company
7.25% 05/01/20....... 30 34
The Travelers Companies, Inc.
5.80% 05/15/18....... 26 28
The Williams Companies, Inc.
7.88% 09/01/21....... 84 96
PRINCIPAL
AMOUNT VALUE
Thermo Fisher Scientific, Inc.
3.25% 11/18/14........ $ 56 $ 55 /(b)/
Thomson Reuters Corp.
5.95% 07/15/13........ 20 22
Time Warner Cable Inc.
6.75% 07/01/18........ 48 53
7.50% 04/01/14........ 126 145
8.75% 02/14/19........ 26 32
Time Warner Inc.
5.88% 11/15/16........ 80 86
TNK-BP Finance S.A.
6.13% 03/20/12........ 100 103
Transocean Inc.
6.00% 03/15/18........ 68 73
UBS Luxembourg S.A. for OJSC
Vimpel Communications
8.00% 02/11/10........ 100 101
United Technologies Corp.
6.13% 07/15/38........ 8 9
UPC Germany GmbH
8.13% 12/01/17........ 100 101 /(b)/
USB Capital XIII Trust
6.63% 12/15/39........ 55 56
Vale Overseas Ltd.
6.88% 11/10/39........ 14 14
Valero Energy Corp.
6.63% 06/15/37........ 81 76
Vedanta Resources PLC
6.63% 02/22/10........ 25 25
Verizon Communications Inc.
6.35% 04/01/19........ 16 18
6.40% 02/15/38........ 40 42
6.90% 04/15/38........ 52 58
8.75% 11/01/18........ 50 62
Verizon Global Funding Corp.
7.25% 12/01/10........ 105 111
Verizon Wireless Capital LLC
5.55% 02/01/14........ 128 139
7.38% 11/15/13........ 184 211
Virgin Media Finance PLC
8.38% 10/15/19........ 100 103
Walgreen Co.
5.25% 01/15/19........ 62 66
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
36
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
WEA Finance LLC
7.50% 06/02/14.... $ 92 $ 104 /(b)/
6.75% 09/02/19.... 62 67 /(b)/
Westpac Banking Corp.
4.88% 11/19/19.... 112 111
Woodside Finance Ltd.
4.50% 11/10/14.... 98 99 /(b)/
Wyeth
5.50% 03/15/13.... 120 130
XL Capital Ltd.
5.25% 09/15/14.... 133 130
Xstrata Finance Canada Ltd.
5.80% 11/15/16.... 61 62 /(b)/
XTO Energy Inc.
6.38% 06/15/38.... 34 38
6.50% 12/15/18.... 23 26
18,528
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.5%
Banc of America Commercial
Mortgage Inc. (Class A)
5.66% 06/10/49.... 140 117
Banc of America Commercial
Mortgage Inc. (Class C)
5.70% 04/10/49.... 100 22 /(i,q)/
Banc of America Funding Corp.
5.37%** 02/20/36.... 6 -- /(h,i,q)/
5.60% 03/20/36.... 49 3 /(h,i,q)/
Banc of America Mortgage
Securities Inc. (Class B)
5.16% 01/25/36.... 50 3 /(h,i,q)/
Bear Stearns Commercial
Mortgage Securities
5.24% 12/11/38.... 45 37
5.33% 02/11/44.... 80 69
5.41% 03/11/39.... 39 40 /(h,i)/
5.46% 03/11/39.... 50 31 /(i)/
5.48% 10/12/41.... 145 147 /(h)/
5.69% 06/11/50.... 120 105 /(i)/
5.72% 06/11/40.... 60 30 /(i)/
6.21% 11/11/17.... 70 34 /(i)/
PRINCIPAL
AMOUNT VALUE
Bear Stearns Commercial
Mortgage Securities (Class A)
5.46% 04/12/38........ $ 40 $ 41 /(i)/
5.54% 10/12/41........ 120 119
5.92% 06/11/50........ 60 43 /(i)/
Bear Stearns Commercial
Mortgage Securities (Class D)
5.99% 09/11/42........ 20 4 /(b,i,q)/
Citigroup Commercial Mortgage
Trust (Class A)
5.62% 10/15/48........ 140 133
Credit Suisse Mortgage Capital
Certificates
5.47% 09/15/39........ 128 110 /(h)/
Credit Suisse Mortgage Capital
Certificates (Class C)
5.65% 02/25/36........ 24 2 /(h,i,q)/
CS First Boston Mortgage
Securities Corp.
0.65% 07/15/37........ 863 12 /(b,h,i,q)/
5.34% 10/25/35........ 44 3 /(h,i,q)/
Greenwich Capital Commercial
Funding Corp.
5.44% 03/10/39........ 80 71
5.60% 12/10/49........ 130 129
GS Mortgage Securities Corp II
5.56% 11/10/39........ 90 79
Indymac INDA Mortgage Loan
Trust
5.22% 01/25/36........ 99 1 /(h,i,q)/
Indymac INDA Mortgage Loan
Trust (Class B)
5.22% 01/25/36........ 99 6 /(h,i,q)/
JP Morgan Chase Commercial
Mortgage Securities Corp.
5.34% 08/12/37........ 90 89 /(i)/
5.50% 06/12/47........ 30 13 /(i)/
6.07% 02/12/51........ 150 118
6.20% 02/12/51........ 30 5 /(b,i,q)/
JP Morgan Chase Commercial
Mortgage Securities Corp.
(Class A)
5.90% 02/12/51........ 120 87 /(i)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
37
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
LB-UBS Commercial
Mortgage Trust
0.72% 01/18/12..... $ 1,077 $ 12 /(h,i,q)/
1.00% 01/15/36..... 465 21 /(b,d,h,q)/
4.95% 09/15/30..... 50 48
5.87% 09/15/45..... 150 132 /(i)/
6.15% 04/15/41..... 20 12
LB-UBS Commercial Mortgage
Trust (Class B)
6.65% 07/14/16..... 26 27 /(b,h,q)/
LB-UBS Commercial Mortgage
Trust (Class F)
6.24% 07/15/40..... 50 8 /(i,q)/
LB-UBS Commercial Mortgage
Trust (Class X)
0.50% 12/15/39..... 912 11 /(b,h,i,q)/
MASTR Alternative Loans Trust
5.00% 08/25/18..... 34 3 /(g,h,q,r)/
MLCC Mortgage Investors Inc.
5.04% 02/25/36..... 50 2 /(h,i,q)/
Morgan Stanley Capital I
5.16% 10/12/52..... 100 98 /(i)/
5.28% 12/15/43..... 58 59 /(h)/
5.33% 12/15/43..... 58 54 /(h)/
5.36% 11/12/41..... 230 189
5.39% 11/12/41..... 162 91 /(h,i)/
5.44% 02/12/44..... 350 346 /(b)/
5.69% 04/15/49..... 150 126 /(i)/
5.71% 07/12/44..... 100 100 /(h)/
Morgan Stanley Capital I (Class A)
1.00% 03/12/44..... 130 125 /(i)/
Opteum Mortgage
Acceptance Corp.
0.53% 02/25/35..... 122 79 /(h,i)/
Residential Accredit Loans Inc.
6.00% 01/25/36..... 179 4 /(h,q)/
Structured Asset Securities Corp.
(Class X)
2.17%** 02/25/28..... 54 -- /(i,q)/
Wachovia Bank Commercial
Mortgage Trust
5.25% 12/15/43..... 80 77
PRINCIPAL
AMOUNT VALUE
Wachovia Bank Commercial
Mortgage Trust (Class A)
5.99% 06/15/45............ $ 30 $ 18 /(i)/
Wells Fargo Mortgage Backed
Securities Trust
5.50% 01/25/36 - 03/25/36. 194 25 /(h,q)/
3,370
SOVEREIGN BONDS -- 0.5%
Government of Argentina
2.50% 12/31/38............ 12 4
Government of Belize
4.25% 02/20/29............ 12 6 /(j)/
Government of Brazil
8.00% 01/15/18............ 37 42
Government of Colombia
7.38% 09/18/37............ 100 109
Government of Croatia
6.75% 11/05/19............ 100 108 /(b)/
Government of Dominican
9.50% 09/27/11............ 49 51
Government of Indonesia
11.63% 03/04/19............ 100 144 /(b)/
Government of Korea
5.75% 04/16/14............ 20 22
Government of Lebanon
4.00% 12/31/17............ 10 9 /(a)/
Government of Manitoba Canada
4.90% 12/06/16............ 60 63 /(h)/
Government of Panama
6.70% 01/26/36............ 55 58
Government of Peruvian
6.55% 03/14/37............ 81 84
Government of Philippines
6.50% 01/20/20............ 100 108
Government of Poland
6.38% 07/15/19............ 20 22
Government of Quebec Canada
7.50% 09/15/29............ 90 113
Government of Uruguay
6.88% 09/28/25............ 20 20
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
38
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Government of Venezuela
5.38% 08/07/10..... $ 74 $ 72
10.75% 09/19/13..... 33 29
Republic of Lithuania
6.75% 01/15/15..... 100 102 /(b)/
1,166
MUNICIPAL BONDS AND NOTES -- 0.1%
American Municipal
Power-Ohio Inc.
6.05% 02/15/43..... 48 45
Dallas Area Rapid Transit
6.00% 12/01/44..... 40 41
New Jersey State Turnpike
Authority
7.41% 01/01/40..... 20 22
New Jersey Transportation Trust
Fund Authority
6.88% 12/15/39..... 15 15
123
TOTAL BONDS AND NOTES
(COST $49,393)............... 49,229
NUMBER
OF SHARES VALUE
-------------------------------------------------------------
EXCHANGE TRADED FUNDS -- 0.5%
-------------------------------------------------------------
Financial Select Sector
SPDR Fund...................... 197,287 197 /(o)/
Industrial Select Sector
SPDR Fund...................... 827,197 827 /(o)/
TOTAL EXCHANGE TRADED FUNDS
(COST $1,309).................. 1,024
-------------------------------------------------------------
OTHER INVESTMENTS -- 0.1%
-------------------------------------------------------------
GEI Investment Fund
(COST $271).................... 206 /(k)/
TOTAL INVESTMENTS IN SECURITIES
(COST $180,653)................ 184,547
VALUE
SHORT-TERM INVESTMENTS -- 16.3%
----------------------------------------------------------------
GE Money Market Fund Institutional Class
0.01%......................... $ 35,925 /(d,p)/
(COST $35,925)
TOTAL INVESTMENTS
(COST $216,578).............. 220,472
OTHER ASSETS AND LIABILITIES,
NET -- 0.1%.................. 182
---------
NET ASSETS -- 100.0%.......... $ 220,654
=========
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
The Elfun Diversified Fund had the following long futures contracts open at
December 31, 2009 :
NUMBER CURRENT
EXPIRATION OF NOTIONAL UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE APPRECIATION
- ----------------------------------------------------------------
DJ Euro Stoxx 50
Index Futures March 2010 7 $ 298 $ 5
FTSE 100 Index
Futures March 2010 2 173 4
Russell 2000 Mini
Index Futures March 2010 72 4,492 135
S&P 500 EMini Index
Futures March 2010 262 14,550 153
S&P Midcap 400
Emini Index
Futures March 2010 1 72 2
Topix Index
Futures March 2010 1 97 --
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
39
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
The Elfun Diversified Fund had the following short futures contracts open at
December 31, 2009 :
NUMBER CURRENT
EXPIRATION OF NOTIONAL UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE APPRECIATION
- -----------------------------------------------------------------
2 Yr. U.S.Treasury
Notes Futures March 2010 3 $ (649) $ 3
5 Yr. U.S.Treasury
Notes Futures March 2010 2 (229) 5
10 Yr. U.S.Treasury
Notes Futures March 2010 25 (2,886) 67
-------
$ 374
=======
The Elfun Diversified Fund was invested in the following countries at
December 31, 2009 : (unaudited)
COUNTRY PERCENTAGE (BASED ON MARKET VALUE)
- ----------------------------------------------
United States 69.02%
United Kingdom 4.69%
Japan 3.58%
France 3.16%
Switzerland 3.12%
Germany 2.48%
Canada 2.05%
Brazil 1.70%
China 1.25%
South Korea 1.08%
Spain 1.04%
Taiwan 0.88%
Netherlands 0.68%
Italy 0.61%
Australia 0.60%
Russia 0.47%
South Africa 0.35%
India 0.33%
Luxembourg 0.30%
Hong Kong 0.30%
Ireland 0.21%
Mexico 0.21%
Indonesia 0.20%
Cayman Islands 0.18%
Sweden 0.15%
Chile 0.14%
Turkey 0.10%
Denmark 0.10%
Philippines 0.10%
Finland 0.10%
Peru 0.09%
Singapore 0.07%
Colombia 0.06%
Israel 0.05%
Croatia 0.05%
Czech Republic 0.05%
Lithuania 0.05%
Venezuela 0.05%
United Arab Emirates 0.05
Egypt 0.04%
Jamaica 0.03%
Kazakhstan 0.03%
Malaysia 0.03%
Austria 0.03%
Honduras 0.03%
Bermuda 0.03%
Panama 0.03%
Dominican Republic 0.02%
Thailand 0.02%
Poland 0.01%
--
100.00%
======
The Elfun Diversified Fund was invested in the following industries at December
31, 2009 :
INDUSTRIES PERCENTAGE (BASED ON MARKET VALUE)
- -------------------------------------------------
Short-Term 16.29%
Corporate Notes 8.40%
Agency Mortgage Backed 5.54%
U.S. Treasuries 4.91%
Commercial Banks 4.54%
Oil, Gas & Consumable Fuels 4.30%
Capital Markets 2.86%
Metals & Mining 2.44%
Communications Equipment 2.35%
Insurance 2.32%
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
40
ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
Pharmaceuticals 2.31%
Chemicals 2.05%
Software 1.94%
Healthcare Equipment & Supplies 1.92%
Wireless Telecommunication Services 1.91%
Semiconductors & Semiconductor Equipment 1.8
Media 1.81%
Specialty Retail 1.74%
Energy Equipment & Services 1.65%
Food Products 1.64%
Non-Agency Collateralized Mortgage Obligations
Diversified Financial Services 1.49%
Biotechnology 1.44%
IT Services 1.38%
Healthcare Providers & Services 1.19%
Commercial Services & Supplies 1.08%
Industrial Conglomerates 1.05%
Electric Utilities 1.02%
Beverages 0.99%
Aerospace & Defense 0.97%
Household Products 0.97%
Computers & Peripherals 0.92%
Multi-Utilities 0.88%
Food & Staples Retailing 0.79%
Asset Backed 0.78%
Internet Software & Services 0.75%
Real Estate Management & Development 0.71%
Diversified Telecommunication Services 0.71%
Automobiles 0.70%
Machinery 0.68%
Life Sciences Tools & Services 0.67%
Agency Collateralized Mortgage Obligations 0
Electrical Equipment 0.53%
Sovereign Bonds 0.53%
Multiline Retail 0.51%
Construction & Engineering 0.50%
Exchange Traded Fund 0.46%
Personal Products 0.42%
Hotels Restaurants & Leisure 0.40%
Electronic Equipment, Instruments & Components
Textiles Apparel & Luxury Goods 0.36%
Construction Materials 0.21%
Tobacco 0.18%
Professional Services 0.17%
Household Durables 0.16%
Building Products 0.16%
Road & Rail 0.12%
Water Utilities 0.12%
Real Estate Investment Trusts (REIT's) 0.11
Thrifts & Mortgage Finance 0.11%
Trading Companies & Distributors 0.10%
Other Investments 0.09%
Paper & Forest Products 0.08%
Gas Utilities 0.07%
Auto Components 0.06%
Municipal Bonds and Notes 0.06%
Marine 0.04%
Transportation Infrastructure 0.02%
Independent Power Producers & Energy Traders
--
100.00%
======
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
41
[GRAPHIC]
[PHOTO]
Michael J.Caufield
The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See
portfolio managers' biographical information beginning on page 109.
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,
2009?
A.For the twelve-month period ended December 31, 2009, the Elfun-Tax-Exempt
Fund returned 13.64%. The Barclays Capital Municipal Bond Index, the Fund's
benchmark, returned 12.91% and the Fund's Morningstar peer group of 271 US
Muni National Long funds returned an average of 17.31% for the same period.
Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE?
A.The municipal bond market returns over the last twelve months reflected a
dramatic turnaround in investor sentiment. The return of the retail investor,
awakened by the realization of higher personal tax rates on both the state
and federal level was a central theme in the municipal bond market resurgence
over the last twelve months. As a result, tax-exempt mutual funds reported
net inflows of more than $405 billion, growing assets by more than 34%. This
tsunami of cash pushed a market with limited supply to the best return for
the decade.
As state and local entities continued to struggle to balance their budgets,
given lower than expected tax revenues and years of unconstrained spending,
the ability to provide essential services was seriously challenged. The
federal government, as a result, focused a significant part of its economic
stimulus efforts on municipalities. The American Investment and Recovery Act
passed in early 2009 created the Build America Bond (BAB) program, which
provided federal subsidies to municipalities issuing bonds in the taxable
market. A new source of financing for issuers translated into significant
borrowing cost savings enabling many to relieve financial stress. By
diverting new issuance away
from tax-exempt investors however, an acute supply/demand imbalance
developed, driving double-digit returns and pushing municipal bond yields to
their lowest level since 1967. Historically attractive relative value
attracted broad based demand, which, driven by renewed investor confidence
and an increased tolerance for risk, contributed to rapid price recovery.
Q.WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDED
DECEMBER 31, 2009 AND HOW WAS THE FUND POSITIONED WITH RESPECT TO ECONOMIC
CONDITIONS?
A.The overriding factor impacting the U.S. economy over the last twelve months
has been the efforts of the federal government to stabilize the nation's
financial system amid a global financial meltdown and direct an economic
recovery. While the Federal Reserve and Treasury aggressively moved to
stabilize
42
[GRAPHIC]
financial markets, a new administration faced challenges unseen for several
generations. Despite a concerted effort to lower short-term interest rates,
the municipal bond market along with most fixed income markets, struggled to
overcome liquidity issues, which reeked havoc throughout 2008. The
restoration of confidence in worldwide credit markets took a foothold in
early 2009 and the municipal bond market responded positively.
Structure clearly was a winning formula for the Fund returns over the last
twelve months as our approach, based upon a long-term perspective, delivered.
By maintaining a highly rated and liquid portfolio the Fund weathered the
storm in late 2008 and was well positioned early in 2009 to take advantage of
a historically steep yield curve. Curve positioning as a result played a
significant role in Fund returns for the year. While the Fund continued to
benefit from its laddered approach to curve positioning, and maintained
reliance upon a pre-refunded debt component for income stability, we
selectively adjusted our risk exposure adding securities that would allow the
Fund to participate in a move to a lower rate environment. The Fund was
repositioned favoring the 20-30 year curve segment, which was the best
returning sector in the Barclay Municipal Bond Index, contributing a 23%
return over the last twelve months The Fund, by extending its risk profile
and adding exposure on the long end of the curve early in the year, was able
to benefit from the ensuing migration of investors fleeing the paltry yields
offered by money market funds.
Our adherence to strict credit underwriting standards afforded confidence
through one of the most challenging period in municipal market history in
2008, allowing the Fund to exhibit patience in our maintaining exposure in
the healthcare sector. Increased investor tolerance for risk contributed to
an expected compression of quality spreads in 2009 and resurgence in the
healthcare sector provided a significant enhancement to Fund returns. The
hospital sector was the best returning sector in the Fund returning in excess
of 32%. In general however, we believe the Fund returns continued to exhibit
qualities associated with a long term, conservative investment approach,
which has been validated throughout several interest rate cycles. Fund
returns have exceeded 92% of its peer group's return for three years, 95% for
five years and 97% for ten years.
43
[GRAPHIC]
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur ongoing expenses, which 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 each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the
entire six-month period ended December 31, 2009.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the
period. To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. You may use this information to compare the ongoing costs
of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholders reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2009 - DECEMBER 31, 2009
-----------------------------------------------------------------------
ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
-----------------------------------------------------------------------
Actual Fund Return** 1,000.00 1,058.01 0.93
-----------------------------------------------------------------------
Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,024.01 0.92
-----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.18% (for the
period between July 1, 2009 - December 31, 2009), multiplied by the average
account value over the period, multiplied by 184/365 (to reflect the
six-month period).
**Actual Fund Return for the six-month period ended December 31, 2009 was:
5.80%.
44
[GRAPHIC]
CHANGE IN VALUE OF A $10,000 INVESTMENT
[CHART]
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2009
- --------------------------------------------------------------------------------
FIVE TEN
ONE YEAR YEAR YEAR
- --------------------------------------
Elfun Tax-Exempt
Income Fund 13.64% 4.38% 5.78%
Barclays Capital
U.S. Municipal
Bond Index 12.91% 4.32% 5.75%
[GRAPHIC]
INVESTMENT PROFILE
A Mutual Fund designed for investors who seek as high a level of current
interest income exempt from federal income taxation as is available from
concentration of investment in municipal bonds consistent with prudent
investment management and the preservation of capital by investing primarily in
investment-grade municipal securities. Under normal circumstances, the
portfolio manager manages the Fund so that at least 80% of the Fund's income is
exempt from both regular federal income taxes and the federal alternative
minimum tax.
MORNINGSTAR PERFORMANCE COMPARISON
US OE Muni National Long Peer Group
Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN
YEAR YEAR YEAR
Fund's Rank in peer group.............. 211 16 9
Number of funds in peer group.......... 272 233 203
Peer group average annual total return. 17.31% 3.07% 4.72%
Morningstar Category in peer group: Muni National Long
QUALITY RATINGS
AS OF DECEMBER 31, 2009
AS A % OF MARKET VALUE
- --------------------------------------------------------------------------------
PERCENTAGE OF
MOODY'S/S&P/ FITCH RATING* MARKET VALUE
- -----------------------------------------
Aaa/AAA 28.43%
- -----------------------------------------
Aa/AA 38.59%
- -----------------------------------------
A/A 24.49%
- -----------------------------------------
Below A 8.49%
- -----------------------------------------
100.00%
- -----------------------------------------
*Moody's Investors Services Inc, Standard & Poor's and Fitch are nationally
recognized statistical rating organizations.
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT
FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF
FUND SHARES.
45
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
ELFUN TAX-EXEMPT INCOME FUND
Portfolio Composition as a % of the Market Value of $1,774,453 as of December
31, 2009.
[CHART]
PRINCIPAL
AMOUNT VALUE
MUNICIPAL BONDS -- 99.5%+
--------------------------------------------------------------
ALABAMA -- 1.5%
Alabama Water Pollution
Control Authority
(AMBAC Insured)
4.75% 08/15/21.............. $ 5,000 $ 5,001 /(n)/
City of Birmingham
5.25% 05/01/17.............. 3,395 3,618
East Alabama Health Care
Authority
5.00% 09/01/33.............. 5,500 5,694
Montgomery BMC Special Care
Facilities Financing Authority
5.00% 11/15/20.............. 8,375 9,499 /(m)/
Montgomery Medical
Clinic Board
5.25% 03/01/31 - 03/01/36... 3,000 2,680
26,492
ALASKA -- 0.2%
City of Anchorage
6.50% 12/01/10 2,825 2,976
PRINCIPAL
AMOUNT VALUE
ARIZONA -- 2.7%
Arizona State
Transportation Board
5.00% 07/01/19.............. $ 5,345 $ 5,925
Arizona State University
(FSA Insured)
5.25% 07/01/15.............. 5,000 5,440 /(n)/
City of Phoenix
5.00% 07/01/19.............. 5,000 5,606
Glendale Western Loop 101
Public Facilites Corp.
6.25% 07/01/38.............. 10,000 10,666
Maricopa County Industrial
Development Authority
5.50% 07/01/26.............. 5,000 5,081
Maricopa County Stadium
District (AMBAC Insured)
5.38% 06/01/16.............. 2,145 2,274 /(n)/
Phoenix Civic
Improvement Corp.
5.00% 07/01/39.............. 3,500 3,590
Phoenix Civic Improvement
Corp. (FGIC Insured)
5.50% 07/01/23 - 07/01/24... 7,260 8,539 /(n)/
University Medical Center Corp.
