-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, DNKytHDWmjQzurFXe/9nNxhhNSOKXrNnQU8YYCbUTXadkGRgCOXDcIX3ZyPTeNYd QCnowrzKSKsDU6cUeVgFjw== 0000821484-09-000010.txt : 20090309 0000821484-09-000010.hdr.sgml : 20090309 20090309110551 ACCESSION NUMBER: 0000821484-09-000010 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20081231 FILED AS OF DATE: 20090309 DATE AS OF CHANGE: 20090309 EFFECTIVENESS DATE: 20090309 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELFUN DIVERSIFIED FUND CENTRAL INDEX KEY: 0000821484 IRS NUMBER: 061205245 STATE OF INCORPORATION: CT FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05324 FILM NUMBER: 09665129 BUSINESS ADDRESS: STREET 1: 3001 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06905 BUSINESS PHONE: 203-708-3133 MAIL ADDRESS: STREET 1: 3001 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06905 0000821484 S000011823 ELFUN DIVERSIFIED FUND C000032307 Elfun Diversified Fund eldfx N-CSR 1 elfdiv.txt ELFUN DIVERSIFIED - CERTIFICATION OF SHAREHOLDER REPORT FOR THE YEAR ENDING 31 DEC, 2008 OMB APPROVAL OMB Number: 3235-0570 Expires: August 31, 2010 Estimated average burden hours per response: 18.9 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 811-05324 - ----------------------------------------------------------------- ELFUN DIVERSIFIED FUND - ------------------------------------------------------------------ (Exact name of registrant as specified in charter) 3001, SUMMER STREET,STAMFORD, CONNECTICUT, 06905 - ------------------------------------------------------------------- (Address of principal executive offices) (Zip code) GE ASSET MANAGEMENT INC,3001, SUMMER STREET,STAMFORD,CONNECTICUT, 06905 - ------------------------------------------------------------------ (Name and address of agent for service) Registrant"s telephone number, including area code: 800-242-0134 ---------------------------- Date of fiscal year end: 12/31 --------------------------- Date of reporting period: : 12/31/08 ------------------------- ITEM 1. REPORTS TO STOCKHOLDERS. Elfun Funds Annual Report December 31, 2008 [LOGO] - -------------------------------------------------------------------------------- Contents - -------------------------------------------------------------------------------- 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 ......................................... 40 ELFUN INCOME FUND .................................................... 55 ELFUN MONEY MARKET FUND .............................................. 70 NOTES TO SCHEDULES OF INVESTMENTS ....................................... 76 FINANCIAL STATEMENTS Financial Highlights ................................................. 77 Statements of Assets and Liabilities ................................. 80 Statements of Operations ............................................. 82 Statements of Changes in Net Assets .................................. 84 Notes to Financial Statements ........................................ 86 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................. 96 TAX INFORMATION ......................................................... 97 ADVISORY AGREEMENT RENEWAL .............................................. 98 ADDITIONAL INFORMATION .................................................. 101 INVESTMENT TEAM ......................................................... 104 SHAREHOLDER SERVICES .................................................... 107
- -------------------------------------------------------------------------------- This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. - -------------------------------------------------------------------------------- Notes to Performance (unaudited) - -------------------------------------------------------------------------------- Information on the following performance pages relating to the Elfun Funds' one year total return is audited. All other information, including the portfolio manager Q&A pages, is unaudited. Total returns take into account changes in share price and assume reinvestment of 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 (formerly Lehman Brothers Aggregate Bond Index), and the Barclays Capital U.S. Municipal Bond Index (formerly Lehman Brothers 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. 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 - -------------------------------------------------------------------------------- Elfun International Equity Fund - -------------------------------------------------------------------------------- [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, MICHAEL J. SOLECKI AND MAKOTO SUMINO. 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 104. Q. HOW DID THE ELFUN INTERNATIONAL EQUITY FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVEMONTH PERIOD ENDED DECEMBER 31, 2008? A. For the twelve-month period ended December 31, 2008, the Elfun International Equity Fund returned -44.15%. The MSCI EAFE Index, the Fund's benchmark returned -43.38%, and the Fund's Lipper peer group of 238 International Large-Cap Core funds returned an average of -44.52% for the same period. Q. WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE? A. Massive outflows from equity mutual funds and redemptions from hedge funds led to selling pressures on stocks through much of the year. With a major freeze in the fixed-income markets, the equity asset class became the most convenient vehicle for raising liquidity. Within equities, large cap, widely held stocks were hit disproportionately due to their superior liquidity. Q. WHAT DOMESTIC OR WORLD EVENTS HAD A MAJOR IMPACT ON THE FINANCIAL MARKETS? A. The credit and liquidity crunch that started in 2007 gathered momentum in 2008 resulting in the collapse of several global financial institutions. Despite massive aid from various governments in the form of new capital, lower rates, deposit and loan guarantees and job stimulus packages, the global economy moved toward its first simultaneous recession (US, Japan & Europe) since World War II. As a result, earnings estimates continue to be under severe pressure for further downgrades, challenging the notion that the markets have fallen enough. Q. WHICH STOCKS AND SECTORS SIGNIFICANTLY AFFECTED FUND PERFORMANCE? A. The Fund's underperformance derived from holdings in the telecom services, energy and utilities sectors. Specifically, Telenor ASA (Norway) fell on lower growth in its developing markets assets; Acergy (Norway) weakened on fears that falling oil prices would lead to oilfield contract cancellations; and utilities such as Veolia Environnement (France) fell on concerns about debt rollovers in a credit-constrained market. Positive attribution came from holdings in the materials and consumer staples sectors. Potash (Canada) gained early in 2 - -------------------------------------------------------------------------------- Q&A - -------------------------------------------------------------------------------- the year on food supply concerns while food producers such as Nestle and Danone reflected a switch in preference to high quality, sound business model defensive plays. Q. DID THE WEIGHTINGS/COUNTRY ALLOCATIONS OF THE FUND CHANGE? WHY? A. Substantially underweight at the start of the year, holdings in the financial sector were steadily increased throughout the period as clarity surrounding survivability became clearer. Materials stocks, especially in metals & mining were substantially reduced during 2008, as were energy holdings, reflecting concerns about global growth and the unsustainability of high commodity prices. Positions in consumer staples companies, offering stability in an uncertain environment, were increased for their strong cash flows, sustainable dividends and defensive positioning in the economy. Q. WHAT WERE THE MAJOR BUYS AND SELLS FOR THE PERIOD AND WHY? A. Purchases for the Fund included several banking institutions including Lloyds TSB Group PLC, Royal Bank of Scotland Group PLC, MUFG and Credit Agricole SA. Positions were added in the defensive household care (Reckitt Benckiser Group PLC), business services (Brambles Ltd.), food products (Groupe Danone) and healthcare (Novartis and Essilor) sectors. Divestments included decreasing the Fund's positions in Saipem S.p.A. and Petrobras in the energy space in light of lower oil price developments; a decrease in Cia Vale do Rio Doce ADR (Brazil) and BHP Billiton PLC on lower iron ore costs, and cutbacks in Telenor ASA in the telecom services sector on a weakening developing market outlook from which it derives significant growth. 3 - -------------------------------------------------------------------------------- Elfun International Equity Fund - -------------------------------------------------------------------------------- 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, 2008. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2008 - DECEMBER 31, 2008 - ------------------------------------------------------------------------------------------------------------------ ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - ------------------------------------------------------------------------------------------------------------------ Actual Fund Return** 1,000.00 613.75 2.44 Hypothetical 5% Return (2.5% for the period) 1,000.00 1,021.78 3.15 - ------------------------------------------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.62% (FOR THE PERIOD BETWEEN JULY 1, 2008 - DECEMBER 31, 2008), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/366 (TO REFLECT THE SIX MONTH PERIOD). ** ACTUAL FUND RETURN FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2008 WAS: (-38.63)%. 4 - -------------------------------------------------------------------------------- Elfun International Equity Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH]
Elfun International Equity Fund MSCI EAFE Index 12/98 $ 10,000 $ 10,000 12/99 $ 13,890 $ 12,696 12/00 $ 12,644 $ 10,898 12/01 $ 10,233 $ 8,542 12/02 $ 8,183 $ 7,181 12/03 $ 11,542 $ 9,951 12/04 $ 13,492 $ 11,966 12/05 $ 16,148 $ 13,586 12/06 $ 20,352 $ 17,165 12/07 $ 25,192 $ 19,084 12/08 $ 14,069 $ 10,805
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - -------------------------------------------------------------------------------- Elfun International Equity Fund -44.15% 4.04% 3.47% MSCI EAFE Index -43.38% 1.66% 0.78%
INVESTMENT PROFILE A 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 in equity securities under normal circumstances. The Fund invests primarily in equity securities of companies located in developed and developing countries outside the United States. - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON INTERNATIONAL LARGE-CAP CORE PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/08
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: ....................... 106 8 5 Number of Funds in peer group: ................... 238 176 109 Peer group average annual total return: .......... -44.52% 0.57% 0.41%
Lipper categories in peer group: International Large-Cap Core - --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS AS OF DECEMBER 31, 2008 AS A % OF MARKET VALUE - ------------------------------------------------------------------------------- Roche Holding AG 4.30% - ------------------------------------------------------------------------------- Nestle S.A. (Regd.) 3.92% - ------------------------------------------------------------------------------- Groupe Danone 2.77% - ------------------------------------------------------------------------------- Vodafone Group PLC 2.70% - ------------------------------------------------------------------------------- Mitsubishi UFJ Financial Group, Inc. 2.54% - ------------------------------------------------------------------------------- East Japan Railway Co. 2.48% - ------------------------------------------------------------------------------- Shiseido Company Ltd. 2.46% - ------------------------------------------------------------------------------- Banco Santander S.A. (Regd.) 2.40% - ------------------------------------------------------------------------------- Sony Financial Holdings Inc. 2.33% - ------------------------------------------------------------------------------- Nomura Holdings, Inc. 2.18% - -------------------------------------------------------------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 5 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ELFUN INTERNATIONAL EQUITY FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $248,276 AS OF DECEMBER 31, 2008. [PIE CHART] Continental Europe 47.6% Japan 21.0% United Kingdom 16.7% United States 4.2% Pacific Rim 3.5% Emerging Asia 3.0% Latin America 1.9% South Africa 1.3% Canada 0.8%
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 95.4%+ - -------------------------------------------------------------------------------- AUSTRALIA -- 2.2% Brambles Ltd. ............................. 825,208 $ 4,269 Paladin Energy Ltd. ....................... 678,470 1,173 (a) 5,442 BRAZIL -- 1.1% Cia Vale do Rio Doce ADR .................. 169,436 1,805 Petroleo Brasileiro S.A. ADR .............. 43,196 882 2,687 CANADA -- 0.7% Cameco Corp. .............................. 24,550 419 Potash Corporation of Saskatchewan ........ 20,161 1,462 1,881 DENMARK -- 0.5% Group 4 Securicor PLC ..................... 404,810 1,149
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- FINLAND -- 1.6% Nokia Oyj ................................. 254,713 $ 3,930 FRANCE -- 17.4% Alstom S.A. ............................... 13,429 784 AXA S.A. .................................. 84,048 1,851 BNP Paribas ............................... 105,777 4,448 Cie Generale d'Optique Essilor International S.A. ..................... 82,453 3,847 Credit Agricole S.A. ...................... 228,542 2,542 France Telecom S.A. ....................... 67,940 1,885 GDF Suez .................................. 72,642 3,567 Groupe Danone ............................. 114,398 6,866 Total S.A. ................................ 95,600 5,171 Unibail-Rodamco (REIT) .................... 8,667 1,283 Veolia Environnement ...................... 175,091 5,403 Vinci S.A. ................................ 47,851 1,996 Vivendi ................................... 114,661 3,708 43,351 GERMANY -- 8.5% Adidas AG ................................. 60,217 2,272 Bayer AG .................................. 76,542 4,421 E.ON AG ................................... 110,499 4,368 Linde AG .................................. 34,118 2,838 Metro AG .................................. 65,636 2,607 RWE AG .................................... 9,781 866 Siemens AG (Regd.) ........................ 52,865 3,871 21,243 GREECE -- 0.2% Hellenic Telecommunications Organization S.A. ...................... 30,907 511 HONG KONG -- 0.3% Sun Hung Kai Properties Ltd. .............. 97,550 813 INDIA -- 0.8% ICICI Bank Ltd. ........................... 70,097 644 Larsen & Toubro Ltd. ...................... 81,685 1,294 1,938
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 6 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- ITALY -- 2.0% Intesa Sanpaolo S.p.A. .................... 747,283 $ 2,636 Saipem S.p.A. ............................. 94,237 1,548 UniCredit S.p.A ........................... 353,024 856 5,040 JAPAN -- 21.0% Bank of Yokohama Ltd. ..................... 371,026 2,132 East Japan Railway Co. .................... 811 6,164 Mitsubishi Estate Company Ltd. ............ 260,946 4,165 Mitsubishi Heavy Industries Ltd. .......... 575,000 2,505 Mitsubishi UFJ Financial Group, Inc. ...... 1,041,902 6,310 Nidec Corp. ............................... 11,652 442 Nintendo Company Ltd. ..................... 11,199 4,169 Nomura Holdings, Inc. ..................... 671,894 5,403 Shiseido Company Ltd. ..................... 303,881 6,118 Sony Financial Holdings Inc. .............. 1,553 5,790 Sumitomo Metal Industries Ltd. ............ 910,030 2,179 Sumitomo Mitsui Financial Group Inc. ...... 194 805 Sumitomo Realty & Development Company Ltd. ........................... 33,000 478 Toray Industries Inc. ..................... 518,152 2,584 Toyota Motor Corp. ........................ 90,782 2,909 52,153 MEXICO -- 0.6% America Movil SAB de C.V. ADR (Series L) ............................. 47,164 1,462 NETHERLANDS -- 1.4% Koninklijke Philips Electronics N.V. ...... 179,133 3,444 NORWAY -- 0.2% Orkla ASA ................................. 55,230 359 Telenor ASA ............................... 39,167 259 618 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- RUSSIA -- 0.0%* Gazprom OAO ADR ........................... 6,510 $ 93 SINGAPORE -- 1.0% CapitaLand Ltd. ........................... 485,000 1,047 Singapore Telecommunications Ltd. ......... 786,342 1,392 2,439 SOUTH AFRICA -- 1.3% Anglo Platinum Ltd. ....................... 4,159 233 MTN Group Ltd. ............................ 255,674 3,001 3,234 SOUTH KOREA -- 1.0% KB Financial Group Inc. ................... 40,663 1,088 (a) Samsung Electronics Company Ltd. .......... 4,260 1,525 2,613 SPAIN -- 2.7% ACS Actividades de Construccion y Servicios S.A. ....................... 14,725 668 Banco Santander S.A. (Regd.) .............. 635,126 5,959 6,627 SWEDEN -- 0.2% Hennes & Mauritz AB (Series B) ............ 6,145 237 Sandvik AB ................................ 28,789 178 415 SWITZERLAND -- 12.8% ABB Ltd. (Regd.) .......................... 185,860 2,721 Credit Suisse Group AG (Regd.) ............ 40,729 1,091 Nestle S.A. (Regd.) ....................... 249,185 9,739 Novartis AG (Regd.) ....................... 105,307 5,214 Roche Holding AG .......................... 69,874 10,668 Swatch Group AG ........................... 2,449 336 Syngenta AG ............................... 10,685 2,012 31,781
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 7 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- TAIWAN -- 1.2% Taiwan Semiconductor Manufacturing Company Ltd. ........................... 2,132,145 $ 2,885 UNITED KINGDOM -- 16.7% BG Group PLC .............................. 222,462 3,061 BHP Billiton PLC .......................... 167,919 3,124 (h) BP PLC .................................... 145,567 1,101 Capita Group PLC .......................... 115,927 1,230 Diageo PLC ................................ 316,313 4,370 Group 4 Securicor PLC ..................... 424,587 1,251 Lloyds TSB Group PLC ...................... 2,271,281 4,114 National Grid PLC ......................... 226,742 2,230 Prudential PLC ............................ 453,501 2,716 Reckitt Benckiser Group PLC ............... 132,608 4,915 Rio Tinto PLC (Regd.) ..................... 26,115 560 Royal Bank of Scotland Group PLC .......... 2,746,213 1,951 Tesco PLC ................................. 821,498 4,252 Vodafone Group PLC ........................ 3,360,474 6,716 41,591 TOTAL COMMON STOCK (COST $314,891) ........................ 237,340 - -------------------------------------------------------------------------------- PREFERRED STOCK -- 0.2% - -------------------------------------------------------------------------------- All America Latina Logistica S.A. (COST $1,331) .......................... 115,300 495 - -------------------------------------------------------------------------------- RIGHTS -- 0.0%* - -------------------------------------------------------------------------------- Lloyds TSB Group PLC (COST $0) .............................. 932,427 -- (a) - -------------------------------------------------------------------------------- OTHER INVESTMENTS -- 0.0%* - -------------------------------------------------------------------------------- GEI Investment Fund (COST $177) ............................ 98 (k) TOTAL INVESTMENTS IN SECURITIES (COST $316,399) ........................ 237,933 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 4.2% - -------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% (COST $10,343) ......................... $ 10,343 (d,q) TOTAL INVESTMENTS (COST $326,742) ........................ 248,276 OTHER ASSETS AND LIABILITIES, NET -- 0.2% ............................ 505 ------------- NET ASSETS -- 100.0% $ 248,781 =============
- -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The Elfun International Equity had the following long futures contracts open at December 31, 2008:
NUMBER CURRENT EXPIRATION OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - -------------------------------------------------------------------------------- DJ Euro Stoxx Index Futures March 2009 49 $ 1,669 $ (11) FTSE 100 Index Futures March 2009 12 757 14 Topix Index Futures March 2009 10 951 31 ------------ $ 34 ============
The Elfun International Equity was invested in the following sectors at December 31, 2008:
SECTOR PERCENTAGE (BASED ON MARKET VALUE) - -------------------------------------------------------------------------------- Commercial Banks 13.49% Pharmaceuticals 8.18% Food Products 6.69% Multi-Utilities 4.86% Oil, Gas & Consumable Fuels 4.79% Wireless Telecommunication Services 4.50% Insurance 4.17%
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 8 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Short-term 4.17% Chemicals 3.58% Metals & Mining 3.18% Industrial Conglomerates 3.09% Food & Staples Retailing 2.76% Commercial Services & Supplies 2.69% Road & Rail 2.68% Capital Markets 2.62% Real Estate Management & Development 2.62% Personal Products 2.46% Household Products 1.98% Semiconductors & Semiconductor Equipment 1.78% Beverages 1.76% Electric Utilities 1.76% Software 1.68% Diversified Telecommunication Services 1.63% Construction & Engineering 1.59% Communications Equipment 1.58% Healthcare Equipment & Supplies 1.55% Media 1.49% Electrical Equipment 1.41% Automobiles 1.17% Machinery 1.08% Textiles Apparel & Luxury Goods 1.05% Energy Equipment & Services 0.62% Real Estate Investment Trusts (Reits) 0.52% Professional Services 0.50% Electronic Equipment, Instruments & Components 0.18% Specialty Retail 0.10% Other Investments 0.04% ------ 100.00% ======