6.50% 07/01/39.............. 1,000 1,056
48,177
CALIFORNIA -- 8.0%
Abag Finance Authority for
Nonprofit Corps
5.00% 12/01/37.............. 7,940 6,970
Bay Area Toll Authority
5.00% 04/01/31 - 04/01/34... 15,000 15,266
California Educational
Facilities Authority
5.00% 10/01/39.............. 7,000 7,276
5.25% 10/01/39.............. 6,000 6,344
California Health Facilities
Financing Authority
5.00% 08/15/39.............. 8,500 7,742
6.00% 07/01/39.............. 5,000 5,285
6.50% 10/01/33.............. 3,500 3,910
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
46
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
California State Public Works
Board
5.00% 10/01/21.............. $ 9,000 $ 8,735
6.00% 04/01/26.............. 8,475 8,612
Chino Basin Regional Financing
Authority (AMBAC Insured)
5.00% 11/01/38.............. 3,000 2,851 /(n)/
Coast Community College
District (FSA Insured)
5.00% 08/01/33.............. 8,750 6,743 /(d,n)/
Foothill-De Anza Community
College District
(AMBAC Insured)
4.50% 08/01/31.............. 5,000 4,710 /(n)/
Los Angeles Department of
Water & Power
(AMBAC Insured)
5.00% 07/01/32.............. 5,000 5,138 /(n)/
Los Angeles Harbor Department
5.00% 08/01/26.............. 8,000 8,442
Metropolitan Water District of
Southern California
5.00% 07/01/35.............. 5,000 5,153
San Diego Unified School District
(FSA Insured)
5.25% 07/01/17 - 07/01/19... 8,795 9,880 /(n)/
San Francisco Bay Area Transit
Financing Authority
5.00% 08/01/27.............. 5,000 5,354
San Francisco City & County
Airports Commission
5.25% 05/01/26.............. 3,000 3,114
San Francisco City & County
Public Utilities Commission
5.00% 11/01/39.............. 14,040 14,147
University of California
(AMBAC Insured)
5.00% 05/15/34.............. 6,000 6,375 /(n)/
142,047
COLORADO -- 1.0%
Colorado Water Resources &
Power Development
Authority
5.25% 09/01/17 - 09/01/18... 5,880 6,239
PRINCIPAL
AMOUNT VALUE
E-470 Public Highway Authority
5.75% 09/01/35............. $ 4,000 $ 4,215 /(m)/
University of Colorado
Hospital Authority
5.25% 11/15/39............. 7,000 6,784
17,238
CONNECTICUT -- 1.2%
Connecticut State Health &
Educational Facility Authority
5.00% 07/01/42............. 5,000 5,214
Mashantucket Western Pequot
Tribe
5.70% 09/01/12............. 2,500 1,480 /(b)/
South Central Regional
Water Authority
5.00% 08/01/27............. 3,000 3,139
State of Connecticut
5.00% 11/01/26............. 10,000 10,783
20,616
DELAWARE -- 0.6%
County of New Castle
5.00% 07/15/33 - 07/15/39 10,000 10,651
DISTRICT OF COLUMBIA -- 1.5%
District of Columbia
5.50% 04/01/36............. 15,000 16,050
5.75% 09/15/20............. 5,000 5,068
District of Columbia Water
& Sewer Authority
5.25% 10/01/29............. 5,000 5,335
26,453
FLORIDA -- 3.1%
Brevard County Health
Facilities Authority
5.00% 04/01/34............. 2,500 2,278
7.00% 04/01/39............. 1,000 1,097
City of Tampa
5.00% 10/01/26............. 5,000 5,102
County of Seminole
5.00% 10/01/25............. 8,195 8,595
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
47
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Florida State Board of Education
5.38% 06/01/16.............. $ 5,000 $ 5,414
Hillsborough County Industrial
Development Authority
5.00% 10/01/18.............. 5,000 5,064
5.25% 10/01/15 - 10/01/24... 10,630 10,822
Jacksonville Econonomic
Development Commission
5.50% 11/15/36.............. 5,000 5,108
North Broward Hospital District
5.70% 01/15/16.............. 1,915 2,038 /(m)/
South Miami Health
Facilities Authority
5.25% 11/15/33.............. 6,380 7,181 /(m)/
Tampa Bay Water Regional
Water Supply Authority
5.00% 10/01/38.............. 3,000 3,112
55,811
GEORGIA -- 6.8%
Athens-Clarke County
5.50% 01/01/38.............. 7,000 7,588
Athens-Clarke County Unified
Government Development
Authority
6.00% 06/15/31.............. 6,050 4,968 /(d)/
City of Atlanta (FSA Insured)
5.25% 01/01/33.............. 4,000 4,064 /(n)/
5.75% 11/01/27.............. 5,000 5,596 /(n)/
City of Augusta (FSA Insured)
5.25% 10/01/34.............. 8,500 8,765 /(n)/
County of Fulton GA
(FGIC Insured)
5.00% 01/01/30.............. 5,000 5,134 /(n)/
5.25% 01/01/35.............. 5,500 5,647 /(n)/
De Kalb County (FSA Insured)
5.25% 10/01/32.............. 15,000 17,330 /(n)/
DeKalb Newton & Gwinnett
Counties Joint Development
Authority
6.00% 07/01/34.............. 8,500 9,243
Fayette County School District
(FSA Insured)
0.93% 03/01/23.............. 2,290 2,312 /(d,n)/
PRINCIPAL
AMOUNT VALUE
0.97% 03/01/22............. $ 2,520 $ 2,548 /(d,n)/
Henry County Hospital
Authority
5.00% 07/01/24............. 1,865 1,938
Marietta Development Authority
5.00% 09/15/29............. 2,365 2,213
Metropolitan Atlanta Rapid
Transit Authority
5.00% 07/01/39............. 10,000 10,320
Municipal Electric Authority
of Georgia
5.25% 01/01/19............. 2,490 2,761
Private Colleges & Universities
Authority
5.25% 06/01/18 - 06/01/20.. 5,250 5,600
6.00% 06/01/21............. 2,410 2,286
6.50% 11/01/15............. 4,010 4,713 /(l)/
South Regional Joint
Development Authority
4.50% 08/01/39............. 2,650 2,513
State of Georgia
4.50% 01/01/29............. 4,500 4,762
5.00% 08/01/22 - 01/01/26.. 9,250 10,342
120,643
HAWAII -- 1.3%
City & County of Honolulu
6.00% 01/01/12............. 1,265 1,391
City & County of Honolulu HI
5.00% 04/01/33............. 13,320 14,034
6.00% 01/01/12............. 735 812 /(l)/
State of Hawaii (FSA Insured)
5.75% 02/01/14............. 6,500 7,598 /(n)/
23,835
IDAHO -- 1.7%
Idaho Health Facilities Authority
6.75% 11/01/37............. 4,000 4,342
Idaho Housing & Finance Assoc.
5.00% 07/15/17 - 07/15/24.. 23,925 26,192
30,534
ILLINOIS -- 2.6%
County of Cook (AMBAC Insured)
5.50% 11/15/26............. 10,000 11,307 /(m,n)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
48
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Illinois Educational Facilities
Authority
5.00% 12/01/38........ $ 4,960 $ 5,090
Illinois Finance Authority
5.50% 08/15/43........ 5,000 5,851 /(m)/
Illinois Health Facilities Authority
6.13% 11/15/22........ 3,500 3,671 /(m)/
Metropolitan Pier &
Exposition Authority
1.66% 06/15/19........ 4,000 3,884 /(d)/
2.90% 06/15/22........ 4,505 3,587 /(d)/
Southwestern Illinois
Development Authority
5.00% 10/01/21........ 4,000 4,411
University of Illinois
(FGIC Insured)
5.25% 04/01/32........ 8,500 8,872 /(n)/
46,673
INDIANA -- 3.2%
County of St. Joseph IN
5.00% 03/01/36........ 10,000 10,449
Delaware County Hospital
Authority
5.25% 08/01/36........ 3,250 2,545
Indiana Finance Authority
4.95% 10/01/40........ 5,000 4,794
Indiana Health & Educational
Facilities Financing Authority
5.25% 02/15/40........ 10,000 9,355
Indiana Health Facility
Financing Authority
(AMBAC Insured)
5.38% 03/01/34........ 5,500 5,430 /(n)/
Indiana Municipal Power
Agency
5.00% 01/01/42........ 6,150 6,219
Indiana Municipal Power
Agency/IN
5.50% 01/01/27........ 2,500 2,747
5.75% 01/01/34........ 2,000 2,082
Indianapolis Local Public
Improvement Bond Bank
5.75% 01/01/38........ 7,000 7,449
PRINCIPAL
AMOUNT VALUE
Merrillville Multi School
Building Corp.
5.25% 07/15/28............. $ 5,000 $ 5,128
56,198
KANSAS -- 0.6%
Kansas Development Finance
Authority
5.50% 11/15/29............. 3,000 3,076
5.75% 11/15/38............. 2,000 2,059
University of Kansas Hospital
Authority
5.63% 09/01/32............. 4,150 4,647 /(m)/
9,782
KENTUCKY -- 2.4%
Kentucky State Property &
Buildings Commission
5.25% 02/01/27 - 02/01/29.. 19,745 21,355
Kentucky Turnpike Authority
(AMBAC Insured)
5.00% 07/01/26............. 5,000 5,271 /(n)/
Louisville & Jefferson County
Metropolitan Government
5.25% 10/01/36............. 17,000 16,044
42,670
LOUISIANA -- 1.4%
Louisiana Public Facilities
Authority
5.25% 07/01/33............. 10,925 10,780
5.38% 05/15/16............. 7,870 8,945 /(m)/
Parish of St. John Baptist
5.13% 06/01/37............. 5,550 4,934
24,659
MAINE -- 0.6%
Maine Health & Higher
Educational Facilities
Authority
5.13% 07/01/31............. 5,000 5,340
Maine Health & Higher
Educational Facilities
Authority (FSA Insured)
5.50% 07/01/23............. 55 55 /(n)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
49
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Maine Municipal Bond Bank
5.50% 11/01/21............. $ 3,325 $ 3,617 /(m)/
Maine Turnpike Authority
6.00% 07/01/34............. 1,250 1,401
10,413
MARYLAND -- 3.3%
County of Montgomery MD
5.00% 11/01/17............. 8,350 9,753
County of Prince Georges
5.00% 10/01/22............. 6,820 7,775 /(m)/
Maryland Health & Higher
Educational Facilities
Authority
5.00% 07/01/32 - 07/01/34.. 13,300 13,435
5.13% 11/15/34 - 07/01/39.. 9,200 10,214 /(m)/
University System of Maryland
5.25% 04/01/17............. 8,035 8,764 /(m)/
Washington Suburban
Sanitation District
4.50% 06/01/26............. 8,470 8,980
58,921
MASSACHUSETTS -- 4.4%
Massachusetts Health &
Educational Facilities
Authority
5.00% 07/01/34 - 07/15/35.. 22,000 22,270
5.38% 08/15/38............. 2,000 2,135
5.50% 11/15/36............. 4,000 4,437
5.75% 07/01/39............. 8,000 7,874
Massachusetts State Turnpike
Authority
5.13% 01/01/23 - 01/01/37.. 20,500 20,611
Massachusetts Water
Resources Authority
5.00% 08/01/39............. 4,000 4,189
6.50% 07/15/19............. 14,125 17,217 /(l)/
78,733
MICHIGAN -- 2.3%
Detroit MI
5.00% 07/01/27 - 07/01/33.. 12,145 11,978
PRINCIPAL
AMOUNT VALUE
Detroit MI (FSA Insured)
5.25% 07/01/21 - 07/01/22.. $ 4,545 $ 4,888 /(n)/
Grand Rapids MI (FGIC Insured)
5.25% 01/01/17............. 3,000 3,066 /(n)/
Michigan Municipal Bond
Authority
5.25% 10/01/17............. 6,465 6,911
Michigan State Hospital Finance
Authority
5.38% 12/01/30............. 2,000 2,022
State of Michigan
5.50% 11/01/18............. 6,000 6,796
State of Michigan (FSA Insured)
5.25% 09/15/27............. 5,000 5,258 /(n)/
40,919
MISSISSIPPI -- 0.5%
State of Mississippi
5.50% 09/01/14 7,500 8,762
MISSOURI -- 0.6%
Missouri Joint Municipal Electric
Utility Commission
5.75% 01/01/29............. 4,500 4,792
Missouri State Environmental
Improvement & Energy
Resources Authority
5.00% 01/01/24............. 5,000 5,371
10,163
NEVADA -- 0.5%
County of Clark
5.50% 07/01/20............. 7,565 7,757 /(m)/
Las Vegas Special Improvement
District No 707 (FSA Insured)
5.55% 06/01/16............. 1,710 1,731 /(n)/
9,488
NEW JERSEY -- 9.5%
Cape May County Municipal
Utilities Authority
(FSA Insured)
5.75% 01/01/15 - 01/01/16.. 8,500 9,994 /(n)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
50
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Essex County Improvement
Authority (FSA Insured)
5.25% 12/15/17............. $ 10,000 $ 10,905 /(m,n)/
New Jersey Economic
Development Authority
5.50% 12/15/29............. 5,000 5,535
5.75% 06/15/29............. 3,000 2,941
New Jersey St Higher Education
Assistance Authority
5.63% 06/01/30............. 7,500 8,011
New Jersey State Educational
Facilities Authority
5.25% 07/01/32............. 2,625 2,976 /(m)/
6.00% 12/01/17............. 10,000 10,870
New Jersey State Turnpike
Authority
5.25% 01/01/40............. 15,000 15,455
New Jersey State Turnpike
Authority (AMBAC Insured)
6.50% 01/01/16 - 01/01/16.. 49,960 58,630 /(l,n)/
New Jersey Transportation
Trust Fund Authority
5.50% 06/15/19 - 06/15/24.. 31,280 35,961 /(m)/
New Jersey Transportation
Trust Fund Authority
(FSA Insured)
5.75% 12/15/14............. 6,000 7,134 /(n)/
168,412
NEW MEXICO -- 1.5%
New Mexico Finance Authority
5.00% 12/15/26............. 14,000 15,078
New Mexico Hospital Equipment
Loan Council
5.50% 08/01/25 - 08/01/30.. 10,750 11,655 /(m)/
26,733
NEW YORK -- 8.1%
Albany Industrial Development
Agency
5.25% 11/15/27 - 11/15/32.. 6,500 6,076
Brooklyn Arena Local
Development Corp.
6.00% 07/15/30............. 4,500 4,552
6.25% 07/15/40............. 5,000 5,057
PRINCIPAL
AMOUNT VALUE
City of New York
5.25% 08/01/13............. $ 5 $ 5
Long Island Power Authority
6.00% 05/01/33............. 7,500 8,415
Metropolitan Transportation
Authority
5.00% 11/15/34............. 10,500 10,863
New York City Industrial
Development Agency
5.00% 03/01/36............. 4,000 3,729
New York City Industrial
Development Agency
(FGIC Insured)
5.00% 03/01/46............. 6,000 5,453 /(n)/
New York City Municipal Water
Finance Authority
4.50% 06/15/38............. 5,000 4,844
New York City Transitional
Finance Authority
5.50% 11/15/11 - 07/15/31.. 16,250 17,122
6.00% 11/15/19............. 3,750 3,866 /(m)/
New York State Dormitory
Authority
0.62% 07/01/39............. 4,000 3,458 /(d)/
5.00% 03/15/25 - 07/01/39.. 19,260 20,166
5.25% 11/15/23............. 10,400 11,315
5.38% 07/01/20............. 3,695 4,116 /(m)/
5.50% 05/01/37............. 2,500 2,496
6.50% 08/15/10 - 12/01/21.. 7,995 8,102 /(l)/
New York State Urban
Development Corp.
5.50% 07/01/16 - 01/01/19.. 12,405 13,596
Triborough Bridge & Tunnel
Authority
5.00% 11/15/26............. 10,000 10,739
143,970
NORTH CAROLINA -- 2.6%
Cary NC
5.00% 03/01/21............. 2,400 2,519
City of Charlotte
5.00% 07/01/24 - 07/01/38.. 6,460 6,813
City of Charlotte NC
5.00% 07/01/15 - 07/01/38.. 18,440 20,436
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
51
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
North Carolina Capital Facilities
Finance Agency
5.00% 01/01/38............... $ 1,000 $ 1,049
North Carolina Eastern
Municipal Power Agency
5.00% 01/01/26............... 5,000 5,116
North Carolina Medical Care
Commission
5.00% 06/01/42............... 3,000 2,967
North Carolina Municipal Power
Agency No 1 Catawba
5.00% 01/01/30............... 3,195 3,262
State of North Carolina
4.63% 05/01/29............... 1,500 1,544
University of North Carolina
System
5.00% 10/01/18............... 2,750 2,990
46,696
OHIO -- 4.6%
American Municipal
Power-Ohio Inc.
5.00% 02/15/38............... 5,000 5,026
City of Cleveland
5.00% 01/01/27............... 9,885 10,057
City of Columbus
4.75% 06/01/31............... 5,000 5,176
City of Columbus OH
4.50% 06/01/32............... 700 710
County of Cuyahoga
6.00% 01/01/32............... 10,000 10,323
County of Franklin
5.00% 05/15/21............... 2,685 2,752
5.25% 05/15/24............... 1,400 1,435
County of Hamilton
5.00% 12/01/19............... 4,250 4,501
County of Hamilton
(AMBAC Insured)
5.25% 12/01/32............... 7,500 7,768 /(m,n)/
Cuyahoga Community College
District
5.00% 08/01/26 - 08/01/27.... 3,000 3,171
Kent State University Revenues
5.00% 05/01/29 - 05/01/30.... 3,420 3,542
PRINCIPAL
AMOUNT VALUE
Ohio St Higher Educational
Facility Commission
5.20% 11/01/26...... $ 9,450 $ 10,313 /(m)/
6.25% 05/01/38...... 5,000 5,324
Ohio State University
5.25% 12/01/11...... 3,150 3,410
Ohio State Water Development
Authority
5.50% 12/01/20...... 5,000 5,664 /(m)/
State of Ohio
5.00% 11/01/32...... 1,100 1,151
Steubenville Oh
6.38% 10/01/20...... 1,660 1,734 /(m)/
82,057
OKLAHOMA -- 1.5%
Claremore Public Works
Authority (FSA Insured)
5.25% 06/01/34...... 6,315 7,394 /(m,n)/
Oklahoma Municipal Power
Authority (FGIC Insured)
4.50% 01/01/47...... 9,000 7,959 /(n)/
Oklahoma Turnpike Authority
(AMBAC Insured)
5.25% 01/01/15...... 9,125 9,794 /(n)/
Tulsa Industrial Authority
5.00% 10/01/22...... 2,000 2,005
27,152
PENNSYLVANIA -- 4.1%
Allegheny County Hospital
Development Authority
5.00% 11/15/28...... 16,000 11,892
Delaware County Authority
5.25% 12/01/31...... 1,850 1,934
Montgomery County Higher
Education & Health Authority
(AMBAC Insured)
5.10% 10/01/10...... 2,670 2,679 /(n)/
Northampton County General
Purpose Authority
5.50% 08/15/35...... 4,000 3,872
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
52
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Pennsylvania Higher
Educational Facilties
Authority
5.50% 08/15/18............. $ 1,000 $ 1,129
6.00% 05/01/30............. 5,000 5,029
Pennsylvania Industrial
Development Authority
(AMBAC Insured)
5.50% 07/01/17............. 3,100 3,288 /(n)/
Pennsylvania Turnpike
Commission
5.25% 06/01/39............. 12,000 12,150
Pennsylvania Turnpike
Commission (AMBAC Insured)
5.00% 12/01/23............. 2,875 2,895 /(l,n)/
5.25% 12/01/32............. 12,000 12,477 /(n)/
Philadelphia Authority for
Industrial Development
5.25% 09/01/36............. 1,750 1,402
Southcentral General Authority
5.38% 05/15/28............. 5,000 5,346 /(m)/
State Public School Building
Authority (FSA Insured)
5.25% 06/01/27............. 8,000 9,103 /(m,n)/
73,196
PUERTO RICO -- 1.6%
Commonwealth of Puerto Rico
5.75% 07/01/38............. 7,000 6,932
6.00% 07/01/39............. 10,000 10,036
Puerto Rico Sales Tax
Financing Corp.
6.75% 08/01/32............. 15,000 11,129 /(d)/
28,097
RHODE ISLAND -- 0.1%
Rhode Island Health &
Educational Building Corp.
6.25% 09/15/34............. 1,300 1,391
6.50% 09/15/28............. 1,000 1,126
2,517
SOUTH CAROLINA -- 6.1%
Beaufort County SC
5.50% 06/01/17 - 06/01/18.. 4,150 4,446
PRINCIPAL
AMOUNT VALUE
Berkeley County School District
5.25% 12/01/24.............. $ 15,000 $ 15,382
Charleston Educational
Excellence Finance Corp.
5.25% 12/01/27 - 12/01/30... 21,850 22,638
City of Greenville
5.13% 02/01/22.............. 5,195 5,374
Greenville County School District
5.25% 12/01/21.............. 2,000 2,080
5.50% 12/01/28.............. 10,725 12,236 /(m)/
Lexington County SC
5.50% 11/01/13.............. 5,000 5,459
South Carolina Educational
Facilities Authority
5.00% 10/01/38.............. 8,150 8,299
South Carolina Jobs-Economic
Development Authority
5.75% 08/01/39.............. 2,000 1,886
South Carolina State Public
Service Authority
5.50% 01/01/38.............. 7,500 8,147
South Carolina State Public
Service Authority
(FSA Insured)
5.13% 01/01/32.............. 17,000 17,443 /(n)/
5.50% 01/01/36.............. 5,000 5,479 /(m,n)/
108,869
TENNESSEE -- 0.6%
Knox County Health Educational
& Housing Facilities Board
5.25% 04/01/36.............. 10,000 9,075
State of Tennessee
5.00% 05/01/19.............. 1,000 1,142
10,217
TEXAS -- 4.3%
City of Austin (AMBAC Insured)
5.50% 11/15/16.............. 5,450 6,385 /(n)/
City of Houston (AMBAC Insured)
5.75% 12/01/14.............. 5,000 5,684 /(m,n)/
City of Houston (FSA Insured)
5.25% 05/15/22.............. 10,000 10,680 /(n)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
53
ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
North Central Texas Health
Facility Development Corp.
5.13% 05/15/22............. $ 4,500 $ 4,523
North Texas Tollway Authority
5.25% 01/01/44............. 12,500 12,134
5.63% 01/01/33............. 1,500 1,539
5.75% 01/01/38 - 01/01/40.. 20,000 20,365
San Antonio Independent
School District
5.38% 08/15/19 - 08/15/20.. 6,250 6,739 /(m)/
State of Texas
5.00% 04/01/28 - 08/01/39.. 8,000 8,368
76,417
UTAH -- 0.1%
Murray UT
4.75% 05/15/20 2,285 2,289 /(l)/
VERMONT -- 0.4%
University of Vermont & State
Agricultural College
(AMBAC Insured)
5.13% 10/01/27............. 1,000 1,114 /(m,n)/
Vermont Educational & Health
Buildings Financing Agency
5.00% 10/31/46............. 5,700 5,805
6,919
VIRGIN ISLANDS -- 0.1%
Virgin Islands Public
Finance Authority
5.00% 10/01/39 1,000 903
VIRGINIA -- 1.0%
City of Richmond VA
5.00% 01/15/40............. 10,000 10,519
Virginia College
Building Authority
4.38% 02/01/28............. 845 874
Virginia Resources Authority
5.25% 11/01/38............. 5,000 5,334
Winchester Industrial
Development Authority
5.63% 01/01/44............. 1,000 986
17,713
PRINCIPAL
AMOUNT VALUE
WASHINGTON -- 0.7%
County of King
5.50% 12/01/13 $ 10,000 $ 11,631 /(l)/
WEST VIRGINIA -- 0.4%
West Virginia Hospital Finance
Authority
5.50% 09/01/28........ 2,580 2,495
5.63% 09/01/32........ 2,000 1,929
West Virginia Housing
Development Fund
5.30% 05/01/24........ 2,000 2,018
6,442
WISCONSIN -- 0.2%
State of Wisconsin
(AMBAC Insured)
5.75% 07/01/14 2,990 3,282 /(n)/
TOTAL BONDS AND NOTES
(COST $1,691,365)............ 1,766,366
--------------------------------------------------------------
OTHER INVESTMENTS -- 0.0%*
--------------------------------------------------------------
GEI Investment Fund
(COST $370).................. 281 /(k)/
TOTAL INVESTMENT IN SECURITIES
(COST $1,691,735)............ 1,766,647
--------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.4%
--------------------------------------------------------------
TIME DEPOSIT
State Street Corp.
0.01% 12/01/09........ $ 23674 $ 7,806 /(e)/
(COST $7,806)
TOTAL INVESTMENTS
(COST $1,699,541)............ 1,774,453
OTHER ASSETS AND LIABILITIES,
NET -- 0.1%.................. 2,350
-----------
NET ASSETS -- 100.0%.......... $ 1,776,803
===========
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
54
[GRAPHIC]
[PHOTO]
Paul M. Colonna
The Elfun Income Fund is managed by a team of portfolio managers that includes
Paul M. Colonna (pictured to the left), William M. Healey, Mark H. Johnson and
Vita Marie Pike. The team is lead by Mr. Colonna who is vested with oversight
authority. Each portfolio manager is assigned a class of assets, the size of
which are determined by team consensus and adjusted on a monthly basis, if
necessary. Although each portfolio manager manages his or her asset class
independent of the other team members, the team is highly collaborative and
communicative. See portfolio managers' biographical information beginning on
page 109.
Q.HOW DID THE ELFUN INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND
MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009?
A.For the twelve-month period ended December 31, 2009, the Elfun Income Fund
returned 8.04%. The Barclays Capital U.S. Aggregate Bond Index, the Fund's
benchmark, returned 5.93% and the Fund's Morningstar peer group of 1,126 U.S.
Intermediate-Term Bond funds returned an average of 13.47% for the same
period.
Q.DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD
ENDED DECEMBER 31, 2009.
A.Financial markets rallied strongly beginning in March 2009 as policymakers
around the world kept the liquidity pump primed and the global economy began
recovering from the recession in 2008. GDP growth in the U.S. turned positive
in the third quarter, while unemployment continued to rise ending the year at
10%. The U.S. lost over 4 million jobs in 2009 (reported by the Bureau of
Labor Statistics). Government support programs targeting the auto (Cash for
Clunkers) and housing (first-time homebuyer tax credits) industries created
demand which boosted second half growth.
Central banks around the globe kept interest rates low throughout the year.
The Federal Reserve held its federal funds target at 0-0.25% and finished the
year with a balance sheet over $2.2 trillion, 2 1/2 times its size prior to
the financial crisis in August 2007. In the statement from its final meeting
in December, the Federal Open Market Committee (FOMC) repeated that "economic
conditions...are likely to warrant exceptionally low levels of the federal
funds rate for an extended period." Quantitative easing measures including
the purchase of $1.25 trillion of agency mortgage-back securities (MBS) and
$175 billion of agency debt are scheduled to wind down early in 2010 along
with many of the special liquidity facilities given the improvement in the
financial markets.
The improving fundamental backdrop created a performance environment in which
non-government related issues (corporate, commercial MBS, asset-backed)
outperformed U.S. government securities including agency mortgage-backed
securities. Interest rates rose across the maturity spectrum in 2009
55
[GRAPHIC]
producing negative total returns for U.S. treasuries. The U.S. treasury
2-year and 10-year note yield ended the year at 1.14% and 3.84% respectively,
up 38 basis points (bps) and 163 bps. Default expectations tumbled as
economic activity recovered and credit spreads collapsed from March highs.
Lower quality credit rewarded investors with outsized returns. The high yield
market returned over 58% compared to high grade credit which gained just over
16%. Commercial mortgage-backed and asset-backed securities also performed
strongly, up 28.5% and 24.7% respectively, with help from the Term
Asset-Backed Loan Facility (TALF) program.
Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE?
A.The primary drivers of Fund performance in 2009 were sector allocation and
duration positioning. The Fund's allocation to high yield and emerging market
debt had a large positive impact on total return as those two sectors far
outpaced the return of the benchmark. Overweight positions in high grade
credit and commercial MBS during the second half of the year also contributed
positively as yield spreads narrowed. Duration positioning added to relative
return, particularly in December when interest rates rose and the fund's
duration was short relative to the benchmark.
56
[GRAPHIC]
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur ongoing expenses, which 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 each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the
entire six-month period ended December 31, 2009.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the
period. To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. You may use this information to compare the ongoing costs
of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholders reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2009 - DECEMBER 31, 2009
-----------------------------------------------------------------------
ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
-----------------------------------------------------------------------
Actual Fund Return** 1,000.00 1,067.31 1.41
-----------------------------------------------------------------------
Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,023.57 1.38
-----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.27% (for the
period between July 1, 2009 - December 31, 2009), multiplied by the average
account value over the period, multiplied by 184/365 (to reflect the
six-month period).
**Actual Fund Return for the six-month period ended December 31, 2009 was:
6.73%.
57
[GRAPHIC]
CHANGE IN VALUE OF A $10,000 INVESTMENT
[CHART]
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2009
- --------------------------------------------------------------------------------
FIVE TEN
ONE YEAR YEAR YEAR
- -------------------------------------------
Elfun Income Fund 8.04% 3.83% 5.62%
Barclays Capital U.S.
Aggregate Bond Index 5.93% 4.97% 6.33%
[GRAPHIC]
INVESTMENT PROFILE
A Mutual Fund designed for investors who seek a high level of income consistent
with prudent investment management and the preservation of capital by investing
at least 80% of its net assets in debt securities under normal circumstances.
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.
MORNINGSTAR PERFORMANCE COMPARISON
US OE Intermediate-Term Bond Peer Group
Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN
YEAR YEAR YEAR
Fund's Rank in peer group.............. 905 535 244
Number of funds in peer group.......... 1126 866 496
Peer group average annual total return. 13.47% 3.62% 5.18%
Morningstar Category in peer group: Intermediate-Term Bond
QUALITY RATINGS
AS OF DECEMBER 31, 2009
AS A % OF MARKET VALUE
- --------------------------------------------------------------------------------
PERCENTAGE OF
MOODY'S / S&P / FITCH RATING* MARKET VALUE
--------------------------------------------
Aaa / AAA 62.88%
--------------------------------------------
Aa / AA 4.25%
--------------------------------------------
A / A 14.46%
--------------------------------------------
Baa / BBB 9.39%
--------------------------------------------
Ba / BB and lower 9.02%
--------------------------------------------
100.00%
--------------------------------------------
*Moody's Investors Services Inc, Standard & Poor's and Fitch are nationally
recognized statistical rating organizations.
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF MORNINGSTAR PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND
DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
58
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
ELFUN INCOME FUND
Portfolio Composition as a % of the Market Value of $353,714 as of December 31,
2009.
[CHART]
PRINCIPAL
AMOUNT VALUE
BONDS AND NOTES -- 93.1%+
-------------------------------------------------------------------
U.S. TREASURIES -- 19.8%
U.S. Treasury Bonds
4.50% 08/15/39..... $ 10,535 $ 10,297
U.S. Treasury Notes
0.02% 11/30/11..... 12,493 12,411 /(d)/
0.05% 01/31/11..... 1,673 1,679 /(d)/
1.00% 10/31/11..... 10,411 10,402 /(d)/
1.25% 11/30/10..... 341 343
1.75% 08/15/12..... 2,301 2,316
2.13% 11/30/14..... 19,342 18,884
3.13% 05/15/19..... 2 2
3.38% 11/15/19..... 11,052 10,631 /(h)/
4.50% 11/15/10..... 67 69
67,034
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.4%
Collateralized Mortgage
Obligation Trust (Class B)
9.24% 11/01/18..... 15 11 /(d,f,h,q)/
PRINCIPAL
AMOUNT VALUE
Federal Home Loan
Mortgage Corp.
0.00% 11/15/37............. $ 687 $ 558 /(g,r)/
0.17% 09/25/43............. 2,655 29 /(g,h,i,r)/
0.62% 09/15/34............. 333 252 /(d,f)/
4.50% 10/15/16 - 03/15/19.. 662 53 /(g,h,r)/
5.00% 05/15/17 - 12/01/34.. 1,299 124 /(g,h,r)/
5.00% 05/15/38............. 311 307
5.50% 04/15/17 - 06/15/33.. 654 111 /(g,h,r)/
7.50% 01/15/16............. 24 25 /(h)/
8.00% 04/15/20............. 10 11 /(h)/
8.00% 02/01/23 - 07/01/24.. 18 4 /(g,h,r)/
Federal Home Loan
Mortgage Corp. REMIC
6.01% 12/15/39............. 1,129 118 /(g,i,r)/
6.36% 05/15/36............. 2,426 331 /(g,i,r)/
6.97% 02/15/36............. 1,983 289 /(g,i,r)/
7.47% 04/15/36............. 2,292 330 /(g,i,r)/
Federal Home Loan
Mortgage STRIPS
9.46% 08/01/27............. 4 3 /(d,f,h)/
Federal National Mortgage Assoc.
1.20% 12/25/42............. 692 33 (/g,h,i,r)/
4.50% 05/25/18............. 135 4 /(g,h,r)/
4.75%** 11/25/14............. 8 -- /(g,h,r)/
5.00% 08/25/17 - 02/25/32.. 837 100 /(g,h,r)/
5.00% 10/25/35 - 08/25/38.. 841 826
5.50% 01/25/33............. 404 416
6.12% 03/25/38............. 3,118 366 /(g,i,r)/
6.37% 06/25/37............. 1,136 143 /(g,i,r)/
6.77% 10/25/29............. 603 59 /(g,h,i,r)/
7.37% 09/25/42............. 1,574 297 /(g,h,i,r)/
7.47% 08/25/16............. 199 12 /(g,h,i,r)/
16.10% 03/25/31............. 490 554 /(h,i)/
Federal National Mortgage Assoc.
(Class 1)
1.35% 11/01/34............. 634 525 /(d,f,h)/
4.50% 09/01/35 - 01/01/36.. 2,158 443 /(g,r)/
5.00% 05/25/38............. 642 117 /(g,r)/
Federal National Mortgage Assoc.
(Class 2)
4.50% 08/01/35............. 644 152 /(g,r)/
5.00% 08/01/34 - 03/25/38.. 593 117 /(g,r)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
59
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
5.50% 12/01/33............ $ 173 $ 38 /(g,r)/
7.50% 11/01/23............ 71 11 /(g,h,r)/
8.00% 08/01/23 - 07/01/24. 37 8 /(g,h,r)/
8.50% 03/01/17 - 07/25/22. 36 7 /(g,h,r)/
9.00% 05/25/22............ 13 3 /(g,h,r)/
Federal National Mortgage
Assoc. (Class B)
6.69% 12/25/22............ 13 12 /(d,f,h)/
Federal National Mortgage Assoc.
(Class H)
5.00% 10/25/22............ 210 23 /(g,h,r)/
Federal National Mortgage Assoc.
(Class K)
1008.00%** 05/25/22............ -- 1 /(g,h,r)/
Federal National Mortgage
Assoc. REMIC
6.00% 04/25/37............ 751 151 /(g,r)/
6.01% 01/25/40............ 4,214 474 /(g,i,r)/
6.31% 07/25/36............ 2,772 341 /(g,i,r)/
6.42% 06/25/36............ 1,331 179 /(g,i,r)/
Government National
Mortgage Assoc.
6.17% 05/20/39............ 1,986 220 /(g,i,r)/
6.27% 01/20/37............ 3,149 305 /(g,i,r)/
8,493
AGENCY MORTGAGE BACKED -- 24.1%
Federal Home Loan
Mortgage Corp.
4.50% 06/01/33 - 02/01/35. 146 146 /(h)/
5.00% 07/01/35............ 594 611 /(h)/
5.50% 05/01/20 - 04/01/39. 6,086 6,418 /(h)/
6.00% 04/01/17 - 11/01/37. 3,844 4,088 /(h)/
6.50% 07/01/29............ 5 6 /(h)/
7.00% 10/01/16 - 08/01/36. 405 446 /(h)/
7.50% 09/01/12 - 09/01/33. 49 55 /(h)/
8.00% 11/01/30............ 13 15 /(h)/
5.50% TBA................. 1,570 1,645 /(c)/
Federal National Mortgage Assoc.
4.00% 05/01/19 - 06/01/19. 522 534 /(h)/
4.50% 05/01/18 - 04/01/34. 1,465 1,514 /(h)/
5.00% 07/01/20 - 05/01/39. 2,753 2,834 /(h)/
5.47% 04/01/37............ 25 27 /(i)/
PRINCIPAL
AMOUNT VALUE
5.50% 03/01/14 - 12/01/38.. $ 22,650 $ 23,820 /(h)/
5.81% 03/01/37............. 26 28 /(i)/
6.00% 02/01/14 - 11/01/39.. 16,016 17,108 /(h)/
6.50% 02/01/14 - 08/01/36.. 1,095 1,175 /(h)/
7.00% 08/01/13 - 02/01/34.. 137 152 /(h)/
7.50% 08/01/13 - 03/01/34.. 443 497 /(h)/
8.00% 12/01/11 - 11/01/33.. 195 220 /(h)/
8.50% 04/01/30 - 05/01/31.. 26 30 /(h)/
9.00% 04/01/16 - 12/01/22.. 50 55 /(h)/
4.50% TBA.................. 950 948 /(c)/
5.00% TBA.................. 2,664 2,784 /(c)/
5.50% TBA.................. 1,269 1,340 /(c)/
6.00% TBA.................. 8,726 9,271 /(c)/
6.50% TBA.................. 878 940 /(c)/
7.00% TBA.................. 535 586 /(c)/
Government National
Mortgage Assoc.
4.50% 08/15/33 - 09/15/34.. 726 732 /(h)/
5.00% 08/15/33............. 249 258 /(h)/
6.00% 04/15/27 - 09/15/36.. 1,058 1,127 /(h)/
6.50% 04/15/19 - 09/15/36.. 819 878 /(h)/
7.00% 03/15/12 - 10/15/36.. 381 413 /(h)/
7.50% 03/15/23 - 10/15/33.. 98 113 /(h)/
8.00% 09/15/27 - 06/15/30.. 40 46 /(h)/
8.50% 10/15/17............. 54 59 /(h)/
9.00% 11/15/16 - 12/15/21.. 115 127 /(h)/
5.50% TBA.................. 435 456 /(c)/
81,502
ASSET BACKED -- 3.0%
Avis Budget Rental Car Funding
AESOP LLC (Class A)
0.35% 04/20/11............. 667 661 /(b,i)/
Capital One Auto Finance Trust
0.23% 04/15/12............. 1,137 1,134 /(h,i)/
Chase Funding Mortgage Loan
Asset-Backed Certificates
5.75% 05/25/32............. 50 25 /(h,i,q)/
Countrywide Asset-Backed
Certificates
1.09% 05/25/33............. 28 16 /(i)/
Countrywide Asset-Backed
Certificates (Class 2)
0.83% 06/25/33............. 2 2 /(i)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
60
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Countrywide Asset-Backed
Certificates (Class A)
0.79% 08/25/32..... $ 33 $ 16 /(h,i)/
Discover Card Master Trust I
(Class A)
0.56% 06/16/15..... 200 188 /(i)/
Discover Card Master Trust I
(Class B) (Series 2)
0.41% 05/15/12..... 340 326 /(i)/
First Franklin Mortgage Loan
Asset Backed Certificates
(Class M)
0.68% 03/25/35..... 5,000 4,392 /(i)/
GMAC Mortgage Corp Loan Trust
(Class 2)
0.41% 08/25/35..... 1,395 360 /(i)/
GSAA Trust
0.63% 05/25/34..... 136 95 /(i)/
GSAMP Trust
0.38% 12/25/35..... 77 75 /(i)/
Indymac Residential Asset Backed
Trust (Class M)
2.23%** 04/25/47..... 146 -- /(h,i,q)/
Mid-State Trust
7.54% 07/01/35..... 54 51 /(h,q)/
Nissan Auto Lease Trust
0.30% 02/15/13..... 188 188 /(i)/
Residential Asset Securities Corp.
0.73% 07/25/32..... 29 14 /(h,i)/
Residential Asset Securities Corp.
(Class A)
0.81% 06/25/33..... 54 27 /(i)/
Saxon Asset Securities Trust
5.23% 08/25/35..... 333 289 /(i)/
Triad Auto Receivables Owner
Trust (Class A)
0.29% 02/12/14..... 2,000 1,936 /(h,i)/
Wachovia Asset Securitization
Inc. (Class A)
0.45% 06/25/34..... 357 181 /(i,q)/
Wells Fargo Home Equity Trust
3.97% 05/25/34..... 24 24 /(h,i,q)/
10,000
PRINCIPAL
AMOUNT VALUE
CORPORATE NOTES -- 34.9%
Abbey National Treasury
Services PLC
3.88% 11/10/14..... $ 424 $ 426 /(b)/
Abu Dhabi National Energy Co.
6.25% 09/16/19..... 200 194 /(b)/
Adaro Indonesia PT
7.63% 10/22/19..... 100 99 /(b)/
AES El Salvador Trust
6.75% 02/01/16..... 200 178 /(b)/
Air Jamaica Ltd.
9.38% 07/08/15..... 9 7
Alliance One International, Inc.
10.00% 07/15/16..... 380 399 /(b)/
ALROSA Finance S.A.
8.88% 11/17/14..... 200 206 /(b)/
AMC Entertainment Inc.
8.75% 06/01/19..... 440 449
American Tower Corp.
4.63% 04/01/15..... 526 532 /(b)/
Anheuser-Busch InBev
Worldwide Inc.
5.38% 11/15/14..... 496 525 /(b)/
7.20% 01/15/14..... 149 169 /(b)/
7.75% 01/15/19..... 834 976 /(b,h)/
Apria Healthcare Group Inc.
11.25% 11/01/14..... 559 613 /(b)/
ARAMARK Corp.
8.50% 02/01/15..... 846 871
Archer-Daniels-Midland Co.
6.45% 01/15/38..... 611 680 /(h)/
Arcos Dorados BV
7.50% 10/01/19..... 100 99 /(b)/
Arizona Public Service Co.
6.25% 08/01/16..... 485 513 /(h)/
AT&T Inc.
6.40% 05/15/38..... 1,300 1,336 /(h)/
6.70% 11/15/13..... 496 560 /(h)/
Axtel SAB de C.V.
9.00% 09/22/19..... 38 39 /(b)/
Banco do Brasil S.A.
8.50% 10/29/49..... 500 533 /(b)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
61
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Banco Mercantil del Norte S.A.
6.14% 10/13/16........ $ 74 $ 72 /(i)/
Banco Nacional de
Desenvolvimento Economico
e Social
6.50% 06/10/19........ 500 538 /(b)/
Bank of America Corp.
5.75% 12/01/17........ 1,550 1,587 /(h)/
6.50% 08/01/16........ 690 742
7.38% 05/15/14........ 170 193
Barclays Bank PLC
5.00% 09/22/16........ 274 280
5.20% 07/10/14........ 529 561
Berkshire Hathaway
Finance Corp.
5.00% 08/15/13........ 328 353
BlackRock, Inc.
5.00% 12/10/19........ 494 485
Boston Properties LP (REIT)
5.88% 10/15/19........ 346 347
Boston Scientific Corp.
6.00% 01/15/20........ 252 257
Bristol-Myers Squibb Co.
5.88% 11/15/36........ 141 147 /(h)/
CA, Inc.
5.38% 12/01/19........ 358 360
6.13% 12/01/14........ 174 192
Calpine Corp.
7.25% 10/15/17........ 922 885 /(b)/
Cantor Fitzgerald LP
7.88% 10/15/19........ 358 350 /(b)/
Cargill Inc.
5.20% 01/22/13........ 131 139 /(b,h)/
6.00% 11/27/17........ 247 263 /(b,h)/
Carolina Power & Light Co.
5.15% 04/01/15........ 230 248 /(h)/
5.70% 04/01/35........ 130 129 /(h)/
6.13% 09/15/33........ 156 164 /(h)/
Case New Holland Inc.
7.75% 09/01/13........ 744 761 /(b)/
Cenovus Energy Inc.
4.50% 09/15/14........ 380 392 /(b)/
6.75% 11/15/39........ 345 376 /(b)/
PRINCIPAL
AMOUNT VALUE
Centrais Eletricas Brasileiras S.A.
6.88% 07/30/19.......... $ 200 $ 217 /(b)/
Central American Bank for
Economic Integration
5.38% 09/24/14.......... 380 394 /(b)/
CFG Investment SAC
9.25% 12/19/13.......... 100 99
Chesapeake Energy Corp.
7.25% 12/15/18.......... 856 862
Cincinnati Bell Inc.
8.25% 10/15/17.......... 676 686
Citigroup, Inc.
5.00% 09/15/14.......... 434 418
5.13% 05/05/14.......... 674 671
6.38% 08/12/14.......... 1,213 1,270
8.50% 05/22/19.......... 951 1,098
City National Capital Trust I
9.63% 02/01/40.......... 359 381
Clarendon Alumina
Production Ltd.
8.50% 11/16/21.......... 135 99 /(b,h)/
CME Group Inc.
5.40% 08/01/13.......... 321 346 /(h)/
Comcast Corp.
6.50% 01/15/15.......... 346 388
Community Health Systems, Inc.
8.88% 07/15/15.......... 856 886 /(h)/
Consolidated Edison Company of
New York Inc.
5.85% 04/01/18.......... 308 330
6.65% 04/01/19.......... 308 349
7.13% 12/01/18.......... 900 1,040 /(h)/
COX Communications Inc.
6.25% 06/01/18.......... 324 345 /(b)/
7.13% 10/01/12.......... 315 350 /(h)/
7.75% 11/01/10.......... 360 377 /(h)/
Credit Suisse
6.00% 02/15/18.......... 1,146 1,199 /(h)/
Credit Suisse First Boston
International for CJSC The
EXIM of Ukraine
7.65% 09/07/11.......... 200 168
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
62
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
CVS Caremark Corp.
5.75% 06/01/17....... $ 154 $ 163
6.13% 09/15/39....... 518 513
6.60% 03/15/19....... 154 169
DASA Finance Corp.
8.75% 05/29/18....... 596 618
Diageo Capital PLC
5.20% 01/30/13....... 300 321 /(h)/
Diageo Finance BV
3.25% 01/15/15....... 347 345
Diamond Offshore Drilling, Inc.
5.70% 10/15/39....... 856 833
Digicel Group Ltd.
8.25% 09/01/17....... 100 97 /(b)/
DirecTV Financing Company Inc.
4.75% 10/01/14....... 726 740 /(b)/
5.88% 10/01/19....... 420 427 /(b)/
Dolphin Energy Ltd.
5.89% 06/15/19....... 396 400 /(b)/
Dominion Resources, Inc.
5.20% 08/15/19....... 347 352
Dover Corp.
6.50% 02/15/11....... 230 243 /(h)/
Drummond Company Inc.
7.38% 02/15/16....... 526 514 /(b)/
9.00% 10/15/14....... 370 388 /(b)/
Duke Energy Indiana Inc.
6.35% 08/15/38....... 454 496
Dynegy Holdings Inc.
7.50% 06/01/15....... 516 482
Ecopetrol S.A.
7.63% 07/23/19....... 111 123
Embraer Overseas Ltd.
6.38% 01/15/20....... 148 148
Empresa Nacional del Petroleo
6.25% 07/08/19....... 200 208 /(b)/
Empresas Publicas de
Medellin ESP
7.63% 07/29/19....... 100 110 /(b)/
European Investment Bank
4.88% 01/17/17....... 700 750
PRINCIPAL
AMOUNT VALUE
Exelon Generation Company LLC
5.20% 10/01/19....... $ 484 $ 484
6.25% 10/01/39....... 432 440
Export-Import Bank of Korea
5.88% 01/14/15....... 100 107
Gaz Capital S.A.
8.13% 07/31/14....... 100 106 /(b)/
9.25% 04/23/19....... 400 446
Genworth Financial Inc.
8.63% 12/15/16....... 360 373
Gerdau Holdings Inc.
7.00% 01/20/20....... 200 205 /(b)/
GlaxoSmithKline Capital Inc.
4.85% 05/15/13....... 409 439
Globo Comunicacao e
Participacoes S.A.
7.25% 04/26/22....... 200 209 /(b)/
HCA Inc.
7.88% 02/15/20....... 820 854 /(b)/
9.25% 11/15/16....... 768 825
HCC Insurance Holdings, Inc.
6.30% 11/15/19....... 178 181
Health Management
Associates, Inc.
6.13% 04/15/16....... 746 699
Holcim US Finance Sarl & Cie SCS
6.00% 12/30/19....... 279 290 /(b)/
Host Hotels & Resorts LP (REIT)
9.00% 05/15/17....... 964 1,042 /(b)/
HSBC Bank USA N.A.
4.63% 04/01/14....... 175 183 /(h)/
7.00% 01/15/39....... 250 280
HSBC Finance Corp.
5.00% 06/30/15....... 1,292 1,335
5.70% 06/01/11....... 743 776
6.75% 05/15/11....... 260 275 /(h)/
HSBC Holdings PLC
6.50% 05/02/36....... 100 105 /(h)/
6.80% 06/01/38....... 500 543
Hutchison Whampoa
International 09 Ltd.
7.63% 04/09/19....... 100 115 /(b)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
63
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Hutchison Whampoa
International 09/16 Ltd.
4.63% 09/11/15..... $ 600 $ 605 /(b)/
IIRSA Norte Finance Ltd.
8.75% 05/30/24..... 476 500 /(b,h)/
Illinois Power Co.
9.75% 11/15/18..... 522 649
Indo Integrated Energy BV
9.00% 06/01/12..... 100 101
Industrial Bank Of Korea
7.13% 04/23/14..... 100 112 /(b)/
Ingles Markets Inc.
8.88% 05/15/17..... 735 764
Inmarsat Finance PLC
7.38% 12/01/17..... 500 511 /(b)/
Intelsat Subsidiary Holding
Company Ltd.
8.88% 01/15/15..... 380 393
Intergas Finance BV
6.88% 11/04/11..... 100 102
Intergen N.V.
9.00% 06/30/17..... 773 806 /(b)/
International Business
Machines Corp.
7.63% 10/15/18..... 300 366
International Paper Co.
7.50% 08/15/21..... 730 818
Inversiones CMPC S.A.
6.13% 11/05/19..... 200 202 /(b)/
Johnson & Johnson
5.85% 07/15/38..... 290 313
JPMorgan Chase & Co.
5.13% 09/15/14..... 1,041 1,098
6.30% 04/23/19..... 260 286
JPMorgan Chase Bank
5.88% 06/13/16..... 315 331
JPMorgan Chase Capital XXVII
7.00% 11/01/39..... 526 530
Kazakhstan Temir Zholy
Finance BV
6.50% 05/11/11..... 100 98
KazMunaiGaz Finance Sub BV
9.13% 07/02/18..... 100 111 /(b)/
11.75% 01/23/15..... 200 241 /(b)/
PRINCIPAL
AMOUNT VALUE
KeyBank NA
5.80% 07/01/14...... $ 534 $ 520
Korea Hydro & Nuclear Power
Company Ltd.
6.25% 06/17/14...... 200 218 /(b)/
Korea National Oil Corp.
5.38% 07/30/14...... 200 211 /(b)/
Kreditanstalt fuer Wiederaufbau
3.50% 03/10/14...... 1,936 1,990
4.13% 10/15/14...... 859 900
4.50% 07/16/18...... 712 735
L-3 Communications Corp.
5.88% 01/15/15...... 450 449
Lincoln National Corp.
8.75% 07/01/19...... 605 691
Majapahit Holding BV
7.25% 10/17/11...... 500 522 /(b)/
7.75% 10/17/16...... 200 212 /(b)/
7.75% 01/20/20...... 200 209
Massey Energy Co.
6.88% 12/15/13...... 374 374
McDonald's Corp.
6.30% 03/01/38...... 226 249
MDC-GMTN B.V.
7.63% 05/06/19...... 250 267 /(b)/
Mead Johnson Nutrition Co.
4.90% 11/01/19...... 520 516 /(b)/
Merrill Lynch & Company Inc.