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 9 - -------------------------------------------------------------------------------- Elfun Trusts - -------------------------------------------------------------------------------- [PHOTO] DAVID B. CORLSON THE ELFUN TRUSTS IS MANAGED BY DAVID B. CARLSON. SEE PORTFOLIO MANAGERS' BIOGRAPHICAL INFORMATION BEGINNING ON PAGE 104. Q. HOW DID THE ELFUNTRUSTS PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008? A. For the twelve-month period ended December 31, 2008, the Elfun Trusts returned -34.53%. The S&P 500 Index, the Fund's benchmark, returned -37.00% and the Fund's Lipper peer group of 803 Large-Cap Growth funds returned an average of -40.70% for the same period. Q. WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE? A. The deepening recession and global credit crunch made 2008 one of the most challenging periods for equity investing in the post-World War II era. The year began with inflationary pressures as commodity prices skyrocketed, and oil peaked at approximately $145 a barrel in July before falling sharply amid fears of slowing global economic growth. The dollar began to strengthen as oil fell in the second half of the year, and investors sought the relative security of US Treasury securities. Growth fears began to trump inflation concerns and these conditions set off a rotation away from materials, energy and industrials, and into defensive sectors like staples and healthcare. The financial sector retreated amid frozen credit markets and massive write-downs of poor performing mortgages and mortgage related securities. For the year, investors favored the relative stability of staples (-15.4%) and healthcare (-22.8%) over the collapsed fundamentals in financials (-55.3%) and materials (-45.7%). US stocks were far from the worst-hit in 2008, with stocks falling 55 to 72 percent in the BRIC economies (Brazil, Russia, India and China), which had exhibited more robust growth than developed countries in recent years. While the credit crisis battered financials the most, the other sectors all suffered amid concerns of slowing economic growth and the fragile consumer. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A. The worst performing sector in the market for 2008 was the financial sector with a decline of 55%. The Fund was underweighted in the financial sector compared to the S&P 500, and our financial stocks fell less than the sector. We had also eliminated positions in AIG and Citicorp in the first two months of 2008 before the drastic fall in the stock price of those companies. We also eliminated a position in Fannie Mae less gracefully in the late summer. The Fund's best performing sector was in the technology sector, where it outperformed both its peers and the overall market. The relative outperformance in the technology sector was led by QUALCOMM (-7.6%), which held up on a relative basis as it eliminated some potentially costly legal overhangs, and raised its profit outlook on new 3G markets in China. Our worst performing 10 - -------------------------------------------------------------------------------- Q&A - -------------------------------------------------------------------------------- sector was in energy. While we were underweighted in this sector, our holdings in Schlumberger Ltd. and Transocean were down more than that of the energy sector overall. We continue to hold these two energy service companies for the long term. Q. WERE THERE ANY SIGNIFICANT CHANGES IN THE FUND DURING THE YEAR? A. We ended the year with 49 names in the Fund portfolio, down from 59 at the start of the year. We eliminated a few positions with losses in order to reduce the capital gains generated during the year. However, portfolio turnover remained low for the year at 20%. The Fund's largest sector weighting is still technology at approximately 30% of the portfolio. Some of corporate America's strongest balance sheets are in the technology sector, with companies such as Microsoft Corp., QUALCOMM Inc., and Cisco Systems, Inc. having extremely large cash balances and little to no debt. The Fund remained overweighted in healthcare and media, with the media holdings primarily in cable television. Q. HOW IS THE FUND POSITIONED FOR THE YEAR AHEAD? A. We are essentially fully invested in equities, while holding cash at approximately 2% of the portfolio. With the bear market decline of 50%, we are more focused on positioning for the eventual recovery that we hope will start later in 2009. We continue to have a growth bias with technology, healthcare and media as the largest weights. We are underweighted in financials, but looking for opportunities. We are also underweighted in energy, but will likely add to this sector when we see signs of a better economy. We believe our holdings continue to be in high quality industry leaders with attractive long-term prospects. 11 - -------------------------------------------------------------------------------- Elfun Trusts - -------------------------------------------------------------------------------- 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, 2008. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2008 - DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - -------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 713.85 1.20 Hypothetical 5% Return (2.5% for the period) 1,000.00 1,023.51 1.37 - --------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.27% (FOR THE PERIOD BETWEEN JULY 1, 2008 - DECEMBER 31, 2008), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/366 (TO REFLECT THE SIX MONTH PERIOD). ** ACTUAL FUND RETURN FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2008 WAS: (-28.61)%. 12 - -------------------------------------------------------------------------------- Elfun Trusts - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH]
Elfun Trusts S&P 500 12/98 $10,000 $10,000 12/99 $11,974 $12,107 12/00 $12,680 $10,995 12/01 $11,921 $ 9,685 12/02 $ 9,547 $ 7,545 12/03 $11,738 $ 9,712 12/04 $12,670 $10,769 12/05 $12,772 $11,299 12/06 $14,446 $13,083 12/07 $15,175 $13,802 12/08 $ 9,934 $ 8,695
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - -------------------------------------------------------------------------------- Elfun Trusts -34.53% -3.28% -0.07% S&P 500 -37.00% -2.19% -1.39%
INVESTMENT PROFILE A Fund designed for investors who seek long-term growth of capital and future income rather than current income by investingprimarily in equity securities of U.S. companies. - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON LARGE CAP GROWTH PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/08
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: ......................... 59 221 20 Number of Funds in peer group: ..................... 803 567 274 Peer group average annual total return: ............ -40.70% -3.72% -2.92%
Lipper categories in peer group: Large Cap Growth - --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS AS OF DECEMBER 31, 2008 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- QUALCOMM Inc. 4.50% - -------------------------------------------------------------------------------- Amgen, Inc. 4.39% - -------------------------------------------------------------------------------- Intuit, Inc. 4.31% - -------------------------------------------------------------------------------- Comcast Corp. (Class A) 3.96% - -------------------------------------------------------------------------------- PepsiCo, Inc. 3.83% - -------------------------------------------------------------------------------- Liberty Media Corp - Entertainment (Series A) 3.83% - -------------------------------------------------------------------------------- Western Union Co. 3.69% - -------------------------------------------------------------------------------- Dover Corp. 3.63% - -------------------------------------------------------------------------------- Johnson & Johnson 3.51% - -------------------------------------------------------------------------------- Microsoft Corp. 3.20% - --------------------------------------------------------------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 13 ELFUN TRUSTS (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ELFUN TRUSTS - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $1,314,084 AS OF DECEMBER 31, 2008. [PIE CHART] Information Technology 30.0% Health Care 18.5% Consumer Discretionary 17.1% Financials 13.3% Energy 6.6% Consumer Staples 4.1% Industrials 3.8% Materials 3.6% Short-Term 2.0% Telecommunication Services 1.0% Other Investments 0.0%*
* LESS THAN 0.1%
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK -- 98.0%+ - -------------------------------------------------------------------------------- BEVERAGES -- 3.8% PepsiCo, Inc. ......................... 920,000 $ 50,388 BIOTECHNOLOGY -- 6.5% Amgen, Inc. ........................... 1,000,000 57,750 (a) Genentech, Inc. ....................... 250,000 20,728 (a) Gilead Sciences, Inc. ................. 135,000 6,904 (a) 85,382 CAPITAL MARKETS -- 4.6% Goldman Sachs Group, Inc. ............. 225,000 18,987 State Street Corp. .................... 1,050,000 41,297 (e) 60,284 CHEMICALS -- 3.1% Ecolab, Inc. .......................... 74,334 2,613 Monsanto Co. .......................... 550,000 38,693 41,306 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% Iron Mountain, Inc. ................... 500,000 $ 12,365 (a) Stericycle, Inc. ...................... 45,000 2,344 (a) 14,709 COMMUNICATIONS EQUIPMENT -- 9.2% Cisco Systems, Inc. ................... 2,550,000 41,565 (a) Corning Inc. .......................... 520,000 4,956 QUALCOMM Inc. ......................... 1,650,000 59,120 Research In Motion Ltd. ............... 360,000 14,609 (a) 120,250 DIVERSIFIED FINANCIAL SERVICES -- 2.2% CME Group Inc. ........................ 80,000 16,649 JP Morgan Chase & Co. ................. 390,000 12,297 28,946 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1% Molex Inc. (Class A) .................. 2,150,000 27,843 ENERGY EQUIPMENT & SERVICES -- 4.6% Schlumberger Ltd. ..................... 880,000 37,250 Transocean Ltd. ....................... 480,000 22,680 (a) 59,930 FOOD PRODUCTS -- 0.3% McCormick & Company, Inc. ............. 110,000 3,505 HEALTHCARE EQUIPMENT & SUPPLIES -- 2.6% DENTSPLY International, Inc. .......... 60,000 1,694 Medtronic, Inc. ....................... 1,020,000 32,048 33,742 HEALTHCARE PROVIDERS & SERVICES -- 2.7% Lincare Holdings, Inc. ................ 1,075,000 28,950 (a) VCA Antech, Inc. ...................... 320,000 6,362 (a) 35,312 HOTELS RESTAURANTS & LEISURE -- 2.2% Carnival Corp. ........................ 1,160,000 28,211
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 14 ELFUN TRUSTS (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- INSURANCE -- 5.9% Aflac Inc. ............................ 620,000 $ 28,421 Alleghany Corp. ....................... 38,641 10,897 (a) Berkshire Hathaway, Inc. (Class B) .... 12,000 38,568 (a) 77,886 INTERNET SOFTWARE & SERVICES -- 1.5% Baidu.com ADR ......................... 30,000 3,917 (a) eBay, Inc. ............................ 1,100,000 15,356 (a) 19,273 IT SERVICES -- 8.8% Automatic Data Processing, Inc. ....... 680,000 26,751 Paychex, Inc. ......................... 1,280,000 33,638 Visa, Inc. (Class A) .................. 120,000 6,294 Western Union Co. ..................... 3,380,000 48,469 115,152 MACHINERY -- 3.6% Dover Corp. ........................... 1,450,000 47,734 MEDIA -- 10.0% Comcast Corp. (Class A) ............... 3,225,000 52,083 Liberty Global, Inc. (Series C) ....... 1,950,000 29,601 (a) Liberty Media Corp - Entertainment (Series A) ......................... 2,880,000 50,342 (a) 132,026 METALS & MINING -- 0.3% Allegheny Technologies Inc. ........... 180,000 4,595 OIL, GAS & CONSUMABLE FUELS -- 2.1% Exxon Mobil Corp. ..................... 340,000 27,142 PHARMACEUTICALS -- 6.8% Abbott Laboratories ................... 480,000 25,618 Bristol-Myers Squibb Co. .............. 750,000 17,438 Johnson & Johnson ..................... 770,000 46,069 89,125 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% CB Richard Ellis Group, Inc. (Class A) .......................... 1,750,000 $ 7,560 (a) SOFTWARE -- 7.5% Intuit, Inc. .......................... 2,380,000 56,620 (a) Microsoft Corp ........................ 2,160,000 41,990 98,610 SPECIALTY RETAIL -- 4.9% Bed Bath & Beyond, Inc. ............... 1,300,000 33,046 (a) Lowe's Companies, Inc. ................ 1,470,000 31,634 64,680 WIRELESS TELECOMMUNICATION SERVICES -- 1.0% American Tower Corp. (Class A) ........ 450,000 13,194 (a) TOTAL COMMON STOCK (COST $1,362,465) .................. 1,286,785 - -------------------------------------------------------------------------------- OTHER INVESTMENTS -- 0.0%* - -------------------------------------------------------------------------------- GEI Investment Fund (COST $816) ........................ 449 (k) TOTAL INVESTMENTS IN SECURITIES (COST $1,363,281) .................. 1,287,234 - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 2.0% - -------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% ........................ 26,850 (d,q) (COST $26,850) TOTAL INVESTMENTS (COST $1,390,131) .................. 1,314,084 OTHER ASSETS AND LIABILITIES, NET -- 0.0%* ....................... 602 ------------- NET ASSETS -- 100.0% .................. $ 1,314,686 =============
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 15 - -------------------------------------------------------------------------------- Elfun Diversified Fund - -------------------------------------------------------------------------------- [PHOTO] PAUL M. COLONNA [PHOTO] RALPH R. LAYMAN [PHOTO] THOMAS R. LINCOLN [PHOTO] JUDITH A. STUDER [PHOTO] DAVID WIEDERECHT 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 DAVID WIEDERECHT. MS. STUDER AND MR. WIEDERECHT ARE BOTH 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, 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, 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 104. Q. HOW DID THE ELFUN DIVERSIFIED FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008? A. For the twelve-month period ended December 31, 2008, the Elfun Diversified Fund returned -30.23%. The Fund's broad based benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index (formerly Lehman Brothers Aggregate Bond Index), returned -37.00% and 5.24%, respectively. The Fund's Lipper peer group of 684 Mixed Asset Target Allocation Growth funds returned an average of -29.76% for the same period. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE AND WHAT MARKET CONDITIONS IMPACTED THE PERFORMANCE OF THE FUND? A. The performance of the Elfun Diversified Fund for the twelve-month period ended December 31, 2008 was primarily driven by the Fund's overweight in equities, particularly those in the non-U.S. market, its underweight position in fixed income, and an overweight in cash. The Fund benefited from the Tactical Asset Allocation Committee's decision to opportunistically reduce equity exposure with the offset to cash. According to the National Bureau of Economic Research, the U.S. economy entered into recession in December of 2007, although the domestic GDP growth rate did not turn negative until the third quarter of 2008. The deepening recession and global credit crunch made 2008 one of the most challenging periods for equity investing in the post-World War II era. The inflation environment was volatile during the year as commodity prices skyrocketed and oil peaked at approximately $145 a barrel in July before falling sharply amid fears of slowing global economic growth. The U.S. dollar began to strengthen as oil fell in 16 - -------------------------------------------------------------------------------- Q&A - -------------------------------------------------------------------------------- the second half of the year, and investors sought the relative security of U.S. Treasury securities. Growth fears began to trump inflation concerns and these conditions set off a rotation away from materials, energy, and industrials, and into defensive sectors like staples and healthcare. The financials sector retreated amid locked-up credit markets and massive write-downs of poor performing mortgages and mortgage related securities. For the year, investors favored the relative stability of staples (-15.4%) and healthcare (-22.8%) over the collapsed fundamentals in financials (-55.3%) and materials (-45.7%). While the credit crisis battered financials the most, all sectors suffered amid concerns of slowing economic growth and the fragile consumer. The global market did not fair any better in 2008, despite massive aid from governments in the form of new capital, lower rates, deposit and loan guarantees, and job stimulus packages, the developed world moved toward its first simultaneous recession (U.S., Japan, & Europe) since World War II. As a result, earnings estimates continue to be under severe pressure for further downgrades, challenging the notion that the markets have fallen enough. Massive outflows from equity mutual funds and redemptions from hedge funds led to selling pressure on stocks through much of the year. With a major freeze in the fixed income markets, the equity asset class became the most convenient vehicle for raising liquidity. Within equities, large-cap, widely held stocks were hit disproportionately due to their superior liquidity. While investors' equity portfolios were decimated in 2008 by negative returns not seen since the Great Depression, bond portfolios, albeit those not heavily weighted in credit sensitive sectors, produced low but positive total returns. Financial markets remained resilient after the collapse of Bear Stearns in March and its Fed-facilitated buyout by JPMorgan, however, the housing market continued to deteriorate deepening the recession in the second half. Financial markets nearly froze in a credit/liquidity crisis beginning in September after a confluence of events including: the U.S. Treasury placing Fannie Mae and Freddie Mac under conservatorship; Lehman Brothers filing for bankruptcy; and the government bailout of AIG. The Federal Reserve led by Dr. Ben Bernanke and the U.S. Treasury led by Secretary Henry Paulson initiated a number of government programs aimed at stabilizing the financial system including purchase programs for money market assets, consumer loans and mortgages, debt guarantees and the $700B Troubled Assets Relief Program (TARP), which was first designed to buy mortgage-related securities, but has so far been used to inject capital into U.S. banks in exchange for preferred shares and warrants. Under such economic circumstances in 2008, the Fund's disciplined growth equity underperformed its benchmark because of a few key drivers. Our underweight in consumer staples hurt relative performance as this sector declined less than the market. Similarly, underweighting diversified telecom companies, which are dividend payers but not classical growth stocks that our process seeks, hurt relative performance in this difficult market environment. Stock selection in energy and industrials also detracted from performance. Partially offsetting these factors was strong stock selection in consumer discretionary, healthcare, and technology. Strong stock selection was the primary driver of core value performance. Core value managed to sidestep the worst of the credit crisis within financials, as we avoided the most leveraged and credit sensitive stocks. Our information technology holdings also 17 - -------------------------------------------------------------------------------- Elfun Diversified Fund Q&A - -------------------------------------------------------------------------------- boosted relative performance, outperforming both the benchmark sector and the overall market. The Fund achieved the best relative stock selection in computer hardware, IT services, and software. Positive stock selection in the relatively defensive healthcare and consumer staples sector helped limit the Fund's downside this year. Overweighting consumer staples, the best performing S&P 500 sector, also contributed to performance in a very difficult environment. As it became clear that the recession was deepening as the year progressed, we maintained our core value equity positioning in large-cap, high quality companies that we believe have the potential to generate earnings throughout the cycle. Mid-cap equity outperformance was achieved by being defensively invested against a backdrop of slowing economic growth and a global financial crisis which began in 2007. In this environment, the positions in consumer staples and regulated utilities contributed positively to performance. We maintained underweighted positions in the financial and consumer discretionary sectors due to ongoing concerns about eroding consumer credit and weakening consumer spending as a result of the contraction in the housing market and rising unemployment. Good stock selection within information technology and our timely decision to reduce exposure to energy stocks at mid-year helped performance. International equity underperformance derived from holdings in telecom services, energy, and utilities. Positive attribution came from holdings in materials and consumer staples. Substantially underweight at the start of the year, holdings in the financials sector were steadily increased throughout the period as clarity surrounding survivability became clearer. Materials stocks, especially in metals & mining, were substantially reduced during 2008, as were energy holdings, reflecting concerns about global growth and the unsustainability of high commodity prices. Positions in consumer staples companies, offering stability in an uncertain environment, were increased for their strong cash flows, sustainable dividends, and defensive positioning in the economy. The primary drivers of fixed income relative underperformance versus the benchmark were sector allocation and security selection. Exposure to high yield and emerging market debt and an overweight in commercial mortgage-backed securities during the year contributed significantly to the negative return as those sectors significantly underperformed the benchmark. Specific holdings in short maturity securitized assets backed by sub-prime collateral performed poorly over the past year as the housing market continued to deteriorate. On the positive side, duration and yield curve positioning added to relative return. As short-term credit markets seized up in the aftermath of Lehman Brothers' bankruptcy and the announcement of a few money market funds "breaking the buck" in September, corporate and asset-backed commercial paper underperformed significantly. Q. WERE THERE ANY SIGNIFICANT CHANGES TO THE FUND DURING THE PERIOD? A. Earlier in the year, we decreased the Fund's exposure to U.S. large-cap growth equity and increased its exposure to cash. This defensive positioning helped to reduce volatility and preserve capital. Toward the end of the year, we continued to raise cash by reducing exposure to U.S. large-cap growth equity and international equity. During the year, we increased diversification in the Fund by divesting out of U.S. large-cap growth equity and into U.S. core value, U.S. mid-cap, core international and emerging markets equities. 18 - -------------------------------------------------------------------------------- Elfun Diversified Fund - -------------------------------------------------------------------------------- Understanding Your Fund's Expenses As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchase payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and service fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2008. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2008 - DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - -------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 751.40 1.68 Hypothetical 5% Return (2.5% for the period) 1,000.00 1,022.97 1.93 - --------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.38% (FOR THE PERIOD BETWEEN JULY 1, 2008 - DECEMBER 31, 2008), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/366 (TO REFLECT THE SIX MONTH PERIOD). ** ACTUAL FUND RETURN FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2008 WAS: (-24.86)%. 19 - -------------------------------------------------------------------------------- Elfun Diversified Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH]
Barclays Capital U.S. Elfun Diversified Fund S&P 500 Index Aggregate Bond Index 12/98 $10,000.00 $10,000.00 $10,000.00 12/99 $11,403.98 $12,106.78 $ 9,917.87 12/00 $12,026.96 $10,994.96 $11,070.93 12/01 $11,698.50 $ 9,685.24 $12,005.70 12/02 $10,628.34 $ 7,544.62 $13,236.89 12/03 $12,894.57 $ 9,712.05 $13,780.19 12/04 $14,015.99 $10,768.85 $14,378.08 12/05 $14,578.92 $11,298.52 $14,727.26 12/06 $16,708.09 $13,082.83 $15,365.50 12/07 $18,168.30 $13,801.80 $16,435.96 12/08 $12,675.60 $ 8,695.43 $17,297.24
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - -------------------------------------------------------------------------------- Elfun Diversified Fund -30.23% -0.34% 2.39% S&P 500 Index -37.00% -2.19% -1.39% Barclays Capital U.S. Aggregate Bond Index 5.24% 4.65% 5.63%
INVESTMENT PROFILE A 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. - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON MIXED-ASSET TARGET ALLOCATION GROWTH PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/08
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: ........................ 369 190 44 Number of Funds in peer group: .................... 684 438 247 Peer group average annual total return: ........... -29.76% -0.68% 0.79%
Lipper categories in peer group: Mixed-Asset Target Allocation Growth - --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS AS OF DECEMBER 31, 2008 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- Federal National Mortgage Assoc. 5.00%,TBA 2.29% - -------------------------------------------------------------------------------- Washington Mutual Master Note Trust 1.23%, 05/15/14 1.77% - -------------------------------------------------------------------------------- Amgen, Inc. 1.09% - -------------------------------------------------------------------------------- U.S. Treasury Notes 3.63%, 10/31/09 0.98% - -------------------------------------------------------------------------------- U.S. Treasury Notes 3.13%, 08/31/13 0.94% - -------------------------------------------------------------------------------- U.S. Treasury Bonds 4.50%, 05/15/38 0.93% - -------------------------------------------------------------------------------- QUALCOMM Inc. 0.91% - -------------------------------------------------------------------------------- Comcast Corp. (Class A) 0.88% - -------------------------------------------------------------------------------- Federal National Mortgage Assoc. 5.50%, TBA 0.87% - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 5.50%, TBA 0.87% - --------------------------------------------------------------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 20 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ELFUN DIVERSIFIED FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $201,600 AS OF DECEMBER 31, 2008. [PIE CHART] Domestic Equity 32.5% Bonds and Notes 28.6% Foreign Equity 19.9% Short-Term 18.9% Other Investments 0.1%