6.05% 08/15/12...... 304 326
6.88% 04/25/18...... 599 645
Midamerican Energy Holdings Co.
6.13% 04/01/36...... 330 338 /(h)/
Morgan Stanley
5.05% 01/21/11...... 347 360
5.63% 09/23/19...... 690 695
6.00% 04/28/15...... 333 355
7.30% 05/13/19...... 691 776
Morgan Stanley (Series F)
6.63% 04/01/18...... 300 324
Munich Re America Corp. (Series B)
7.45% 12/15/26...... 290 299 /(h)/
Naftogaz Ukraine
9.50% 09/30/14...... 300 252 /(s)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
64
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
National Agricultural
Cooperative Federation
5.00% 09/30/14...... $ 321 $ 333 /(b)/
NET Servicos de Comunicacao S.A.
7.50% 01/27/20...... 100 102 /(b)/
Newmont Mining Corp.
5.13% 10/01/19...... 272 272
6.25% 10/01/39...... 778 779
News America Inc.
5.65% 08/15/20...... 243 253 /(b)/
6.65% 11/15/37...... 538 568
Nexen Inc.
6.20% 07/30/19...... 623 659
7.50% 07/30/39...... 416 477
NGPL Pipeco LLC
7.12% 12/15/17...... 318 351 /(b)/
Nisource Finance Corp.
6.13% 03/01/22...... 346 353
Noble Group Ltd.
6.75% 01/29/20...... 100 103 /(b)/
NorthWestern Corp.
5.88% 11/01/14...... 600 622 /(h)/
NRG Energy, Inc.
7.38% 02/01/16...... 770 771
Odebrecht Finance Ltd.
7.00% 04/21/20...... 200 202 /(b)/
Oracle Corp.
5.00% 07/08/19...... 348 359
Pacific Gas & Electric Co.
5.80% 03/01/37...... 165 167
Pacific Rubiales Energy Corp.
8.75% 11/10/16...... 100 105 /(b)/
Pacificorp
6.00% 01/15/39...... 500 525
6.25% 10/15/37...... 14 15
Parker Hannifin Corp.
5.50% 05/15/18...... 464 489
Pemex Finance Ltd.
9.03% 02/15/11...... 226 233 /(h)/
Petrobras International
Finance Co.
5.75% 01/20/20...... 380 387
PRINCIPAL
AMOUNT VALUE
Petroleos Mexicanos
4.88% 03/15/15....... $ 560 $ 558 /(b)/
8.00% 05/03/19....... 87 101
Petroleum Company of Trinidad &
Tobago Ltd.
6.00% 05/08/22....... 200 186 /(b)/
Petronas Capital Ltd.
5.25% 08/12/19....... 200 200 /(b)/
Petronas Global Sukuk Ltd.
4.25% 08/12/14....... 100 100 /(b)/
Pfizer Inc.
6.20% 03/15/19....... 328 365
7.20% 03/15/39....... 164 200
Pioneer Natural Resources Co.
7.50% 01/15/20....... 656 656
Plains All American Pipeline LP
4.25% 09/01/12....... 522 539
PNC Funding Corp.
4.25% 09/21/15....... 346 353
Potomac Electric Power Co.
7.90% 12/15/38....... 122 156
Power Sector Assets & Liabilities
Management Corp.
7.39% 12/02/24....... 100 103 /(b)/
President and Fellows of
Harvard College
5.00% 01/15/14....... 400 430 /(b)/
Principal Financial Group, Inc.
8.88% 05/15/19....... 241 278
Prudential Financial, Inc.
3.63% 09/17/12....... 173 176
5.15% 01/15/13....... 400 421
7.38% 06/15/19....... 349 391
Public Service Company
of Colorado
7.88% 10/01/12....... 495 568 /(h)/
QVC Inc.
7.50% 10/01/19....... 288 294 /(b)/
Qwest Communications
International Inc.
8.00% 10/01/15....... 350 360 /(b)/
RailAmerica, Inc.
9.25% 07/01/17....... 684 728
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
65
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Republic Services Inc.
5.25% 11/15/21..... $ 358 $ 352 /(b)/
5.50% 09/15/19..... 243 247 /(b)/
Reynolds Group DL Escrow Inc.
7.75% 10/15/16..... 872 892 /(b)/
Roche Holdings Inc.
6.00% 03/01/19..... 320 352 /(b)/
Royal Bank of Scotland Group PLC
6.40% 10/21/19..... 232 231
RSHB Capital SA for OJSC Russian
Agricultural Bank
6.97% 09/21/16..... 100 98 /(i)/
Sabine Pass LNG LP
7.25% 11/30/13..... 270 245
7.50% 11/30/16..... 415 345
SBA Telecommunications Inc.
8.00% 08/15/16..... 150 157 /(b)/
8.25% 08/15/19..... 224 237 /(b)/
Security Benefit Life Insurance
8.75% 05/15/16..... 325 81 /(b)/
Simon Property Group LP (REIT)
6.75% 05/15/14..... 418 445
Southern California Edison Co.
5.50% 08/15/18..... 541 578
Southern Copper Corp.
7.50% 07/27/35..... 100 99
Spirit Aerosystems Inc.
7.50% 10/01/17..... 350 345 /(b)/
Talecris Biotherapeutics
Holdings Corp.
7.75% 11/15/16..... 50 51 /(b)/
Talisman Energy Inc.
7.75% 06/01/19..... 386 453
Target Corp.
7.00% 01/15/38..... 278 324
Teachers Insurance & Annuity
Association of America
6.85% 12/16/39..... 431 446 /(b)/
Teck Resources Ltd.
10.75% 05/15/19..... 526 629
Telecom Italia Capital S.A.
6.20% 07/18/11..... 506 536
7.18% 06/18/19..... 488 544
PRINCIPAL
AMOUNT VALUE
Telefonica Emisiones SAU
5.86% 02/04/13..... $ 450 $ 486
Tesoro Corp. (Series B)
6.63% 11/01/15..... 894 849
The Allstate Corp.
7.45% 05/16/19..... 256 297
The Bear Stearns Companies LLC
6.95% 08/10/12..... 611 683 /(h)/
The Dow Chemical Co.
5.90% 02/15/15..... 486 522
8.55% 05/15/19..... 174 208
The Goldman Sachs Group, Inc.
5.25% 10/15/13..... 129 137
6.00% 05/01/14..... 626 685
6.60% 01/15/12..... 104 113
7.50% 02/15/19..... 270 315
The Kroger Co.
6.15% 01/15/20..... 612 655
The Potomac Edison Co.
5.35% 11/15/14..... 245 257 /(h)/
The Procter & Gamble Co.
5.50% 02/01/34..... 163 167
The Royal Bank of Scotland PLC
4.88% 08/25/14..... 300 304 /(b)/
The Toledo Edison Company
7.25% 05/01/20..... 166 189
The Travelers Companies, Inc.
5.80% 05/15/18..... 308 328
The Williams Companies, Inc.
7.88% 09/01/21..... 538 617
Thermo Fisher Scientific, Inc.
3.25% 11/18/14..... 358 351 /(b)/
Thomson Reuters Corp.
5.95% 07/15/13..... 459 502
Time Warner Cable Inc.
6.75% 07/01/18..... 372 409
7.50% 04/01/14..... 806 929
8.75% 02/14/19..... 496 605
Time Warner Inc.
5.88% 11/15/16..... 454 490
TNK-BP Finance S.A.
6.13% 03/20/12..... 200 205
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
66
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Transocean Inc.
6.00% 03/15/18....... $ 305 $ 325
UBS Luxembourg S.A. for OJSC
Vimpel Communications
8.00% 02/11/10....... 400 402
Union Electric Co.
6.70% 02/01/19....... 370 408
United Technologies Corp.
6.13% 07/15/38....... 154 167
UPC Germany GmbH
8.13% 12/01/17....... 400 405 /(b)/
USB Capital XIII Trust
6.63% 12/15/39....... 359 365
Vale Overseas Ltd.
6.88% 11/10/39....... 78 79
Valero Energy Corp.
6.63% 06/15/37....... 468 439
Vedanta Resources PLC
6.63% 02/22/10....... 150 150
9.50% 07/18/18....... 100 102 /(b)/
Verizon Communications Inc.
5.25% 04/15/13....... 24 26
6.35% 04/01/19....... 206 227
6.40% 02/15/38....... 200 209
6.90% 04/15/38....... 302 335
8.75% 11/01/18....... 448 560
Verizon Global Funding Corp.
7.25% 12/01/10....... 517 546
Verizon Wireless Capital LLC
5.55% 02/01/14....... 738 801
7.38% 11/15/13....... 851 978
VIP Finance Ireland Ltd. for OJSC
Vimpel Communications
(Class A)
8.38% 04/30/13....... 200 212 /(b)/
Virgin Media Finance PLC
8.38% 10/15/19....... 400 412
9.50% 08/15/16....... 200 215
Voto-Votorantim Overseas
Trading Operations N.V.
6.63% 09/25/19....... 100 100 /(b)/
VTB Capital SA for Vneshtorgbank
6.32% 02/04/15....... 200 198 /(i)/
PRINCIPAL
AMOUNT VALUE
Walgreen Co.
5.25% 01/15/19.... $ 485 $ 515
WEA Finance LLC
6.75% 09/02/19.... 348 374 /(b)/
7.50% 06/02/14.... 524 590 /(b)/
Westpac Banking Corp.
4.88% 11/19/19.... 716 707
Windstream Corp.
7.88% 11/01/17.... 728 719 /(b)/
Woodside Finance Ltd.
4.50% 11/10/14.... 694 700 /(b)/
Wyeth
5.50% 03/15/13.... 660 718
XL Capital Ltd.
5.25% 09/15/14.... 785 769
Xstrata Finance Canada Ltd.
5.80% 11/15/16.... 345 354 /(b)/
XTO Energy Inc.
6.38% 06/15/38.... 241 271
6.50% 12/15/18.... 132 151
118,127
NON-AGENCY COLLATERALIZED MORTGAGE
OBLIGATIONS -- 6.7%
Banc of America Commercial
Mortgage Inc. (Class A)
5.49% 02/10/51.... 188 158
5.66% 06/10/49.... 830 694
Banc of America Commercial
Mortgage Inc. (Class C)
5.70% 04/10/49.... 300 65 /(h,i,q)/
Banc of America Funding Corp.
5.37% 02/20/36.... 296 10 /(h,i,q)/
5.60% 03/20/36.... 260 14 /(h,i,q)/
Banc of America Mortgage
Securities Inc. (Class B)
5.16% 01/25/36.... 271 23 /(h,i,q)/
5.51% 02/25/36.... 207 39 /(h,i,q)/
Bear Stearns Commercial
Mortgage Securities
5.24% 12/11/38.... 300 245
5.33% 02/11/44.... 480 414
5.41% 03/11/39.... 222 225 /(h,i)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
67
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
5.46% 03/11/39....... $ 300 $ 183 /(i)/
5.48% 10/12/41....... 758 767 /(h)/
5.61% 06/11/50....... 490 497
5.69% 06/11/50....... 670 587 /(i)/
5.72% 06/11/40....... 340 170 /(i)/
6.21% 11/11/17....... 410 201 /(i)/
Bear Stearns Commercial
Mortgage Securities (Class A)
5.46% 04/12/38....... 382 388 /(i)/
5.54% 10/12/41....... 680 676
5.92% 06/11/50....... 310 224 /(h,i)/
Bear Stearns Commercial
Mortgage Securities (Class D)
5.99% 09/11/42....... 100 19 /(b,h,i,q)/
Citigroup Commercial
Mortgage Trust
5.70% 12/10/49....... 745 537 /(i)/
Citigroup Commercial Mortgage
Trust (Class A)
5.62% 10/15/48....... 830 791
Countrywide Alternative Loan
Trust (Class B)
6.00%** 08/25/36....... 27 -- /(h,q)/
Countrywide Asset-Backed
Certificates
0.51% 11/25/35....... 180 161 /(i)/
Countrywide Commercial
Mortgage Trust
5.46% 07/12/46....... 860 660
Credit Suisse Mortgage
Capital Certificates
5.47% 09/15/39....... 689 590 /(h)/
Credit Suisse Mortgage Capital
Certificates (Class C)
5.65% 02/25/36....... 143 10 /(h,i,q)/
CS First Boston Mortgage
Securities Corp.
0.65% 07/15/37....... 5,324 76 /(b,h,i,q)/
1.40% 03/15/35....... 9,060 21 /(b,h,i,q)/
5.34% 10/25/35....... 247 20 /(h,i,q)/
Greenwich Capital Commercial
Funding Corp.
5.44% 03/10/39....... 490 433
5.60% 12/10/49....... 430 426
PRINCIPAL
AMOUNT VALUE
GS Mortgage Securities Corp II
5.56% 11/10/39........ $ 510 $ 447
Impac CMB Trust
0.49% 04/25/35........ 488 270 /(h,i)/
Impac CMB Trust (Class 1)
0.59% 10/25/34........ 421 303 /(i)/
Indymac INDA Mortgage
Loan Trust
5.22% 01/25/36........ 99 1 /(h,i,q)/
Indymac INDA Mortgage Loan
Trust (Class B)
5.22% 01/25/36........ 143 8 /(h,i,q)/
Interstar Millennium Trust (Class A)
0.65% 03/14/36........ 38 32 /(i)/
JP Morgan Chase Commercial
Mortgage Securities Corp.
5.34% 08/12/37........ 530 523 /(i)/
5.50% 06/12/47........ 170 76 /(i)/
5.79% 02/12/51........ 690 602 /(i)/
5.87% 04/15/45........ 350 337 /(i)/
6.07% 02/12/51........ 880 692
6.20% 02/12/51........ 155 27 /(b,i,q)/
JP Morgan Chase Commercial
Mortgage Securities Corp.
(Class A)
5.90% 02/12/51........ 660 478 /(i)/
LB-UBS Commercial
Mortgage Trust
0.67% 09/15/39........ 18,318 371 /(h,i,q)/
0.72% 01/18/12........ 6,990 79 /(h,i,q)/
1.00% 01/15/36........ 2,912 131 /(b,d,h,q)/
4.95% 09/15/30........ 310 300
5.87% 09/15/45........ 830 728 /(i)/
6.15% 04/15/41........ 160 94
LB-UBS Commercial Mortgage
Trust (Class B)
6.65% 07/14/16........ 103 106 /(b,h,q)/
LB-UBS Commercial
Mortgage Trust (Class F)
6.24% 07/15/40........ 280 47 /(i,q)/
LB-UBS Commercial
Mortgage Trust (Class X)
0.50% 12/15/39........ 5,790 67 /(b,h,i,q)/
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
68
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
MASTR Alternative Loans Trust
5.00% 08/25/18...... $ 230 $ 23 /(g,h,q,r)/
MLCC Mortgage Investors Inc.
5.04% 02/25/36...... 225 9 /(h,i,q)/
Morgan Stanley Capital I
0.77% 01/15/21...... 664 159 /(b,i)/
5.16% 10/12/52...... 450 441 /(i)/
5.28% 12/15/43...... 296 300 /(h)/
5.33% 12/15/43...... 296 275 /(h)/
5.36% 11/12/41...... 1,286 1,059
5.39% 11/12/41...... 848 476 /(h,i)/
5.69% 04/15/49...... 1,125 948 /(h,i)/
5.71% 07/12/44...... 350 350 /(h)/
Morgan Stanley Capital I (Class A)
1.00% 03/12/44...... 840 810 /(i)/
MortgageIT Trust (Class A)
0.53% 08/25/35...... 2,117 1,287 /(i)/
National RMBS Trust
0.36% 03/20/34...... 78 74 /(i)/
Puma Finance Ltd. (Class A)
0.66% 10/11/34...... 78 75 /(i)/
Residential Accredit Loans Inc.
6.00% 01/25/36...... 215 5 /(h,q)/
Residential Funding
Mortgage Securities I
5.75% 01/25/36...... 248 19 /(h,q)/
Structured Asset Securities Corp.
(Class X)
2.17%** 02/25/28...... 370 -- /(i,q)/
Wachovia Bank Commercial
Mortgage Trust
5.25% 12/15/43...... 670 647
Wachovia Bank Commercial
Mortgage Trust (Class A)
5.99% 06/15/45...... 170 102 /(i)/
WaMu Mortgage Pass
Through Certificates
0.56% 01/25/45...... 386 223 /(h,i)/
0.57% 01/25/45...... 190 117 /(i)/
Wells Fargo Mortgage Backed
Securities Trust
5.39% 08/25/35...... 622 33 /(h,i,q)/
5.50% 01/25/36...... 363 44 /(h,q)/
PRINCIPAL
AMOUNT VALUE
Wells Fargo Mortgage Backed
Securities Trust (Class B)
5.50% 03/25/36............ $ 481 $ 99 /(h,q)/
22,618
SOVEREIGN BONDS -- 1.8%
Democratic Socialist
Republic of Sri Lanka
7.40% 01/22/15............ 100 104 /(b)/
8.25% 10/24/12............ 100 105
Government of Argentina
2.50% 12/31/38............ 76 26
Government of Belize
4.25% 02/20/29............ 76 42 /(j)/
Government of Brazil
5.63% 01/07/41............ 100 94
8.00% 01/15/18............ 284 324 /(h)/
Government of Colombia
6.13% 01/18/41............ 300 278
Government of Colombia
7.38% 03/18/19 - 09/18/37. 200 222
Government of Croatia
6.75% 11/05/19............ 200 215 /(b)/
Government of Dominican
9.50% 09/27/11............ 284 295
Government of Indonesia
10.38% 05/04/14............ 100 123 /(b)/
11.63% 03/04/19............ 200 287 /(b)/
Government of Korea
5.75% 04/16/14............ 114 125
Government of Lebanon
4.00% 12/31/17............ 65 60 /(a)/
Government of Manitoba Canada
4.90% 12/06/16............ 315 333 /(h)/
Government of Panama
5.20% 01/30/20............ 200 201
6.70% 01/26/36............ 290 306
Government of Peruvian
6.55% 03/14/37............ 466 485
7.35% 07/21/25............ 100 115
Government of Philippines
6.50% 01/20/20............ 100 108
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
69
ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL
AMOUNT VALUE
Government of Poland
6.38% 07/15/19.... $ 112 $ 122
Government of Qatar
5.25% 01/20/20.... 300 302 /(b)/
Government of Quebec Canada
7.50% 09/15/29.... 460 579
Government of Uruguay
6.88% 09/28/25.... 111 117
Government of Venezuela
5.38% 08/07/10.... 490 478
10.75% 09/19/13.... 185 163
Korea Expressway Corp.
4.50% 03/23/15.... 200 204 /(b)/
Republic of Ghana
8.50% 10/04/17.... 100 102 /(b)/
Republic of Lithuania
6.75% 01/15/15.... 200 204 /(b)/
Republic of the Philippines
6.38% 10/23/34.... 100 98
6,217
MUNICIPAL BONDS AND NOTES -- 0.4%
American Municipal
Power-Ohio Inc.
6.05% 02/15/43.... 277 259
Dallas Area Rapid Transit
6.00% 12/01/44.... 215 220
New Jersey State Turnpike
Authority
7.41% 01/01/40.... 560 627
New Jersey Transportation
Trust Fund Authority
6.88% 12/15/39.... 165 169
1,275
TOTAL BONDS AND NOTES
(COST $320,186)........... 315,267
---------------------------------------------------------
OTHER INVESTMENTS -- 0.3%
---------------------------------------------------------
GEI Investment Fund
(COST $1,370)............. 1,041 /(k)/
TOTAL INVESTMENTS IN SECURITIES
(COST $321,556) 316,308
PRINCIPAL
AMOUNT VALUE
SHORT-TERM INVESTMENTS -- 11.1%
-----------------------------------------------------------------
GE Money Market Fund Institutional Class
0.01%......................... $ 37,406 /(d,p)/
(COST $37,406)
TOTAL INVESTMENTS
(COST $358,962).............. 353,714
LIABILITIES IN EXCESS OF OTHER
ASSETS, NET -- (4.5)%........ (15,233)
---------
NET ASSETS -- 100.0%.......... $ 338,481
=========
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
The Elfun Income Fund had the following long futures contracts open at
December 31, 2009;
NUMBER CURRENT
EXPIRATION OF NOTIONAL UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION
- ---------------------------------------------------------------
2 Yr. U.S.Treasury
Notes Futures March 2010 63 $13,625 $(20)
5 Yr. U.S.Treasury
Notes Futures March 2010 26 2,974 (49)
The Elfun Income Fund had the following short futures contracts open at
December 31, 2009;
NUMBER CURRENT
EXPIRATION OF NOTIONAL UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE APPRECIATION
- ----------------------------------------------------------------
10 Yr. U.S.Treasury
Notes Futures March 2010 113 (13,046) 347
----
$278
====
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
70
[GRAPHIC]
[PHOTO]
Michael E. Martini
The Elfun Money Market Fund is managed by a team of portfolio managers that
includes James C. Gannon, Michael E. Martini (pictured to the left) and Adam
Ackermann. The team is led by Mr. Martini, who is vested with oversight
authority. See portfolio managers' biographical information beginning on page
109.
Q.HOW DID THE ELFUN MONEY MARKET FUND PERFORM COMPARED TO ITS BENCHMARK AND
MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009?
A.For the twelve-month period ended December 31, 2009, the Elfun Money Market
Fund returned 0.42%. The 90-day Treasury Bill, the Fund's benchmark, returned
0.15% and the Fund's Morningstar peer group of 993 U.S. Money Market Taxable
funds returned an average of 0.18% for the same period.
Q.DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD
ENDING DECEMBER 31, 2009.
A.Financial markets rallied strongly beginning in March 2009 as policymakers
around the world kept the liquidity pump primed and the global economy began
recovering from the recession in 2008. GDP growth in the U.S. turned positive
in the third quarter, while unemployment continued to rise ending the year at
10%. The U.S. lost over 4 million jobs in 2009 (reported by the Bureau of
Labor Statistics). Government support programs targeting the auto (Cash for
Clunkers) and housing (first-time homebuyer tax credits) industries created
demand which boosted second half growth.
Central banks around the globe kept interest rates low throughout the year.
The Federal Reserve held its federal funds target at 0-0.25% and finished the
year with a balance sheet over $2.2 trillion, 2 1/2 times its size prior to
the financial crisis in August 2007. In the statement from its final meeting
in December, the Federal Open Market Committee (FOMC) repeated that "economic
conditions...are likely to warrant exceptionally low levels of the federal
funds rate for an extended period." Quantitative easing measures including
the purchase of $1.25 trillion of agency mortgage-back securities (MBS) and
$175 billion of agency debt are scheduled to wind down early in 2010 along
with many of the special liquidity facilities given the improvement in the
financial markets.
The improving fundamental backdrop created a performance environment in which
non-government related issues (corporate, commercial MBS, asset-backed)
outperformed U.S. government securities including agency mortgage-backed
securities. Interest rates rose across the maturity spectrum in 2009
producing negative total returns for U.S. treasuries. The U.S. treasury
2-year and 10-year note yield ended the year at 1.14% and 3.84% respectively,
up 38 basis points (bps) and 163 bps. Default expectations tumbled as
economic activity recovered and credit spreads collapsed from March highs.
Lower quality credit rewarded investors with outsized returns. The high yield
market
71
[GRAPHIC]
returned over 58% compared to high grade credit which gained just over 16%.
Commercial mortgage-backed and asset-backed securities also performed
strongly, up 28.5% and 24.7% respectively, with help from the Term
Asset-Backed Loan Facility (TALF) program.
Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE?
A.Managing the average maturity of the Fund had a large impact on Fund
performance. With short-term interest rates hovering close to zero throughout
the year, we maintained a longer average Fund maturity to capture more yield.
As the short-term credit markets normalized during the year, we took
advantage of high quality commercial paper and LIBOR based floating rate
notes at attractive yields.
72
[GRAPHIC]
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur ongoing expenses, which 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 each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the
entire six-month period ended December 31, 2009.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the
period. To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. You may use this information to compare the ongoing costs
of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholders reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2009 - DECEMBER 31, 2009
-----------------------------------------------------------------------
ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
-----------------------------------------------------------------------
Actual Fund Return** 1,000.00 1,001.00 1.21
-----------------------------------------------------------------------
Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,023.72 1.22
-----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.24% (for the
period between July 1, 2009 - December 31, 2009), multiplied by the average
account value over the period, multiplied by 184/365 (to reflect the
six-month period).
**Actual Fund Return for the six-month period ended December 31, 2009 was:
0.10%.
73
[GRAPHIC]
CHANGE IN VALUE OF A $10,000 INVESTMENT
[CHART]
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2009
- --------------------------------------------------------------------------------
FIVE TEN
ONE YEAR YEAR YEAR
- -----------------------------------
Elfun Money
Market Fund 0.42% 3.22% 3.06%
90 Day T-Bill 0.15% 2.79% 2.74%
[GRAPHIC]
MORNINGSTAR PERFORMANCE COMPARISON
US Money Market Taxable Peer Group
Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN
YEAR YEAR YEAR
Fund's Rank in peer group.............. 114 90 116
Number of funds in peer group.......... 994 828 628
Peer group average annual total return. 0.18% 2.75% 2.56%
Morningstar Category in peer group: Money Market Taxable
FUND YIELD AT DECEMBER 31, 2009
- --------------------------------------------------------------------------------
MONEY FUND
FUND REPORT
- ---------------------------------
7-day current 0.09% 0.07%
- ---------------------------------
7-day effective 0.09% 0.07%
- ---------------------------------
INVESTMENT PROFILE
A Mutual Fund designed for investors who seek a high level of current income
consistent with prudent investment management and the preservation of capital
by investing primarily in short-term, U.S. dollar denominated money market
instruments.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
+ THE SEVEN DAY CURRENT YIELD, RATHER THAN THE TOTAL RETURN, MORE CLOSELY
REFLECTS THE CURRENT EARNINGS OF THE MONEY MARKET FUND AT DECEMBER 31, 2009.
* IBC'S MONEY FUND REPORT PROVIDES AVERAGE YIELD FOR ALL MAJOR MONEY MARKET
FUNDS.
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF MORNINGSTAR PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND
DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
74
ELFUN MONEY MARKET FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
ELFUN MONEY MARKET FUND
Portfolio Composition as a % of the Market Value of $244,630 as of December 31,
2009.
[CHART]
PRINCIPAL AMORTIZED
AMOUNT COST
SHORT-TERM INVESTMENTS -- 100.0%+
-----------------------------------------------------------
AGENCY -- 11.3%
Fannie Mae
0.22% 02/12/10.... $ 3,180 $ 3,187 /(d)/
Federal Home Loan Bank
2.75% 03/12/10.... 2,900 2,914
FNMA Discount
0.07% 02/01/10.... 2,500 2,500 /(d)/
0.09% 01/20/10.... 7,910 7,910 /(d)/
Freddie Mac
0.14% 02/04/10.... 9,830 9,830 /(d)/
4.88% 02/09/10.... 1,310 1,351
27,692
COMMERCIAL PAPER -- 32.3%
Allied Irish Banks NA
0.53% 03/03/10.... 8,500 8,492 /(d)/
Australia & NZ Banking Group
0.21% 01/07/10.... 2,600 2,600 /(d)/
Bank of America Corp.
0.15% 01/08/10.... 6,200 6,200 /(d)/
PRINCIPAL AMORTIZED
AMOUNT COST
CBA Delaware Finance Inc.
0.28% 06/10/10.... $ 8,550 $ 8,539 /(d)/
Danske Corp.
0.19% 03/15/10.... 5,200 5,198 /(b,d)/
0.48% 01/19/10.... 4,630 4,629 /(d)/
Eksportfinans ASA
0.08% 01/04/10.... 6,310 6,310 /(d)/
Her Majesty Rgt Canada
0.30% 01/21/10.... 2,050 2,050 /(d)/
HSBC USA Inc.
0.10% 01/04/10.... 2,080 2,080 /(d)/
0.24% 04/14/10.... 5,900 5,896 /(d)/
IBRD Discount Note
0.15% 02/26/10.... 4,200 4,199 /(d)/
Nordea North America
0.23% 02/05/10.... 5,100 5,099 /(d)/
Societe Generale N Amer
0.29% 05/17/10.... 3,950 3,946 /(d)/
0.34% 02/02/10.... 5,550 5,548 /(d)/
Toronto Dominion Holding USA
0.50% 02/08/10.... 2,690 2,688 /(b,d)/
Toyota Motor Credit
0.18% 02/03/10.... 5,650 5,649 /(d)/
79,123
REPURCHASE AGREEMENTS -- 8.6%
Barclays
0.00% dated 12/31/09, to be repurchased
at $6,900 on 01/04/10 collateralized by
$7,038 U.S. Treasuries Agency Bonds,
1.38% maturing 05/15/12
01/04/10................. 6,900 6,900 /(d)/
Deutsche Bank Gov Agcy Repo
0.01% dated 12/31/09, to be repurchased
at $10,400 on 01/04/10 collateralized by
$10,610 U.S. Government Agency Bonds,
4.25% maturing 06/10/11
01/04/10................. 10,400 10,400 /(d)/
HSBC Gov Agcy Repo
0.01% dated 12/31/09, to be repurchased
at $3,800 on 01/04/10 collateralized by
$3,882 U.S. Government Agency Bonds,
8.75% maturing 08/15/20
01/04/10................. 3,800 3,800 /(d)/
21,100
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
75
ELFUN MONEY MARKET FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
PRINCIPAL AMORTIZED
AMOUNT COST
CERTIFICATES OF DEPOSIT -- 25.6%
Australia & NZ Banking Group
0.35% 05/25/10....... $ 5,000 $ 5,000 /(d)/
Banco Bilbao Vizcaya
Argentaria NY
0.22% 02/17/10....... 3,550 3,550 /(d)/
Bank of Montreal Chicago
0.19% 02/22/10....... 4,950 4,950 /(d)/
Barclays Bank PLC NY
0.44% 05/03/10....... 6,150 6,150 /(d)/
0.70% 04/15/10....... 3,950 3,950 /(d)/
BNP Paribas NY
0.20% 03/01/10....... 4,700 4,700 /(d)/
0.31% 01/14/10....... 3,900 3,900 /(d)/
Calyon New York
0.60% 01/05/10....... 7,220 7,220 /(d)/
Deutsche Bank Ag NY
0.50% 01/06/10....... 4,670 4,670 /(d)/
National Australia Bank NY
0.18% 02/23/10....... 4,300 4,300 /(d)/
Svenska Handelsbanken NY
0.22% 02/11/10....... 7,450 7,450 /(d)/
Toronto-Dominion Bank NY
0.33% 05/17/10....... 3,750 3,750 /(d)/
Westpac Banking Corp NY
0.30% 10/06/10....... 2,900 2,900 /(d)/
62,490
CORPORATE NOTES -- 18.5%
Abbey National
Treasury Services
0.66% 02/25/10....... 6,840 6,840 /(d)/
Bank of Nova Scotia Houston
0.23% 12/17/10....... 4,000 4,000 /(d)/
0.43% 01/15/10....... 5,610 5,610 /(d)/
Calyon NY
0.28% 02/26/10....... 1,180 1,180 /(d)/
Credit Agricole (London)
0.30% 05/28/10....... 660 659 /(b,d)/
European Investment Bank
5.00% 02/08/10....... 640 643
PRINCIPAL AMORTIZED
AMOUNT COST
Freddie Mac
2.38% 05/28/10..... $ 6,400 $ 6,455
KFW
0.33% 01/21/10..... 3,100 3,101 /(d)/
Procter & Gamble
International Fn
0.29% 05/07/10..... 1,570 1,570 /(d)/
Rabobank Nederland NY
0.26% 07/23/10..... 2,950 2,950 /(d)/
0.38% 04/26/10..... 1,870 1,870 /(d)/
Royal Bank of Canada NY
0.36% 01/26/10..... 10,260 10,260 /(d)/
45,138
TIME DEPOSIT -- 3.7%
Bank of Ireland
0.10% 01/04/10..... 8,930 8,930 /(d)/
State Street Corp.
0.01% 01/04/10..... 157 157 /(d)/
9,087
TOTAL SHORT-TERM INVESTMENTS
(COST $244,630) 244,630
LIABILITIES IN EXCESS OF OTHER
ASSETS, NET -- (0.0)%* (66)
---------
NET ASSETS -- 100.0%....... $ 244,564
=========
- -------
See Notes to Schedules of Investments on page 77 and Notes to Financial
Statements.
76
[GRAPHIC]
(dollars in thousands) -- December 31, 2009
(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, 2009, these securities amounted to
$5,810; $1,480; $34,345 and $8,545 or 2.63%, 0.08%, 10.15% and 3.49% of the
net assets of the Elfun Diversified Fund, Elfun Tax-Exempt Income Fund,
Elfun Income Fund and Elfun Money Market Fund respectively. These securities
have been determined to be liquid using procedures established by the Board
of Trustees.
(c)Settlement is on a delayed delivery or when-issued basis with final maturity
to be announced (TBA) in the future.
(d)Coupon amount represents effective yield.
(e)State Street Corp. is the parent company of State Street Bank & Trust Co.,
the Fund's custodian and accounting agent.
(f)Principal only securities represent the right to receive the monthly
principal payments on an underlying pool of mortgages. No payments of
interest on the pool are passed through to the "principal only" holder.
(g)Interest only securities represent the right to receive the monthly interest
payments on an underlying pool of mortgages. Payments of principal on the
pool reduce the value of the "interest only" holding.
(h)At December 31, 2009, all or a portion of this security was pledged to cover
collateral requirements for futures, options, forward foreign currency
contracts and/or TBA's.
(i)Variable or floating rate security. The stated rate represents the rate at
December 31, 2009.
(j)Step coupon bond. Security becomes interest bearing at a future date.
(k)GEAM, the investment adviser of the Fund, also serves as investment adviser
of the GEI Investment 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, MBIA, FSA or FGIC. The Elfun Tax-Exempt
Fund had insurance concentrations of 5% or greater as of December 31, 2009
(as a percentage of net assets) as follows:
AMBAC 9.14%
FSA 9.02%
(o)Sponsored by SSgA Funds Management, Inc., an affiliate of State Street
Bank & Trust Co., the Fund's custodian and accounting agent.
(p)GEAM, the investment adviser of the Fund, also serves as investment adviser
of the GE Funds-GE Money Market Fund.
(q)Illiquid Securities. At December 31, 2009, these securities amounted to
$1,658 and $188 or 0.49% and 0.09% 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.
(r)Coupon amount represents the coupon of the underlying mortgage securities on
which monthly interest payments are based.
77
[GRAPHIC]
(dollars in thousands) -- December 31, 2009
+ Percentages are based on net assets as of December 31, 2009.
* Less than 0.1%
**Amount is less than $500
ABBREVIATIONS:
ADR -- American Depositary Receipt
AMBAC -- AMBAC Indemnity Corporation
FGIC -- Financial Guaranty Insurance
Corporation
FSA -- Financial Security Assurance
GDR -- Global Depositary Receipt
MBIA -- Municipal Bond Investors Assurance
Corporation
Regd -- Registered
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
78
[GRAPHIC]
Selected data based on a unit outstanding during the years indicated
ELFUN INTERNATIONAL EQUITY FUND 2009 2008 2007 2006 2005
- ---------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/1/88
Net asset value, beginning of year............. $14.65 $28.32 $25.69 $21.82 $18.57
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income........................ 0.43 0.77 0.63 0.51 0.42
Net realized and unrealized
gains (losses) on investments.............. 3.63 (13.26) 5.45 5.16 3.24
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS. 4.06 (12.49) 6.08 5.67 3.66
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ 0.44 0.74 0.61 0.52 0.41
Net realized gains........................... 0.03 0.44 2.84 1.28 --
- ---------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS............................ 0.47 1.18 3.45 1.80 0.41
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR................... $18.24 $14.65 $28.32 $25.69 $21.82
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN /(A)/............................. 27.69% (44.15)% 23.78% 26.03% 19.69%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)....... $301,332 $248,781 $483,850 $385,518 $287,527
Ratios to average net assets:
Net investment income...................... 2.66% 3.10% 2.23% 2.11% 2.16%
Net expenses............................... 0.27%/(c)/ 0.44%/(c)/ 0.20% 0.18% 0.23%
Gross expenses............................. 0.28% 0.45% 0.20% 0.18% 0.23%
Portfolio turnover rate...................... 45% 41% 31% 30% 42%
- ---------------------------------------------------------------------------------------------------------------------
ELFUN TRUSTS 2009 2008 2007 2006 2005
- ---------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 5/27/35
Net asset value, beginning of year............. $30.23 $48.73 $51.58 $50.74 $55.13
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income........................ 0.35 0.49 0.61 0.69 0.62
Net realized and unrealized
gains (losses) on investments.............. 9.83 (17.35) 2.01 5.97 (0.14)
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS. 10.18 (16.86) 2.62 6.66 0.48
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ 0.37 0.49 0.61 0.70 0.64
Return of Capital............................ 0.03 0.02 -- -- --
Net realized gains........................... 1.51 1.13 4.86 5.12 4.23
- ---------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS............................ 1.91 1.64 5.47 5.82 4.87
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR................... $38.50 $30.23 $48.73 $51.58 $50.74
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN /(A)/............................. 33.62% (34.53)% 5.05% 13.10% 0.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)....... $1,639,896 $1,314,686 $2,199,017 $2,302,024 $2,273,709
Ratios to average net assets:
Net investment income...................... 1.05% 1.10% 1.10% 1.29% 1.12%
Net expenses............................... 0.23%/(c)/ 0.21%/(c)/ 0.12% 0.13% 0.11%
Gross expenses............................. 0.24% 0.22% 0.12% 0.13% 0.11%
Portfolio turnover rate...................... 8% 20% 12% 14% 13%
- -------
See Notes to Financial Highlights and Notes to Financial Statements.
79
[GRAPHIC]
Selected data based on a unit outstanding during the years indicated
ELFUN DIVERSIFIED FUND 2009 2008 2007 2006 2005
- --------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/1/88
Net asset value, beginning of year............. $13.41 $19.80 $20.15 $18.74 $19.43
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income........................ 0.29 0.42 0.50 0.50 0.44
Net realized and unrealized
gains (losses) on investments.............. 2.68 (6.41) 1.26 2.24 0.35
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS. 2.97 (5.99) 1.76 2.74 0.79
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ 0.30 0.40 0.49 0.50 0.44
Net realized gains........................... 0.00* -- 1.62 0.83 1.04
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS............................ 0.30 0.40 2.11 1.33 1.48
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR................... $16.08 $13.41 $19.80 $20.15 $18.74
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN /(A)/............................. 22.13% (30.23)% 8.74%/(B)/ 14.60% 4.02%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)....... $220,654 $191,347 $292,224 $283,069 $259,930
Ratios to average net assets:
Net investment income...................... 1.98% 2.35% 2.31% 2.45% 2.21%
Net expenses............................... 0.43%/(c)/ 0.31%/(c)/ 0.20% 0.20% 0.22%
Gross expenses............................. 0.47% 0.33% 0.20% 0.20% 0.22%
Portfolio turnover rate...................... 142% 180% 171% 119% 118%
- --------------------------------------------------------------------------------------------------------------------------
ELFUN TAX-EXEMPT INCOME FUND 2009 2008 2007 2006 2005
- --------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/1/80
Net asset value, beginning of year............. $10.73 $11.54 $11.74 $11.75 $11.91
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income........................ 0.53 0.53 0.54 0.54 0.54
Net realized and unrealized
gains (losses) on investments.............. 0.91 (0.81) (0.20) 0.01 (0.12)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM INVESTMENT OPERATIONS........ 1.44 (0.28) 0.34 0.55 0.42
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ 0.53 0.53 0.54 0.54 0.54
Net realized gains........................... -- -- 0.00* 0.02 0.04
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS............................ 0.53 0.53 0.54 0.56 0.58
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR................... $11.64 $10.73 $11.54 $11.74 $11.75
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN /(A)/............................. 13.64% (2.51)% 2.96% 4.83% 3.64%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)....... $1,776,803 $1,623,597 $1,757,490 $1,771,290 $1,741,535
Ratios to average net assets:
Net investment income...................... 4.66% 4.72% 4.63% 4.64% 4.56%
Net expenses............................... 0.18% 0.12% 0.12% 0.12% 0.13%
Gross expenses............................. 0.18% 0.12% 0.12% 0.12% 0.13%
Portfolio turnover rate...................... 33% 37% 39% 36% 32%
- -------
See Notes to Financial Highlights and Notes to Financial Statements.
80
[GRAPHIC]
Selected data based on a unit outstanding during the years indicated
ELFUN INCOME FUND 2009 2008 2007 2006 2005
- ------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 12/31/84
Net asset value, beginning of year........ $10.35 $11.09 $11.05 $11.14 $11.42
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................... 0.43 0.52 0.61 0.59 0.54
Net realized and unrealized
gains (losses) on investments......... 0.38 (0.74) 0.05 (0.09) (0.25)
- ------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM INVESTMENT OPERATIONS... 0.80 (0.22) 0.66 0.50 0.29
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................... 0.43 0.52 0.62 0.59 0.53
Net realized gains...................... -- -- 0.00* -- 0.04
- ------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS....................... 0.43 0.52 0.62 0.59 0.57
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.............. $10.73 $10.35 $11.09 $11.05 $11.14
- ------------------------------------------------------------------------------------------------------
TOTAL RETURN /(A)/........................ 8.04% (2.01)% 6.16% 4.69% 2.58%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands).. $338,481 $328,913 $363,695 $363,142 $385,076
Ratios to average net assets:
Net investment income................. 4.15% 4.88% 5.58% 5.41% 4.74%
Net expenses.......................... 0.24%/(c)/ 0.16%/(c)/ 0.20% 0.19% 0.21%
Gross expenses........................ 0.27% 0.20% 0.20% 0.19% 0.21%
Portfolio turnover rate................. 320% 451% 432% 328% 317%
- ------------------------------------------------------------------------------------------------------
ELFUN MONEY MARKET FUND 2009 2008 2007 2006 2005
- ------------------------------------------------------------------------------------------------------
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* 0.03 0.05 0.05 0.03
- ------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM INVESTMENT OPERATIONS... 0.00 0.03 0.05 0.05 0.03
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................... 0.00* 0.03 0.05 0.05 0.03
- ------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS....................... 0.00 0.03 0.05 0.05 0.03
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.............. $1.00 $1.00 $1.00 $1.00 $1.00
- ------------------------------------------------------------------------------------------------------
TOTAL RETURN /(A)/........................ 0.42% 2.57% 5.24% 4.93% 3.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands).. $244,564 $285,389 $327,766 $306,582 $313,641
Ratios to average net assets:
Net investment income................. 0.43% 2.57% 5.12% 4.87% 3.06%
Net expenses.......................... 0.24% 0.19% 0.18% 0.18% 0.19%
Gross expenses........................ 0.24% 0.19% 0.18% 0.18% 0.19%
- -------
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.
(b)The total return includes .03% related to the purchase and sales of initial
public offerings.
(c)Reflects GEAM's waiver of a portion of the Fund's management expenses in an
amount equal to the management fee earned by GEAM with respect to the Fund's
investment in the GE Funds - GE Money Market Fund.
* Less than 0.005 per share.
- -------
See Notes to Financial Statements.
81
STATEMENTS OF ASSETS ELFUN
AND LIABILITIES DECEMBER 31, 2009 INTERNATIONAL ELFUN
(AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS
ASSETS
Investments in securities, at market (cost $280,131; $1,343,555;
$180,383; $1,691,366; $320,184 and $0 respectively)................ $298,066 $1,615,184
Investments in affiliated securities, at market (at cost $131; $603;
$271; $370; $1,370 and $0 respectively)............................ 100 458
Short-term Investments (at amortized cost)........................... -- --
Short-term affiliated investments (at amortized cost)................ 2,143 24,213
Foreign currency (cost $43; $0; $9; $0; $0; and $0, respectively).... 42 --
Receivable for investments sold...................................... -- --
Income receivables................................................... 499 1,344
Receivable for fund shares sold...................................... 261 444
Variation margin receivable.......................................... -- --
Receivable from GEAM................................................. -- --
Other assets......................................................... 399 --
- -------------------------------------------------------------------------------------------------
TOTAL ASSETS....................................................... 301,510 1,641,643
- -------------------------------------------------------------------------------------------------
LIABILITIES
Distribution payable to unitholders.................................. -- --
Payable for investments purchased.................................... -- --
Payable for fund units redeemed...................................... 77 606
Payable to GEAM...................................................... 28 886
Accrued other expenses............................................... 67 255
Variation margin payable............................................. 6 --
Payable to custodian................................................. -- --
- -------------------------------------------------------------------------------------------------
TOTAL LIABILITIES.................................................. 178 1,747
- -------------------------------------------------------------------------------------------------
NET ASSETS............................................................. $301,332 $1,639,896
- -------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Capital paid in...................................................... 326,264 1,368,706
Undistributed (distribution in excess of) net investment income...... 159 --
Accumulated net realized gain (loss)................................. (43,021) (294)
Net unrealized appreciation/(depreciation) on:
Investments........................................................ 17,905 271,484
Futures............................................................ 11 --
Foreign currency related transactions.............................. 14 --
- -------------------------------------------------------------------------------------------------
NET ASSETS............................................................. $301,332 $1,639,896
- -------------------------------------------------------------------------------------------------
Units outstanding (Par value $10; $10; $10; $10; $10; and $1,
respectively; unlimited shares authorized)........................... 16,521 42,596
Net asset value, offering and redemption price per unit................ $18.24 $38.50
- -------
See Notes to Financial Statements.
82
ELFUN ELFUN ELFUN
DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET
FUND INCOME FUND INCOME FUND FUND
$184,341 $1,766,366 $315,267 $ --
206 281 1,041 --
-- -- -- 244,630
35,925 7,806 37,406 --
9 -- -- --
-- 12,262 -- --
604 25,143 2,908 168
35 118 327 416
11 -- 28 --
502 -- 9 --
1,527 -- 66 2
-------------------------------------------------
223,160 1,811,976 357,052 245,216
-------------------------------------------------
-- 2,162 386 4
1,878 31,808 18,172 --
61 147 13 415
-- 618 -- 233
344 438 -- 0
202 -- -- --
21 -- -- --
-------------------------------------------------
2,506 35,173 18,571 652
-------------------------------------------------
$220,654 $1,776,803 $338,481 $244,564
-------------------------------------------------
236,935 1,713,681 361,379 244,765
2 -- 732 1
(20,552) (11,789) (18,662) (202)
3,894 74,911 (5,246) --
374 -- 278 --
1 -- -- --
-------------------------------------------------
$220,654 $1,776,803 $338,481 $244,564
-------------------------------------------------
13,724 152,662 31,533 244,778
$16.08 $11.64 $10.73 $1.00
83
STATEMENTS OF OPERATIONS ELFUN
FOR THE YEAR ENDED DECEMBER 31 , 2009 INTERNATIONAL ELFUN
(AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS
INVESTMENT INCOME
INCOME:
Dividends....................................................... $ 8,306 $ 17,701
Interest........................................................ 37 716
Interest from affiliated investments............................ 21 115
Less: Foreign taxes withheld.................................... (810) (2)
- --------------------------------------------------------------------------------------------
TOTAL INCOME...................................................... 7,554 18,530
- --------------------------------------------------------------------------------------------
EXPENSES:
Administration expenses......................................... 275 2,258
Unitholder servicing agent expenses............................. 62 207
Transfer agent expenses......................................... 185 604
Custody and accounting expenses................................. 108 80
Insurance expenses.............................................. 30 143
Professional fees............................................... 18 20
Registration, filing, printing and miscellaneous expenses....... 36 118
- --------------------------------------------------------------------------------------------
TOTAL EXPENSES.................................................. 714 3,430
Less: Expenses Waived or borne by the advisor................... (20) (88)
- --------------------------------------------------------------------------------------------
Net expenses.................................................... 694 3,342
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME............................................. 6,860 15,188
- --------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments..................................................... (38,591) 62,060
Futures......................................................... 68 --
Foreign currency related transactions........................... 90 --
INCREASE (DECREASE) IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Investments..................................................... 96,371 347,531
Futures......................................................... (23) --
Foreign currency related transactions........................... 29 --
- --------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments............ 57,944 409,591
- --------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ 64,804 $424,779
- --------------------------------------------------------------------------------------------
- -------
See Notes to Financial Statements.
84
ELFUN ELFUN ELFUN
DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET
FUND INCOME FUND INCOME FUND FUND
$ 2,180 $ -- $ -- $ --
2,627 83,365 14,192 1,809
137 3 129 --
(120) -- -- --
------------------------------------------------
4,824 83,368 14,321 1,809
------------------------------------------------
289 2,253 426 359
43 88 50 45
125 259 143 125
390 115 168 57
24 162 34 --
28 29 18 26
51 118 37 36
------------------------------------------------
950 3,024 876 648
(94) -- (84) --
------------------------------------------------
856 3,024 792 648
------------------------------------------------
3,968 80,344 13,529 1,161
------------------------------------------------
(22,118) (5,590) (9,116) 6
1,685 -- 724 --
(35) -- (2) --
56,715 143,175 20,479 --
323 -- (131) --
6 -- -- --
------------------------------------------------
36,576 137,585 11,954 6
------------------------------------------------
$ 40,544 $217,929 $25,483 $1,167
------------------------------------------------
85
STATEMENTS OF CHANGES ELFUN ELFUN
IN NET ASSETS FOR THE YEAR ENDED INTERNATIONAL TRUSTS
DECEMBER 31, 2009 AND 2008 (AMOUNTS IN THOUSANDS) EQUITY FUND FUND
2009 2008 2009 2008
- ------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................ $ 6,860 $ 12,205 $ 15,188 $ 20,413
Net realized gain (loss) on investments, futures,
written options, foreign currency related
transactions and swaps............................. (38,433) 6,023 62,060 45,849
Net increase (decrease) in unrealized appreciation/
(depreciation) on investments, futures and
foreign currency related transactions.............. 96,377 (231,564) 347,531 (795,454)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations.............. 64,804 (213,336) 424,779 (729,192)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income................................ (7,145) (11,764) (15,188) (20,393)
Net realized gains................................... (430) (7,022) (62,071) (47,329)
Return of capital.................................... -- -- (1,246) (831)
- ------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS.................................... (7,575) (18,786) (78,505) (68,553)
- ------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations
and distributions.................................... 57,229 (232,122) 346,274 (797,745)
- ------------------------------------------------------------------------------------------------------
UNIT TRANSACTIONS:
Proceeds from sale of units.......................... 12,009 40,614 26,015 34,480
Value of distributions reinvested.................... 6,647 16,479 59,748 51,476
Cost of units redeemed............................... (23,334) (60,040) (106,827) (172,542)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) from unit transactions......... (4,678) (2,947) (21,064) (86,586)
- ------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 52,551 (235,069) 325,210 (884,331)
NET ASSETS
Beginning of year...................................... 248,781 483,850 1,314,686 2,199,017
- ------------------------------------------------------------------------------------------------------
END OF YEAR............................................ $301,332 $ 248,781 $1,639,896 $1,314,686
- ------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF)
NET INVESTMENT INCOME, END OF YEAR..................... $ 159 $ 352 $ -- $ --
CHANGES IN FUND UNITS
Units sold by subscription............................... 755 1,672 775 837
Issued for distribution reinvested....................... 362 1,108 1,538 1,735
Units redeemed........................................... (1,582) (2,878) (3,200) (4,216)
- ------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN FUND UNITS.................... (465) (98) (887) (1,644)
- ------------------------------------------------------------------------------------------------------
- -------
See Notes to Financial Statements.