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- DOMESTIC EQUITY -- 33.5%+ - -------------------------------------------------------------------------------- AEROSPACE & DEFENSE -- 0.4% Alliant Techsystems, Inc. ............. 3,113 $ 267 (a) Hexcel Corp. .......................... 32,072 237 (a) Honeywell International, Inc. ......... 3,313 109 Rockwell Collins, Inc. ................ 4,417 173 786 BEVERAGES -- 0.8% Pepsi Bottling Group, Inc. ............ 22,220 500 PepsiCo, Inc. ......................... 19,928 1,092 1,592 BIOTECHNOLOGY -- 2.6% Amgen, Inc. ........................... 37,897 2,188 (a) Amylin Pharmaceuticals, Inc. .......... 10,779 117 (a) Genentech, Inc. ....................... 19,267 1,597 (a) Gilead Sciences, Inc. ................. 18,505 946 (a) Vertex Pharmaceuticals Inc. ........... 6,402 194 (a) 5,042 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- CAPITAL MARKETS -- 1.8% Affiliated Managers Group, Inc. ....... 3,875 $ 162 (a) Ameriprise Financial, Inc. ............ 8,429 197 Bank of New York Mellon Corp. ......... 11,335 321 Charles Schwab Corp. .................. 6,400 104 Goldman Sachs Group, Inc. ............. 14,240 1,202 Greenhill & Company, Inc. ............. 2,177 152 State Street Corp. .................... 31,554 1,241 (e) 3,379 CHEMICALS -- 0.7% Intrepid Potash, Inc. ................. 7,209 150 (a) Monsanto Co. .......................... 13,048 918 Praxair, Inc. ......................... 3,646 216 1,284 COMMERCIAL BANKS -- 0.4% Lloyds TSB Group PLC ADR .............. 4,653 36 SunTrust Banks, Inc. .................. 12,457 368 US Bancorp ............................ 5,812 145 Wells Fargo & Co. ..................... 7,269 214 Zions Bancorporation .................. 2,548 62 825 COMMERCIAL SERVICES & SUPPLIES -- 0.7% Corrections Corporation of America ......................... 35,274 577 (a) Iron Mountain, Inc. ................... 29,102 720 (a) 1,297 COMMUNICATIONS EQUIPMENT -- 2.1% Cisco Systems, Inc. ................... 99,231 1,618 (a) Corning Inc. .......................... 26,266 251 Harris Corp. .......................... 2,159 82 Juniper Networks, Inc. ................ 8,438 148 (a) QUALCOMM Inc. ......................... 51,318 1,839 3,938 COMPUTERS & PERIPHERALS -- 0.4% Dell, Inc. ............................ 8,428 86 (a) Hewlett-Packard Co. ................... 9,765 354 International Business Machines Corp. ..................... 3,138 264 704
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 21 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 1.1% Bank of America Corp. ................. 14,825 $ 209 Citigroup, Inc. ....................... 16,278 109 CME Group Inc. ........................ 4,015 836 JP Morgan Chase & Co. ................. 29,452 929 2,083 DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% AT&T, Inc. ............................ 5,523 157 Verizon Communications, Inc. .......... 9,126 309 466 ELECTRIC UTILITIES -- 0.6% American Electric Power Company, Inc. ...................... 10,870 362 Edison International .................. 9,649 310 ITC Holdings Corp. .................... 8,323 364 Northeast Utilities ................... 6,677 161 1,197 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.3% Cogent, Inc. .......................... 12,696 172 (a) Mettler Toledo International, Inc. ................ 2,516 170 (a) Molex Inc. (Class A) .................. 16,509 214 556 ENERGY EQUIPMENT & SERVICES -- 1.0% Dresser-Rand Group, Inc. .............. 7,414 128 (a) Halliburton Co. ....................... 8,312 151 HIS, Inc. (Class A) ................... 4,324 162 (a) Nabors Industries Ltd. ................ 2,325 28 (a) National Oilwell Varco, Inc. .......... 2,499 61 (a) Schlumberger Ltd. ..................... 28,548 1,208 Weatherford International Ltd. ........ 8,461 92 (a) 1,830 FOOD & STAPLES RETAILING -- 0.1% Wal-Mart Stores, Inc. ................. 3,488 196 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.5% Archer-Daniels-Midland Co. ............ 2,070 $ 60 General Mills, Inc. ................... 2,195 133 Kraft Foods, Inc. (Class A) ........... 6,395 172 McCormick & Company, Inc. ............. 18,232 581 946 HEALTHCARE EQUIPMENT & SUPPLIES -- 1.6% Boston Scientific Corp. ............... 25,867 200 (a) Covidien Ltd. ......................... 1,502 54 DENTSPLY International, Inc. .......... 7,321 207 Gen-Probe Inc. ........................ 3,962 170 (a) Hologic, Inc. ......................... 45,734 598 (a) Masimo Corp. .......................... 12,864 384 (a) Medtronic, Inc. ....................... 28,831 906 Resmed, Inc. .......................... 16,176 606 (a) 3,125 HEALTHCARE PROVIDERS & SERVICES -- 1.1% Aetna, Inc. ........................... 14,755 421 Cardinal Health, Inc. ................. 6,334 218 Catalyst Health Solutions, Inc. ....... 634 15 (a) McKesson Corp. ........................ 4,886 189 Psychiatric Solutions, Inc. ........... 11,014 307 (a) UnitedHealth Group, Inc. .............. 37,770 1,005 2,155 HOTELS RESTAURANTS & LEISURE -- 0.4% Carnival Corp. ........................ 19,124 465 Darden Restaurants, Inc. .............. 2,614 74 Life Time Fitness, Inc. ............... 6,494 84 (a) Penn National Gaming, Inc. ............ 4,476 96 (a) The Cheesecake Factory ................ 10,553 107 (a) 826 HOUSEHOLD PRODUCTS -- 0.4% Clorox Co. ............................ 6,046 336 Colgate-Palmolive Co. ................. 756 52 Kimberly-Clark Corp. .................. 4,938 260 Procter & Gamble Co. .................. 1,568 97 745
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 22 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.4% McDermott International, Inc. ......... 4,378 $ 43 (a) Textron, Inc. ......................... 59,024 819 862 INSURANCE -- 1.3% ACE Ltd. .............................. 13,744 727 AON Corp. ............................. 4,883 223 Chubb Corp. ........................... 4,650 237 HCC Insurance Holdings, Inc. .......... 29,360 785 Marsh & McLennan Companies, Inc. .................... 2,673 65 MetLife, Inc. ......................... 6,102 213 Prudential Financial, Inc. ............ 756 23 Travelers Companies, Inc. ............. 2,908 131 2,404 INTERNET SOFTWARE & SERVICES -- 0.4% Equinix, Inc. ......................... 799 41 (a) Google, Inc. (Class A) ................ 2,058 633 (a) MercadoLibre, Inc. .................... 10,241 168 (a) 842 IT SERVICES -- 1.5% Affiliated Computer Services, Inc. (Class A) ..................... 8,526 392 (a) Cognizant Technology Solutions Corp. (Class A) .................... 14,175 256 (a) DST Systems, Inc. ..................... 2,280 87 (a) Lender Processing Services, Inc. ..................... 3,155 93 NeuStar, Inc. (Class A) ............... 2,617 50 (a) Paychex, Inc. ......................... 32,884 864 Visa, Inc. (Class A) .................. 2,573 135 Western Union Co. ..................... 63,209 906 2,783 LIFE SCIENCES TOOLS & SERVICES -- 0.3% Covance, Inc. ......................... 3,211 148 (a) Illumina, Inc. ........................ 4,573 119 (a) Thermo Fisher Scientific, Inc. ........ 9,982 340 (a) 607 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- MACHINERY -- 0.5% Deere & Co. ........................... 5,291 $ 203 Eaton Corp. ........................... 2,790 139 Harsco Corp. .......................... 8,047 223 ITT Corp. ............................. 6,532 300 Joy Global, Inc. ...................... 5,283 121 986 MEDIA -- 2.2% Comcast Corp. (Class A) ............... 109,996 1,776 Liberty Global, Inc. (Series C) ....... 22,349 339 (a) Liberty Media Corp - Entertainment (Series A) ........... 31,533 551 (a) Omnicom Group, Inc. ................... 26,962 726 Regal Entertainment Group (Class A) .......................... 17,632 180 The Walt Disney Co. ................... 4,825 109 Time Warner, Inc. ..................... 36,039 363 Viacom, Inc. (Class B) ................ 5,229 100 (a) 4,144 METALS & MINING -- 0.3% Allegheny Technologies Inc. ........... 17,419 445 Freeport-McMoRan Copper & Gold, Inc. ................ 3,720 91 536 MULTILINE RETAIL -- 0.3% Kohl's Corp. .......................... 10,548 382 (a) Target Corp. .......................... 6,046 209 591 MULTI-UTILITIES -- 0.3% Dominion Resources, Inc. .............. 9,299 333 DTE Energy Co. ........................ 3,616 129 SCANA Corp. ........................... 4,411 157 619 OIL, GAS & CONSUMABLE FUELS -- 1.8% Apache Corp. .......................... 3,398 253 Chevron Corp. ......................... 872 64 ConocoPhillips ........................ 988 51
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 23 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Devon Energy Corp. .................... 2,500 $ 164 Exxon Mobil Corp. ..................... 18,007 1,437 Hess Corp. ............................ 3,592 193 Marathon Oil Corp. .................... 29,127 796 Occidental Petroleum Corp. ............ 1,163 70 Peabody Energy Corp. .................. 3,850 88 Southwestern Energy Co. ............... 8,850 256 (a) Valero Energy Corp. ................... 3,369 73 3,445 PERSONAL PRODUCTS -- 0.5% Alberto-Culver Co. .................... 30,835 756 The Estee Lauder Cos. Inc. (Class A) .......................... 9,154 283 1,039 PHARMACEUTICALS -- 1.4% Abbott Laboratories ................... 17,726 946 Bristol-Myers Squibb Co. .............. 22,206 516 Johnson & Johnson ..................... 1,279 77 Merck & Company, Inc. ................. 4,534 138 Pfizer, Inc. .......................... 32,551 576 Wyeth ................................. 10,288 386 2,639 PROFESSIONAL SERVICES -- 0.1% Monster Worldwide, Inc. ............... 13,023 157 (a) REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% Douglas Emmett, Inc. (REIT) ........... 8,001 104 REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% CB Richard Ellis Group, Inc. (Class A) .......................... 52,856 228 (a) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% Analog Devices, Inc. .................. 3,894 74 Hittite Microwave Corp. ............... 7,683 226 (a) Intel Corp. ........................... 67,966 997 Kla-Tencor Corp. ...................... 3,315 72 Lam Research Corp. .................... 5,813 124 (a) - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Marvell Technology Group Ltd. ......................... 20,193 $ 135 (a) MEMC Electronic Materials, Inc. .................... 3,141 45 (a) Microchip Technology Inc. ............. 3,234 63 National Semiconductor Corp. .......... 5,521 56 Texas Instruments Inc. ................ 12,381 192 1,984 SOFTWARE -- 1.7% Activision Blizzard, Inc. ............. 27,525 238 (a) Blackboard, Inc. ...................... 4,690 123 (a) Citrix Systems, Inc. .................. 8,689 205 (a) Intuit, Inc. .......................... 29,532 703 (a) Macrovision Solutions Corp. ........... 22,945 290 (a) Microsoft Corp. ....................... 78,944 1,534 Oracle Corp. .......................... 10,461 185 (a) 3,278 SPECIALTY RETAIL -- 1.1% Bed Bath & Beyond, Inc. ............... 49,045 1,246 (a) Lowe's Companies, Inc. ................ 27,660 596 O'Reilly Automotive, Inc. ............. 10,331 318 (a) 2,160 TEXTILES APPAREL & LUXURY GOODS -- 0.1% Coach, Inc. ........................... 8,004 166 (a) TOBACCO -- 0.1% Altria Group, Inc. .................... 7,554 114 WATER UTILITIES -- 0.1% American Water Works Company, Inc. ...................... 10,972 229 WIRELESS TELECOMMUNICATION SERVICES -- 0.7% American Tower Corp. (Class A) .......................... 7,821 229 (a) NII Holdings, Inc. (Class B) .......... 49,854 906 (a) Syniverse Holdings, Inc. .............. 10,126 121 (a) 1,256 TOTAL DOMESTIC EQUITY (COST $91,120) ..................... 64,145
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 24 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------ NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------ FOREIGN EQUITY -- 21.0% - ------------------------------------------------------------------------------ COMMON STOCK -- 20.9% AEROSPACE & DEFENSE -- 0.3% CAE, Inc. ............................. 72,461 $ 475 Elbit Systems Ltd. .................... 1,373 63 538 AUTOMOBILES -- 0.2% Toyota Motor Corp. .................... 12,330 395 BEVERAGES -- 0.3% Coca-Cola Icecek AS (Class C) ......... 6,986 29 Diageo PLC ............................ 42,714 590 619 BIOTECHNOLOGY -- 0.0%* WuXi PharmaTech Cayman, Inc. ADR ................... 2,083 17 (a) CAPITAL MARKETS -- 0.5% Credit Suisse Group AG (Regd.) ........ 5,500 147 Egyptian Financial Group- Hermes Holding ..................... 7,037 22 Nomura Holdings, Inc. ................. 90,668 729 Woori Investment & Securities Company Ltd. ....................... 3,140 31 929 CHEMICALS -- 0.7% Israel Chemicals Ltd. ................. 2,308 16 Linde AG .............................. 4,376 364 Makhteshim-Agan Industries Ltd. .................... 9,484 31 Potash Corporation of Saskatchewan ....................... 2,633 191 Sinofert Holdings Ltd. ................ 120,000 58 Sociedad Quimica y Minera de Chile S.A. ADR (Series B) ....... 787 19 Syngenta AG ........................... 1,443 272 Taiwan Fertilizer Company Ltd. ........ 21,000 33 Toray Industries Inc. ................. 69,837 348 1,332 - ------------------------------------------------------------------------------ NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------ COMMERCIAL BANKS -- 2.7% Akbank TAS ............................ 21,443 $ 66 Banco do Brasil S.A. .................. 6,900 43 Banco Santander Chile S.A. ADR ........ 1,802 63 Banco Santander S.A. (Regd.) .......... 85,784 805 Bank of Yokohama Ltd. ................. 48,605 279 BNP Paribas ........................... 14,285 601 China Construction Bank Corp. ......... 33,000 18 China Merchants Bank Company Ltd. ....................... 22,500 42 Credit Agricole S.A. .................. 30,864 343 Grupo Financiero Banorte SAB de C.V. ........................ 24,443 44 ICICI Bank Ltd. ....................... 12,521 115 Industrial & Commercial Bank of China ...................... 115,199 61 Intesa Sanpaolo S.p.A. ................ 100,918 356 KB Financial Group Inc. ............... 7,187 192 (a) Lloyds TSB Group PLC .................. 302,351 548 Metropolitan Bank & Trust ............. 56,600 27 Mitsubishi UFJ Financial Group, Inc. ........................ 140,738 852 Royal Bank of Scotland Group PLC .......................... 359,113 255 Siam Commercial Bank PCL .............. 35,300 50 Standard Bank Group Ltd. .............. 3,800 34 State Bank of India Ltd. .............. 1,672 44 Sumitomo Mitsui Financial Group Inc. ......................... 26 108 UniCredit S.p.A ....................... 47,675 116 Woori Finance Holdings Company Ltd. ....................... 2,900 15 (a) 5,077 COMMERCIAL SERVICES & SUPPLIES -- 0.5% Brambles Ltd. ......................... 108,244 560 Group 4 Securicor PLC ................. 54,668 155 Group 4 Securicor PLC ................. 57,339 169 884 COMMUNICATIONS EQUIPMENT -- 0.8% Nokia Oyj ............................. 34,429 531 Research In Motion Ltd. ............... 22,873 928 (a) ZTE Corp. ............................. 9,528 25 1,484
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 25 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------ NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS -- 0.0%* Asustek Computer Inc. ................. 23,093 $ 26 CONSTRUCTION & ENGINEERING -- 0.4% ACS Actividades de Construccion y Servicios S.A. ................... 1,988 90 China Communications Construction Company Ltd. .......... 49,000 60 China State Construction International Holdings Ltd. ........ 88,781 15 Doosan Heavy Industries and Construction Company Ltd. .......... 500 25 (a) Empresas ICA SAB de C.V. .............. 10,870 18 (a) IVRCL Infrastructures & Projects Ltd. ...................... 5,050 15 Larsen & Toubro Ltd. .................. 12,423 197 Vinci S.A. ............................ 6,467 270 690 DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% France Telecom S.A. ................... 9,175 255 Hellenic Telecommunications Organization S.A. .................. 4,408 73 Singapore Telecommunications Ltd. ............................... 106,254 188 Telekom Malaysia Bhd .................. 42,400 38 Telekomunikasi Indonesia Tbk PT (Series B) .................. 63,000 40 Telenor ASA ........................... 5,336 35 629 ELECTRIC UTILITIES -- 0.3% E.ON AG ............................... 14,923 590 ELECTRICAL EQUIPMENT -- 0.4% ABB Ltd. (Regd.) ...................... 25,100 367 ABB Ltd. ADR .......................... 13,953 209 Alstom S.A. ........................... 1,814 106 China High Speed Transmission Equipment Group Company Ltd. ....................... 40,660 49 Zhuzhou CSR Times Electric Company Ltd. ....................... 29,604 24 755 - ------------------------------------------------------------------------------ NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.1% Byd Company Ltd. ...................... 1,273 $ 2 Delta Electronics Inc. ................ 26,761 52 HON HAI Precision Industry Company Ltd. ....................... 13,950 27 Nidec Corp. ........................... 1,458 55 136 ENERGY EQUIPMENT & SERVICES -- 0.7% Saipem S.p.A. ......................... 12,731 209 Tesco Corp. ........................... 9,057 65 (a) Transocean Ltd. ....................... 23,883 1,129 (a) 1,403 FOOD & STAPLES RETAILING -- 0.5% Metro AG .............................. 8,864 352 Shinsegae Company Ltd. ................ 60 23 (a) Tesco PLC ............................. 110,941 574 949 FOOD PRODUCTS -- 1.4% Groupe Danone ......................... 15,438 927 IOI Corp. ............................. 39,000 40 Nestle India Ltd. ..................... 1,302 39 Nestle S.A. (Regd.) ................... 33,648 1,315 Nestle S.A. ADR ....................... 5,057 201 Perdigao S.A. ......................... 2,700 34 Uni-President Enterprises Corp. ....... 104,000 92 Want Want China Holdings Ltd. ......... 99,462 41 2,689 HEALTHCARE EQUIPMENT & SUPPLIES -- 0.3% Cie Generale d'Optique Essilor International S.A. ................. 11,135 520 HEALTHCARE PROVIDERS & SERVICES -- 0.0%* Diagnosticos da America S.A. .......... 4,069 39 HOTELS RESTAURANTS & LEISURE -- 0.0%* AGTech Holdings Ltd. .................. 256,000 3 (a) Alsea SAB de C.V. ..................... 35,761 16 (a) China Travel International Inv. ....... 223,010 43 62
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 26 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------ NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------ HOUSEHOLD DURABLES -- 0.0%* Urbi Desarrollos Urbanos SAB DE C.V. ........................ 12,439 $ 17 (a) HOUSEHOLD PRODUCTS -- 0.4% Reckitt Benckiser Group PLC ........... 17,909 664 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.0%* Energy Development Corp. .............. 374,000 15 Huaneng Power International, Inc. ................ 44,000 32 47 INDUSTRIAL CONGLOMERATES -- 0.6% Koninklijke Philips Electronics N.V. ................... 24,191 465 Murray & Roberts Holdings Ltd. ...................... 7,563 39 Orkla ASA ............................. 7,459 48 Siemens AG (Regd.) .................... 7,133 522 1,074 INSURANCE -- 0.8% AXA S.A. .............................. 11,350 250 China Life Insurance Company Ltd. ....................... 14,091 43 Prudential PLC ........................ 61,244 367 Samsung Fire & Marine Insurance Company Ltd. ............. 340 51 Sony Financial Holdings Inc. .......... 210 783 1,494 INTERNET SOFTWARE & SERVICES -- 0.1% Baidu.com ADR ......................... 1,256 164 (a) Sohu.com, Inc. ........................ 242 11 (a) 175 MACHINERY -- 0.2% China South Locomotive and Rolling Stock Corp. ................ 43,417 24 (a) Hyunjin Materials Company Ltd. ....................... 2,089 36 (a) - ------------------------------------------------------------------------------ NUMBER OF SHARES VALUE - ------------------------------------------------------------------------------ Mitsubishi Heavy Industries Ltd. .................... 77,000 $ 336 Sandvik AB ............................ 3,889 24 420 MEDIA -- 0.3% Focus Media Holding Ltd. ADR .......... 5,970 54 (a) Vivendi ............................... 15,333 496 550 METALS & MINING -- 0.8% Anglo Platinum Ltd. ................... 562 31 Barrick Gold Corp. .................... 11,218 412 BHP Billiton PLC ...................... 22,677 422 Cia Vale do Rio Doce ADR .............. 22,935 244 Harmony Gold Mining Company Ltd. ADR ................... 5,362 59 (a) Polymetal GDR ......................... 9,500 43 (b) POSCO ................................. 130 39 Rio Tinto PLC (Regd.) ................. 3,527 76 Sumitomo Metal Industries Ltd. .................... 123,004 294 1,620 MULTI-UTILITIES -- 0.8% GDF Suez .............................. 9,810 482 National Grid PLC ..................... 30,621 301 RWE AG ................................ 1,321 117 Veolia Environnement .................. 23,417 723 1,623 OIL, GAS & CONSUMABLE FUELS -- 1.2% BG Group PLC .......................... 30,003 413 BP PLC ................................ 19,518 148 Cameco Corp. .......................... 3,315 57 China Petroleum & Chemical Corp. ..................... 83,743 51 China Shenhua Energy Company Ltd. ....................... 19,500 41 CNOOC Ltd. ............................ 34,000 32 Gazprom OAO ADR ....................... 6,612 95 LUKOIL ADR ............................ 167 5 Paladin Energy Ltd. ................... 91,625 158 (a) PetroChina Company Ltd. ............... 30,000 26 Petroleo Brasileiro S.A. ADR .......... 12,695 259
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 27 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Reliance Industries Ltd. ..................... 722 $ 18 Reliance Industries Ltd. GDR ................. 797 41 (b) Suncor Energy, Inc. .......................... 15,438 301 Total S.A. ................................... 12,727 688 2,333 PAPER & FOREST PRODUCTS -- 0.0%* China Grand Forestry Green Resources Group Ltd. ...................... 283,519 12 (a) PERSONAL PRODUCTS -- 0.4% Shiseido Company Ltd. ........................ 41,294 831 PHARMACEUTICALS -- 1.6% Bayer AG ..................................... 10,337 597 Novartis AG (Regd.) .......................... 14,089 698 Ranbaxy Laboratories Ltd. .................... 9,813 51 Roche Holding AG ............................. 9,436 1,441 Teva Pharmaceutical Industries Ltd. ADR ....................... 4,561 194 Yuhan Corp. .................................. 163 28 (a) 3,009 PROFESSIONAL SERVICES -- 0.1% Capita Group PLC ............................. 15,656 166 REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% Unibail-Rodamco (REIT) ....................... 1,170 173 REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% CapitaLand Ltd. .............................. 65,000 140 Franshion Properties China Ltd. ................................ 68,508 19 Hung Poo Real Estate Development Corp. ............................ 71,480 52 Mitsubishi Estate Company Ltd. .............................. 34,982 558 Sumitomo Realty & Development Company Ltd. .............................. 4,000 58 Sun Hung Kai Properties Ltd. ................. 13,177 110 937 ROAD & RAIL -- 0.4% East Japan Railway Co. ....................... 109 828 - -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.5% ASM Pacific Technology Ltd. .................. 7,000 $ 23 MediaTek Inc. ................................ 5,070 34 Samsung Electronics Company Ltd. .............................. 850 305 Taiwan Semiconductor Manufacturing Company Ltd. ................ 321,442 435 Taiwan Semiconductor Manufacturing Company Ltd. ADR .................................. 17,437 138 935 SOFTWARE -- 0.3% Nintendo Company Ltd. ........................ 1,500 558 SPECIALTY RETAIL -- 0.0%* Hennes & Mauritz AB (Series B) ............... 843 33 TEXTILES APPAREL & LUXURY GOODS -- 0.2% Adidas AG .................................... 8,132 307 Swatch Group AG .............................. 306 42 349 TOBACCO -- 0.1% ITC Ltd. ..................................... 25,128 89 WATER UTILITIES -- 0.0%* Pan Asia Environmental Protection Group Ltd. ..................... 126,000 16 WIRELESS TELECOMMUNICATION SERVICES -- 1.1% America Movil SAB de C.V. ADR (Series L) ............................ 9,127 283 Bharti Airtel Ltd. ........................... 5,427 79 (a) China Mobile Ltd. ............................ 9,000 90 Egyptian Co for Mobile Services .............. 1,314 35 MTN Group Ltd. ............................... 44,908 527 Orascom Telecom Holding SAE GDR ........................... 1,032 28 Philippine Long Distance Telephone Co. ............................. 570 25 Turkcell Iletisim Hizmet AS .................. 1,801 10