86
ELFUN ELFUN ELFUN
DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET
FUND INCOME FUND INCOME FUND FUND
2009 2008 2009 2008 2009 2008 2009 2008
- --------------------------------------------------------------------------------------
$ 3,968 $ 5,897 $ 80,344 $ 81,973 $ 13,529 $ 17,104 $ 1,161 $ 8,081
(20,468) (68) (5,590) (5,111) (8,394) (3,844) 6 (208)
57,044 (92,761) 143,175 (123,349) 20,348 (20,461) -- --
- --------------------------------------------------------------------------------------
40,544 (86,932) 217,929 (46,487) 25,483 (7,201) 1,167 7,873
- --------------------------------------------------------------------------------------
(4,031) (5,618) (80,344) (82,012) (13,587) (17,027) (1,161) (8,080)
(3) -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
- --------------------------------------------------------------------------------------
(4,034) (5,618) (80,344) (82,012) (13,587) (17,027) (1,161) (8,080)
- --------------------------------------------------------------------------------------
36,510 (92,550) 137,585 (128,499) 11,896 (24,228) 6 (207)
- --------------------------------------------------------------------------------------
8,037 14,407 62,940 124,398 22,269 29,224 90,903 168,489
3,480 4,807 55,172 56,912 9,605 11,873 1,019 7,122
(18,720) (27,541) (102,491) (186,704) (34,202) (51,651) (132,753) (217,781)
- --------------------------------------------------------------------------------------
(7,203) (8,327) 15,621 (5,394) (2,328) (10,554) (40,831) (42,170)
- --------------------------------------------------------------------------------------
29,307 (100,877) 153,206 (133,893) 9,568 (34,782) (40,825) (42,377)
191,347 292,224 1,623,597 1,757,490 328,913 363,695 285,389 327,766
- --------------------------------------------------------------------------------------
$220,654 $ 191,347 $1,776,803 $1,623,597 $338,481 $328,913 $ 244,564 $ 285,389
- --------------------------------------------------------------------------------------
$ 2 $ 74 $ -- $ -- $ 732 $ 793 $ 1 $ 1
554 849 5,541 10,981 2,139 2,726 90,903 168,490
215 342 4,841 5,102 920 1,110 1,019 7,122
(1,316) (1,681) (9,028) (17,077) (3,298) (4,863) (132,753) (217,781)
- --------------------------------------------------------------------------------------
(547) (490) 1,354 (994) (239) (1,027) (40,831) (42,169)
- --------------------------------------------------------------------------------------
87
December 31, 2009
[GRAPHIC]
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 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.
ACCOUNTING CHANGES
The Financial Accounting Standards Board (FASB) issued FASB Accounting
Standards Codification (ASC) effective for financial statements issued for
interim and annual periods ending after September 15, 2009. The ASC is an
aggregation of previously issued authoritative U.S. generally accepted
accounting principles (GAAP) in one comprehensive set of guidance organized by
subject area. In accordance with the ASC, references to previously issued
accounting standards have been replaced by ASC references. Subsequent revisions
to GAAP will be incorporated into the ASC through Accounting Standards Updates
(ASU).
The following summarizes the significant accounting policies of the Funds:
SECURITY VALUATION AND TRANSACTIONS
A Fund's portfolio securities are valued generally on the basis of market
quotations. Equity securities generally are valued at the last reported sales
price on the primary market in which they are traded. Portfolio securities
listed on NASDAQ are valued using the NASDAQ Official Closing Price, which may
not necessarily represent the last sale price. If no sales occurred on the
exchange or NASDAQ that day, the portfolio security generally is valued using
the last reported bid price.
Debt securities (other than short-term securities described below) generally
are valued at an evaluated bid as reported by an independent pricing service.
Values obtained from pricing services are based on various factors such as
market transactions, dealer supplied valuations, security characteristics and
other market data. In the absence of a reliable price from such a
pricing service, debt securities may be valued based on dealer supplied
valuations or quotations. A Fund's written or purchased options are valued at
the last sales price, or if no sales occurred that day, at the last reported
bid price. Short-term investments of sufficient quality with remaining
maturities of sixty days or less at the time of purchase are valued on the
basis of amortized costs.
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.
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.
Foreign securities may be valued with the assistance of an independent fair
value pricing service in circumstances where it is believed that they have been
or would be materially affected by events occurring after the close of the
portfolio security's primary market and before the close of regular trading on
the NYSE. This independent fair value pricing service uses a computerized
system to appraise affected securities and portfolios taking into consideration
various factors and the fair value of such securities may be something other
than the last available quotation or other market price.
GEAM may also separately monitor portfolio securities and, consistent with the
Funds' fair value procedures, apply a different value to a portfolio security
than would
88
December 31, 2009
[GRAPHIC]
be applied had it been priced using market quotations or by an independent fair
value pricing service.
Determining the fair value of securities involves the application of both
subjective and objective considerations. Security values may differ depending
on the methodology used to determine their values, and may differ from the last
quoted sale or closing price. No assurance can be given that use of these fair
value procedures will always better represent the price at which a Fund could
sell the affected portfolio security.
Security transactions are accounted for as of the trade date. Realized gains
and losses on investments sold are recorded on the basis of identified cost for
both financial statement and federal tax purposes.
SUBSEQUENT EVENTS
Subsequent events after the balance sheet date through the date the financial
statements were issued were evaluated in the preparation of Financial
Statements.
FAIR VALUE MEASUREMENTS
The Funds adopted ASC 820, Fair Valuation Measurements and Disclosures
effective January 1, 2008. This guidance establishes a new framework for
measuring fair value and expands 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. It also establishes a three-level
valuation hierarchy based upon observable and non-observable inputs.
For financial assets and liabilities, fair value is the price the Funds would
receive to sell an asset or pay to transfer a liability in an orderly
transaction with a market participant 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.
Observable inputs reflect market data obtained from independent sources, while
unobservable inputs reflect our market assumptions. Preference is given to
observable inputs. These two types of inputs create the following fair value
hierarchy:
Level 1--Quoted prices for identical investments in active markets.
Level 2--Quoted prices for similar investments in active markets; quoted prices
for identical or similar investments in markets that are not active; and
model-derived valuations whose inputs are observable or whose significant value
drivers are observable.
Level 3--Significant inputs to the valuation model are unobservable.
Policies and procedures are maintained to value investments using the best and
most relevant data available. In addition, GEAM performs periodic reviews of
the methodologies used by independent pricing services including price
validation of individual securities.
The following section describes the valuation methodologies the Funds use to
measure different financial investments at fair value.
When available, the Funds use quoted market prices to determine the fair value
of investment securities, and they are included in Level 1. Level 1 securities
primarily include publicly-traded equity securities.
When quoted market prices are unobservable, pricing information is obtained
from an independent pricing vendor. The pricing vendor uses various pricing
models for each asset class that are consistent with what other market
participants would use. The inputs and assumptions to the model of the pricing
vendor are derived from market observable sources including: benchmark yields,
reported trades, broker/dealer quotes, issuer spreads, benchmark securities,
bids, offers, and other market-related data. Since many fixed income securities
do not trade on a daily basis, the methodology of the pricing vendor uses
available information as applicable such as benchmark curves, benchmarking of
like securities, sector groupings, and matrix pricing. The pricing vendor
considers all available market observable inputs in determining the evaluation
for a security. Thus, certain securities may not be priced using quoted prices,
but rather determined from market observable information. These investments
89
December 31, 2009
[GRAPHIC]
are included in Level 2 and primarily comprise our portfolio of corporate fixed
income, and government, mortgage and asset-backed securities. In infrequent
circumstances, pricing vendors may provide the Funds with valuations that are
based on significant unobservable inputs, and in those circumstances the
investment securities are included in Level 3.
The Funds use non-binding broker quotes as the primary basis for valuation when
there is limited, or no, relevant market activity for a specific investment or
for other investments that share similar characteristics. The Funds have not
adjusted the prices obtained. Investment securities priced using non-binding
broker quotes are included in Level 3. As is the case with the primary pricing
vendor, third-party brokers do not provide access to their proprietary
valuation models, inputs and assumptions. Accordingly, GEAM conducts internal
reviews of pricing for all such investment securities periodically to ensure
reasonableness of valuations used in the Funds' financial statements. These
reviews are designed to identify prices that appear stale, those that have
changed significantly from prior valuations, and other anomalies that may
indicate that a price may not be accurate. Based on the information available,
GEAM believes that the fair values provided by the brokers are representative
of prices that would be received to sell the assets at the measurement date
(exit prices).
Other financial investments are derivative investments that are not reflected
in Total Investments, such as futures, forwards, swaps, and written options
contracts, which are valued based on the unrealized appreciation/depreciation
of the instrument.
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.
In January 2010, FASB issued ASU 2010-06, Improving Disclosures about Fair
Value Measurements. ASU 2010-06 will require reporting entities to make new
disclosures about the amounts and reasons for significant transfers in and out
of Level 1 and Level 2 fair value measurements and inputs and valuation
techniques used to measure fair value for both recurring and nonrecurring fair
value measurements that fall in either Level 2 or Level 3, and information on
purchases, sales, issuances, and settlements in the roll forward of activity in
Level 3 fair value measures. The new disclosures are effective for interim and
annual reporting periods beginning after December 15, 2009, except for the
disclosures about purchases, sales, issuances, and settlements in the roll
forward of activity in Level 3 fair value measurements. Those disclosures are
effect for fiscal years beginning after December 15, 2010, and for interim
periods within those fiscal years. GEAM does not believe the adoption of ASU
2010-06 will materially impact the financial statement amounts.
The following tables present the Funds' investments measured at fair value on a
recurring basis at December 31, 2009:
ELFUN INTERNATIONAL EQUITY FUND+
LEVEL 1 LEVEL 2* LEVEL 3 TOTAL
------------------------------------------------------------------------
Investments in Securities $ 24,360 $275,949 $ -- $ 300,309
Other Financial Instruments 11 -- -- 11
ELFUN TRUSTS+
LEVEL 1 LEVEL 2* LEVEL 3 TOTAL
------------------------------------------------------------------------
Investments in Securities $1,639,397 $ 458 $ -- $1,639,855
ELFUN DIVERSIFIED FUND+
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------------------------------------------------------------------
Investments in Securities $ 120,222 $ 97,835 $2,415 $ 220,472
Other Financial Instruments 374 -- -- 374
90
December 31, 2009
[GRAPHIC]
Following is a reconciliation of securities activity based on Level 3 inputs
for which unobservable market inputs were used to determine fair value.
INVESTMENTS IN SECURITIES
- -------------------------------------------------------------------------------
Balance at 12/31/08 $ 4,316
Accrued discounts/premiums (26)
Realized gain (loss) (395)
Change in unrealized appreciation (depreciation) 1,796
Net purchases (sales) (3,208)
Net transfers in and out of Level 3 (68)
- -------------------------------------------------------------------------------
Balance at 12/31/09 $ 2,415
- -------------------------------------------------------------------------------
Change in Unrealized Gain/(Loss) relating to Level 3
Securities Still held at December 31, 2009 $ 42
ELFUN TAX-EXEMPT INCOME FUND+
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------------------------------------------------------------------
INVESTMENT IN SECURITIES
Mutual Funds $ -- $ 8,087 $ -- $ 8,087
Municipals -- 1,766,366 -- 1,766,366
---------------------------------------------------------------------
TOTAL INVESTMENT IN SECURITIES $ -- $1,774,453 $ -- $1,774,453
---------------------------------------------------------------------
ELFUN INCOME FUND+
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------------------------------------------------------------------
Investments in Securities $37,406 $ 302,738 $13,570 $ 353,714
Other Financial Instruments 278 -- -- 278
Following is a reconciliation of securities activity based on Level 3 inputs
for which unobservable market inputs were used to determine fair value:
INVESTMENTS IN SECURITIES
- -------------------------------------------------------------------------------
Balance at 12/31/08 $ 8,506
Accrued discounts/premiums 370
Realized gain (loss) (2,844)
Change in unrealized appreciation (depreciation) 2,211
Net purchases (sales) 8,654
Net transfers in and out of Level 3 (3,327)
- -------------------------------------------------------------------------------
Balance at 12/31/09 $13,570
- -------------------------------------------------------------------------------
Change in Unrealized Gain/(Loss) relating to Level 3
Securities Still held at December 31, 2009 $ 775
91
December 31, 2009
[GRAPHIC]
ELFUN MONEY MARKET FUND+
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------------------------------------------------------
Investments in Securities $-- $244,630 $-- $244,630
+ See Statement of Investments for Industry Classification.
* At December 31, 2009, the foreign securities were valued with the assistance
of an independent fair value pricing service, causing securities to move from
Level 1 to Level 2.
Transfers in and out of level 3 are considered to occur at the beginning of the
period.
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities. For example, money
market securities are valued using amortized cost, in accordance with the
Investment Company Act of 1940. Generally, amortized cost reflects the current
fair value of a security, but since the value is not obtained from a quoted
price in an active market, such securities are reflected as Level 2. Fair value
determinations are required for securities whose value is affected by a
significant event that will materially affect the value of a domestic or
foreign security and which occurs subsequent to the time of the close of the
principal market on which such domestic or foreign security trades but prior to
the calculation of the Fund's NAV.
92
December 31, 2009
[GRAPHIC]
REPURCHASE AGREEMENTS
Each of the Funds may engage in repurchase agreement transactions with respect
to instruments that are consistent with the Fund's investment objectives or
policies. The Funds' custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Funds. The Funds value
the underlying collateral daily on a mark-to-market basis to determine that the
value, including accrued interest, is at least equal to 102% of the repurchase
price. In the event the seller defaults and the value of the security declines,
or if the seller enters an insolvency proceeding, realization of the collateral
by the Funds may be delayed or limited.
SECURITY LENDING
Each of the Funds may loan securities to brokers, dealers, and financial
institutions determined by GEAM to be creditworthy, subject to certain
limitations. The Funds continue to receive the interest and dividends on the
loaned securities during the term of the loan. The loans of securities are
secured by collateral in the form of cash or other liquid assets, which are
segregated and maintained with the custodian in an amount at least equal to
102% of the current market value of the loaned securities. During the term of
the loan, the Funds will record any gain or loss in the market value of its
loaned securities and of securities in which cash collateral is invested. A
Fund will also earn interest, net of any rebate, from securities in which cash
collateral is invested. In the event the counterparty (borrower) does not meet
its contracted obligation to return the securities, the Funds may be exposed to
the risk of loss of reacquiring the loaned securities at prevailing market
prices using the proceeds of the sale of the collateral.
FOREIGN CURRENCY
Accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currency are
translated to U.S. dollars at the prevailing rates of exchange on a daily basis
(on days the New York Stock Exchange is open). Purchases and sales of
securities, income receipts and expense payments denominated in foreign
currencies are translated into U.S. dollars at the prevailing exchange rate on
the respective dates of such transactions.
The Funds do not isolate the portion of the results of operations resulting
from changes in foreign exchange rates for securities denominated in foreign
currencies from the fluctuations arising from changes in the market prices of
those securities during the year. Such fluctuations are included in net
realized or unrealized gain or loss from investments. Net realized exchange
gains or losses on foreign currency transactions represent net gains or losses
on sales and maturities of foreign currency contracts, disposition of foreign
currencies, the difference between the amount of net investment income and
withholding taxes accrued and the U.S. dollar amount actually received and
paid, and gains or losses between the trade and settlement date on purchases
and sales of securities. Net unrealized foreign exchange gains and losses
arising from changes in the value of other assets and liabilities (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.
FUTURES CONTRACTS
Certain Funds may invest in futures contracts subject to certain limitations.
The Funds may invest in futures contracts to manage their exposure to the stock
and bond markets and fluctuations in currency values. Buying futures tends to
increase a Fund's exposure to the underlying instrument while selling futures
tends to decrease a Fund's exposure to the underlying instrument, or hedge
other Fund investments. A Fund will not enter into a transaction involving
futures for speculative purposes. The Fund's risks in using these contracts
include changes in the value of the underlying instruments, non-performance of
the counterparties under the contracts' terms and changes in the liquidity
of the secondary market for the contracts. Futures contracts are valued at the
settlement price established each day by the board of trade or exchange on
which they principally trade.
Upon entering into a financial futures contract, the 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
93
December 31, 2009
[GRAPHIC]
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 Fund may not achieve the anticipated benefits of the futures
contracts and may incur a loss. The Fund recognizes a realized gain or loss on
the expiration or closing of a futures contract.
OPTIONS
Certain Funds may purchase and write options, subject to certain limitations.
The Funds may invest in options contracts to manage their exposure to the stock
and bond markets and fluctuations in foreign currency values. Writing puts and
buying calls tend to increase a Fund's exposure to the underlying instrument
while buying puts and writing calls tend to decrease a Fund's exposure to the
underlying instrument, or economically hedge other Fund investments. A Fund
will not enter into a transaction involving options for speculative purposes.
The Fund's risks in using these contracts include changes in the value of the
underlying instruments, non- performance of the counterparties under the
contracts' terms and changes in the liquidity of the secondary market for the
contracts. Options are valued at the last sale price, or if no sales occurred
on that day, at the last quoted bid price.
When a Fund writes an option, the amount of the premium received is recorded as
a liability and is subsequently adjusted to the current fair value of the
option written. Premiums received from writing options that expire unexercised
are treated by the Funds on the expiration date as realized gains from
investments. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or if the premium is less than the amount paid
for the closing purchase, as a realized loss. When an option is exercised, the
proceeds from the sale of the underlying security or the cost basis of the
securities purchased is adjusted by the original premium received or paid.
SWAP CONTRACTS
As part of their investment strategies, certain Funds may invest in swap
agreements which are agreements to exchange the return generated by one
instrument for the return generated by another instrument. Swaps are marked to
market daily based upon the underlying security or index. Payments received or
made are recorded as realized gain or loss in the Statement of Operations.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that there will be no
liquid market for these agreements, that the counterparty to the agreements may
default on its obligation to perform and that there may be unfavorable changes
in the value of the index or securities underlying the agreement. Notional
principal amounts are used to express the extent of involvement in these
transactions, but the amounts potentially subject to credit risk are much
smaller.
WHEN-ISSUED SECURITIES AND FORWARD COMMITMENTS
Each of the Funds may purchase or sell securities on a when-issued and 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 transactions. The price of the underlying
securities and the date when these securities will be delivered and paid for
are fixed at the time the transaction is negotiated. Losses may arise due to
changes in the market value of the underlying securities or if the counterparty
does not perform under the contract. In connection with such purchases, the
Funds maintain cash or liquid assets in an amount equal to purchase commitments
for such underlying securities until settlement date and for sales commitments
the Funds maintain equivalent deliverable securities as "cover" for the
transaction. Unsettled commitments are valued at the current market value of
the underlying security. Daily fluctuations in the value of such contracts are
recorded as unrealized gains or losses. The Funds will not enter into such
commitments for the purpose of investment leverage.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Certain Funds may enter into forward foreign currency exchange contracts to
facilitate transactions in foreign denominated securities and to manage the
Fund's
94
December 31, 2009
[GRAPHIC]
currency exposure. Forward foreign currency exchange contracts are valued at
the mean between the bid and the offered forward rates as last quoted by a
recognized dealer. The aggregate principal amounts of the contracts are not
recorded in the Fund's financial statements. Such amounts would appear under
the caption forward foreign currency contracts in the Schedule of Investments.
Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (or liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized gains or losses on foreign currency
related transactions. The Fund's risks in using these contracts include changes
in the value of foreign currency or the possibility that the counterparties do
not perform under the contract's terms. When a Fund enters into a forward
foreign currency exchange contract, it is required to segregate cash or liquid
securities with its custodian in an amount equal to the value of the Fund's
total assets committed to the consummation of the forward contract. If the
value of the segregated securities declines, additional cash or securities is
segregated so that the value of the account will equal the amount of the Fund's
commitment with respect to the contract.
INVESTMENTS IN FOREIGN MARKETS
Investments in foreign markets may involve special risks and considerations not
typically associated with investing in the United States. These risks include
revaluation of currencies, high rates of inflation, repatriation on 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 on
income and/or capital gains earned or repatriated. Taxes are accrued based upon
net investment income, net realized gains and net unrealized appreciation as
income and/or capital gains are earned.
INCOME TAXES
(Dollars in Thousands)
The Funds intend to comply with all sections of the Internal Revenue Code
applicable to regulated investment companies, including the distribution of
substantially all of their taxable net investment income, 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.
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 uncertain 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' 2006, 2007, 2008 and 2009 fiscal years tax returns are still open to
examination by the Federal and applicable state tax authorities."
95
December 31, 2009
[GRAPHIC]
At December 31, 2009, information on the tax components of capital is as
follows:
COST OF GROSS TAX GROSS TAX NET TAX APPRECIATION/
INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION) ON
FOR TAX PURPOSES APPRECIATION DEPRECIATION INVESTMENTS
- -------------------------------------------------------------------------------------------------
Elfun International Equity Fund $ 292,057 $ 38,407 $(30,155) $ 8,252
Elfun Trusts 1,368,665 357,677 (86,487) 271,190
Elfun Diversified Fund 216,640 15,160 (11,328) 3,832
Elfun Tax-Exempt Income Fund 1,699,591 93,040 (18,178) 74,862
Elfun Income Fund 359,305 9,213 (14,804) (5,591)
Elfun Money Market Fund 244,630 -- -- --
NET TAX APPRECIATION/ UNDISTRIBUTED UNDISTRIBUTED
(DEPRECIATION) ON INCOME/ LONG-TERM GAINS/ POST OCTOBER
DERIVATIVES, CURRENCY (ACCUMULATED (ACCUMULATED LOSSES
AND OTHER NET ASSETS ORDINARY LOSS) CAPITAL LOSS) (SEE DETAIL BELOW)
- ---------------------------------------------------------------------------------------------------------
Elfun International Equity Fund $24 $158 $(33,366) $ --
Elfun Trusts -- -- -- --
Elfun Diversified Fund 9 1 (20,123) --
Elfun Tax-Exempt Income Fund -- -- (8,798) (2,942)
Elfun Income Fund -- 732 (18,039) --
Elfun Money Market Fund -- 1 (202) --
As of December 31, 2009, the following Funds have capital loss carryovers as
indicated below. The capital loss carryover is available to offset future
realized capital gains to the extent provided in the Internal Revenue Code and
regulations thereunder. To the extent that these carryover losses are used to
offset future capital gains, it is probable that the gains so offset will not
be distributed to shareholders because they would be taxable as ordinary income.
During the year ended December 31, 2009, there were no capital loss utilization.
FUND AMOUNT EXPIRES
-------------------------------------------------
Elfun International Equity Fund $33,366 12/31/17
Elfun Diversified Fund 20,123 12/31/17
Elfun Tax-Exempt Income Fund 1,038 12/31/15
Elfun Tax-Exempt Income Fund 990 12/31/16
Elfun Tax-Exempt Income Fund 6,770 12/31/17
Elfun Income Fund 1,557 12/31/13
Elfun Income Fund 4,451 12/31/14
Elfun Income Fund 188 12/31/16
Elfun Income Fund 11,843 12/31/17
Elfun Money Market Fund 202 12/31/16
Any net capital and currency losses incurred after October 31, within each
Fund's tax year, are deemed to arise on the first day of the Fund's next tax
year if the Fund so elects to defer such losses.
The Funds elected to defer losses incurred after October 31, 2009 as follows:
CAPITAL CURRENCY
----------------------------------------------
Elfun Tax-Exempt Income Fund $2,492 $--
96
December 31, 2009
[GRAPHIC]
The tax composition of distributions paid during the years ended December 31,
2009 and December 31, 2008, were as follows:
EXEMPT ORDINARY LONG-TERM
INTEREST INCOME CAPITAL GAINS ROC TOTAL
- -------------------------------------------------------------------------------
Elfun International Equity Fund
2009 $ -- $ 7,145 $ 430 $ -- $ 7,575
2008 -- 11,764 7,022 -- 18,786
Elfun Trusts
2009 -- 19,519 57,740 1,246 78,505
2008 -- 21,873 45,849 831 68,553
Elfun Diversified Fund
2009 -- 4,031 3 -- 4,034
2008 -- 5,618 -- -- 5,618
Elfun Tax-Exempt Income Fund
2009 78,192 2,152 -- -- 80,344
2008 79,398 2,614 -- -- 82,012
Elfun Income Fund
2009 -- 13,587 -- -- 13,587
2008 -- 17,027 -- -- 17,027
Elfun Money Market Fund
2009 -- 1,161 -- -- 1,161
2008 -- 8,080 -- -- 8,080
97
DISTRIBUTIONS TO SHAREHOLDERS
(Dollars in Thousands)
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 gains and losses on foreign currency contracts, futures and losses
deferred due to wash sale transactions. Reclassifications are made to the
Funds' capital accounts to reflect income and gains available for distribution
(or available capital loss carryovers) under income tax regulations. These
reclassifications have no impact on net investment income, realized gains or
losses, or net asset value of the Funds. The calculation of net investment
income per share in the Financial Highlights table excludes these adjustments.