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 28 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Turkcell Iletisim Hizmet AS ADR .............. 3,816 $ 56 Vodafone Group PLC ........................... 453,820 907 Vodafone Group PLC ADR ....................... 5,231 107 2,147 TOTAL COMMON STOCK (COST $60,704) ............................ 39,863 - -------------------------------------------------------------------------------- PREFERRED STOCK -- 0.1% - -------------------------------------------------------------------------------- COMMERCIAL BANKS Banco Itau Holding Financeira S.A. ........................... 2,980 33 MEDIA NET Servicos de Comunicacao S.A. .......................... 4,100 23 (a) METALS & MINING Cia Vale do Rio Doce ......................... 5,115 52 OIL, GAS & CONSUMABLE FUELS Petroleo Brasileiro S.A. ..................... 4,982 49 ROAD & RAIL All America Latina Logistica S.A. ............................ 15,600 67 WIRELESS TELECOMMUNICATION SERVICES Vivo Participacoes S.A. ...................... 2,072 25 TOTAL PREFERRED STOCK (COST $496) ............................... 249 - -------------------------------------------------------------------------------- RIGHTS -- 0.0%* - -------------------------------------------------------------------------------- COMMERCIAL BANKS Lloyds TSB Group PLC (COST $0) .......................... ...... 121,585 -- (a) TOTAL FOREIGN EQUITY (COST $61,200) ..................... ...... 40,112 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- BONDS AND NOTES -- 30.1% - -------------------------------------------------------------------------------- U.S. TREASURIES -- 4.6% U.S. Treasury Bonds 4.38% 02/15/38 ........................... $ 541 $ 725 4.50% 05/15/38 ........................... 1,367 1,866 U.S. Treasury Notes 1.25% 11/30/10 ........................... 45 45 2.00% 11/30/13 ........................... 815 836 3.13% 08/31/13 ........................... 1,751 1,888 3.50% 02/15/18 ........................... 22 24 3.63% 10/31/09 ........................... 1,916 1,966 (h) 3.75% 11/15/18 ........................... 657 743 4.00% 08/15/18 ........................... 512 591 4.50% 11/15/10 - 05/15/17 ................ 88 102 4.63% 11/15/09 ........................... 55 57 8,843 FEDERAL AGENCIES -- 3.0%(v) Federal Home Loan Banks 5.00% 11/17/17 ........................... 200 229 Federal Home Loan Mortgage Corp. 4.13% 12/21/12 - 09/27/13 ................ 1,324 1,421 4.88% 02/09/10 ........................... 960 1,000 5.13% 11/17/17 ........................... 1,100 1,275 Federal National Mortgage Assoc. 3.63% 02/12/13 ........................... 334 353 3.88% 07/12/13 ........................... 1,346 1,428 5,706 AGENCY MORTGAGE BACKED -- 10.4% (v) Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 02/01/35 ................ 123 126 (h) 5.00% 07/01/35 - 10/01/35 ................ 677 692 (h) 5.50% 05/01/20 - 03/01/38 ................ 507 520 (h) 6.00% 04/01/17 - 11/01/37 ................ 898 929 (h) 6.50% 01/01/27 - 07/01/36 ................ 228 239 (h) 7.00% 10/01/16 - 08/01/36 ................ 86 91 (h) 7.50% 11/01/09 - 09/01/33 ................ 30 31 (h)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 29 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 8.00% 07/01/26 - 11/01/30 ................ $ 7 $ 8 (h) 8.50% 04/01/30 - 05/01/30 ................ 27 29 (h) 5.50% TBA ................................ 1,715 1,755 (c) Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19 ................ 99 100 (h) 4.50% 05/01/18 - 02/01/35 ................ 538 548 (h) 4.50% 02/01/20 ........................... 16 16 (h,r) 5.00% 07/01/20 - 08/01/35 ................ 563 577 (h) 5.25% 04/01/37 ........................... 75 77 (i) 5.47% 04/01/37 ........................... 5 5 (i) 5.50% 04/01/14 - 04/01/38 ................ 705 729 (h) 5.50% 04/01/37 ........................... 69 70 (i) 5.50% 06/01/20 ........................... 17 18 (h,r) 5.52% 04/01/37 ........................... 27 28 (i) 5.54% 04/01/37 ........................... 66 67 (i) 5.57% 04/01/37 ........................... 80 82 (i) 5.62% 03/01/37 ........................... 6 6 (i) 5.67% 05/01/37 ........................... 50 51 (i) 5.69% 04/01/37 ........................... 59 60 (i) 5.71% 04/01/37 ........................... 30 31 (i) 6.00% 02/01/14 - 03/01/38 ................ 1,133 1,171 (h) 6.00% 12/01/34 - 01/01/35 ................ 86 90 (h,r) 6.01% 10/01/37 ........................... 97 100 (i) 6.50% 12/01/14 - 08/01/36 ................ 917 952 (h) 6.50% 10/01/34 - 12/01/09 ................ 33 36 (h,r) 7.00% 01/01/16 - 06/01/36 ................ 220 233 (h) 7.50% 12/01/09 - 03/01/34 ................ 61 63 (h) 8.00% 12/01/11 - 11/01/33 ................ 63 65 (h) 8.50% 05/01/31 ........................... 4 4 (h) 9.00% 06/01/09 - 12/01/22 ................ 16 17 (h) 4.50% TBA ................................ 985 997 (c) 5.00% TBA ................................ 4,506 4,608 (c) 5.50% TBA ................................ 1,709 1,756 (c) 6.50% TBA ................................ 490 509 (c) 7.00% TBA ................................ 150 157 (c) Government National Mortgage Assoc. 4.50% 08/15/33 - 09/15/34 ................ 183 187 (h) 5.00% 08/15/33 ........................... 48 49 (h,r) 6.00% 04/15/30 - 09/15/36 ................ 78 80 (h) 6.50% 06/15/24 - 07/15/36 ................ 97 101 (h) 6.50% 06/15/34 ........................... 18 19 (h,r) 7.00% 03/15/12 - 10/15/36 ................ 84 87 (h) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 7.00% 06/15/34 ........................... $ 10 $ 11 (h,r) 7.50% 07/15/23 - 04/15/28 ................ 40 43 (h) 8.00% 05/15/30 ........................... 2 2 (h) 8.50% 10/15/17 ........................... 34 36 (h) 9.00% 11/15/16 - 12/15/21 ................ 32 35 (h) 5.50% TBA ................................ 1,520 1,565 (c) 19,858 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.7%(v) Collateralized Mortgage Obligation Trust (Class B) 13.38% 11/01/18 ........................... 2 2 (d,f,h) Federal Home Loan Mortgage Corp. 4.50% 11/15/13 - 03/15/19 ................ 203 11 (g,h,t) 5.00% 04/15/14 - 12/01/34 ................ 1,219 119 (g,h,t) 5.00% 05/15/38 ........................... 51 49 5.29% 06/15/36 ........................... 1,060 85 (g,i,t) 5.46% 05/15/36 - 11/15/36 ................ 455 41 (g,i,t) 5.50% 04/15/17 - 06/15/33 ................ 183 22 (g,h,t) 5.56% 05/15/37 ........................... 230 20 (g,i,t) 5.81% 02/15/38 ........................... 236 21 (g,i,t) 6.11% 09/15/35 ........................... 187 21 (g,i,t) 7.50% 01/15/16 ........................... 9 10 (h) 7.50% 07/15/27 ........................... 34 5 (g,h,t) 8.00% 04/15/20 ........................... 1 1 (h) 8.00% 02/01/23 - 07/01/24 ................ 6 2 (g,h,t) 8.56% 12/15/33 ........................... 50 46 (h,i) 18.98% 11/15/37 ........................... 132 115 (d,f) 55.02% 09/25/43 ........................... 436 2 (d,g,h,t) Federal Home Loan Mortgage STRIPS 5.44% 08/01/27 ........................... 1 1 (d,f,h) Federal National Mortgage Assoc. 1.19% 12/25/42 ........................... 113 4 (g,h,i,t) 4.00% 02/25/28 ........................... 4 4 (h) 4.50% 05/25/18 ........................... 36 2 (g,h,t) 4.75% 11/25/14 ........................... 28 1 (g,h,t) 5.00% 02/25/32 ........................... 179 20 (g,h,t) 5.00% 10/25/35 - 08/25/38 ................ 137 136 6.03% 04/25/38 ........................... 278 21 (g,i,t) 7.03% 05/25/18 ........................... 632 65 (g,h,i,t)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 30 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 7.13% 09/25/42 ................................ $ 307 $ 39 (g,h,i,t) 7.23% 08/25/16 ................................ 24 1 (g,h,i,t) Federal National Mortgage Assoc. (Class 1) 4.50% 09/01/35 - 01/01/36 ..................... 382 62 (g,t) 5.00% 05/25/38 ................................ 129 20 (g,t) Federal National Mortgage Assoc. (Class 2) 5.00% 09/01/33 - 03/25/38 ..................... 463 56 (g,t) 5.50% 12/01/33 ................................ 45 5 (g,t) Federal National Mortgage Assoc. REMIC 4.50%** 11/25/13 ................................ 10 -- (g,h,t) 5.00% 10/25/22 ................................ 47 3 (g,h,t) 15.57% 03/25/31 ................................ 82 89 (h,i) Federal National Mortgage Assoc. REMIC (Class B) 3.03% 12/25/22 ................................ 3 2 (d,f,h) Federal National Mortgage Assoc. STRIPS (Class 2) 4.50% 08/01/35 ................................ 127 20 (g,t) 5.00% 08/01/34 ................................ 1,375 163 (g,t) 7.50% 11/01/23 ................................ 76 14 (g,h,t) 8.00% 08/01/23 - 07/01/24 ..................... 13 2 (g,h,t) 8.50%** 03/01/17 - 07/25/22 ..................... 5 -- (g,h,t) 9.00% 05/25/22 ................................ 3 1 (g,h,t) 1,303 ASSET BACKED -- 2.1% Bear Stearns Asset Backed Securities Trust (Class A) 1.77% 01/25/34 ................................ 13 9 (d,h,i) Capital Auto Receivables Asset Trust (Class A) 1.98% 01/15/10 ................................ 90 88 (b,i) Carmax Auto Owner Trust 4.35% 03/15/10 ................................ 13 13 (h) Chase Funding Mortgage Loan Asset-Backed Certificates 1.90% 03/25/32 ................................ 21 13 (d,h,i) Countrywide Asset-Backed Certificates 1.83% 05/25/33 ................................ 5 4 (d,h,i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates (Class A) 1.13% 04/25/32 ................................ $ 18 $ 12 (h,i) Fleet Home Equity Loan Trust (Class A) 1.70% 01/20/33 ................................ 12 7 (h,i) Ford Credit Floorplan Master Owner Trust (Class A) 1.38% 06/15/11 ................................ 300 290 (i) Mid-State Trust 7.54% 07/01/35 ................................ 11 10 (h,r) Peco Energy Transition Trust 6.52% 12/31/10 ................................ 45 45 (h) Residential Asset Mortgage Products Inc. 1.64% 03/25/34 ................................ 1 1 (d,h) Residential Asset Mortgage Products Inc. (Class A) 1.03% 06/25/32 ................................ 20 14 (h,i) Residential Asset Securities Corp. 1.90% 07/25/32 ................................ 6 3 (d,h) Residential Asset Securities Corp. (Class A) 4.16% 07/25/30 ................................ 7 7 (h,i) Washington Mutual Master Note Trust 1.23% 05/15/14 ................................ 5,000 3,562 (h,i,r) Wells Fargo Home Equity Trust 3.97% 05/25/34 ................................ 22 21 (h,i) 4,099 CORPORATE NOTES -- 7.2% Abbott Laboratories 5.88% 05/15/16 ................................ 100 108 AES Ironwood LLC 8.86% 11/30/25 ................................ 110 96 (h) American Electric Power Company, Inc. (Series C) 5.38% 03/15/10 ................................ 340 338 (h) American Railcar Industries, Inc. 7.50% 03/01/14 ................................ 25 16 (h) ARAMARK Corp. 8.50% 02/01/15 ................................ 130 118 ArcelorMittal USA 6.50% 04/15/14 ................................ 23 16
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 31 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Archer-Daniels-Midland Co. 6.45% 01/15/38 ................................ $ 103 $ 104 Arizona Public Service Co. 6.25% 08/01/16 ................................ 80 64 (h) AT&T, Inc. 5.60% 05/15/18 ................................ 48 49 6.40% 05/15/38 ................................ 26 28 6.70% 11/15/13 ................................ 84 89 BAC Capital Trust VI 5.63% 03/08/35 ................................ 80 67 (h) Baker Hughes Inc. 7.50% 11/15/18 ................................ 48 53 Banco Mercantil del Norte S.A. 6.14% 10/13/16 ................................ 210 135 (b,h,i) Bank of America Corp. 4.88% 01/15/13 ................................ 15 15 5.75% 12/01/17 ................................ 215 215 8.00% 12/29/49 ................................ 107 77 (i) Bear Stearns Companies Inc. 5.85% 07/19/10 ................................ 250 253 BellSouth Corp. 6.55% 06/15/34 ................................ 75 76 (h) Berkshire Hathaway Finance Corp. 5.00% 08/15/13 ................................ 163 166 Bristol-Myers Squibb Co. 5.45% 05/01/18 ................................ 62 64 5.88% 11/15/36 ................................ 60 64 (h) Cargill Inc. 5.20% 01/22/13 ................................ 465 426 (b) 6.00% 11/27/17 ................................ 1 1 (b) Carolina Power & Light Co. 5.15% 04/01/15 ................................ 40 40 (h) 5.70% 04/01/35 ................................ 20 20 (h) 6.13% 09/15/33 ................................ 35 37 (h) Cellco Partnership 7.38% 11/15/13 ................................ 58 61 (b) Century Aluminum Co. 7.50% 08/15/14 ................................ 131 75 Chesapeake Energy Corp. 7.25% 12/15/18 ................................ 129 101 Citigroup, Inc. 6.13% 11/21/17 ................................ 65 66 6.50% 08/19/13 ................................ 206 208 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Clarendon Alumina Production Ltd. 8.50% 11/16/21 ................................ $ 100 $ 59 (b,h) CME Group Inc. 5.40% 08/01/13 ................................ 129 128 Community Health Systems, Inc. 8.88% 07/15/15 ................................ 130 120 Consolidated Edison Company of New York, Inc. 5.85% 04/01/18 ................................ 55 55 Constellation Brands, Inc. 7.25% 05/15/17 ................................ 129 122 COX Communications Inc. 7.13% 10/01/12 ................................ 17 16 (h) 7.75% 11/01/10 ................................ 70 69 (h) Credit Suisse 6.00% 02/15/18 ................................ 128 118 CSC Holdings Inc. 8.50% 06/15/15 ................................ 129 114 (b) CSX Transportation, Inc. 9.75% 06/15/20 ................................ 8 9 (h) CVS/Caremark Corp. 5.75% 06/01/17 ................................ 94 87 Diageo Capital PLC 5.20% 01/30/13 ................................ 47 46 Dominion Resources, Inc. 6.30% 09/30/66 ................................ 278 125 (h,i) Dover Corp. 6.50% 02/15/11 ................................ 55 56 (h) DP World Ltd. 6.85% 07/02/37 ................................ 200 103 (b) Duke Energy Carolinas LLC 5.38% 01/01/09 ................................ 60 60 (h) Duke Realty LP 6.25% 05/15/13 ................................ 39 27 Dynegy Holdings, Inc. 7.50% 06/01/15 ................................ 130 91 Echostar DBS Corp. 7.75% 05/31/15 ................................ 129 110 EI Du Pont de Nemours & Co. 4.88% 04/30/14 ................................ 60 59 (h) 6.00% 07/15/18 ................................ 82 86 Empresa Energetica de Sergipe/ S.A. de Eletrificacao da Paraiba 10.50% 07/19/13 ................................ 27 24 (b,h)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 32 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- EOG Resources, Inc. 6.88% 10/01/18 ................................ $ 271 $ 296 Ford Motor Credit Company LLC 7.88% 06/15/10 ................................ 129 103 General Dynamics Corp. 5.25% 02/01/14 ................................ 73 75 GlaxoSmithKline Capital Inc. 4.85% 05/15/13 ................................ 39 39 6.38% 05/15/38 ................................ 72 81 Goldman Sachs Group, Inc. 5.25% 10/15/13 ................................ 204 187 6.15% 04/01/18 ................................ 118 113 GTE Corp. 7.51% 04/01/09 ................................ 55 55 (h) Harrah's Operating Company Inc. 10.00% 12/15/18 ................................ 22 8 (b) 10.75% 02/01/16 ................................ 97 28 (b) HCA Inc. 9.25% 11/15/16 ................................ 130 119 Hewlett-Packard Co. 5.50% 03/01/18 ................................ 45 45 Hexion US Finance Corp. 9.75% 11/15/14 ................................ 128 36 Honeywell International, Inc. 5.30% 03/01/18 ................................ 46 47 Host Hotels & Resorts LP (REIT) 6.38% 03/15/15 ................................ 198 148 HSBC Bank USA N.A. 4.63% 04/01/14 ................................ 100 93 HSBC Capital Funding LP (Series 1) 9.55% 12/29/49 ................................ 57 45 (b,h,i) HSBC Finance Corp. 6.75% 05/15/11 ................................ 50 50 IIRSA Norte Finance Ltd. 8.75% 05/30/24 ................................ 117 84 (b,h) Independencia International Ltd. 9.88% 05/15/15 ................................ 24 13 (b) ING Capital Funding TR III 8.44% 12/29/49 ................................ 95 48 (i) ING Groep N.V. 5.78% 12/29/49 ................................ 156 67 (i) Ingersoll-Rand Global Holding Company Ltd. 6.88% 08/15/18 ................................ 34 33 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Intergen N.V. 9.00% 06/30/17 ................................ $ 435 $ 357 (b) International Business Machines Corp. 7.63% 10/15/18 ................................ 100 120 Iron Mountain, Inc. 8.00% 06/15/20 ................................ 130 104 John Deere Capital Corp. 4.50% 04/03/13 ................................ 44 42 Johnson & Johnson 5.85% 07/15/38 ................................ 104 126 JP Morgan Chase & Co. 6.40% 05/15/38 ................................ 78 92 7.00% 11/15/09 ................................ 110 111 (h) JPMorgan Chase Bank 5.88% 06/13/16 ................................ 75 75 Kellogg Co. 5.13% 12/03/12 ................................ 48 48 Kimberly-Clark Corp. 7.50% 11/01/18 ................................ 28 33 Kraft Foods, Inc. 6.75% 02/19/14 ................................ 28 29 LyondellBasell Industries AF SCA 8.38% 08/15/15 ................................ 125 3 (b) Markel Corp. 7.35% 08/15/34 ................................ 32 22 (h) McDonald's Corp. 5.80% 10/15/17 ................................ 254 272 Mediacom LLC / Mediacom Capital Corp. 9.50% 01/15/13 ................................ 145 109 (h) MetLife, Inc. (Series A) 6.82% 08/15/18 ................................ 154 147 Metropolitan Life Global Funding I 4.25% 07/30/09 ................................ 105 103 (b,h) Midamerican Energy Holdings Co. 6.13% 04/01/36 ................................ 55 51 (h) Mizuho Financial Group Cayman Ltd. 8.38% 12/29/49 ................................ 95 89 Morgan Stanley 5.05% 01/21/11 ................................ 415 399
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 33 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Munich Re America Corp. (Series B) 7.45% 12/15/26 ..................... $ 55 $ 58 (h) New York Life Global Funding 5.38% 09/15/13 ..................... 55 54 (b) NGPL PipeCo LLC 7.12% 12/15/17 ..................... 259 233 (b) Norfolk Southern Corp. 8.63% 05/15/10 ..................... 100 101 (h) Northern States Power 6.25% 06/01/36 ..................... 30 32 (h) NorthWestern Corp. 5.88% 11/01/14 ..................... 100 92 (h) NRG Energy, Inc. 7.38% 02/01/16 ..................... 130 121 OPTI Canada Inc. 8.25% 12/15/14 ..................... 75 40 Oracle Corp. 5.75% 04/15/18 ..................... 18 19 Pacific Gas & Electric Co. 5.80% 03/01/37 ..................... 120 124 Pemex Finance Ltd. 9.03% 02/15/11 ..................... 36 37 (h) Pemex Project Funding Master Trust 5.75% 03/01/18 ..................... 20 18 (b) 7.88% 02/01/09 ..................... 28 28 PepsiCo, Inc. 5.00% 06/01/18 ..................... 114 118 7.90% 11/01/18 ..................... 40 49 Pitney Bowes, Inc. 3.88% 06/15/13 ..................... 43 41 Potomac Edison Co. 5.35% 11/15/14 ..................... 40 35 (h) Potomac Electric Power Co. 7.90% 12/15/38 ..................... 21 23 President and Fellows of Harvard College 5.00% 01/15/14 ..................... 100 103 (b) Procter & Gamble Co. 4.60% 01/15/14 ..................... 56 59 5.50% 02/01/34 ...................... 28 29 Public Service Company of Colorado 7.88% 10/01/12 ..................... 95 100 (h) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Puget Sound Energy, Inc. (Series A) 6.97% 06/01/67 ..................... $ 120 $ 54 (i) Rogers Communications, Inc. 6.80% 08/15/18 ..................... 104 105 Royal Bank of Scotland Group PLC 5.00% 10/01/14 ..................... 39 33 (h) Sabine Pass LNG LP 7.25% 11/30/13 ..................... 60 44 7.50% 11/30/16 ..................... 40 29 Safeway, Inc. 6.25% 03/15/14 ..................... 16 16 Security Benefit Life Insurance 8.75% 05/15/16 ..................... 60 44 (b,u) Southern California Edison Co. 5.50% 08/15/18 ..................... 52 54 Sprint Capital Corp. 7.63% 01/30/11 ..................... 83 69 Standard Chartered Bank Hong Kong Ltd. 4.38% 12/03/14 ..................... 90 81 Telecom Italia Capital S.A. 6.20% 07/18/11 ..................... 99 88 Telefonica Emisiones SAU 5.86% 02/04/13 ..................... 375 365 6.22% 07/03/17 ..................... 77 76 Tenneco, Inc. 8.63% 11/15/14 ..................... 129 49 The Travelers Companies, Inc. 5.80% 05/15/18 ..................... 34 33 Thomson Reuters Corp. 5.95% 07/15/13 ..................... 26 24 TIAA Global Markets Inc. 4.95% 07/15/13 ..................... 169 167 (b) Time Warner Cable, Inc. 6.20% 07/01/13 ..................... 188 178 6.75% 07/01/18 ..................... 78 75 8.75% 02/14/19 ..................... 86 94 TransCanada Pipelines Ltd. 6.50% 08/15/18 ..................... 73 72 Transocean, Inc. 6.00% 03/15/18 ..................... 68 62 UBS Preferred Funding Trust I 8.62% 10/29/49 .................... 70 42 (i)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 34 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- United Technologies Corp. 6.13% 07/15/38 ..................... $ 20 $ 22 Verizon Communications, Inc. 6.90% 04/15/38 ..................... 52 59 8.75% 11/01/18 ..................... 70 82 Verizon Global Funding Corp. 7.25% 12/01/10 ..................... 105 110 Verizon Pennsylvania, Inc. 8.35% 12/15/30 ..................... 40 39 (h) 8.75% 08/15/31 ..................... 55 55 (h) Walgreen Co. 4.88% 08/01/13 ..................... 138 142 Wal-Mart Stores, Inc. 5.80% 02/15/18 ..................... 214 237 Wells Fargo & Co. 5.63% 12/11/17 ..................... 125 130 Westar Energy, Inc. 7.13% 08/01/09 ..................... 150 149 (h) Westlake Chemical Corp. 6.63% 01/15/16 ..................... 122 71 (h) Wyeth 5.50% 03/15/13 ..................... 156 159 XTO Energy, Inc. 6.38% 06/15/38 ..................... 34 30 6.50% 12/15/18 ..................... 68 66 13,794 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.9% Banc of America Commercial Mortgage Inc. 5.32% 09/10/47 ..................... 87 71 (h) Banc of America Commercial Mortgage Inc. (Class A) 5.49% 02/10/51 ..................... 250 183 Banc of America Commercial Mortgage Inc. (Class C) 5.70% 04/10/49 ..................... 100 18 (i,r) Banc of America Funding Corp. 5.72% 03/20/36 ..................... 49 9 (h,i,r) 5.76% 02/20/36 ..................... 99 22 (h,i,r) Banc of America Mortgage Securities Inc. (Class B) 5.35% 01/25/36 ..................... 50 12 (h,i) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities 5.41% 03/11/39 ..................... $ 39 $ 34 (h,i) 5.48% 10/12/41 ..................... 145 118 (h) 5.53% 10/12/41 ..................... 145 101 (h) 5.71% 06/11/40 ..................... 