The reclassifications for the year ended December 31, 2009 were as follows:
UNDISTRIBUTED
NET INVESTMENT ACCUMULATED PAID IN
INCOME NET REALIZED LOSS CAPITAL
--------------------------------------------------------------------------
Elfun International Equity Fund $ 90 $(90) $ --
Elfun Trusts 1,246 11 (1,257)
Elfun Diversified Fund (9) 35 (26)
Elfun Tax-Exempt Income Fund -- -- --
Elfun Income Fund (2) 2 --
Elfun Money Market Fund -- -- --
December 31, 2009
[GRAPHIC]
INVESTMENT INCOME
Corporate actions (including cash dividends) are recorded on the ex-dividend
date, net of applicable withholding taxes, except for certain foreign corporate
actions, which are recorded as soon after ex-dividend date as such information
becomes available. Interest income is recorded on the accrual basis, including
accreting of discounts and amortizing of premiums on bonds to call or maturity
date, whichever is shorter, using the effective yield method. Withholding taxes
on foreign dividends have been provided for in accordance with the Funds'
understanding of the applicable country's tax rules and rates.
EXPENSES
Expenses of the Funds which are directly identifiable to a specific Fund are
allocated to that Fund. Expenses which are not directly identifiable to a
specific Fund are allocated in such a manner as deemed equitable, taking into
consideration the nature and type of expense and the relative sizes of the
Funds. All expenses of the Funds are paid by GEAM and reimbursed by the Funds.
DERIVATIVES DISCLOSURE
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 against the effects of changes in the value of portfolio
securities due to anticipated changes in market conditions, to gain market
exposure for residual and accumulating cash positions, and for managing the
duration of fixed-income investments. A futures contract represents a
commitment for the future purchase or sale of an asset at a specified price on
a specified date. Upon entering into such contracts, the Funds are required to
deposit with the broker, either in cash or securities, an intitial margin in an
amount equal to a certain percentage of the contract amount. Subsequent
payments (variation margin) are made or received by the Funds each day,
depending on the daily fluctuations in the value of the contract, and are
recorded for financial statement purposes as unrealized gains or losses by the
Fund. Upon entering into such contracts, the Funds bears the risk of interest
or exchange rates or securities prices moving unexpectedly, in which case, the
Funds may not achieve the anticipated benefits of the futures contracts and may
realize a loss. 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.
Shown below are the derivative contracts entered into by the Funds, summarized
by primary risk exposure.
ASSET DERIVATIVES DECEMBER 31, 2009 LIABILITY DERIVATIVES DECEMBER 31, 2009
--------------------------------------------- ----------------------------------------
NOTIONAL NOTIONAL
VALUE/ VALUE/
DERIVATIVES NOT ACCOUNTED NO. OF NO. OF
FOR AS HEDGING INSTRUMENTS BALANCE SHEET CONTRACTS FAIR BALANCE SHEET CONTRACTS FAIR
UNDER FASB ASC 815 LOCATION LONG/(SHORT) VALUE LOCATION LONG/(SHORT) VALUE
- --------------------------------------------------------------------------------------------------------------------
ELFUN INTERNATIONAL EQUITY FUND
Equity Rate Contracts Receivables, Net Assets -- 708/12 11*
Unrealized Appreciation/
(Depreciation) on Futures
* Includes cumulative appreciation/depreciation of futures contracts as
reported in the Schedule of Investments and equity section of the Statement
of Assets and Liabilities. Only the current day's variation margin is
reported within the receivables and/or payables Statement of Assets and
Liabilities.
98
December 31, 2009
[GRAPHIC]
Shown below are the effects of derivative instruments on the Funds' Statements
of Operations, summarized by primary risk exposure.
TOTAL NUMBER REALIZED GAIN
OF FUTURES/ OR (LOSS) ON CHANGE IN UNREALIZED
DERIVATIVES NOT ACCOUNTED OPTIONS DERIVATIVES APPRECIATION/(DEPRECIATION)
FOR AS HEDGING INSTRUMENTS LOCATION IN THE CONTRACTS RECOGNIZED ON DERIVATIVES
UNDER FASB ASC 815 STATEMENTS OF OPERATIONS PURCHASED/(SOLD) IN INCOME RECOGNIZED IN INCOME
- -----------------------------------------------------------------------------------------------------------------------
ELFUN INTERNATIONAL EQUITY FUND
Interest Rate Contracts Net realized gain/(loss) on 425/(484) 68 (23)
futures, Increase/(decrease) in
unrealized appreciation/
(depreciation) on futures
ASSET DERIVATIVES DECEMBER 31, 2009 LIABILITY DERIVATIVES DECEMBER 31, 2009
--------------------------------------------- ----------------------------------------
NOTIONAL NOTIONAL
VALUE/ VALUE/
DERIVATIVES NOT ACCOUNTED NO. OF NO. OF
FOR AS HEDGING INSTRUMENTS BALANCE SHEET CONTRACTS FAIR BALANCE SHEET CONTRACTS FAIR
UNDER FASB ASC 815 LOCATION LONG/(SHORT) VALUE LOCATION LONG/(SHORT) VALUE
- --------------------------------------------------------------------------------------------------------------------
ELFUN DIVERSIFIED FUND
Equity Contracts Receivables, Net Assets -- 19,682/345 299*
Unrealized Appreciation/
(Depreciation) on Futures
Interest Rate Contracts Receivables, Net Assets -- (3,764)/30 75
Unrealized Appreciation/
(Depreciation) on Futures
* Includes cumulative appreciation/depreciation of futures contracts as
reported in the Schedule of Investments and equity section of the statement
of assets and liabilities. Only the current day's variation margin is
reported within the receivables and/or payables Statement of Assets and
Liabilities.
Shown below are the effects of derivative instruments on the Funds' Statements
of Operations, summarized by primary risk exposure.
TOTAL NUMBER REALIZED GAIN
OF FUTURES/ OR (LOSS) ON CHANGE IN UNREALIZED
DERIVATIVES NOT ACCOUNTED OPTIONS DERIVATIVES APPRECIATION/(DEPRECIATION)
FOR AS HEDGING INSTRUMENTS LOCATION IN THE CONTRACTS RECOGNIZED ON DERIVATIVES
UNDER FASB ASC 815 STATEMENTS OF OPERATIONS PURCHASED/(SOLD) IN INCOME RECOGNIZED IN INCOME
- --------------------------------------------------------------------------------------------------------------------
ELFUN DIVERSIFIED FUND
Equity Contracts Net realized gain/(loss) on 992/(658) 1,748 248
futures, Increase/(decrease)
Interest Rate Contracts Net realized gain/(loss) on 666/(720) (63) 75
futures, Increase/(decrease)
99
December 31, 2009
[GRAPHIC]
ASSET DERIVATIVES DECEMBER 31, 2009 LIABILITY DERIVATIVES DECEMBER 31, 2009
----------------------------------------------- ---------------------------------------------
NOTIONAL NOTIONAL
DERIVATIVES NOT VALUE/ VALUE/
ACCOUNTED FOR AS HEDGING NO. OF NO. OF
INSTRUMENTS UNDER FASB BALANCE SHEET CONTRACTS FAIR BALANCE SHEET CONTRACTS FAIR
ASC 815 LOCATION LONG/(SHORT) VALUE LOCATION LONG/(SHORT) VALUE
- ------------------------------------------------------------------------------------------------------------------------
ELFUN INCOME FUND
Interest Rate Contracts Receivables, Net Assets -- (13,046)/(113) 347* Payables, Net Assets -- 16,599/89 (69)
Unrealized Appreciation/ Unrealized Appreciation/
(Depreciation) on Futures (Depreciation) on Futures
* Includes cumulative appreciation/depreciation of futures contracts as
reported in the Schedule of Investments and equity section of the Statement
of Assets and Liabilities. Only the current day's variation margin is
reported within the receivables and/or payables Statement of Assets and
Liabilities.
Shown below are the effects of derivative instruments on the Funds' Statements
of Operations, summarized by primary risk exposure.
TOTAL NUMBER REALIZED GAIN
OF FUTURES/ OR (LOSS) ON CHANGE IN UNREALIZED
DERIVATIVES NOT ACCOUNTED OPTIONS DERIVATIVES APPRECIATION/(DEPRECIATION)
FOR AS HEDGING INSTRUMENTS LOCATION IN THE CONTRACTS RECOGNIZED ON DERIVATIVES
UNDER FASB ASC 815 STATEMENTS OF OPERATIONS PURCHASED/(SOLD) IN INCOME RECOGNIZED IN INCOME
- --------------------------------------------------------------------------------------------------------------------
ELFUN INCOME FUND
Interest Rate Contracts Net realized gain/(loss) on 3,665/(3,795) 724 (131)
futures, Increase/(decrease)
3. 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. The revolving credit facility requires the payment of a
commitment fee equal to 0.15% 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, 2009.
4. AMOUNTS PAID TO AFFILIATES
During 2009, 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.
GENPACT performs certain accounting and certain administration services not
provided by GEAM. For the year ending December 31, 2009, $79 (dollars in
thousands) was charged to the Funds and was allocated pro rata across Funds
based upon relative net assets. Administrative services not performed by GEAM
or GENPACT were provided by an unaffiliated service provider.
100
December 31, 2009
[GRAPHIC]
5. INVESTMENT TRANSACTIONS
(Dollars in Thousands)
PURCHASES AND SALES OF SECURITIES
The cost of purchases and the proceeds from sales of investments, other than
short-term securities and short-term options, for the year ended December 31,
2009, were as follows:
U.S. GOVERNMENT SECURITIES OTHER SECURITIES
-------------------------- ------------------
PURCHASES SALES PURCHASES SALES
------------------------------------------------------------------------------------
Elfun International Equity
Fund $ -- $ -- $114,797 $112,480
Elfun Trusts Fund -- -- 108,342 189,395
Elfun Diversified Fund 129,066 149,723 107,692 98,091
Elfun Tax-Exempt Fund -- -- 632,293 562,130
Elfun Income Fund 771,423 878,139 275,457 194,333
OPTIONS
During the year ended December 31, 2009 there were no written option contracts.
SECURITY LENDING
At December 31, 2009, the Funds did not participate in securities lending.
6. MONEY MARKET FUND GUARANTEE PROGRAM
The ElFun Money Market Fund participated in the U.S. Treasury Department's
Temporary Guarantee Program for Money Market Funds (the "Program") through
September 18, 2009, the day the Program expired. Under the Program, if the
fund's market value per share dropped below $0.995 on any day while the Program
was in effect and the fund was subsequently liquidated, shareholders of record
on that date who also held shares in the fund on September 19, 2008 would have
been eligible to receive a payment from the U.S. Department of Treasury. No
such guarantee event occurred during the term of the Program. The ElFun Money
Market Fund shareholders incurred $183,195 which increased the operating
expenses by 0.06% for participation in the Program.
101
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[LOGO]
THE UNITHOLDERS AND BOARD OF TRUSTEES
ELFUN FUNDS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of the Elfun International Equity Fund,
Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun
Income Fund and Elfun Money Market Fund, each a series of Elfun Funds
(collectively, the "Funds"), as of December 31, 2009 and the related statements
of operations for the year then ended, statements of changes in net assets for
each of the years in the two-year period then ended, and the financial
highlights for each of the years in the five-year period then ended. These
financial statements and financial highlights are the responsibility of the
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, 2009 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, 2009, the results of their operations, changes in their net assets
and financial highlights for each of the years described above, in conformity
with U.S. generally accepted accounting principles.
/s/
Boston, Massachusetts
February 25, 2010
102
[GRAPHIC]
For the year ended December 31, 2009
SUMMARY
For the fiscal year ended December 31, 2009 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. Of the ordinary dividends
paid during the fiscal year, the following represent the amounts that may be
considered qualified dividend income:
FUND NAME QUALIFIED DIVIDEND INCOME
----------------------------------------------------------
Elfun International Equity Fund 99.40%
Elfun Diversified Fund 48.41%
Elfun Trusts 90.67%
Of the dividends paid from net investment income by the Elfun Tax Exempt Fund
during the calendar year ended December 31, 2009, 97.32% represent exempt
interest dividends for Federal income tax purposes.
For corporate shareholders, of the ordinary dividends paid, the following
represent the amounts that may be eligible for the dividends received deduction:
FUND NAME DIVIDENDS RECEIVED DEDUCTION
----------------------------------------------------
Elfun Diversified Fund 20.94%
Elfun Trusts 86.38%
For the year ended December 31, 2009, the Fund hereby designates as capital
gain dividends the amounts set forth, or the amount ultimately treated as
capital gain net income.
FUND NAME GROSS AMOUNT
---------------------------------------------
Elfun International Equity Fund $ 430,016
Elfun Trusts $57,739,536
Elfun Diversified Fund $ 2,805
The following Fund intends 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 Fund to be paid by them directly. For the
fiscal year ended December 31, 2009, the total amount of income received by the
Fund from sources within foreign countries and possessions of the United States
and the amount of taxes paid by the Fund follows:
TOTOL GROSS FOREIGN TOTAL FOREIGN
FUND NAME SOURCE INCOME TAXES PAID
------------------------------------------------------------------
Elfun International Equity Fund $8,306,461 $813,322
103
[GRAPHIC]
The Board of Trustees of the Elfun Funds/1/ (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 17, 2009.
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 objectives and sizes, which
was prepared by independent third party providers, Lipper Analytical Services
Inc. ("Lipper") and Morningstar, Inc. ("Morningstar"). The Board members
reviewed the fees charged by GEAM for other mutual funds and investment
products other than mutual funds that employ the same investment strategies as
the Funds. The Board had the opportunity to ask questions and request
additional information in connection with its considerations.
Before approving each Fund's investment advisory agreement, the Board members
received and considered memoranda prepared by GEAM personnel that set forth
detailed information, including substantial exhibits and other materials
related to GEAM's business and the services it provides to each Fund. The Board
members also reviewed materials discussing the legal standards for the
consideration of the proposed continuances. The Board members reviewed and
discussed the proposed continuance of the agreements with GEAM personnel,
including representatives from the legal, compliance and finance departments
and senior members of each relevant investment group (e.g., equity, fixed
income). The Board members also heard presentations by these representatives,
and posed questions and engaged in substantive discussions with them concerning
the Funds' operations and the investment process employed for each Fund. The
Board members took into account that many of them possess multi-year experience
as Board members and that all of them possess a great deal of knowledge about
GEAM and the Funds in their capacities as senior officers of GEAM. They also
took into account their consideration of these types of agreements in recent
years. The information was presented in a manner to facilitate comparison to
prior periods and to reflect certain enhancements. To focus their review, the
Board members asked GEAM personnel, in its oral presentations, to highlight
material differences from the information presented in recent years.
In reaching their determinations relating to continuance of the Funds'
investment advisory agreements, the Board members considered all factors that
they deemed relevant, including the factors discussed below. In their
deliberations, the Board members did not identify any particular information
that was all-important or controlling, and each Board member may have
attributed different weights to the various factors. The Board members
evaluated this information, and all other information available to them, for
each Fund separately, and their determinations were made separately in respect
of each Fund. In particular, the Board members focused on the following with
respect to each Fund:
THE NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED
The Board members reviewed the services provided by GEAM and concurred that
GEAM provides high quality advisory and administrative services to the Funds.
In connection with their consideration of GEAM's services, the Board members
focused on the favorable attributes of GEAM, including (i) an investment
philosophy oriented toward long-term performance; (ii) effective processes used
for selecting investments and brokers; (iii) effective processes used for
providing Fund administration, including controllership and compliance
functions and oversight of the performance of other companies that provide
services to the Funds; (iv) highly skilled professionals, including analysts,
research professionals and portfolio managers with a depth of experience
involving the types of Funds they oversee; (v) access to significant
technological resources from which the Funds may benefit; and (vi) a favorable
history and reputation. The Board members discussed the personnel changes made
during the past year by GEAM. 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.
- -------------
/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").
104
[GRAPHIC]
In light of the foregoing, the Board members concluded that the services
provided by GEAM continue to be satisfactory.
INVESTMENT PERFORMANCE OF THE FUNDS
The Board members considered the investment performance of the Funds for
various periods. The Board members reviewed detailed comparisons of the
performance of the Funds with the relevant securities indices and peer
groupings of mutual funds prepared by Lipper and Morningstar with respect to
various periods. The Board members also engaged in discussions with GEAM
personnel regarding the investment process and performance results for each
Fund. These discussions focused on each Fund's investment objective, the number
and experience of portfolio management and supporting research personnel, the
investment style and approach employed, the likely market cycles for the
investment style and, in some instances, relative underperformance in certain
periods. The Board members discussed GEAM's investment approach with respect to
each of the Funds, and that the performance of the Funds is consistent with
GEAM's articulated long-term approach and overall investment philosophy.
The Board members concluded that the Funds' performance was acceptable overall
taking into consideration the factors discussed above.
COST OF THE SERVICES PROVIDED TO THE FUNDS
The Board members considered the cost of the services provided by GEAM, noting
that, pursuant to each investment advisory agreement, GEAM is reimbursed for
its reasonable costs incurred in providing the services contemplated by those
agreements and is not paid a management fee. The Board also noted that GE
Investment Distributors, Inc. ("GEID"), a subsidiary of GEAM, is reimbursed for
its reasonable costs incurred in providing services specified in its agreement
with the Funds as unitholder servicing agent and is not paid a unitholder
servicing fee. The Board members considered that the charges resulting from
this arrangement involve all of the expenses incurred by GEAM and GEID with
respect to the management and unitholder operations of the Funds, including,
without limitation, indirect allocable overhead costs and the direct and
indirect costs of GEAM and GEID personnel providing investment management and
other services to the Funds. The Board members noted and
discussed the additional services provided by GEAM to the Funds compared to
other investment products managed by GEAM and the charges that result from
those services and were provided a study conducted by the Investment Company
Institute that discusses and compares advisory fees and services for mutual
funds and institutional separate accounts. The Board members also noted that
none of the charges resulting from the Funds' arrangements with GEAM and GEID
may include any element of profit.
The Board members reviewed the information they had requested from GEAM
personnel concerning the underlying assumptions and methods of cost allocation
used by GEAM in allocating its costs and those of the other Fund service
providers, including GEID. The Board members also discussed with GEAM personnel
the basis for their belief that the methods of allocation used were reasonable
for each area of GEAM's business.
Based on their review, the Board members concluded that they were satisfied
that the assumptions and methods used in cost allocation and the level of
expenses incurred by the Funds were not unreasonable or excessive.
THE EXTENT TO WHICH ECONOMIES OF SCALE WOULD BE REALIZED FOR THE BENEFIT OF
FUND SHAREHOLDERS AS THE FUNDS GROW
The Board members considered the extent to which economies of scale would be
realized for the benefit of Fund investors as the Funds grow. The Board noted
that, although none of the Funds experienced significant growth in assets over
the past year, the Funds continue to enjoy fee and expense levels within or
below the group of lowest fee and expense funds in their respective peer group
comparisons.
The Board members recognized the significant benefits to the Funds resulting
from their arrangement with GEAM, which causes them to bear only the reasonable
costs incurred by GEAM and GEID, without any element of profit, for the
substantial services they provide to the Funds. The Board members also
recognized the benefits to the 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.
105
[GRAPHIC]
COMPARISON OF SERVICES TO BE RENDERED AND COSTS TO BE INCURRED
The Board members discussed the services provided to the Funds by GEAM, and the
costs incurred by the Funds for those services. The Board members reviewed
information concerning the Funds' expense ratios, and comparative information
with respect to similar products. They discussed that, in all cases, the Funds
enjoy expense levels within or below the group of lowest cost funds in each
peer group comparison. In light of this information, the Board members
determined that the level of expenses incurred was reasonable in relation to
the services provided to the Funds.
FALL-OUT BENEFITS
The Board members considered other actual and potential financial benefits that
GEAM may derive from its relationship with the Funds, including, where
applicable, soft dollar commission benefits generated through Fund portfolio
transactions. The Board members noted, however, that the Funds benefit from the
vast array of resources available through GEAM, and that each Fund represents
only a small amount of the overall assets managed by GEAM.
CONCLUSION
No single factor was determinative to the Board's decision. Based on their
discussion and such other matters as were deemed relevant, the Board members
concluded that the proposed level of cost reimbursement to GEAM and projected
total expense ratios for the Funds are reasonable in relation to the services
provided. In view of these facts, the Board members concluded that the renewal
of each advisory agreement was in the best interests of the Funds and their
shareholders.
106
[GRAPHIC]
INFORMATION ABOUT TRUSTEES AND EXECUTIVE OFFICERS:
The business and affairs of the Funds are managed under the direction of the
Funds' Board of Trustees. Information pertaining to the Trustees and officers
of the Company is set forth below.
INTERESTED TRUSTEES AND EXECUTIVE OFFICERS
- --------------------------------------------------------------------------------
JAMES W. IRELAND III
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905
AGE 54
POSITION HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Two years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President, Chief Executive Officer,
and Director of GEAM since June 2007; President, NBC Universal Television
Stations from December 1999 to July 2007.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of the Norman Rockwell Museum since
September 1997 and Treasurer of the Norman Rockwell Museum Board of Trustees
since September 1998; Member of the Board of Directors of the Damon Runyon
Cancer Research Foundation since October 2008; Trustee and Vice Chair of the
Campaign Steering Committee of St. Lawrence University since July 2001; Trustee
of GE Savings & Security Funds and General Electric Pension Trust since July
2007.
- --------------------------------------------------------------------------------
DANIEL O. COLAO
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM, 3001 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 - one year
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President and Chief
Financial Officer of GEAM since July 2008; Global Chief Financial Officer of
Lehman Brothers Investment Management Division from March 2008 to July 2008;
Managing Director and Global Chief Financial Officer of Lehman Brothers Bank
and Mortgage Capital Division from March 2007 to March 2008; Chief Financial
Officer of GE Aviation Services from August 2005 to March 2007; Chief Financial
Officer of GE Vendor Financial Services from August 2004 to August 2005; GE
Corporate Financial Planning and Analysis (FP&A) manager from June 2004 to
August 2004; Chief Financial Officer of GE Fleet Services from January 2001 to
June 2004.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun GE Savings & Security
Funds and General Electric Pension Trust since July 2008; Director of GE Asset
Management Limited (GEAML) since August 2008.
- --------------------------------------------------------------------------------
PAUL M. COLONNA
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905
AGE 41
POSITION HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - Two years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - Fixed Income at GEAM
since March 2007; Executive Vice President of GEAM from February 2007 to March
2007; Senior Vice President-Total Return Management at GEAM from March 2005 to
March 2007; Senior Vice President-Structured Products at GEAM from March 2002
to March 2005.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and
General Electric Pension Trust since February 2007; Director of GE Asset
Management Limited (GEAML) since December 2007.
- --------------------------------------------------------------------------------
MICHAEL J. COSGROVE
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 60
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 22 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President and Chief Executive
Officer - Mutual Funds and Intermediary Business of GEAM since March 2007;
Executive Vice President of GEAM from February 2007 to March 2007; Vice
President, GE Capital Corporation, an indirect wholly-owned subsidiary of GE,
since December 1999; Executive Vice President - Mutual Funds of GEAM, a
wholly-owned subsidiary of GE that is registered as an investment adviser under
the Investment Advisers Act of 1940, as amended, since March 1993; Director of
GEAM since 1988.
107
[GRAPHIC]
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 51
OTHER DIRECTORSHIPS HELD BY TRUSTEE Chairman of the Board and President of GE
Funds since 1993 and GE Institutional Funds, GE LifeStyle Funds and GE
Investments Funds, Inc. since 1997; Trustee of GE Savings & Security Funds and
General Electric Pension Trust since 1988; Trustee of Fordham University since
2003, Trustee of Elfun Foundation; Treasurer of GE Foundation; Director, GE
Asset Management (Ireland) since February 1999; Director, GE Asset Management
Funds Plc, GE Asset Management Canada Company, GE Asset Management Limited, and
GE Volunteers.
- --------------------------------------------------------------------------------
AMIEL GOLDBERG
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905
AGE 46
POSITION HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - less then one year
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Chief Risk Officer since June 2009;
Executive Director and Investment Banker - Financial Institutions Solutions
Group of UBS Investment Bank from April 2007 to May 2008; Senior Vice President
- - Enterprise Wide Finance and Divisional Finance Officer - Commercial Banking
Group of WaMu from January 2007 to April 2007; Senior Vice President -
Enterprise Wide Finance and Treasury Integration and Methods Executive of WaMu
from July 2005 to December 2006; Vice President/Director and Head of
Asset-Liability Management of CoBank, ACB from January of 2000 to June 2005.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds, GE Savings &
Security Funds and General Electric Pension Trust since June 2009.
- --------------------------------------------------------------------------------
RALPH R. LAYMAN
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 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 - International Equity
Investments of GEAM since March 2007; Executive Vice President of GEAM from
1993 to March 2007; Executive Vice President - International Equity Investments
at GEAM from 1993 to March 2007; Executive Vice President - International
Equity Investments of GEIC from 1993-2000 (when GEIC was merged into GEAM);
Senior Vice President - International Equity Investments of GEAM and GEIC from
1991 until 1993; Executive Vice President, Partner and Portfolio Manager of
Northern Capital Management from 1989-1991; and prior thereto, Vice President
and Portfolio Manager of Templeton Investment Counsel.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and
General Electric Pension Trust since 1993; Director of GE Asset Management
Limited (GEAML) since September 1995.