80 62 6.02% 02/14/31 ..................... 28 28 (h,i) Bear Stearns Commercial Mortgage Securities (Class A) 5.92% 06/11/50 ..................... 135 67 Bear Stearns Commercial Mortgage Securities (Class D) 5.99% 09/11/42 ..................... 20 3 (i,r) Citigroup Commercial Mortgage Trust 5.70% 12/10/49 ..................... 90 68 (i) 6.10% 12/10/49 ..................... 20 15 Commercial Mortgage Loan Trust 6.02% 12/10/49 ..................... 140 101 Countrywide Alternative Loan Trust 5.97%** 05/25/36 ................... 24 -- (h,i,r) 6.00% 03/25/36 - 08/25/36 .......... 96 2 (h,r) Countrywide Alternative Loan Trust (Class B) 6.00% 05/25/36 - 08/25/36 .......... 44 1 (h,r) Credit Suisse Mortgage Capital Certificates 5.47% 09/15/39 ..................... 128 94 (h) Credit Suisse Mortgage Capital Certificates (Class C) 5.65% 02/25/36 ...................... 24 4 (h,i,r) CS First Boston Mortgage Securities Corp. 5.25% 08/25/34 ..................... 32 29 (h) 5.34% 10/25/35 ..................... 44 6 (h,i,r) 15.81% 07/15/37 .................... 1,101 16 (d,h,r) GMAC Commercial Mortgage Securities Inc. (Class X) 15.72% 12/10/41 .................... 1,623 19 (d,h,r) Greenwich Capital Commercial Funding Corp. 5.12% 04/10/37 ..................... 90 82 (h)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 35 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Indymac INDA Mortgage Loan Trust 5.15% 01/25/36 ..................... $ 100 $ 1 (h,i,r) Indymac INDA Mortgage Loan Trust (Class B) 5.15% 01/25/36 ..................... 100 47 (h,i,r) JP Morgan Chase Commercial Mortgage Securities Corp. 1.11% 01/12/39 ..................... 903 15 (d,h,r) 5.44% 06/12/47 ..................... 90 65 5.72% 02/15/51 ..................... 120 84 6.07% 02/12/51 ..................... 150 106 6.20% 02/12/51 ..................... 30 5 (i,r) 6.47% 11/15/35 ..................... 64 62 (h) LB-UBS Commercial Mortgage Trust 4.06% 09/15/27 ..................... 86 84 (h,i) 5.86% 07/15/40 ..................... 70 50 (i) 6.23% 03/15/26 ..................... 23 23 (h) 15.64% 01/18/12 .................... 1,378 19 (d,h,r) 24.89% 01/15/36 .................... 478 15 (d,h,r) 26.09% 03/15/36 .................... 1,053 18 (d,h,r) 27.04% 02/15/40 .................... 1,236 14 (d,h,r) LB-UBS Commercial Mortgage Trust (Class B) 6.65% 07/14/16 ..................... 26 24 (b,h) LB-UBS Commercial Mortgage Trust (Class F) 6.24% 07/15/40 ..................... 50 8 (i,r) LB-UBS Commercial Mortgage Trust (Class X) 27.91% 12/15/39 .................... 1,067 10 (d,h,r) MASTR Alternative Loans Trust 5.00% 08/25/18 ..................... 41 4 (g,h,t) Merrill Lynch Mortgage Trust (Class A) 5.61% 05/12/39 ..................... 300 258 (h,i) MLCC Mortgage Investors Inc. 5.38%** 02/25/36 ................... 50 -- (h,i) Morgan Stanley Capital I 5.28% 12/15/43 ..................... 58 48 (h) 5.33% 12/15/43 ..................... 58 44 (h) 5.39% 11/12/41 ..................... 162 46 (h,i) 5.44% 02/12/44 ..................... 500 342 (b) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 5.45% 02/12/44 ..................... $ 30 $ 22 (i) 5.69% 04/15/49 ..................... 300 225 (i) 5.71% 07/12/44 ..................... 100 72 (h) 5.88% 06/11/49 ..................... 100 74 6.53% 03/15/31 ..................... 8 8 (h,i) Morgan Stanley Capital I (Class A) 5.36% 02/12/44 ..................... 74 59 5.81% 12/12/49 ..................... 40 30 Morgan Stanley Dean Witter Capital I 7.20% 10/15/33 ..................... 161 160 (h) Nomura Asset Securities Corp. (Class A) 6.59% 03/15/30 .................... 9 9 (h) Opteum Mortgage Acceptance Corp. 1.70% 02/25/35 .................... 167 146 (d,h) Residential Accredit Loans Inc. 6.00% 01/25/36 ..................... 240 15 (h,r) Residential Asset Securitization Trust (Class A) 1.80% 05/25/35 ..................... 80 41 (d,h,r) Structured Asset Securities Corp. (Class X) 2.13%** 02/25/28 ................... 63 -- (i,r) Wachovia Bank Commercial Mortgage Trust (Class A) 5.42% 01/15/45 ..................... 120 94 (i) Wells Fargo Mortgage Backed Securities Trust 5.50% 01/25/36 - 03/25/36 .......... 196 45 (h) 3,557 SOVEREIGN BONDS -- 0.2% Government of Brazil 8.00% 01/15/18 .................. 39 44 Government of Canada 7.50% 09/15/29 .................. 90 128 Government of Colombia 7.38% 09/18/37 .................. 100 98 Government of Manitoba Canada 4.90% 12/06/16 .................. 60 66 (h) Government of Pakistan 6.75% 02/19/09 ................. 65 62
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 36 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Government of Panama 6.70% 01/26/36 ...................... $ 55 $ 49 Government of Venezuela 5.38% 08/07/10 ...................... 26 20 9.00% 05/07/23 ...................... 31 13 480 TOTAL BONDS AND NOTES (COST $61,598) ........................ 57,640 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS -- 0.7% - -------------------------------------------------------------------------------- Financial Select Sector SPDR Fund ............................. 20,346 257 (p) Industrial Select Sector SPDR Fund ............................. 45,334 1,064 (p) iShares MSCI Emerging Markets Index Fund ............................ 2,771 69 (s) TOTAL EXCHANGE TRADED FUNDS (COST $2,025) ......................... 1,390 - -------------------------------------------------------------------------------- OTHER INVESTMENTS -- 0.1% - -------------------------------------------------------------------------------- GEI Investment Fund (COST $367) ........................... 202 (k) TOTAL INVESTMENTS IN SECURITIES (COST $216,310) ....................... 163,489 - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 19.9% - -------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% .................................... 38,111 (d,q) (COST $38,111) TOTAL INVESTMENTS (COST $254,421) .......................... 201,600 LIABILITIES IN EXCESS OF OTHER ASSETS, NET -- (5.3)% ............................ (10,253) --------- NET ASSETS -- 100.0% $ 191,347 =========
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The Elfun Diversified Fund had the following long futures contracts open at December 31, 2008:
NUMBER CURRENT UNREALIZED EXPIRATION OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ------------------------------------------------------------------ DJ Euro Stoxx 50 Index Futures March 2009 4 $ 136 $ -- FTSE 100 Index Futures March 2009 1 63 2 S&P 500 Index Futures March 2009 1 45 -- S&P Midcap 400 Emini Index Futures March 2009 4 107 1 Topix Index Futures March 2009 1 95 4 2 Yr. U.S. Treasury Notes Futures March 2009 27 5,888 39 ----- $ 46 =====
The Elfun Diversified Fund had the following Short futures contracts open at December 31, 2008:
NUMBER CURRENT UNREALIZED EXPIRATION OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - ------------------------------------------------------------------ 10 Yr. U.S. Treasury Notes Futures March 2009 3 $ (377) $ 5 ---- $ 51 ====
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 37 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- The Elfun Diversified Fund was invested in the following Coun-tries at December 31, 2008:
COUNTRY PERCENTAGE (BASED ON MARKET VALUE) - -------------------------------------------------------------------------------- United States 79.42% Japan 3.48% France 2.89% Switzerland 2.89% United Kingdom 2.85% Germany 1.41% Canada 1.36% China 0.53% Spain 0.48% Brazil 0.47% Taiwan 0.44% South Korea 0.37% Australia 0.36% South Africa 0.34% India 0.34% Italy 0.34% Netherlands 0.26% Finland 0.26% Mexico 0.26% Singapore 0.16% Israel 0.15% Hong Kong 0.11% Turkey 0.08% Denmark 0.08% Russia 0.07% Colombia 0.05% Luxembourg 0.05% Egypt 0.04% Peru 0.04% Norway 0.04% Chile 0.04% Malaysia 0.04% Greece 0.04% Philippines 0.03% Cayman Islands 0.03% Pakistan 0.03% Jamaica 0.03% Sweden 0.03% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Thailand 0.03% Panama 0.02% Indonesia 0.02% Bermuda 0.02% Venezuela 0.02% ------- 100.00% =======
The Elfun Diversified Fund was invested in the following Sectors at December 31, 2008:
SECTOR PERCENTAGE (BASED ON MARKET VALUE) - -------------------------------------------------------------------------------- Short-Term 18.90% Agency Mortgage Backed 9.85% Corporate Notes 6.84% U.S. Treasuries 4.39% Commercial Banks 2.94% Oil, Gas & Consumable Fuels 2.89% Federal Agencies 2.83% Pharmaceuticals 2.80% Communications Equipment 2.69% Biotechnology 2.51% Media 2.34% Capital Markets 2.14% Asset Backed 2.03% Insurance 1.93% Software 1.90% Healthcare Equipment & Supplies 1.81% Food Products 1.80% Non-Agency Collateralized Mortgage Obligations 1.76% Wireless Telecommunication Services 1.70% Energy Equipment & Services 1.60% Semiconductors & Semiconductor Equipment 1.45% IT Services 1.38% Chemicals 1.30% Multi-Utilities 1.11% Beverages 1.10% Metals & Mining 1.10% Healthcare Providers & Services 1.09% Specialty Retail 1.09% Commercial Services & Supplies 1.08% Diversified Financial Services 1.03%
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 38 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Industrial Conglomerates 0.96% Personal Products 0.93% Electric Utilities 0.89% Household Products 0.70% Machinery 0.70% Miscellaneous 0.69% Aerospace & Defense 0.66% Agency Collateralized Mortgage Obligations 0.65% Real Estate Management & Development 0.58% Food & Staples Retailing 0.57% Diversified Telecommunication Services 0.54% Internet Software & Services 0.51% Road & Rail 0.44% Hotels Restaurants & Leisure 0.44% Electrical Equipment 0.37% Computers & Peripherals 0.36% Electronic Equipment, Instruments & Components 0.34% Construction & Engineering 0.34% Life Sciences Tools & Services 0.30% Multiline Retail 0.29% Textiles Apparel & Luxury Goods 0.26% Sovereign Bonds 0.24% Automobiles 0.20% Professional Services 0.16% Real Estate Investment Trusts (Reits) 0.14% Water Utilities 0.12% Tobacco 0.10% Other Investments 0.10% Independent Power Producers & Energy Traders 0.02% Household Durables 0.01% Paper & Forest Products 0.01% ------- 100.00% =======
- ----------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 39 - -------------------------------------------------------------------------------- Elfun Tax-Exempt Income Fund - -------------------------------------------------------------------------------- [PHOTO] MICHAEL J. CAUFIELD THE ELFUN TAX-EXEMPT INCOME FUND IS MANAGED BY MICHAEL J. CAUFIELD. SEE PORTFOLIO MANAGERS' BIOGRAPHICAL INFORMATION BEGINNING ON PAGE 104. Q. HOW DID THE ELFUN TAX-EXEMPT INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008? A. For the twelve-month period ended December 31, 2008, the Elfun-Tax-Exempt Fund returned -2.51%. The Barclays Capital Municipal Bond Index (formerly Lehman Brothers Municipal Bond Index), the Fund's benchmark, returned -2.47% and the Fund's Lipper peer group of 228 General Municipal Bond funds returned an average of -9.09% for the same period. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A. The de-leveraging of the municipal bond market which began in mid-August of 2007, continued to wreak havoc throughout this year, contributing to unprecedented volatility. The unraveling of the short-term municipal auction rate and variable rate demand markets in early 2008 was a key variable which dislocated the market and was largely responsible for a trend which shifted capital away from the long term municipal market, impacting liquidity and driving yields sharply higher. Balance sheet considerations became apparent as dealers reallocated resources to support their growing short-term responsibilities, limiting their commitment to the secondary market. Over the last six months of 2008, liquidity became the dominating theme as banking industry turmoil spread throughout all credit markets. The collapse of Bear Stearns, the bankruptcy of Lehman Brothers, the sale of Merrill Lynch and the departure of UBS from the municipal bond market contributed to market instability, which crippled market flows and drove yields to historic spreads during the fourth quarter. Municipal bonds dramatically underperformed treasuries throughout the yield curve as relationships were de-linked by a flight to quality in treasuries and a combination of excessive supply and disruptions in liquidity. Q. WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008 AND HOW WAS THE FUND POSITIONED WITH RESPECT TO ECONOMIC CONDITIONS? A. The overriding factor in the U.S. economy over the last twelve months has been the de-leveraging of global fixed income markets and the subsequent erosion of confidence throughout the financial system. The general lack of liquidity contributed to chaos in the lending markets and an eventual rise in interest rates. The municipal bond market along with most fixed income markets struggled with liquidity issues brought on by concerns over institutional counterparty risk. The 40 - -------------------------------------------------------------------------------- Q&A - -------------------------------------------------------------------------------- consolidation of several municipal bond dealers, driven by the need to secure additional operating capital, further limited available liquidity and set the stage for yields to trend higher. The municipal market was severely impacted by widening credit spreads, which began with the financial distress experienced by the monoline insurance industry. The crisis came to a head in late October as credit spreads increased by over 200 bps over the course of a week, bringing the market to a transactional standstill. Mutual fund redemptions, primarily in the high yield area further exacerbated limited liquidity, which quickly spread, depressing values throughout the entire municipal spectrum. Our portfolio, while impacted, avoided the substantial loss of value experienced by the majority of its peers as over 95% of the Fund's holdings were rated A or better. The Fund also benefited from its laddered approach to curve positioning, and defensive coupon structure, which contributed to consistent returns during the most volatile periods. With 78% of assets invested twenty-five years and shorter, and an average maturity of approximately 15 years, the Fund was sufficiently positioned to survive an abrupt move to a higher interest rate environment during the second half of 2008. In accordance with our long-term approach, the Fund maintained its investment discipline, emphasizing credit quality, geographic diversity and income in a challenging market. 41 - -------------------------------------------------------------------------------- Elfun Tax-Exempt Income Fund - -------------------------------------------------------------------------------- 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, 2008. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2008 - DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - -------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 971.07 0.64 Hypothetical 5% Return (2.5% for the period) 1,000.00 1,024.19 0.66 - --------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.13% (FOR THE PERIOD BETWEEN JULY 1, 2008 - DECEMBER 31, 2008), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/366 (TO REFLECT THE SIX MONTH PERIOD). ** ACTUAL FUND RETURN FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2008 WAS: (-2.89)%. 42 - -------------------------------------------------------------------------------- Elfun Tax-Exempt Income Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH]
Barclays Capital U.S. Municipal Bond Elfun Tax-Exempt Income Fund Index 12/98 $10,000 $10,000 12/99 $ 9,698 $ 9,794 12/00 $10,898 $10,939 12/01 $11,411 $11,499 12/02 $12,519 $12,604 12/03 $13,138 $13,274 12/04 $13,728 $13,868 12/05 $14,227 $14,356 12/06 $14,915 $15,051 12/07 $15,356 $15,557 12/08 $14,971 $15,172
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - -------------------------------------------------------------------------------- Elfun Tax-Exempt Income Fund -2.51% 2.65% 4.12% Barclays Capital U.S. Municipal Bond Index -2.47% 2.71% 4.26%
INVESTMENT PROFILE A 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. - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON GENERAL MUNICIPAL DEBT FUNDS PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/08
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: ....................... 38 11 5 Number of Funds in peer group: ................... 228 199 146 Peer group average annual total return: .......... -9.09% 0.53% 2.44%
Lipper categories in peer group: General Municipal Debt - --------------------------------------------------------------------------------
QUALITY RATINGS AS OF DECEMBER 31, 2008 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- MOODY'S/S&P/ PERCENTAGE OF FITCH RATING* MARKET VALUE - -------------------------------------------------------------------------------- Aaa/AAA 33.84% - -------------------------------------------------------------------------------- Aa/AA 42.21% - -------------------------------------------------------------------------------- A/A 19.32% - -------------------------------------------------------------------------------- Below A 4.63% - --------------------------------------------------------------------------------
* 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 LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 43 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ELFUN TAX-EXEMPT INCOME FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $1,607,145 AS OF DECEMBER 31, 2008. [PIE CHART] Water & Sewer 17.5% Hospital 16.7% General Obligation 14.9% Education 14.7% Transportation 14.2% Utilities 9.5% Lease 5.8% Resource & Other 3.3% Short-Term 2.9% Housing 0.5% Other Investments 0.0%*
* LESS THAN 0.1%
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MUNICIPAL BONDS -- 96.1%+ - -------------------------------------------------------------------------------- ALABAMA -- 2.0% Alabama Public School & College Authority (Series D) 5.75% 08/01/13 ...................... $ 5,000 $ 5,170 Alabama Water Pollution Control Authority (Series A) (AMBAC Insured) 4.75% 08/15/21 ...................... 5,000 4,736 (n) City of Birmingham (Series B) 5.25% 06/01/24 ...................... 2,240 2,302 (m) City of Birmingham (Series C) 5.25% 05/01/17 ...................... 3,395 3,609 East Alabama Health Care Authority (Series B) 5.00% 09/01/33 ...................... 5,500 5,220 Montgomery BMC Special Care Facilities Financing Authority (Series A) (MBIA Insured) 5.00% 11/15/20 ...................... 8,375 9,302 (m,n) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Montgomery Medical Clinic Board 5.25% 03/01/31 ...................... $ 3,000 $ 1,863 32,202 ALASKA -- 0.2% City of Anchorage (MBIA Insured) 6.50% 12/01/10 ...................... 2,825 3,023 (n) ARIZONA -- 2.8% Arizona Health Facilities Authority (Series D) 5.38% 01/01/32 ...................... 3,000 2,510 Arizona State Transportation Board 5.00% 07/01/19 ...................... 5,345 5,722 Arizona State University (FSA Insured) 5.25% 07/01/15 ...................... 5,000 5,423 (n) City of Phoenix (Series B) 5.00% 07/01/19 ...................... 5,000 5,443 Glendale Western Loop 101 Public Facilites Corp. (Series B) 6.25% 07/01/38 ...................... 10,000 10,021 Maricopa County Industrial Development Authority 5.50% 07/01/26 ...................... 7,500 6,270 Maricopa County Stadium District (AMBAC Insured) 5.38% 06/01/16 ...................... 2,145 2,291 (n) Phoenix Civic Improvement Corp. (MBIA Insured) 5.50% 07/01/23 ...................... 7,260 7,828 (n) 45,508 CALIFORNIA -- 6.1% Abag Finance Authority for Nonprofit Corporations 5.00% 12/01/37 ...................... 7,940 5,813 Bay Area Toll Authority (Series F) 5.00% 04/01/31 ...................... 10,000 9,414 California Health Facilities Financing Authority (Series A) 5.25% 11/15/46 ...................... 10,000 7,775
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 44 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- California Health Facilities Financing Authority/CA (Series C) 6.50% 10/01/33 ...................... $ 3,500 $ 3,487 Chino Basin Regional Financing Authority (Series A) (AMBAC Insured) 5.00% 11/01/38 ...................... 4,000 3,545 (n) Coast Community College District (FSA Insured) 5.52% 08/01/33 ...................... 8,750 6,397 (d,n) Foothill-De Anza Community College District (Series A) (AMBAC Insured) 4.50% 08/01/31 ...................... 5,000 4,359 (n) Los Angeles Department of Airports 5.00% 05/15/29 ...................... 4,430 3,881 Los Angeles Department of Water & Power (AMBAC Insured) 5.00% 07/01/32 ...................... 5,000 4,651 (n) Los Angeles Department of Water & Power (Series A) (AMBAC Insured) 5.00% 07/01/37 ...................... 5,000 4,585 (n) San Diego Unified School District (Series E) (FSA Insured) 5.25% 07/01/17 ...................... 8,795 9,616 (n) San Francisco Bay Area Transit Financing Authority (Series B) 5.00% 08/01/27 ...................... 5,000 5,052 San Francisco City & County Airports Commission 5.25% 05/01/26 ...................... 3,000 2,755 State of California 5.00% 08/01/28 ...................... 25,000 21,722 University of California (AMBAC Insured) 5.00% 05/15/34 ...................... 2,225 1,942 (n) University of California (Series A) (AMBAC Insured) 5.00% 05/15/34 ...................... 3,775 4,221 (m,n) 99,215 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- COLORADO -- 1.3% Colorado Health Facilities Authority 5.25% 11/15/27 ...................... $ 6,465 $ 5,462 Colorado Water Resources & Power Development Authority (Series A) 5.25% 09/01/17 ...................... 5,880 6,240 E-470 Public Highway Authority (Series A) (MBIA Insured) 5.75% 09/01/35 ...................... 4,000 4,257 (m,n) University of Colorado Hospital Authority (Series A) 5.25% 11/15/39 ...................... 9,000 5,430 21,389 CONNECTICUT -- 2.2% Connecticut State Health & Educational Facility Authority (Series Z) 5.00% 07/01/42 ...................... 10,000 9,715 Mashantucket Western Pequot Tribe (Series A) 6.50% 09/01/31 ...................... 5,000 3,392 (b) Mashantucket Western Pequot Tribe (Series B) 5.70% 09/01/12 ...................... 2,500 2,259 (b) 5.75% 09/01/18 ...................... 9,500 7,210 (b) South Central Regional Water Authority Water System Revenue (MBIA Insured) 5.00% 08/01/27 ...................... 3,000 2,950 (n) State of Connecticut (Series A) 5.00% 11/01/26 ...................... 10,000 10,015 35,541 DISTRICT OF COLUMBIA -- 1.3% District of Columbia 5.50% 04/01/36 ...................... 15,000 13,864 District of Columbia (MBIA Insured) 5.75% 09/15/20 ...................... 5,000 5,111 (n)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 45 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- District of Columbia Water & Sewer Authority (Series A) 5.00% 10/01/34 .......... $ 3,000 $ 2,730 21,705 FLORIDA -- 3.8% Brevard County Health Facilities Authority 5.00% 04/01/34 .......... 6,000 3,735 City of Tampa FL (Series A) 5.00% 10/01/26 .......... 5,000 4,982 County of Seminole 5.00% 10/01/25 .......... 8,195 8,040 Florida State Board of Education (Series B) 5.38% 06/01/16 .......... 7,000 7,529 Florida State Board of Education (Series D) 4.50% 06/01/21 .......... 5,000 4,944 Hillsborough County Industrial Development Authority (Series A) 5.00% 10/01/18 .......... 5,000 4,376 5.25% 10/01/24 .......... 5,500 4,459 Hillsborough County Industrial Development Authority (Series B) 5.25% 10/01/15 .......... 5,130 4,844 Jacksonville Econonomic Development Commission (Series A) 5.50% 11/15/36 .......... 5,000 4,272 North Broward Hospital District 5.70% 01/15/16 .......... 1,915 2,082 (m) Orlando Utilities Commission 5.00% 10/01/19 .......... 3,000 3,159 South Miami Health Facilities Authority 5.25% 11/15/33 .......... 6,380 7,163 (m) Tampa Bay Water Regional Water Supply Authority 5.00% 10/01/38 .......... 3,000 2,697 62,282 - ------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------- GEORGIA -- 5.9% City of Atlanta (FSA Insured) 5.75% 11/01/27 .......... $ 5,000 $ 5,005 (n) City of Atlanta (Series B) (FSA Insured) 5.25% 01/01/33 .......... 4,000 3,674 (n) City of Augusta (FSA Insured) 5.25% 10/01/34 .......... 8,500 8,381 (n) County of Athens-Clarke GA 5.50% 01/01/38 .......... 7,000 7,027 County of Fulton GA (MBIA Insured) 5.00% 01/01/30 .......... 5,000 4,666 (n) 5.25% 01/01/35 .......... 10,500 10,368 (n) De Kalb County Ga 5.00% 10/01/28 .......... 6,500 6,764 (m) De Kalb County Ga (Series B) (FSA Insured) 5.25% 10/01/32 .......... 15,000 15,102 (n) Fayette County School District (FSA Insured) 5.11% 03/01/22 .......... 2,520 2,254 (d,n) 5.25% 03/01/23 .......... 2,290 2,023 (d,n) Henry County Hospital Authority (MBIA Insured) 5.00% 07/01/24 .......... 1,865 1,880 (n) Marietta Development Authority 5.00% 09/15/29 .......... 2,365 1,622 Municipal Electric Authority of Georgia (Series A) 5.00% 01/01/14 .......... 2,000 2,106 5.25% 01/01/19 .......... 2,490 2,548 Private Colleges & Universities Authority 5.25% 06/01/18 .......... 5,250 5,513 Private Colleges & Universities Authority (MBIA Insured) 6.50% 11/01/15 .......... 4,010 4,680 (l,n) Private Colleges & Universities Authority (Series A) 6.00% 06/01/21 .......... 2,410 1,927 South Regional Joint Development Authority 4.50% 08/01/39 .......... 3,000 2,301
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 46 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------- State of Georgia (Series E) 5.00% 08/01/22 .......... $ 7,000 $ 7,363 95,204 HAWAII -- 0.6% City & County of Honolulu HI (Series A) 6.00% 01/01/12 .......... 1,265 1,391 6.00% 01/01/12 .......... 735 824 (l) State of Hawaii (FSA Insured) 5.75% 02/01/14 .......... 6,500 7,374 (n) 9,589 IDAHO -- 1.4% Idaho Health Facilities Authority/ID (Series A) 6.75% 11/01/37 .......... 4,000 3,820 Idaho Housing & Finance Assoc. (MBIA Insured) 5.00% 07/15/22 .......... 17,900 18,343 (n) 22,163 ILLINOIS -- 2.5% County of Cook IL (Series C) (AMBAC Insured) 5.50% 11/15/26 .......... 10,000 11,313 (m,n) Illinois Finance Authority (Series A) 5.50% 08/15/43 .......... 5,000 5,857 (m) Illinois Health Facilities Authority 6.13% 11/15/22 .......... 3,500 3,780 (m) Metropolitan Pier & Exposition Authority (MBIA Insured) 4.54% 06/15/19 .......... 4,000 3,583 (d,n) 5.07% 06/15/22 .......... 4,505 3,023 (d,n) Southwestern Illinois Development Authority (MBIA Insured) 5.00% 10/01/21 .......... 4,000 4,003 (n) University of Illinois (FGIC Insured) 5.25% 04/01/32 .......... 2,540 2,513 (n) 5.25% 04/01/32 .......... 5,960 6,430 (m,n) 40,502 - ------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------- INDIANA -- 1.1% Delaware County Hospital Authority 5.25% 08/01/36 .......... $ 3,250 $ 1,790 Indiana Health & Educational Facilities Financing Authority (Series A) 5.25% 02/15/40 .......... 10,000 6,656 Indiana Health Facility Financing Authority (Series A) (AMBAC Insured) 5.38% 03/01/34 .......... 5,500 4,014 (n) Merrillville Multi School Building Corp. 5.25% 07/15/28 .......... 5,000 4,898 17,358 KANSAS -- 0.3% University of Kansas Hospital Authority 5.63% 09/01/32 .......... 4,150 4,623 (m) KENTUCKY -- 1.4% Kentucky Turnpike Authority (Series B) (AMBAC Insured) 5.00% 07/01/26 .......... 5,000 5,003 (n) Louisville & Jefferson County Metropolitan Government 5.25% 10/01/36 .......... 19,000 12,480 University Of Kentucky (Series Q) (FGIC Insured) 5.25% 05/01/20 .......... 4,545 4,780 (m,n) 22,263 LOUISIANA -- 1.3% Louisiana Public Facilities Authority (MBIA Insured) 5.25% 07/01/33 .......... 10,925 9,451 (n) Louisiana Public Facilities Authority (Series A) (MBIA Insured) 5.38% 05/15/16 .......... 7,870 8,959 (m,n)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 47 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- Parish of St. John Baptist (Series A) 5.13% 06/01/37 .......... $ 5,550 $ 3,288 21,698 MAINE -- 0.5% Maine Health & Higher Educational Facilities Authority (Series C) 5.13% 07/01/31 .......... 5,000 4,828 Maine Health & Higher Educational Facilities Authority (Series D) (FSA Insured) 5.50% 07/01/23 .......... 55 55 (n) Maine Municipal Bond Bank (Series B) 5.50% 11/01/21 .......... 3,325 3,668 (m) 8,551 MARYLAND -- 3.3% County of Montgomery MD (Series A) 5.00% 05/01/20 .......... 7,710 8,285 County of Prince Georges MD (Series A) 5.00% 10/01/22 .......... 6,820 7,677 (m) Maryland Health & Higher Educational Facilities Authority 5.13% 11/15/34 .......... 7,200 8,151 (m) 5.25% 05/15/46 .......... 4,000 2,904 5.50% 01/01/28 .......... 7,500 5,126 Maryland Health & Higher Educational Facilities Authority (Series A) 5.00% 07/01/32 .......... 10,000 9,731 University System of Maryland (Series A) 5.25% 04/01/17 .......... 4,380 4,619 5.25% 04/01/17 .......... 5,655 6,264 (m) 52,757 - ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- MASSACHUSETTS -- 3.3% Massachusetts Health & Educational Facilities Authority 5.00% 07/15/35 .......... $ 14,000 $ 13,959 5.38% 08/15/38 .......... 2,000 1,993 Massachusetts Health & Educational Facilities Authority (Series A) 5.50% 11/15/36 .......... 4,000 4,144 Massachusetts State Turnpike Authority (Series B) (MBIA Insured) 5.13% 01/01/23 .......... 20,500 16,878 (n) Massachusetts Water Resources Authority (Series A) 6.50% 07/15/19 .......... 14,125 17,146 (l) 54,120 MICHIGAN -- 2.7% Detroit MI (Series A) (FSA Insured) 5.25% 07/01/21 .......... 4,545 4,157 (n) Detroit MI (Series A) (MBIA Insured) 5.00% 07/01/27 .......... 7,145 6,671 (n) Detroit MI (Series D) (MBIA Insured) 5.00% 07/01/33 .......... 5,000 3,945 (n) Grand Rapids MI (MBIA Insured) 5.25% 01/01/17 .......... 3,000 3,105 (n) Michigan Municipal Bond Authority 5.25% 10/01/17 .......... 6,465 6,823 Michigan State Hospital Finance Authority 5.38% 12/01/30 .......... 2,000 1,692 Muskegon Heights Public Schools (MBIA Insured) 5.00% 05/01/24 .......... 2,650 2,685 (m,n) State of Michigan (FSA Insured) 5.25% 09/15/27 .......... 5,000 4,776 (n) State of Michigan (Series A) 5.50% 11/01/18 .......... 6,000 6,688
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 48 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- State of Michigan (Series A) (MBIA Insured) 5.00% 11/01/26 .......... $ 4,000 $ 4,006 (n) 44,548 MINNESOTA -- 0.4% State of Minnesota 5.00% 08/01/12 .......... 5,670 6,212 MISSISSIPPI -- 0.5% State of Mississippi 5.50% 09/01/14 .......... 7,500 8,522 MISSOURI -- 0.6% Missouri State Environmental Improvement & Energy Resources Authority/MO (Series B) 5.00% 01/01/24 .......... 5,000 5,103 Missouri State Health & Educational Facilities Authority (Series A) 5.50% 11/15/39 .......... 5,000 3,881 8,984 NEBRASKA -- 0.4% Nebraska Public Power District (Series B) 5.00% 01/01/38 .......... 2,500 2,233 Omaha Public Power District (Series A) 5.00% 02/01/39 .......... 5,000 4,690 6,923 NEVADA -- 1.0% County of Clark 5.50% 07/01/20 .......... 7,565 8,045 (m) County of Clark (MBIA Insured) 5.50% 07/01/30 .......... 6,500 6,912 (m,n) Las Vegas Special Improvement District No 707 (Series A) (FSA Insured) 5.55% 06/01/16 .......... 1,750 1,785 (n) 16,742 - ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- NEW JERSEY -- 9.1% Cape May County Municipal Utilities Authority (Series A) (FSA Insured) 5.75% 01/01/15 .......... $ 8,500 $ 9,739 (n) Essex County Improvement Authority (FSA Insured) 5.25% 12/15/17 .......... 9,765 10,530 (n) 5.25% 12/15/17 .......... 235 269 (m,n) New Jersey Economic Development Authority 5.75% 06/15/29 .......... 3,000 2,200 New Jersey Environmental Infrastructure Trust 5.25% 09/01/21 .......... 2,965 3,225 New Jersey Health Care Facilities Financing Authority 5.25% 01/01/36 .......... 4,500 4,068 New Jersey Sports & Exposition Authority (Series B) 4.50% 09/01/24 .......... 5,000 4,522 New Jersey State Educational Facilities Authority 5.25% 07/01/32 .......... 2,625 2,960 (m) New Jersey State Educational Facilities Authority (Series J) 4.50% 07/01/38 .......... 10,000 8,767 New Jersey State Turnpike Authority (AMBAC Insured) 6.50% 01/01/16 .......... 7,910 9,170 (n) 6.50% 01/01/16 .......... 42,050 48,680 (l,n) New Jersey Transportation Trust Fund Authority (FSA Insured) 5.75% 12/15/14 .......... 4,610 5,480 (l,n) 5.75% 12/15/14 .......... 1,390 1,565 (n) New Jersey Transportation Trust Fund Authority (Series C) 5.50% 06/15/19 .......... 31,280 35,925 (m) 147,100 NEW MEXICO -- 0.7% New Mexico Hospital Equipment Loan Council (Series A) 5.50% 08/01/25 .......... 10,750 11,793 (m)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 49 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- NEW YORK -- 9.0% Albany Industrial Development Agency (Series A) 5.25% 11/15/27 .......... $ 6,500 $ 4,329 City of New York (Series B) 5.25% 08/01/13 .......... 5 5 City of New York (Series J) 5.00% 06/01/26 .......... 25,270 22,887 Long Island Power Authority (Series A) 6.00% 05/01/33 .......... 7,500 7,499 New York City Industrial Development Agency (AMBAC Insured) 5.00% 01/01/36 .......... 3,000 2,065 (n) New York City Industrial Development Agency (FGIC Insured) 5.00% 03/01/46 .......... 6,000 3,964 (n) New York City Industrial Development Agency (MBIA Insured) 5.00% 03/01/36 .......... 4,000 2,751 (n) New York City Municipal Water Finance Authority 4.50% 06/15/38 .......... 5,000 4,070 5.00% 06/15/37 .......... 5,000 4,585 New York City Transitional Finance Authority 5.50% 11/01/19 .......... 5,000 5,338 (m) 6.00% 11/15/19 .......... 3,750 4,035 (m) New York City Transitional Finance Authority (Series A) 5.30% 11/15/09 .......... 1,000 1,039 (l) New York City Transitional Finance Authority (Series B) 5.50% 11/15/11 .......... 1,250 1,313 New York City Transitional Finance Authority (Series C) 5.50% 05/01/25 .......... 30 31 (m) New York City Transitional Finance Authority/NY (Series S) 5.50% 07/15/31 .......... 10,000 9,760 - ----------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------- New York State Dormitory Authority 4.50% 07/01/35 .......... $ 10,000 $ 8,032 5.00% 01/15/32 .......... 10,900 9,601 6.50% 12/01/21 .......... 4,500 3,455 New York State Dormitory Authority (FSA Insured) 5.00% 08/15/36 .......... 5,000 4,309 (n) New York State Dormitory Authority (Series A) 5.00% 07/01/25 .......... 2,550 2,578 5.77% 07/01/39 .......... 4,000 2,936 (d) New York State Dormitory Authority (Series B) 5.25% 11/15/23 .......... 10,400 10,524 5.38% 07/01/20 .......... 3,695 4,158 (m) 6.50% 08/15/10 .......... 3,490 3,707 6.50% 08/15/10 .......... 5 5 (l) New York State Dormitory Authority (Series C) 5.00% 12/15/19 .......... 8,260 7,972 New York State Dormitory Authority (Series D) 7.00% 07/01/09 .......... 1,040 1,071 (l) New York State Urban Development Corp. 5.50% 07/01/16 .......... 5,015 5,020 New York State Urban Development Corp/NY (Series D) 5.50% 01/01/19 .......... 9,000 9,561 146,600 NORTH CAROLINA -- 2.2% Cape Fear Public Utility Authority 5.00% 08/01/35 3,500 3,390 Cary NC 5.00% 03/01/21 2,400 2,494 City of Charlotte 5.00% 07/01/38 15,000 14,772 City of Charlotte (Series C) 5.00% 07/01/24 1,460 1,481 City of Greensboro 5.25% 06/01/23 3,185 3,391
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 50 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------- North Carolina Capital Facilities Finance Agency (Series A) 5.00% 10/01/41 .......... $ 7,250 $ 7,078 University of North Carolina (Series A) (MBIA Insured) 5.00% 10/01/18 .......... 2,750 2,937 (n) 35,543 OHIO -- 4.3% American Municipal Power-Ohio Inc. 5.00% 02/15/38 .......... 8,000 6,809 City of Columbus OH 4.50% 06/01/32 .......... 1,500 1,297 City of Columbus OH (Series A) 4.75% 06/01/31 .......... 5,000 4,572 County of Cuyahoga 6.00% 01/01/32 .......... 10,000 9,650 County of Franklin (Series C) 5.00% 05/15/21 .......... 2,685 2,557 5.25% 05/15/24 .......... 1,400 1,326 County of Hamilton (Series A) (MBIA Insured) 5.00% 12/01/19 .......... 4,250 4,395 (n) County of Hamilton (Series B) (AMBAC Insured) 5.25% 12/01/32 .......... 1,520 1,354 (n) 5.25% 12/01/32 .......... 5,980 6,384 (m,n) Franklin County Convention Facilities Authority 5.00% 12/01/27 .......... 1,955 1,943 Ohio St Higher Educational Facility Commission 6.25% 05/01/38 .......... 5,000 4,966 Ohio State Higher Educational Facility Commission 5.20% 11/01/26 .......... 9,450 10,425 (m) Ohio State University (Series A) 5.25% 12/01/11 .......... 3,150 3,415 Ohio State Water Development Authority 5.50% 12/01/20 .......... 5,000 5,664 (m) - ----------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------- State of Ohio 5.00% 11/01/32 .......... $ 3,600 $ 3,441 Steubenville Oh 6.38% 10/01/20 .......... 1,660 1,794 (m) 69,992 OKLAHOMA -- 1.2% Claremore Public Works Authority (Series A) (FSA Insured) 5.25% 06/01/34 .......... 6,315 7,354 (m,n) Oklahoma Transportation Authority (Series A) (AMBAC Insured) 5.25% 01/01/15 .......... 8,005 8,575 (n) 5.25% 01/01/15 .......... 1,120 1,233 (m,n) Tulsa Industrial Authority (MBIA Insured) 5.00% 10/01/22 .......... 2,000 1,938 (n) 19,100 PENNSYLVANIA -- 4.0% Allegheny County Hospital Development Authority 5.00% 11/15/28 .......... 16,000 8,068 Montgomery County Higher Education & Health Authority (AMBAC Insured) 5.00% 10/01/09 .......... 2,405 2,411 (n) 5.10% 10/01/10 .......... 2,670 2,677 (n) Northampton County General Purpose Authority (Series A) 5.50% 08/15/35 .......... 4,000 2,541 Pennsylvania Higher Educational Facilties Authority 6.00% 05/01/30 .......... 5,000 5,090 Pennsylvania Higher Educational Facilties Authority (Series A) 5.50% 08/15/18 .......... 1,000 1,017 Pennsylvania Industrial Development Authority (AMBAC Insured) 5.50% 07/01/17 .......... 3,100 3,301 (n)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 51 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Pennsylvania Turnpike Commission (Series A) (AMBAC Insured) 5.00% 12/01/23 .................... $ 460 $ 462 (n) 5.00% 12/01/23 .................... 2,875 2,939 (l,n) 5.25% 12/01/32 .................... 14,220 13,823 (n) Philadelphia Authority for Industrial Development 5.25% 09/01/36 .................... 1,750 1,156 Pittsburgh Public Parking Authority (AMBAC Insured) 5.35% 12/01/10 .................... 520 550 (m,n) 5.45% 12/01/11 .................... 440 466 (m,n) 5.55% 12/01/12 .................... 1,015 1,077 (m,n) 5.60% 12/01/13 .................... 1,125 1,195 (m,n) 5.70% 12/01/14 .................... 1,245 1,324 (m,n) 5.75% 12/01/15 .................... 2,330 2,480 (m,n) Southcentral General Authority 5.38% 05/15/28 .................... 4,100 4,492 (m) 5.38% 05/15/28 .................... 900 946 (l) State Public School Building Authority (FSA Insured) 5.25% 06/01/27 .................... 8,000 9,076 (m,n) 65,091 PUERTO RICO -- 0.1% Commonwealth of Puerto Rico (Series A) 5.38% 07/01/33 .................... 3,000 2,219 RHODE ISLAND -- 0.3% Rhode Island Health & Educational Building Corp. (Series A) 6.25% 09/15/34 .................... 1,300 1,288 6.50% 09/15/28 .................... 2,000 2,064 Rhode Island Health & Educational Building Corp. (Series A) (FSA Insured) 4.75% 05/15/29 .................... 2,200 1,831 (n) 5,183 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SOUTH CAROLINA -- 6.8% Beaufort County SC (MBIA Insured) 5.50% 06/01/17 .................... $ 4,150 $ 4,430 (n) Berkeley County School District 5.25% 12/01/24 .................... 15,000 14,497 Charleston Educational Excellence Finance Corp. 5.25% 12/01/27 .................... 21,850 21,017 City of Greenville 5.13% 02/01/22 .................... 5,195 5,277 Greenville County School District 5.25% 12/01/21 .................... 2,000 2,049 5.50% 12/01/28 .................... 16,725 19,101 (m) Lexington County SC 5.50% 11/01/13 .................... 5,000 5,082 South Carolina Educational Facilities Authority (Series A) 5.00% 10/01/38 .................... 9,500 8,619 South Carolina State Public Service Authority (Series A) 5.50% 01/01/38 .................... 7,500 7,500 South Carolina State Public Service Authority (Series B) (FSA Insured) 5.13% 01/01/32 .................... 17,000 16,541 (n) 5.50% 01/01/36 .................... 5,000 5,542 (m,n) 109,655 TENNESSEE -- 0.8% Johnson City Health & Educational Facilities Board (Series A) 5.50% 07/01/36 .................... 5,000 3,000 Knox County Health Educational & Housing Facilities Board 5.25% 04/01/36 .................... 10,000 6,010 Knox County Health Educational & Housing Facilities Board (Series B) (MBIA Insured) 7.25% 01/01/09 .................... 4,500 4,500 (n) 13,510
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 52 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- TEXAS -- 5.0% City of Austin (Series A) (AMBAC Insured) 5.50% 11/15/16 .................... $ 5,450 $ 6,253 (n) City of Dallas TX (Series A) (AMBAC Insured) 5.00% 08/15/20 .................... 4,675 4,322 (n) City of Houston (Series A) (FSA Insured) 5.25% 05/15/22 .................... 16,000 16,313 (n) City of Houston (Series B) (AMBAC Insured) 5.75% 12/01/14 .................... 5,000 5,660 (m,n) City of Plano TX 4.88% 09/01/19 .................... 1,500 1,540 (m) McKinney Independent School District 5.25% 02/15/20 .................... 2,000 2,111 North Central Texas Health Facility Development Corp. 5.13% 05/15/22 .................... 4,500 4,074 North Texas Tollway Authority (Series A) 5.63% 01/01/33 .................... 1,500 1,295 5.75% 01/01/40 .................... 10,000 8,644 North Texas Tollway Authority (Series F) 5.75% 01/01/38 .................... 10,000 8,341 San Antonio Independent School District (Series A) 5.38% 08/15/19 .................... 6,250 6,852 (m) Texas Municipal Gas Acquisition & Supply Corp. II 1.72% 09/15/17 .................... 18,500 15,336 (i) 80,741 UTAH -- 0.4% City of Salt Lake City UT 5.13% 06/15/19 .................... 3,715 3,898 Murray UT (MBIA Insured) 4.75% 05/15/20 .................... 2,285 2,285 (n) 6,183 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- 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 (Series A) 5.00% 10/31/46 .................... 5,700 5,115 6,229 VIRGINIA -- 2.8% Chesterfield County Industrial Development Authority 5.88% 06/01/17 .................... 3,000 3,079 City of Norfolk VA 4.75% 11/01/32 .................... 14,430 12,670 City of Norfolk VA (MBIA Insured) 5.88% 11/01/20 .................... 1,920 1,922 (n) University of Virginia 5.00% 06/01/40 .................... 10,000 9,921 Virginia College Building Authority 4.38% 02/01/28 .................... 4,345 3,883 Virginia Commonwealth Transportation Board (Series A) 5.75% 05/15/21 .................... 1,945 1,998 (m) Virginia Resources Authority (Series A) 5.13% 11/01/34 .................... 4,500 4,471 Virginia Resources Authority/VA (Series B) 5.25% 11/01/38 .................... 7,720 7,662 45,606 WASHINGTON -- 1.3% Central Puget Sound Regional Transportation Authority (Series A) 5.00% 11/01/36 .................... 10,000 9,523 County of King 5.50% 12/01/13 .................... 4,880 5,508 5.50% 12/01/13 .................... 5,120 5,916 (l) 20,947
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 53 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- WEST VIRGINIA -- 0.2% West Virginia Housing Development Fund (Series B) 5.30% 05/01/24 .................... $ 4,000 $ 3,560 West Virginia Housing Development Fund (Series C) 5.35% 11/01/27 .................... 255 255 3,815 WISCONSIN -- 0.6% State of Wisconsin (Series 1) (AMBAC Insured) 5.75% 07/01/14 .................... 2,990 3,259 (n) State of Wisconsin (Series A) 5.30% 07/01/18 .................... 5,800 6,151 (m) 9,410 TOTAL BONDS AND NOTES (COST $1,628,379) ................ 1,560,341 - -------------------------------------------------------------------------------- OTHER INVESTMENTS -- 0.0%* - -------------------------------------------------------------------------------- GEI Investment Fund ................. 275 (k) (COST $501) TOTAL INVESTMENT IN SECURITIES (COST $1,628,880) ................... 1,560,616 - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 2.9% - -------------------------------------------------------------------------------- Time Deposit State Street Corp. 0.01% 01/02/09 .................... 46,529 46,529 (e) (COST $46,529) TOTAL INVESTMENTS (COST $1,675,409) ................ 1,607,145 OTHER ASSETS AND LIABILITIES, NET -- 1.0% ...................... 16,452 ------------- NET ASSETS -- 100.0% ................ $ 1,623,597 =============
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 54 - -------------------------------------------------------------------------------- Elfun Income Fund Q&A - -------------------------------------------------------------------------------- [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 104. Q. HOW DID THE ELFUN INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND ITS LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008? A. For the twelve-month period ended December 31, 2008, the Elfun Income Fund returned -2.01%. The Barclays Capital U.S. Aggregate Bond Index (formerly Lehman Brothers Aggregate Bond Index), the Fund's benchmark, returned 5.24% and the Fund's Lipper peer group of 571 Intermediate Investment Grade Debt funds returned an average of -4.43% for the same period. Q. DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008. A. According to the National Bureau of Economic Research, the U.S. economy entered into recession in December of 2007, although the domestic GDP growth rate did not turn negative until the third quarter of 2008. While investors' equity portfolios were decimated in 2008 by negative returns not seen since the Great Depression, bond portfolios, albeit those not heavily weighted in credit sensitive sectors, produced low but positive total returns. Financial markets remained resilient after the collapse of Bear Stearns in March and its Fed-facilitated buyout by JPMorgan, however, the housing market continued to deteriorate deepening the recession in the second half. Financial markets nearly froze in a credit/liquidity crisis beginning in September after a confluence of events including: the U.S. Treasury placing Fannie Mae and Freddie Mac under conservatorship; Lehman Brothers filing for bankruptcy; and the government bailout of AIG. The Federal Reserve led by Dr. Ben Bernanke and the U.S. Treasury led by Secretary Henry Paulson initiated a number of government programs aimed at stabilizing the financial system including purchase programs for money market assets, consumer loans and mortgages, debt guarantees and the $700B Troubled Assets Relief Program (TARP), which was first designed to buy mortgage-related securities, but has so far been used to inject capital into U.S. banks in exchange for preferred shares and warrants. Amidst a deepening recession and fear of deflation, the Federal Reserve accelerated its easing policy by lowering the fed funds target to 0%-0.25% in December, a drop of 425 bps from the beginning of the year. 55 - -------------------------------------------------------------------------------- Elfun Income Fund Q&A - -------------------------------------------------------------------------------- Interest rates fell dramatically, particularly in the fourth quarter, while credit spreads widened to record levels as investors lost confidence in risky assets and fled to the safety of U.S. Treasuries. 3-month Treasury Bills fell 316 bps to 0.08%, reaching negative yields at the height of the credit crisis. 2 and 10-year note yields fell 228 and 181 bps respectively to 0.76% and 2.21%. High-grade credit spreads widened 310 bps to 490 bps over U.S. Treasuries during the year and high yield credit spreads widened from 570 bps to 1670 bps reflecting increased expectation of defaults. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A. The primary drivers of the Fund's relative underperformance versus the benchmark were sector allocation and security selection. Exposure to high yield and emerging market debt and an overweight in commercial mortgage-backed securities during the year contributed significantly to the negative Fund return, as those sectors significantly underperformed the benchmark. Specific holdings in short maturity securitized assets backed by sub-prime collateral performed poorly over the past year as well, as the housing market continued to deteriorate. On the positive side however, duration and yield curve positioning added to relative return. 56 - -------------------------------------------------------------------------------- Elfun Income Fund - -------------------------------------------------------------------------------- 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, 2008. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees.