- --------------------------------------------------------------------------------
MATTHEW J. SIMPSON
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905
AGE 48
POSITION HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Two years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, General
Counsel and Secretary of GEAM since July 2007; Senior Vice President and
General Counsel - Marketing and Client Services (formerly Asset Management
Services) at GEAM and Senior Vice President and General Counsel of GEAMS from
February 1997 to July 2007; from October 1992 to February 1997, Vice President
and Associate General Counsel of GEAM; Secretary of GE Funds, GE Institutional
Funds, GE LifeStyle Funds and GE Investments Funds, Inc. from 1997 to July 2007
and Vice President from September 2003 to July 2007; Assistant Secretary of
Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice
President from October 2003 to July 2007.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 51
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Funds and GE Institutional
Funds since July 2007. Director of GE Investments Funds, Inc. since July 2007;
Trustee of GE Savings & Security Funds and General Electric Pension Trust since
July 2007.
108
[GRAPHIC]
- --------------------------------------------------------------------------------
JUDITH A. STUDER
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 57
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 6 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Chief Market Strategist at GEAM;
President - U.S. Equities at GEAM from June 2007 to July 2009; Executive Vice
President of GEAM from 2006 to June 2007; Executive Vice President - Investment
Strategies from July 2006 to June 2007; Senior Vice President - International
Equities of GEAM from 1995-2006; Senior Vice President - Domestic Equities of
GEAM from 1991-1995; Vice President of Domestic Equities from 1987-1991.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and
General Electric Pension Trust since 2004.
- --------------------------------------------------------------------------------
DONALD W. TOREY
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 52
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 16 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - Alternative Investments
at GEAM since March 2007; Executive Vice President of GEAM from 1997 to March
2007; Executive Vice President - Alternative Investments from 1997 to March
2007; Director of GEIC from 1993-2000 (when GEIC was merged into GEAM);
Executive Vice President - Alternative Investments of GEIC from 1997-2000;
Executive Vice President - Finance and Administration of GEAM and GEIC from
1993 to 1997; Manager -Mergers and Acquisitions Finance for GE from 1989-1993;
Vice President - Private Placements of GEIC from 1988-1989.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and
General Electric Pension Trust since 1993.
- --------------------------------------------------------------------------------
JOHN J. WALKER
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 56
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 10 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President and Chief
Operating Officer of Geam since January 2008; Chief Financial Officer of GEAM
from 1999-2008; Chief Financial Officer of GEIC from 1999-2000 (when GEIC was
merged into GEAM); Chief Financial Officer of GE Capital - Global Consumer
Finance from 1996-1999; Chief Financial Officer of GE Capital - Commercial
Finance from 1992 to 1996; Finance Director of GE Capital - TIFC from 1988-1992.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and
General Electric Pension Trust since 1999; Director of GE Asset Management
Limited (GEAML) since July 1995.
- --------------------------------------------------------------------------------
DAVID WIEDERECHT
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905
AGE 53
POSITION HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - One 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 Elfun Funds and General Electric
Pension Trust since 2008; Director of Edmunds Holding Company since 1999;
Director of The Ritten-house Hotel and Condominium since 1992; Director of
Ross-Simons, Inc. since 2001.
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.
109
[GRAPHIC]
PORTFOLIO MANAGER BIOGRAPHIES
The following sets forth biographical information for those individuals who are
primarily responsible for managing the specified Fund's investments. The
portfolio managers may change from time to time.
ADAM W. ACKERMAN is an assistant portfolio manager at GE Asset Management. He
has served on the portfolio management team for the Money Market Fund since
June 2009. Since joining GE Asset Management in 2005, Mr. Ackerman served in
various positions including manager of the global fixed income trading
operations and became an assistant portfolio manager in June 2009.
DAVID B. CARLSON is the Chief Investment Officer - U.S. Equities at GE Asset
Management. He manages the overall U.S. equity investments for GE Asset
Management . Mr. Carlson is the portfolio manager for ELFUN TRUSTS and has
served in this capacity since 1988. Mr. Carlson joined GE Asset Management in
1982 as a securities analyst for investment operations. He became a Vice
President for Mutual Fund Portfolios in 1987, a Senior Vice President in 1989
and an Executive Vice President in 2003.
MICHAEL J. CAUFIELD is a Senior Vice President of GE Asset Management. He is
portfolio manager of the ELFUN TAX-EXEMPT INCOME FUND and has served in that
capacity since October 2000. Mr. Caufield joined GE Asset Management in 1987 as
Vice President, manager of fixed income research & analysis and was promoted to
Senior Vice President in 1994.
PAUL M. COLONNA is the President and Chief Investment Officer - Fixed Income
and a Director at GE Asset Management. Since January 2005, he has led the team
of portfolio managers for the ELFUN INCOME FUND and has been responsible for
the fixed income portion of the ELFUN DIVERSIFIED FUND. Mr. Colonna became
President - Fixed Income in March 2007. Prior to joining GE Asset Management in
February 2000, Mr. Colonna was a senior portfolio manager with the Federal Home
Loan Mortgage Corporation, overseeing the Mortgage Investment Group.
JAMES C. GANNON is an assistant portfolio manager of GE Asset Management. He
has served on the portfolio management team for the ELFUN MONEY MARKET FUND
since December 2000. Since joining GE Asset Management in 1995, Mr. Gannon
served in various positions at GE Asset Management including Trade operations
specialist in fixed income, and became an assistant portfolio manager in
February 2003.
WILLIAM M. HEALEY is a Senior Vice President of GE Asset Management. He has
served on the portfolio management team for the ELFUN INCOME FUND since joining
GE Asset Management in 1996. Prior to joining GE Asset Management, Mr. Healey
spent over 10 years in the fixed income group at MetLife.
BRIAN HOPKINSON is a Senior Vice President of GE Asset Management. He has been
a portfolio manager for the ELFUN INTERNATIONAL EQUITY FUND since joining GE
Asset Management in October 1996. Prior to joining GE Asset Management,
Mr. Hopkinson worked for Fiduciary Trust International in both London and New
York.
MARK H. JOHNSON is a Senior Vice President of GE Asset Management and senior
portfolio manager of Structured Products. He has been a member of the portfolio
management team for the ELFUN INCOME FUND since September 2007. Mr. Johnson
joined GE in 1998 in its Employers Reinsurance Corporation as a taxable income
portfolio manager. Mr. Johnson joined GE Asset Management as a Vice President
and portfolio manager in 2002 and became a Senior Vice President and senior
portfolio manager of Structured Products in 2007.
RALPH R. LAYMAN is the President and Chief Investment Officer - Public Equities
and a Director at GE Asset Management. He manages the overall public equity
investments for GE Asset Management. Mr. Layman has led the team of portfolio
managers for the ELFUN INTERNATIONAL EQUITY FUND since 1991 and has been
responsible for the international equity portion for the ELFUN DIVERSIFIED FUND
since September 1997. Mr. Layman joined GE Asset Management in 1991 as Senior
Vice President for International Investments and became and Executive Vice
President in 1992 and President -International Equities in March 2007.
THOMAS R. LINCOLN is a Senior Vice President of GE Asset Management. He has
served on the portfolio management team for the ELFUN DIVERSIFIED FUND since
110
[GRAPHIC]
PORTFOLIOMANAGER BIOGRAPHIES (continued)
May 2007. Mr. Lincoln joined GE Asset Management in 1994 as a financial analyst
in U.S. equities. Mr. Lincoln became part of the investment management team for
U.S. equities at GE Asset Management in 1997 and a portfolio manager for U.S.
equities in 2003.
MICHAEL E. MARTINI is a portfolio manager at GE Asset Management. He has served
on the portfolio management team for the ELFUN MONEY MARKET FUND since joining
GE Asset Management in March of 2008. Prior to joining GE Asset Management,
Mr. Martini was a Vice President at Ceres Capital Partners LLC, where he worked
at the firm's treasury desk from March 2006 to January 2008, and a Senior Vice
President at Pacific Investment Management Company (PIMCO) from 1996 to 2004,
where he was a portfolio manager at the firm's money market/short-term desk.
PAUL NESTRO is a Senior Vice President of GE Asset Management. He has been a
member of the portfolio management team for the ELFUN INTERNATIONAL EQUITY FUND
since February 2007. Mr. Nestro joined GE Asset Management in 1993 as a
performance and attribution analyst in domestic equities. He became a senior
performance and attribution analyst in 1994 and since 1996 has been an analyst
and portfolio manager in the international equities group.
JONATHAN L. PASSMORE is a Senior Vice President of GE Asset Management. He has
served as a portfolio manager of the ELFUN INTERNATIONAL EQUITY FUND since
January 2002. Prior to joining GE Asset Management in January 2001, he was with
Merrill Lynch for six years, most recently as Director, international equity.
VITA MARIE PIKE is a Senior Vice President of GE Asset Management. She has
served on the portfolio management team for the ELFUN INCOME FUND since March
2005. Prior to joining GE Asset Management in January 2001, she was with
Alliance Capital for over nine years serving in a number of different
capacities including portfolio manager.
MICHAEL J. SOLECKI is the Chief Investment Officer - International Equities at
GE Asset Management. He has served as a portfolio manager of the ELFUN
INTERNATIONAL EQUITY FUND since August 1999. He joined GE Asset Management in
1990 as an international equity analyst. He became a Vice President for
international equity portfolios in 1996 and Senior Vice President in 2000.
JUDITH A. STUDER is the Chief Market Strategist and a Director at GE Asset
Management. She has led the team of portfolio managers for the ELFUN
DIVERSIFIED FUND since July 2004. Ms. Studer joined GE Asset Management in
August 1984 and has held various positions at GEAM including Senior Vice
President - U.S. Equities from 1991 to 1995, 1991 Senior Vice President -
International Equities from 1995 to 2006, President - Investment Strategies
from July 2006 to June 2007 and President - U.S. Equities from June 2007 to
July 2009.
DIANE M. WEHNER is a Senior Vice President of GE Asset Management. Ms. Wehner
has been responsible for the mid-cap equity portion of the ELFUN DIVERSIFIED
FUND since May 2008. Before joining GE Asset Management, Ms. Wehner was a Vice
President and Senior Portfolio Manager from January 1997 to June 2001, and
associate portfolio manager from May 1995 to January 1997, with Benefit Capital
Management Corporation. Ms. Wehner has served as an analyst/portfolio manager
in the investment management industry since 1985.
111
[GRAPHIC]
PORTFOLIO MANAGERS
ELFUN INTERNATIONAL EQUITY FUND
Team led by Ralph R. Layman
ELFUN TRUSTS
David B. Carlson
ELFUN DIVERSIFIED FUND
Judith A. Studer
Thomas R. Lincoln
Ralph R. Layman
Paul M. Colonna
Diane M. Wehner
ELFUN TAX-EXEMPT INCOME FUND
Michael Caufield
ELFUN INCOME FUND
Team led by Paul M. Colonna
ELFUN MONEY MARKET FUND
Team led by Michael E. Martini
INVESTMENT ADVISER
GE Asset Management Incorporated
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
CUSTODIAN
State Street Bank & Trust Company
UNITHOLDER SERVICING AGENT
Address all inquiries to:
GE Funds
c/o PNC Global Investment Servicing
P.O. Box 9838
Providence, RI 02940
OFFICERS OF THE INVESTMENT ADVISER
James W. Ireland III, Trustee, President and Chief Executive Officer, GE Asset
Management Incorporated
Cheryl H. Beacock, Senior Vice President, Human Resources
Dan Colao, Trustee, EVP, Chief Financial Officer
Michael J. Cosgrove, Trustee, President and Chief Executive Officer - Mutual
Funds and Intermediary Business
Paul M. Colonna, Trustee, President and Chief Investment Officer - Fixed Income
Investments
Amiel Goldberg, Trustee, Senior Vice President, Chief Risk Officer
Ralph R. Layman, Trustee, President and Chief Investment Officer - Public
Equity Investments
Matthew J. Simpson, Trustee, EVP, General Counsel and Secretary
Judith A. Studer, Trustee, Chief Market Strategist (since July 2009)
Donald W. Torey, Trustee, President - Alternative Investments and Real Estate
John J. Walker, Trustee, EVP, Chief Operating Officer
David Wiederecht, Trustee, President and Chief Investment Officer - Investment
Strategies
Maureen B. Mitchell, President - Institutional Sales and Marketing (since July
2009)
112
[GRAPHIC]
NEW ONLINE SERVICE
Your Elfun Mutual Fund accounts can now be accessed on the Internet at
WWW.ELFUN.ORG.
Here are some of the benefits of our online service:
View account balance and transaction history View and order tax forms
Make exchanges View quarterly statements
Redeem shares Change address
Purchase shares Re-order money market checks
Many more features will be added to the web site in the future for your
convenience.
NEW EXTENDED TELEPHONE SERVICE
Our Representatives at the Customer Service Center are available Monday to
Friday from 8:30 AM to 8:00 PM Eastern Standard Time. Call toll-free,
1-800-242-0134, for assistance.
AUTOMATED VOICE RESPONSE SYSTEM
You can also access your account anytime during the day, 7 days a week by
dialing 1-800-242-0134. Simply follow the menu to obtain information or make
certain transactions.
CONTACT US BY MAIL
If you'd like to write to us, address your inquiries regarding your account(s)
to:
GE Funds
c/o PNC Global Investment Servicing
P.O. Box 9838
Providence, RI 02940
We are continuing to upgrade a variety of services in order to give you the
tools you need to manage your financial objectives. In the meantime, we welcome
all your comments and suggestions.
113
ELFUN FUNDS
3001 Summer Street
Stamford, CT 06905
DISTRIBUTOR
GE INVESTMENT DISTRIBUTORS INC.
Member FINRA and SIPC
3001 Summer Street
P.O. Box 7900
Stamford, CT 06904-7900
www.gefunds.com/elfun
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The Funds file their complete schedules of portfolio holdings with the
Securities and Exchange Commission for the first, second and third quarters of
each fiscal year on Form N-Q. The Funds' Forms N-Q, as well as a description
of the policies and procedures that the Funds use to determine how to vote
proxies (if any) relating to portfolio securities is available without charge
(i) upon request, by calling 1-800-242-0134; (ii) on the Funds' website at
http://www.geam.com; and (iii) on the Commission's website at
http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the
Commission's Public Reference Room in Washington, DC -- information on the
operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
Information (if any) regarding how the Funds voted proxies relating to
portfolio securities during the most recently disclosed 12-months period ended
June 30 is available without charge (i) through the Funds' website at
http://www.geam.com; and (ii) on the Commission's website at
http://www.sec.gov.
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[LOGO] ELF 1 (2/10)
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PRSRT STD
U.S. POSTAGE
PAID
Permit No. 1793
Lancaster, PA
ITEM 2. CODE OF ETHICS.
Please refer to the Code of Ethics included in the following link:
www.ge.com/files/usa/en/commitment/social/integrity/downloads/english.pdf
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that both John R.
Costantino and William J. Lucas are designated as audit committee financial
experts for the Funds; and further that it is the finding of the Boards that
Messrs. Costantino and Lucas, the audit committee financial experts, qualify
as being 'independent' pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal
years (the "Reporting Periods") for professional services rendered by the
Registrant's principal accountant (the "Auditor") for the audit of the
Registrant's annual financial statements, or services that are normally
provide by the Auditor in connection with the statutory and regulatory
filings or engagements for the Reporting Periods were $15,300 in 2008 and
$15,300 in 2009.
(b) AUDIT RELATED FEES. There were no fees billed by the Auditor for
assurance and related services that were related to the performance of the
audit for the Registrant during the Reporting Periods.
(c) TAX FEES. There were no fees billed for professional services
rendered by the Auditor for tax compliance, tax advice or tax planning for
the Registrant during the Reporting Periods.
(d) ALL OTHER FEES. There were no fees billed for products and services
provided by the Auditor, other than the services reported in paragraphs
(a) through (c) of this Item for the Registrant during the Reporting Periods.
(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.
The Audit Committee of the Elfun Funds (the "Funds") Board of
Trustees is responsible, among other things, for the appointment,
compensation and oversight of the work of the Fund's independent
accountants/auditors (the "Auditor"). As part of this responsibility and
to ensure that the Auditor's independence is not impaired, the Audit Committee
(1) pre-approves the audit and non-audit services provided to the Funds by
the Auditor, and (2) all non-audit services provided to the Funds' investment
adviser and covered affiliates (as defined in the Audit Committee Charter) that
provide ongoing services to the Funds if the services directly impact the
Funds' operations or financial reporting, in accordance with the Audit
Committee Charter. Following are excerpts from the Audit Committee Charter
that sets forth the pre-approval policies and procedures:
1. Selection and Pre-Approval of Auditor and Approval of Fees.
(i) The Audit Committee shall pre-approve the selection of the Auditor and
shall recommend for ratification the selection, retention or termination of the
Auditor by the full Board, including the independent Trustees/Directors, and,
in connection therewith, shall evaluate the independence of the Auditor,
including: (i) an evaluation of whether the Auditor provides any consulting
services to the Fund's investment adviser and the extent to which the Auditor
provides non-audit services to the Fund's investment adviser and certain other
affiliated service providers as defined in Section 2(f) below, which services
are not subject to the pre-approval requirements set forth in Section 4 below;
(ii) an evaluation of the extent to which the Auditor has any relationships
with the Fund or its affiliated persons that are brought to the attention of
the Audit Committee by the Auditor in accordance with applicable standards of
the Independence Standards Board ("ISB"), because, in the Auditor's
professional judgment, such relationships may reasonably be thought to bear
on the Auditor's independence with respect to the Fund; and (iii) monitoring
the Auditor's compliance with respect to the rotation requirements for the
lead and coordinating partners having primary responsibility for the Fund's
audits and any partner responsible for the reviewing the Fund's audits.
The Audit Committee shall review the Auditor's specific representations as
to its independence.
(b) The Audit Committee shall pre-approve and review the fees charged by
the Auditor for audit and non-audit services to be provided to the Fund and
certain affiliated service providers (as defined in Section 2(f) below) in
accordance with the pre-approval requirements set forth in Section 4 below.
The Fund shall provide for appropriate funding, as determined by the Audit
Committee, to compensate the Auditor for any authorized service provided to
the Fund.
2. Meetings with the Auditor. The Audit Committee shall meet with the
Auditor, including private meetings, prior to the commencement of substantial
work on the audit and following the conclusion of the audit, as well as such
other times as the Audit Committee shall deem necessary or appropriate. The
Auditor shall report directly to the Audit Committee. The Auditor shall
report at least annually, concerning the following and other pertinent matters:
(a) to review the arrangements for and scope of the annual audit and any
special audits;
(b) to provide the Auditor the opportunity to report to the Audit
Committee, on a timely basis, all critical accounting policies and practices
to be used;
(c) to discuss any matters of concern relating to the Fund's financial
statements, including: (i) any adjustments to such statements recommended by
the Auditor, or other results of said audit(s), and (ii) any alternative
treatments of financial information within GAAP that have been discussed with
Fund management, the ramifications of the use of such alternative disclosures
and treatments, and the treatment preferred by the Auditor;
(d) to provide the Auditor the opportunity to report to the Audit
Committee, on a timely basis, any material written communication between the
Auditor and Fund management, such as any management letter or schedule of
unadjusted differences;
(e) to discuss the opinion the Auditor has rendered regarding the Fund's
financial statements;
(f) to report all non-audit services that do not require Audit Committee
pre-approval and are provided to certain affiliated persons of the Fund,
including: (1) the Fund's investment adviser or sub-advisers (but excluding
any investment sub-adviser whose role is primarily portfolio management and
is overseen by the investment adviser), (2) the Fund's principal underwriter,
and (3) any entity controlling, controlled by, or under common control with
the investment adviser or principal underwriter, that provides "ongoing"
services to the Funds in accordance with the pre-approval requirements of
paragraph (c)(7)(i) of Rule 2-01 of Regulation S-X (each, a "Covered Affiliate"
and collectively, "Covered Affiliates");
(g) to review, in accordance with current standards of ISB, all
relationships between the Auditor and the Fund or its affiliated persons that,
in the Auditor's professional judgment, may reasonably be thought to bear
on its independence, and to confirm, in light of such information, whether
the Auditor believes, in its professional judgment, that it may properly serve
as independent accountants/auditors with respect to the Fund;
(h) to consider the Auditor's comments with respect to the Fund's financial
policies, procedures and internal accounting controls and responses thereto by
the Fund's officers and Fund management, as well as other personnel;
(i) to investigate any improprieties or suspected improprieties in the
operations of the Fund to the extent necessary or appropriate in light of any
internal investigations by the Fund's officers and/or by officers or employees
of the Fund management of such improprieties;
(j) to receive periodic reports concerning regulatory changes and new
accounting pronouncements that significantly affect the value of the Fund's
assets and their financial reporting;
(k) to report on the Fund's qualification under Subchapter M of the Internal
Revenue Code, amounts distributed and reported to shareholders for Federal tax
purposes and the Fund's tax returns; and
(l) to provide the Auditor the opportunity to report on any other matter
that the Auditor deems necessary or appropriate to discuss with the Audit
Committee.
If the Auditor's report on the above-listed (and other pertinent)
matters is not made in person to the Audit Committee within 60 days following
the end of the Fund's fiscal year, the Auditor shall deliver a written report
to the Audit Committee concerning these matters within such 60 day period.
3. Change in Accounting Principles. The Audit Committee shall consider
the effect upon the Fund of any changes in accounting principles or practices
proposed by the Auditor or the Fund's officers.
4. Pre-Approval of Audit Related Services and Permissible Non-Audit
Services. The Audit Committee shall pre-approve both audit (including audit,
review, and attest) services and permissible non-audit services provided to
the Fund and, if the nature of the engagement relates directly to the
operations and financial reporting of the Fund, permissible non-audit services
provided to any Covered Affiliate.
The Audit Committee may determine to delegate the authority to grant
pre-approvals to one or more Audit Committee members, each acting on behalf
of the Audit Committee. In this event, the member of the Audit Committee so
delegated shall report each delegated pre-approval to the Audit Committee at
its next regularly scheduled meeting. The Audit Committee may also adopt and
follow, in lieu of explicit pre-approval described above, written policies
and procedures detailed as to the particular service, designed to safeguard
the continued independence of the Auditor, consistent with the requirements
of the Act and SEC regulations thereunder.
Notwithstanding the foregoing, the pre-approval requirement concerning
permissible non-audit services provided to the Fund or any Covered Affiliate
is waived if: (1) the aggregate amount of all such non-audit services provided
constitutes no more than five percent (5%) of the total amount of revenues paid
to the Auditor by the Fund and the Covered Affiliates during the fiscal year in
which the services are provided that would have to be pre-approved by the Audit
Committee, (2) the non-audit services were not recognized as non-audit services
at the time of the engagement, and (3) such non-audit services are promptly
brought to the attention of the Audit Committee and approved by the Audit
Committee or one or more designated members of the Audit Committee prior to the
completion of the audit.
5. Prohibited Activities of the Auditor. The Audit Committee shall confirm
with the Auditor that it is not performing contemporaneously (during the audit
and professional engagement period) non-audit services for the Fund that the
Audit Committee believes may taint the independence of the Auditor.
The Auditor will be responsible for informing the Audit Committee of whether it
believes that a particular non-audit service is permissible or prohibited
pursuant to applicable regulations and standards.
(2) PERCENTAGE OF SERVICES IN PARAGRAGHS (b) THROUGH (d) APPROVED BY AUDIT
COMMITTEE. No fees were charged during 2008 or 2009 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 2008 and $0 in 2009.
(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to
Service Affiliates that were not pre-approved.
ITEM 5. Audit Committee of Listed Registrants
The Registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange Act.
The Registrant's audit committee members are: John R. Costantino,
William J. Lucas and Robert P. Quinn.
ITEM 6. Schedule of Investments.
Attached as part of ITEM 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Applicable only to Closed-End Management Investment Companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Applicable only to Closed-End Management Investment Companies.
ITEM 9. Purchases of Equity Securities by Closed-End Management
Investment Company and Affiliated Purchasers.
Applicable only to Closed-End Management Investment Companies.
ITEM 10. Submission of Matters to a Vote of Security Holders.
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
The officers providing the certifications in this report in accordance
with Rule 30a-3 under the Investment Company Act of 1940 have concluded,
based on their evaluation of the registrant's disclosure controls and
procedures (as such term is defined in such rule), that such controls and
procedures are adequate and reasonably designed to achieve the purpose
described in paragraph (c) of such rule.
There were no significant changes in the registrant's internal controls or
in other factors that could significantly affect these controls subsequent
to the date of their last evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.
ITEM 12. EXHIBITS.
(a) Not applicable.
(b) Attached hereto as Exhibit 1 and Exhibit 2 are the Certifications of
John H. Myers and Scott Rhodes as principal executive officer and
principal financial officer, respectively, as required by Rule 30a-2 under
the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the Registrant has duly
caused this Report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Elfun Money Market Fund
By: /S/JAMES W.IRELAND
James W.Ireland
TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER,
GE ASSET MANAGEMENT INCORPORATED
Date: March 08, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on
the dates indicated.
By: /S/JAMES W.IRELAND
James W.Ireland
TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER,
GE ASSET MANAGEMENT INCORPORATED
Date: March 08, 2010
By: /S/EUNICE TSANG
Eunice Tsang
TREASURER, ELFUN FUNDS
Date: March 08, 2010
EXHIBIT INDEX
(b)(1) Certifications of principal executive officer and
principal financial officer as required by Rule 30a-2 under the
Investment Company Act of 1940.
(b)(2) Certification of principal executive officer and
principal financial officer as required by Section 906 of the
Sarbanes-Oxley Act of 2002.