JULY 1, 2008 - DECEMBER 31, 2008 - ------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - ------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 983.61 0.79 Hypothetical 5% Return (2.5% for the period) 1,000.00 1,024.05 0.81 - -------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.16% (FOR THE PERIOD BETWEEN JULY 1, 2008 - DECEMBER 31, 2008), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/366 (TO REFLECT THE SIX MONTH PERIOD). ** ACTUAL FUND RETURN FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2008 WAS: (-1.64)%. 57 - -------------------------------------------------------------------------------- Elfun Income Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH]
Elfun Income Fund Barclays Capital U.S. Aggregate Bond Index 12/98 $10,000 $10,000 12/99 $ 9,938 $ 9,918 12/00 $11,042 $11,071 12/01 $11,922 $12,006 12/02 $13,143 $13,237 12/03 $13,674 $13,780 12/04 $14,231 $14,378 12/05 $14,599 $14,727 12/06 $15,284 $15,366 12/07 $16,225 $16,436 12/08 $15,914 $17,297
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - -------------------------------------------------------------------------------- Elfun Income Fund -2.01% 3.08% 4.76% Barclays Capital U.S. Aggregate Bond Index 5.24% 4.65% 5.63%
INVESTMENT PROFILE A 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. - -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON INTERMEDIATE INVESTMENT GRADE DEBT FUNDS PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/08
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: ........................... 248 131 45 Number of Funds in peer group:. ...................... 571 394 199 Peer group average annual total return: .............. -4.43% 1.73% 4.06%
Lipper categories in peer group: Intermediate Investment Grade Debt - --------------------------------------------------------------------------------
QUALITY RATINGS AS OF DECEMBER 31, 2008 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- MOODY'S/S&P/ PERCENTAGE OF FITCH RATING* MARKET VALUE - -------------------------------------------------------------------------------- Aaa/AAA 76.18% - -------------------------------------------------------------------------------- Aa/AA 5.77% - -------------------------------------------------------------------------------- A/A 10.10% - -------------------------------------------------------------------------------- Baa/BBB 3.56% - -------------------------------------------------------------------------------- Ba/BB and lower 4.39% - --------------------------------------------------------------------------------
* 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 LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 58 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ELFUN INCOME FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $393,174 AS OF DECEMBER 31, 2008. [PIE CHART] Mortgage Backed 37.8% Corporate Notes 21.0% Asset Backed & Other 19.9% U.S. Treasuries 12.2% Federal Agencies 8.8% Other Investments 0.3%
- ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- BONDS AND NOTES -- 106.2%+ - ---------------------------------------------------------------------------------------- U.S. TREASURIES -- 14.5% U.S. Treasury Bonds 4.38% 02/15/38 .......... $ 6,148 $ 8,234 4.50% 05/15/38 .......... 2,588 3,532 U.S. Treasury Notes 1.25% 11/30/10 .......... 415 419 2.00% 11/30/13 .......... 7,323 7,513 3.13% 08/31/13 .......... 15,090 16,270 3.50% 02/15/18 .......... 65 72 3.63% 10/31/09 .......... 5,450 5,593 3.75% 11/15/18 .......... 2,055 2,326 4.00% 08/15/18 .......... 3,016 3,483 4.50% 11/15/10 - 05/15/17 142 160 4.63% 11/15/09 .......... 285 295 47,897 FEDERAL AGENCIES -- 10.5%(v) Federal Home Loan Banks 5.00% 11/17/17 .......... 1,400 1,605 - ---------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 4.13% 12/21/12 - 09/27/13 $ 7,996 $ 8,579 (h) 4.88% 02/09/10 .......... 5,975 6,222 (h) 5.13% 11/17/17 .......... 6,600 7,647 Federal National Mortgage Assoc. 3.63% 02/12/13 .......... 1,942 2,055 3.88% 07/12/13 .......... 7,924 8,409 (h) 34,517 AGENCY MORTGAGE BACKED -- 35.0%(v) Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 02/01/35 721 732 (h) 5.00% 07/01/35 - 10/01/35 987 1,009 (h) 5.50% 05/01/20 - 03/01/38 3,270 3,355 (h) 6.00% 04/01/17 - 11/01/37 4,598 4,746 (h) 6.50% 01/01/27 - 08/01/36 1,436 1,496 (h) 7.00% 10/01/16 - 08/01/36 489 511 (h) 7.50% 11/01/09 - 09/01/33 69 73 (h) 8.00% 11/01/30 .......... 14 14 (h) 5.50% TBA ............... 9,960 10,192 (c) Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19 649 660 (h) 4.50% 05/01/18 - 02/01/35 1,882 1,927 (h) 4.50% 02/01/20 .......... 96 99 (h,r) 5.00% 07/01/20 - 08/01/35 2,195 2,246 (h) 5.25% 04/01/37 .......... 383 390 (i) 5.47% 04/01/37 .......... 26 26 (i) 5.50% 03/01/14 - 07/01/38 4,972 5,117 (h) 5.50% 06/01/20 .......... 104 108 (h,r) 5.50% 04/01/37 .......... 349 357 (i) 5.52% 04/01/37 .......... 143 146 (i) 5.54% 04/01/37 .......... 334 341 (i) 5.57% 04/01/37 .......... 408 418 (i) 5.62% 03/01/37 .......... 32 33 (i) 5.67% 05/01/37 .......... 248 254 (i) 5.69% 04/01/37 .......... 305 313 (i) 5.71% 04/01/37 .......... 156 160 (i) 6.00% 02/01/14 - 03/01/38 8,922 9,204 (h) 6.00% 10/01/34 - 03/01/35 464 478 (h,r) 6.01% 10/01/37 .......... 548 564 (i) 6.50% 02/01/14 - 08/01/36 4,935 5,141 (h)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 59 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------- 6.50% 10/01/34 - 12/01/34 $ 87 $ 91 (h,r) 7.00% 08/01/13 - 06/01/36 1,516 1,601 (h) 7.00% 10/01/34 .......... 23 24 (h,r) 7.50% 08/01/13 - 03/01/34 521 550 (h) 8.00% 12/01/11 - 11/01/33 234 247 (h) 8.50% 04/01/30 - 05/01/31 30 33 (h) 9.00% 06/01/09 - 12/01/22 63 67 (h) 4.50% TBA ............... 5,795 5,867 (c) 5.00% TBA ............... 22,177 22,679 (c) 5.50% TBA ............... 8,805 9,030 (c) 6.00% TBA ............... 8,726 9,011 (c) 6.50% TBA ............... 878 912 (c) 7.00% TBA ............... 875 916 (c) Government National Mortgage Assoc. 4.50% 08/15/33 - 09/15/34 1,271 1,297 (h) 5.00% 08/15/33 .......... 300 308 (h,r) 6.00% 04/15/27 - 09/15/36 1,248 1,292 (h) 6.50% 04/15/19 - 09/15/36 992 1,038 (h) 6.50% 06/15/34 - 08/15/34 31 33 (h,r) 7.00% 03/15/12 - 10/15/36 512 537 (h) 7.00% 06/15/34 .......... 10 11 (h,r) 7.50% 03/15/23 - 10/15/33 107 113 (h) 8.00% 09/15/27 - 06/15/30 41 44 (h) 8.50% 10/15/17 .......... 68 73 (h) 9.00% 11/15/16 - 12/15/21 137 146 (h) 5.50% TBA ............... 8,920 9,185 (c) 115,215 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.6%(v) Collateralized Mortgage Obligation Trust (Class B) 13.38% 11/01/18 .......... 19 14 (d,f,h) Federal Home Loan Mortgage Corp. 4.50% 11/15/13 - 03/15/19 1,060 62 (g,h,t) 5.00% 04/15/14 - 12/01/34 7,043 677 (g,h,t) 5.00% 05/15/38 .......... 296 286 5.29% 06/15/36 .......... 6,215 497 (g,i,t) 5.46% 05/15/36 - 11/15/36 3,003 268 (g,i,t) 5.50% 04/15/17 - 06/15/33 936 137 (g,h,t) - ----------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------- 5.56% 05/15/37 .......... $ 1,348 $ 118 (g,i,t) 5.81% 02/15/38 .......... 1,376 120 (g,i,t) 6.11% 09/15/35 .......... 1,175 133 (g,i,t) 7.50% 01/15/16 .......... 53 55 (h) 8.00% 04/15/20 .......... 13 14 (h) 8.00% 02/01/23 - 07/01/24 21 4 (g,h,t) 8.56% 12/15/33 .......... 315 288 (h,i) 18.98% 11/15/37 .......... 801 698 (d,f) 55.02% 09/25/43 .......... 2,980 15 (d,g,h,t) Federal Home Loan Mortgage STRIPS 5.44% 08/01/27 .......... 5 4 (d,f,h) Federal National Mortgage Assoc. 1.19% 12/25/42 .......... 788 25 (g,h,i,t) 4.00% 02/25/28 .......... 18 18 (h) 4.50% 05/25/18 .......... 228 10 (g,h,t) 4.75% 11/25/14 .......... 115 3 (g,h,t) 5.00% 08/25/17 - 02/25/32 1,247 132 (g,h,t) 5.00% 10/25/35 - 08/25/38 798 783 5.50% 01/25/33 .......... 382 385 6.03% 04/25/38 .......... 1,635 121 (g,i,t) 6.53% 10/25/29 .......... 740 60 (g,h,i,t) 7.13% 09/25/42 .......... 1,768 222 (g,h,i,t) 7.23% 08/25/16 .......... 342 17 (g,h,i,t) Federal National Mortgage Assoc. (Class 1) 4.50% 09/01/35 - 01/01/36 2,475 404 (g,t) 5.00% 05/25/38 .......... 777 118 (g,t) 10.04% 11/01/34 .......... 808 730 (d,f,h) Federal National Mortgage Assoc. (Class 2) 5.00% 09/01/33 - 03/25/38 2,800 339 (g,t) 5.50% 12/01/33 .......... 219 26 (g,t) Federal National Mortgage Assoc. REMIC 4.50%** 11/25/13 .......... 66 -- (g,h,t) 5.00% 10/25/22 .......... 291 18 (g,h,t) 15.57% 03/25/31 .......... 621 672 (h,i) Federal National Mortgage Assoc. REMIC (Class B) 3.03% 12/25/22 .......... 15 14 (d,f,h)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 60 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------- Federal National Mortgage Assoc. REMIC (Class K) 1008.00%** 05/25/22 .............. $ -- $ 1 (g,h,t) Federal National Mortgage Assoc. STRIPS (Class 2) 4.50% 08/01/35 .............. 742 116 (g,t) 5.00% 08/01/34 .............. 6,719 795 (g,h,t) 7.50% 11/01/23 .............. 71 13 (g,h,t) 8.00% 08/01/23 - 07/01/24 ... 44 8 (g,h,t) 8.50% 03/01/17 - 07/25/22 ... 46 9 (g,h,t) 9.00% 05/25/22 .............. 15 4 (g,h,t) 8,433 ASSET BACKED -- 9.8% AESOP Funding II LLC (Class A) 1.57% 04/20/11 .............. 1,000 848 (d,h,r) Capital Auto Receivables Asset Trust (Class A) 1.98% 01/15/10 .............. 570 556 (b,i) Capital One Auto Finance Trust 1.20% 04/15/12 .............. 3,397 2,955 (h,i,r) Chase Funding Mortgage Loan Asset-Backed Certificates 5.75% 05/25/32 .............. 58 24 (h,i) Chase Issuance Trust (Class A) 1.22% 11/15/11 .............. 2,000 1,928 (i) Countrywide Asset-Backed Certificates 1.83% 05/25/33 .............. 33 29 (d) Countrywide Asset-Backed Certificates (Class 2) 1.07% 06/25/33 .............. 2 1 (i) Countrywide Asset-Backed Certificates (Class A) 1.03% 08/25/32 .............. 35 14 (h,i) Discover Card Master Trust I 1.21% 04/15/10 .............. 5,000 4,617 (i) Discover Card Master Trust I (Class A) 1.23% 04/17/12 .............. 8,000 7,661 (h,i) First Franklin Mortgage Loan Asset Backed Certificates (Class M) 1.85% 03/25/35 .............. 5,000 3,276 (d,r) - ------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------- Fleet Home Equity Loan Trust (Class A) 1.70% 01/20/33 .............. $ 257 $ 151 (i) Ford Credit Floorplan Master Owner Trust (Class A) 1.38% 06/15/11 .............. 1,900 1,834 (i) GMAC Mortgage Corp. Loan Trust 1.58% 08/25/35 .............. 1,701 897 (d,r) GSAA Trust 1.80% 05/25/34 .............. 166 108 (d,h) GSAMP Trust 1.55% 12/25/35 .............. 366 350 (d) Indymac Residential Asset Backed Trust (Class M) 2.47% 04/25/47 .............. 146 5 (h,i,r) JP Morgan Mortgage Acquisition Corp. 0.14% 01/25/36 .............. 189 186 (d) 1.55% 03/01/37 .............. 1,000 570 (d,h,r) Mid-State Trust 7.54% 07/01/35 .............. 60 56 (h,r) Nissan Auto Lease Trust 1.27% 02/15/13 .............. 1,000 912 (i) Option One Mortgage Loan Trust 1.53% 07/25/37 .............. 1,500 895 (d,h,r) Peco Energy Transition Trust 6.52% 12/31/10 .............. 400 403 (h) Residential Asset Mortgage Products Inc. 1.64% 03/25/34 .............. 4 4 (d,h) Residential Asset Securities Corp. 1.90% 07/25/32 .............. 34 17 (d,h) Residential Asset Securities Corp. (Class A) 1.05% 06/25/33 .............. 65 38 (h,i) 4.16% 07/25/30 .............. 38 37 (h,i) Swift Master Auto Receivables Trust (Class A) 1.30% 06/15/12 .............. 3,000 2,042 (h,i) Triad Auto Receivables Owner Trust (Class A) 1.50% 02/12/14 .............. 2,000 1,510 (h,i) Wachovia Asset Securitization, Inc. (Class A) 1.62% 06/25/34 .............. 421 339 (d,h)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 61 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------ PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Trust 3.97% 05/25/34 .............. $ 128 $ 127 (h,i) 32,390 CORPORATE NOTES -- 25.1% Abbott Laboratories 5.88% 05/15/16 .............. 584 633 AES Ironwood LLC 8.86% 11/30/25 .............. 816 710 (h) American Railcar Industries, Inc. 7.50% 03/01/14 .............. 170 112 (h) ARAMARK Corp. 8.50% 02/01/15 .............. 768 695 ArcelorMittal USA 6.50% 04/15/14 .............. 84 60 Archer-Daniels-Midland Co. 6.45% 01/15/38 .............. 611 619 (h) Arizona Public Service Co. 6.25% 08/01/16 .............. 485 390 (h) AT&T, Inc. 5.60% 05/15/18 .............. 626 637 6.40% 05/15/38 .............. 1,300 1,393 6.70% 11/15/13 .............. 496 525 BAC Capital Trust VI 5.63% 03/08/35 .............. 495 416 (h) Baker Hughes Inc. 7.50% 11/15/18 .............. 279 309 Bank of America Corp. 4.88% 01/15/13 .............. 1,000 985 5.75% 12/01/17 .............. 1,550 1,548 8.00% 12/29/49 .............. 150 108 (h,i) Bear Stearns Companies Inc. 5.85% 07/19/10 .............. 451 456 (h) 6.95% 08/10/12 .............. 900 935 (h) BellSouth Corp. 6.55% 06/15/34 .............. 180 183 (h) Berkshire Hathaway Finance Corp. 5.00% 08/15/13 .............. 1,265 1,287 Bristol-Myers Squibb Co. 5.45% 05/01/18 .............. 368 381 5.88% 11/15/36 .............. 255 271 (h) Cardinal Health, Inc. 5.50% 06/15/13 .............. 308 291 - ------------------------------------------------------------------------------------------------ PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------ Cargill Inc. 5.20% 01/22/13 .............. $ 631 $ 578 (b,h) 6.00% 11/27/17 .............. 557 499 (b,h) Carolina Power & Light Co. 5.15% 04/01/15 .............. 230 231 (h) 5.70% 04/01/35 .............. 130 132 (h) 6.13% 09/15/33 .............. 240 257 (h) Cellco Partnership 7.38% 11/15/13 .............. 341 360 (b) Century Aluminum Co. 7.50% 08/15/14 .............. 765 440 Chesapeake Energy Corp. 7.25% 12/15/18 .............. 768 599 Citigroup, Inc. 6.50% 08/19/13 .............. 2,661 2,685 Clarendon Alumina Production Ltd. 8.50% 11/16/21 .............. 235 139 (b,h) CME Group Inc. 5.40% 08/01/13 .............. 757 752 Community Health Systems, Inc. 8.88% 07/15/15 .............. 768 707 Consolidated Edison Company of New York, Inc. 5.85% 04/01/18 .............. 616 620 7.13% 12/01/18 .............. 900 968 Constellation Brands, Inc. 7.25% 05/15/17 .............. 769 727 COX Communications Inc. 6.25% 06/01/18 .............. 650 577 (b) 7.13% 10/01/12 .............. 315 301 (h) 7.75% 11/01/10 .............. 360 353 (h) Credit Suisse 6.00% 02/15/18 .............. 666 612 (h) CSC Holdings Inc. 8.50% 06/15/15 .............. 768 676 (b) CSX Transportation, Inc. 9.75% 06/15/20 .............. 202 229 (h) CVS/Caremark Corp. 5.75% 06/01/17 .............. 306 288 Diageo Capital PLC 5.20% 01/30/13 .............. 300 295 (h) Dominion Resources, Inc. 6.30% 09/30/66 .............. 813 366 (h,i)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 62 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------- Dover Corp. 6.50% 02/15/11 .............. $ 230 $ 235 (h) DP World Ltd. 6.85% 07/02/37 .............. 300 155 (b,h) Duke Energy Carolinas LLC 5.38% 01/01/09 .............. 150 150 (h) Duke Energy Indiana, Inc. 6.35% 08/15/38 .............. 454 511 Duke Realty LP 6.25% 05/15/13 .............. 301 207 Dynegy Holdings, Inc. 7.50% 06/01/15 .............. 768 538 Echostar DBS Corp. 7.75% 05/31/15 .............. 769 654 EI Du Pont de Nemours & Co. 4.88% 04/30/14 .............. 310 306 (h) 6.00% 07/15/18 .............. 689 724 Empresa Energetica de Sergipe/S.A. de Eletrificacao da Paraiba 10.50% 07/19/13 .............. 170 150 (b,h) EOG Resources, Inc. 5.88% 09/15/17 .............. 545 553 6.88% 10/01/18 .............. 461 503 Ford Motor Credit Company LLC 7.88% 06/15/10 .............. 768 615 General Dynamics Corp. 5.25% 02/01/14 .............. 423 433 Georgia-Pacific LLC 9.50% 12/01/11 .............. 786 743 GlaxoSmithKline Capital Inc. 4.85% 05/15/13 .............. 301 302 6.38% 05/15/38 .............. 754 852 (h) Goldman Sachs Group, Inc. 5.25% 10/15/13 .............. 219 201 6.15% 04/01/18 .............. 312 300 6.60% 01/15/12 .............. 1,260 1,243 (h) GTE Corp. 7.51% 04/01/09 .............. 330 331 (h) Halliburton Co. 5.90% 09/15/18 .............. 205 216 Harrah's Operating Company Inc. 10.00% 12/15/18 .............. 133 49 (b) 10.75% 02/01/16 .............. 578 165 (b) - ------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------- HCA Inc. 9.25% 11/15/16 .............. $ 768 $ 705 Hewlett-Packard Co. 5.50% 03/01/18 .............. 305 308 Hexion US Finance Corp. 9.75% 11/15/14 .............. 669 191 Honeywell International, Inc. 5.30% 03/01/18 .............. 854 871 Host Hotels & Resorts LP (REIT) 6.38% 03/15/15 .............. 1,144 852 HSBC Bank USA N.A. 4.63% 04/01/14 .............. 175 162 (h) 7.00% 01/15/39 .............. 750 829 HSBC Capital Funding LP (Series 1) 9.55% 12/29/49 .............. 393 311 (b,h,i) HSBC Finance Corp. 6.75% 05/15/11 .............. 260 259 (h) HSBC Holdings PLC 6.50% 05/02/36 .............. 100 102 (h) IIRSA Norte Finance Ltd. 8.75% 05/30/24 .............. 485 349 (b,h) Independencia International Ltd. 9.88% 05/15/15 .............. 237 130 (b) ING Capital Funding TR III 8.44% 12/29/49 .............. 480 242 (i) ING Groep N.V. 5.78% 12/29/49 .............. 202 87 (i) Ingersoll-Rand Global Holding Company Ltd. 6.88% 08/15/18 .............. 302 289 Intergen N.V. 9.00% 06/30/17 .............. 515 422 (b) International Business Machines Corp. 7.63% 10/15/18 .............. 300 360 Interoceanica IV Finance Ltd. 6.51% 11/30/25 .............. 197 67 (b,d) 7.07% 11/30/18 .............. 300 151 (b,d) Iron Mountain, Inc. 8.00% 06/15/20 .............. 769 617 John Deere Capital Corp. 4.50% 04/03/13 .............. 596 571 Johnson & Johnson 5.85% 07/15/38 .............. 754 911
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 63 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- JP Morgan Chase & Co. 6.40% 05/15/38 ...................... $ 465 $ 550 7.00% 11/15/09 ...................... 590 596 (h) JPMorgan Chase Bank 5.88% 06/13/16 ...................... 420 419 Kellogg Co. 5.13% 12/03/12 ...................... 276 276 Kimberly-Clark Corp. 7.50% 11/01/18 ...................... 163 192 Kraft Foods, Inc. 6.75% 02/19/14 ...................... 162 168 Kroger Co. 6.15% 01/15/20 ...................... 766 756 Lippo Karawaci Finance BV 8.88% 03/09/11 ...................... 350 217 LyondellBasell Industries AF SCA 8.38% 08/15/15 ...................... 880 22 (b) Markel Corp. 7.35% 08/15/34 ...................... 160 108 (h) McDonald's Corp. 5.80% 10/15/17 ...................... 303 324 6.30% 03/01/38 ...................... 429 473 Mediacom LLC / Mediacom Capital Corp. 9.50% 01/15/13 ...................... 840 634 (h) Merck & Company, Inc. 5.75% 11/15/36 ...................... 170 179 (h) Merrill Lynch & Company, Inc. 6.05% 08/15/12 ...................... 304 300 6.88% 04/25/18 ...................... 631 660 MetLife, Inc. (Series A) 6.82% 08/15/18 ...................... 1,330 1,267 Metropolitan Life Global Funding I 4.25% 07/30/09 ...................... 460 450 (b,h) Midamerican Energy Holdings Co. 6.13% 04/01/36 ...................... 330 307 (h) Mizuho Financial Group Cayman Ltd. 8.38% 12/29/49 ...................... 445 415 Morgan Stanley 5.05% 01/21/11 ...................... 718 690 6.00% 04/28/15 ...................... 500 431 Morgan Stanley (Series F) 6.63% 04/01/18 ...................... 300 263 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Munich Re America Corp. (Series B) 7.45% 12/15/26 ...................... $ 290 $ 304 (h) Nakilat Inc. 6.07% 12/31/33 ...................... 100 67 (b,h) New York Life Global Funding 5.38% 09/15/13 ...................... 320 317 (b) NGPL PipeCo LLC 7.12% 12/15/17 ...................... 318 286 (b) Norfolk Southern Corp. 8.63% 05/15/10 ...................... 465 472 (h) Northern States Power 6.25% 06/01/36 ...................... 190 201 (h) NorthWestern Corp. 5.88% 11/01/14 ...................... 600 553 (h) NRG Energy, Inc. 7.38% 02/01/16 ...................... 770 716 Oncor Electric Delivery Co. 5.95% 09/01/13 ...................... 1,081 1,008 (b) OPTI Canada Inc. 8.25% 12/15/14 ...................... 402 217 Oracle Corp. 5.75% 04/15/18 ...................... 122 128 Pacific Gas & Electric Co. 5.80% 03/01/37 ...................... 165 171 Parker Hannifin Corp. 5.50% 05/15/18 ...................... 464 449 Pemex Finance Ltd. 9.03% 02/15/11 ...................... 407 415 (h) Pemex Project Funding Master Trust 5.75% 03/01/18 ...................... 130 115 (b) 7.88% 02/01/09 ...................... 150 150 (h) PepsiCo, Inc. 5.00% 06/01/18 ...................... 1,256 1,302 7.90% 11/01/18 ...................... 144 176 Pitney Bowes, Inc. 3.88% 06/15/13 ...................... 351 332 Potomac Edison Co. 5.35% 11/15/14 ...................... 245 214 (h) Potomac Electric Power Co. 7.90% 12/15/38 ...................... 122 136
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 64 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- President and Fellows of Harvard College 5.00% 01/15/14 ...................... $ 400 $ 413 (b) Procter & Gamble Co. 4.60% 01/15/14 ...................... 322 337 5.50% 02/01/34 ...................... 163 170 Public Service Company of Colorado 7.88% 10/01/12 ...................... 495 521 (h) Puget Sound Energy, Inc. (Series A) 6.97% 06/01/67 ...................... 545 245 (i) Rogers Communications, Inc. 6.80% 08/15/18 ...................... 838 847 Royal Bank of Scotland Group PLC 5.00% 10/01/14 ...................... 199 171 (h) Sabine Pass LNG LP 7.25% 11/30/13 ...................... 270 197 7.50% 11/30/16 ...................... 515 371 Safeway, Inc. 6.25% 03/15/14 ...................... 98 99 Security Benefit Life Insurance 8.75% 05/15/16 ...................... 325 237 (b,u) Skandinaviska Enskilda Banken AB 7.50% 03/29/49 ...................... 295 273 (b,h,i) Southern California Edison Co. 5.50% 08/15/18 ...................... 927 969 Sprint Capital Corp. 7.63% 01/30/11 ...................... 245 205 (h) Standard Bank London Holdings PLC for NAK Naftogaz Ukrainy 8.13% 09/30/09 ...................... 300 133 Standard Chartered Bank Hong Kong Ltd. 4.38% 12/03/14 ...................... 510 458 Telecom Italia Capital S.A. 6.20% 07/18/11 ...................... 506 449 Telefonica Emisiones SAU 5.86% 02/04/13 ...................... 450 437 6.22% 07/03/17 ...................... 453 446 Tenneco, Inc. 8.63% 11/15/14 ...................... 768 292 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Terex Corp. 8.00% 11/15/17 ...................... $ 786 $ 668 Tesco PLC 5.50% 11/15/17 ...................... 300 278 (b) Textron Inc. 6.50% 06/01/12 ...................... 305 263 The Travelers Companies, Inc. 5.80% 05/15/18 ...................... 308 297 Thomson Reuters Corp. 5.95% 07/15/13 ...................... 607 565 6.50% 07/15/18 ...................... 303 275 TIAA Global Markets Inc. 4.95% 07/15/13 ...................... 472 467 (b) Time Warner Cable, Inc. 6.20% 07/01/13 ...................... 562 532 6.75% 07/01/18 ...................... 612 589 8.75% 02/14/19 ...................... 496 539 TNK-BP Finance S.A. 6.63% 03/20/17 ...................... 195 94 (b,h) TransCanada Pipelines Ltd. 6.50% 08/15/18 ...................... 424 416 Transocean, Inc. 6.00% 03/15/18 ...................... 305 278 UBS Preferred Funding Trust I 8.62% 10/29/49 ...................... 330 199 (i) Union Electric Co. 6.70% 02/01/19 ...................... 370 337 United Technologies Corp. 6.13% 07/15/38 ...................... 346 376 Verizon Communications, Inc. 6.90% 04/15/38 ...................... 302 340 8.75% 11/01/18 ...................... 614 720 Verizon Global Funding Corp. 7.25% 12/01/10 ...................... 517 542 Verizon Pennsylvania, Inc. 8.35% 12/15/30 ...................... 200 195 (h) Walgreen Co. 4.88% 08/01/13 ...................... 1,105 1,138 Wal-Mart Stores, Inc. 5.80% 02/15/18 ...................... 596 659 6.20% 04/15/38 ...................... 466 510 Wells Fargo & Co. 5.63% 12/11/17 ...................... 155 162
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 65 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Westar Energy, Inc. 7.13% 08/01/09 ...................... $ 335 $ 332 (h) Westlake Chemical Corp. 6.63% 01/15/16 ...................... 648 376 (h) Wyeth 5.50% 03/15/13 ...................... 860 876 XTO Energy, Inc. 6.38% 06/15/38 ...................... 241 213 6.50% 12/15/18 ...................... 395 382 82,571 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 7.7% Banc of America Commercial Mortgage Inc. 5.32% 09/10/47 ...................... 750 610 (h) Banc of America Commercial Mortgage Inc. (Class A) 5.49% 02/10/51 ...................... 1,540 1,127 (h) Banc of America Commercial Mortgage Inc. (Class C) 5.70% 04/10/49 ...................... 300 54 (h,i,r) Banc of America Funding Corp. 5.72% 03/20/36 ...................... 261 47 (h,i,r) 5.76% 02/20/36 ...................... 453 109 (h,i,r) Banc of America Mortgage Securities Inc. (Class B) 5.35% 01/25/36 ...................... 272 90 (h,i) 5.55% 02/25/36 ...................... 208 90 Bear Stearns Commercial Mortgage Securities 5.41% 03/11/39 ...................... 222 194 (h,i) 5.48% 10/12/41 ...................... 758 619 (h) 5.53% 10/12/41 ...................... 758 528 (h) 5.71% 06/11/40 ...................... 460 358 6.02% 02/14/31 ...................... 209 209 (h,i) Bear Stearns Commercial Mortgage Securities (Class A) 5.92% 06/11/50 ...................... 785 391 Bear Stearns Commercial Mortgage Securities (Class D) 5.99% 09/11/42 ...................... 100 14 (h,i,r) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Citigroup Commercial Mortgage Trust 5.70% 12/10/49 ...................... $ 460 $ 347 (i) 6.10% 12/10/49 ...................... 120 93 Commercial Mortgage Loan Trust 6.02% 12/10/49 ...................... 810 586 Countrywide Alternative Loan Trust 5.97% 05/25/36 ...................... 97 1 (h,i,r) 6.00% 03/25/36 - 08/25/36 ........... 478 10 (h,r) Countrywide Alternative Loan Trust (Class B) 6.00% 05/25/36 - 08/25/36 ........... 294 5 (h,r) Countrywide Asset-Backed Certificates 1.68% 11/25/35 ...................... 262 221 (d,h) Credit Suisse Mortgage Capital Certificates 5.47% 09/15/39 ...................... 689 507 (h) Credit Suisse Mortgage Capital Certificates (Class C) 5.65% 02/25/36 ...................... 145 21 (h,i,r) Crusade Global Trust (Class A) 2.04% 09/18/34 ...................... 38 36 (h,i) CS First Boston Mortgage Securities Corp. 1.38% 03/15/35 ...................... 10,055 143 (h,i,r) 5.25% 08/25/34 ...................... 165 151 (h) 5.34% 10/25/35 ...................... 249 34 (h,i,r) 6.13% 04/15/37 ...................... 520 495 (h) 15.81% 07/15/37 ...................... 6,787 98 (d,h,r) First Horizon Alternative Mortgage Securities (Class B) 5.98% 05/25/36 ...................... 97 2 (h,i,r) GMAC Commercial Mortgage Securities Inc. 6.47% 04/15/34 ...................... 288 281 (h) GMAC Commercial Mortgage Securities Inc. (Class X) 15.72% 12/10/41 ...................... 9,654 113 (d,h,r)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 66 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp. 5.12% 04/10/37 ...................... $ 626 $ 568 (h) Impac CMB Trust 1.66% 04/25/35 ...................... 565 276 (d,h) Impac CMB Trust (Class 1) 1.76% 10/25/34 ...................... 510 293 (d) Indymac INDA Mortgage Loan Trust 5.15% 01/25/36 ...................... 100 1 (h,i,r) Indymac INDA Mortgage Loan Trust (Class B) 5.15% 01/25/36 ...................... 143 68 (h,i,r) Interstar Millennium Trust (Class A) 2.20% 03/14/36 ...................... 57 55 (i) JP Morgan Chase Commercial Mortgage Securities Corp. 1.11% 01/12/39 ...................... 5,880 99 (h,i,r) 5.44% 06/12/47 ...................... 550 397 5.72% 02/15/51 ...................... 720 503 6.06% 02/15/51 ...................... 1,200 564 (i) 6.07% 02/12/51 ...................... 880 623 6.20% 02/12/51 ...................... 155 24 (i,r) 6.47% 11/15/35 ...................... 457 442 (h) LB-UBS Commercial Mortgage Trust 4.06% 09/15/27 ...................... 620 601 (h,i) 5.86% 07/15/40 ...................... 440 313 (i) 6.23% 03/15/26 ...................... 100 99 (h) 15.64% 01/18/12 ..................... 8,942 123 (d,h,r) 16.17% 09/15/39 ..................... 19,973 400 (d,h,r) 24.89% 01/15/36 ..................... 2,996 96 (d,h,r) 26.09% 03/15/36 ..................... 6,875 119 (d,h,r) 27.04% 02/15/40 ..................... 8,017 92 (d,h,r) LB-UBS Commercial Mortgage Trust (Class A) 6.13% 12/15/30 ...................... 832 798 (h) LB-UBS Commercial Mortgage Trust (Class B) 6.65% 07/14/16 ...................... 103 94 (b,h) LB-UBS Commercial Mortgage Trust (Class F) 6.24% 07/15/40 ...................... 280 43 (i,r) - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust (Class X) 27.91% 12/15/39 ..................... $ 6,776 $ 64 (d,h,r) Lehman Brothers Floating Rate Commercial Mortgage Trust 1.37% 10/15/17 ...................... 391 328 (b,i) MASTR Alternative Loans Trust 5.00% 08/25/18 ...................... 281 27 (g,h,t) Merrill Lynch Mortgage Trust (Class A) 5.61% 05/12/39 ...................... 757 652 (h,i) Merrill Lynch/Countrywide Commercial Mortgage Trust 5.42% 08/12/48 ...................... 400 182 MLCC Mortgage Investors Inc. 5.38% 02/25/36 ...................... 225 7 (h,i) Morgan Stanley Capital I 1.74% 01/15/21 ...................... 1,906 1,182 (b,i) 5.28% 12/15/43 ...................... 296 242 (h) 5.33% 12/15/43 ...................... 296 223 (h) 5.39% 11/12/41 ...................... 848 243 (h,i) 5.44% 02/12/44 ...................... 295 202 (b) 5.45% 02/12/44 ...................... 150 111 (i) 5.69% 04/15/49 ...................... 2,250 1,689 (h,i) 5.71% 07/12/44 ...................... 350 252 (h) 5.88% 06/11/49 ...................... 580 430 Morgan Stanley Capital I (Class A) 5.36% 02/12/44 ...................... 500 396 5.81% 12/12/49 ...................... 210 157 Morgan Stanley Dean Witter Capital I (Class A) 6.54% 02/15/31 ...................... 165 163 (h) MortgageIT Trust (Class A) 1.70% 08/25/35 ...................... 2,525 1,262 (d) National RMBS Trust 1.64% 03/20/34 ...................... 110 105 (i) Nomura Asset Securities Corp. (Class A) 6.59% 03/15/30 ...................... 55 55 (h) Puma Finance Ltd. (Class A) 1.63% 03/25/34 ...................... 90 80 (h,i) 4.94% 10/11/34 ...................... 119 104 (h,i)
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 67 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - --------------------------------------------------------------------------------------------- Residential Accredit Loans Inc. 6.00% 01/25/36 .......... $ 384 $ 22 (h,r) 6.01% 01/25/36 .......... 152 12 (h,i,r) Residential Funding Mortgage Securities I 5.75% 01/25/36 .......... 177 46 (h,r) 5.75% 01/25/36 .......... 97 23 (h) Structured Asset Securities Corp. (Class X) 2.13%** 02/25/28 .......... 436 -- (i,r) Wachovia Bank Commercial Mortgage Trust 5.74% 06/15/49 .......... 1,460 1,070 (h,i) Wachovia Bank Commercial Mortgage Trust (Class A) 5.42% 01/15/45 .......... 730 569 (i) Wachovia Bank Commercial Mortgage Trust (Class E) 5.90% 02/15/51 .......... 875 133 (i,r) WaMu Mortgage Pass Through Certificates 1.73% 01/25/45 .......... 435 196 (d,h) 1.74% 01/25/45 .......... 209 98 (d) Wells Fargo Mortgage Backed Securities Trust 5.39% 08/25/35 .......... 624 385 (h,i) 5.50% 01/25/36 .......... 363 97 (h) Wells Fargo Mortgage Backed Securities Trust (Class B) 5.50% 03/25/36 .......... 491 122 (h) 25,204 SOVEREIGN BONDS -- 1.0% Banco Nacional de Desenvolvimento Economico e Social 6.37% 06/16/18 .......... 400 380 (b) Government of Brazil 8.00% 01/15/18 .......... 301 337 Government of Canada 7.50% 09/15/29 .......... 460 653 Government of Colombia 7.38% 09/18/37 .......... 100 98 - --------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - --------------------------------------------------------------------------------------------- Government of Indonesia 6.88% 01/17/18 .......... $ 200 $ 166 (b) 7.75% 01/17/38 .......... 200 166 (b) Government of Jamaica 8.00% 06/24/19 .......... 100 70 Government of Manitoba Canada 4.90% 12/06/16 .......... 315 346 (h) Government of Pakistan 6.75% 02/19/09 .......... 380 365 Government of Panama 6.70% 01/26/36 .......... 290 261 Government of Venezuela 5.38% 08/07/10 .......... 153 119 9.00% 05/07/23 .......... 181 72 Republic of Turkey 7.00% 03/11/19 .......... 200 193 3,226 TOTAL BONDS AND NOTES (COST $374,345) ........................................ 349,453 - --------------------------------------------------------------------------------------------- OTHER INVESTMENTS -- 0.3% - --------------------------------------------------------------------------------------------- GEI Investment Fund ....................................... 1,020 (k) (COST $1,855) TOTAL INVESTMENTS IN SECURITIES (COST $376,200) ........................................ 350,473 - --------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 13.0% - --------------------------------------------------------------------------------------------- GE Money Market Fund Institutional Class 1.02% ..................................................... 42,701 (d,q) (COST $42,701) TOTAL INVESTMENTS (COST $418,901) ........................................ 393,174 LIABILITIES IN EXCESS OF OTHER ASSETS, NET -- (19.5)% ................................. (64,261) ----------- NET ASSETS -- 100.0% ...................................... $ 328,913 ===========
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 68 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The Elfun Income Fund had the following long futures contracts open at December 31, 2008;
NUMBER CURRENT UNREALIZED EXPIRATION OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - -------------------------------------------------------------------------------- U.S. Treasury Notes 2 Yr. Futures March 2009 186 $ 40,560 $ 288
The Elfun Income Fund had the following Short futures contracts open at December 31, 2008;
NUMBER CURRENT UNREALIZED EXPIRATION OF NOTIONAL APPRECIATION/ DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - -------------------------------------------------------------------------------- U.S. Treasury Notes 10 Yr. Futures March 2009 80 $(10,060) $ 121 ------------- $ 409 =============
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 69 - -------------------------------------------------------------------------------- Elfun Money Market Fund - -------------------------------------------------------------------------------- [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 ANDREW A. MASELLI. THE TEAM IS LED BY MR. MARTINI, WHO IS VESTED WITH OVERSIGHT AUTHORITY. SEE PORTFOLIO MANAGERS' BIOGRAPHICAL INFORMATION BEGINNING ON PAGE 104. Q. HOW DID THE ELFUN MONEY MARKET FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2008? A. For the twelve-month period ended December 31, 2008, the Elfun Money Market Fund returned 2.57%. The 90-Day U.S. Treasury Bill, the Fund's benchmark, returned 1.39% and the Fund's Lipper peer group of 328 Money Market funds returned an average of 2.04% for the same period. Q. DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDING DECEMBER 31, 2008. A. According to the National Bureau of Economic Research, the U.S. economy entered into recession in December of 2007, although the domestic GDP growth rate did not turn negative until the third quarter of 2008. While investors' equity portfolios were decimated in 2008 by negative returns not seen since the Great Depression, bond portfolios, albeit those not heavily weighted in credit sensitive sectors, produced low but positive total returns. Financial markets remained resilient after the collapse of Bear Stearns in March and its Fed-facilitated buyout by JPMorgan, however, the housing market continued to deteriorate deepening the recession in the second half. Financial markets nearly froze in a credit/liquidity crisis beginning in September after a confluence of events including: the U.S. Treasury placing Fannie Mae and Freddie Mac under conservatorship; Lehman Brothers filing for bankruptcy; and the government bailout of AIG. The Federal Reserve led by Dr. Ben Bernanke and the U.S. Treasury led by Secretary Henry Paulson initiated a number of government programs aimed at stabilizing the financial system including purchase programs for money market assets, consumer loans and mortgages, debt guarantees and the $700B Troubled Assets Relief Program (TARP), which was first designed to buy mortgage-related securities, but has so far been used to inject capital into U.S. banks in exchange for preferred shares and warrants. Amidst a deepening recession and fear of deflation, the Federal Reserve accelerated its easing policy by lowering the fed funds target to 0%-0.25% in December, a drop of 425 bps from the beginning of the year. Interest rates fell dramatically, particularly in the fourth quarter, while credit spreads widened to record levels as investors lost confidence in risky assets and fled to the safety of U.S. Treasuries. 3-month Treasury Bills fell 316 bps to 0.08%, reaching negative yields at the height of the credit crisis. 2 and 10-year 70 - -------------------------------------------------------------------------------- Q&A - -------------------------------------------------------------------------------- note yields fell 228 and 181 bps respectively to 0.76% and 2.21%. High-grade credit spreads widened 310 bps to 490 bps over U.S. Treasuries during the year and high yield credit spreads widened from 570 bps to 1670 bps reflecting increased expectation of defaults. Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A. The primary driver of Fund performance was the Fund's emphasis on government securities. As short-term credit markets seized up in the aftermath of Lehman Brothers' bankruptcy and the announcement of a few money market funds "breaking the buck" in September, corporate and asset-backed commercial paper underperformed significantly. 71 - -------------------------------------------------------------------------------- Elfun Money Market Fund - -------------------------------------------------------------------------------- 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, 2008. 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 $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2008 - DECEMBER 31, 2008
- -------------------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* - -------------------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,009.96 1.17 Hypothetical 5% Return (2.5% for the period) 1,000.00 1,023.70 1.17 - --------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.23% (FOR THE PERIOD BETWEEN JULY 1, 2008 - DECEMBER 31, 2008), MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/366 (TO REFLECT THE SIX MONTH PERIOD). ** ACTUAL FUND RETURN FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2008 WAS: (+1.00)%. 72 - -------------------------------------------------------------------------------- Elfun Money Market Fund - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CHANGE IN VALUE OF A $10,000 INVESTMENT - -------------------------------------------------------------------------------- [LINE GRAPH]
Elfun Money Market Fund 90 Day U.S. T-Bill 12/98 $ 10,000 $ 10,000 12/99 $ 10,511 $ 10,477 12/00 $ 11,184 $ 11,107 12/01 $ 11,650 $ 11,491 12/02 $ 11,874 $ 11,679 12/03 $ 11,994 $ 11,798 12/04 $ 12,132 $ 11,963 12/05 $ 12,496 $ 12,348 12/06 $ 13,112 $ 12,945 12/07 $ 13,799 $ 13,523 12/08 $ 14,154 $ 13,710
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2008 - -------------------------------------------------------------------------------- ONE FIVE TEN YEAR YEAR YEAR - -------------------------------------------------------------------------------- Elfun Money Market Fund 2.57% 3.37% 3.53% 90 Day U.S. T-Bill 1.39% 3.05% 3.21%
- -------------------------------------------------------------------------------- LIPPER PERFORMANCE COMPARISON MONEY MARKET PEER GROUP BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 12/31/08
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group: .......................... 54 8 2 Number of Funds in peer group: ...................... 328 286 199 Peer group average annual total return: ............. 2.04% 2.72% 2.89%
Lipper categories in peer group: Money Market - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- FUND YIELD AT DECEMBER 31, 2008 - -------------------------------------------------------------------------------- IBC'S FUND MONEY FUND* - -------------------------------------------------------------------------------- 7-day current 1.19%+ 0.76% - -------------------------------------------------------------------------------- 7-day effective 1.20% 0.76% - --------------------------------------------------------------------------------
CURRENT YIELD REPRESENTS INCOME EARNED ON AN INVESTMENT IN THE ELFUN MONEY MARKET FUND FOR A SEVEN DAY PERIOD AND THEN ANNUALIZED. EFFECTIVE YIELD IS CALCULATED SIMILARLY BUT COULD BE SLIGHTLY HIGHER BECAUSE IT REFLECTS THE COMPOUNDING EFFECT OF EARNINGS ON REINVESTED DIVIDENDS. - -------------------------------------------------------------------------------- INVESTMENT PROFILE A 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. NOTWITHSTANDING THE PRECEDING STATEMENTS, FUND UNITHOLDERS WILL BE GUARANTEED TO RECEIVE $1.00 NET ASSET VALUE PER UNIT FOR AMOUNTS THAT THEY HELD AS OF SEPTEMBER 19, 2008, SUBJECT TO THE TERMS OF THE U.S. TREASURY'S TEMPORARY GUARANTEE PROGRAM FOR MONEY MARKET FUNDS (U.S. TREASURY MONEY MARKET GUARANTEE PROGRAM) AND ONLY AS LONG AS THE FUND CONTINUES TO PARTICIPATE IN THE PROGRAM. FOR MORE INFORMATION ABOUT THE U.S. TREASURY MONEY MARKET GUARANTEE PROGRAM AND THE FUND'S PARTICIPATION IN THE PROGRAM, PLEASE SEE NOTE 6 OF THE NOTES TO FINANCIAL STATEMENTS ON PAGE 95, AND THE FUND'S MOST CURRENT PROSPECTUS. - -------------------------------------------------------------------------------- + THE SEVEN DAY CURRENT YIELD, RATHER THAN THE TOTAL RETURN, MORE CLOSELY REFLECTS THE CURRENT EARNINGS OF THE MONEY MARKET FUND AT DECEMBER 31, 2008. * 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 LIPPER PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES. 73 ELFUN MONEY MARKET FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ELFUN MONEY MARKET FUND - -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $284,425 AS OF DECEMBER 31, 2008. [PIE CHART] Time Deposit 2.0% Commercial Paper 32.3% Certificates Of Deposit 27.5% U.S. Governments 21.7% Repurchase Agreements 10.0% Corporate Notes 6.5%
- ----------------------------------------------------------------------------------------- PRINCIPAL AMORTIZED AMOUNT COST - ----------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 99.7%+ - ----------------------------------------------------------------------------------------- U.S. GOVERNMENTS -- 21.6%(v) U.S. AGENCIES Federal Home Loan Bank 2.52% 04/21/09 .......... $ 5,080 $ 5,080 FHLB Disc Corp 0.25% 05/15/09 .......... 4,640 4,636 (d) 1.00% 02/23/09 .......... 6,510 6,500 (d) 2.41% 01/14/09 .......... 5,970 5,965 (d) FNMA Discount 0.47% 06/10/09 .......... 8,400 8,382 (d) 1.05% 03/09/09 .......... 6,270 6,258 (d) 1.91% 01/20/09 .......... 4,000 3,996 (d) 2.06% 03/02/09 .......... 6,340 6,318 (d) Freddie Discount 1.11% 03/11/09 .......... 5,650 5,638 (d) 2.71% 02/02/09 .......... 2,560 2,554 (d) 1.96% 01/12/09 .......... 6,340 6,336 (d) 61,663
- ----------------------------------------------------------------------------------------- PRINCIPAL AMORTIZED AMOUNT COST - ----------------------------------------------------------------------------------------- COMMERCIAL PAPER -- 32.2% Abbey National North America LLC 0.13% 01/02/09 .......... $ 9,000 $ 9,000 (d) 1.50% 03/02/09 .......... 2,260 2,254 Bank of America Corp. 3.10% 02/12/09 .......... 9,460 9,426 BP Capital Markets PLC 1.58% 01/08/09 .......... 5,670 5,668 (b) Calyon North America Inc. 0.25% 01/02/09 .......... 3,500 3,500 (d) CBA Delaware Finance Inc. 1.83% 01/28/09 .......... 6,680 6,671 1.08% 03/17/09 .......... 3,940 3,931 ConocoPhillips 1.30% 01/29/09 .......... 5,660 5,654 (b) Danske Corp. 1.30% 01/12/09 .......... 4,800 4,798 (b) 1.49% 02/17/09 .......... 5,820 5,809 (b) HSBC USA Inc 0.30% 01/21/09 .......... 4,870 4,869 (d) 1.87% 01/21/09 .......... 5,690 5,684 (d) ING US Funding LLC 1.90% 01/15/09 .......... 7,070 7,065 Royal Bank Of Scotland PLC 2.74% 01/30/09 .......... 7,670 7,653 Societe Generale North America Inc. 1.39% 03/16/09 .......... 2,850 2,842 Westpac Banking Corp. 1.90% 02/18/09 .......... 7,110 7,092 91,916 REPURCHASE AGREEMENTS -- 9.9% Barclays Bank Gov Agcy Repo 0.04% dated 12/31/08, to be repurchased at $4,200 on 01/02/09 collateralized by $4,284 U.S. Government Agency Bonds, 3.85%, maturing 04/17/13. 01/02/09 ............................................... 4,200 4,200
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 74 ELFUN MONEY MARKET FUND (dollars in thousands) -- December 31, 2008 - -------------------------------------------------------------------------------- Schedule of Investments - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- PRINCIPAL AMORTIZED AMOUNT COST - ----------------------------------------------------------------------------------------- Deutsche Bank Gov Agcy Repo 0.05% dated 12/31/08, to be repurchased at $8,400 on 01/02/09 collateralized by $8,569 U.S. Government Agency Bonds, 5.25%, maturing 07/18/11. 01/02/09 ............................................... $ 8,400 $ 8,400 Goldman Sachs Gov Agcy Repo 0.01% dated 12/31/08, to be repurchased at $15,700 on 01/02/09 collateralized by $16,014 U.S. Government Agency Bonds, 3.00%, maturing 07/15/12. 01/02/09 ............................................... 15,700 15,700 28,300 CERTIFICATES OF DEPOSIT -- 27.5% Bank Of Nova Scotia Houston 1.40% 01/07/09 .......... 5,640 5,640 Barclays Bank PLC NY 2.25% 02/10/09 .......... 8,470 8,470 BNP Paribas NY 1.68% 02/05/09 .......... 3,490 3,490 2.38% 01/06/09 .......... 7,090 7,090 Calyon NY 3.88% 01/27/09 .......... 7,670 7,670 Chase Bank USA NA 2.50% 02/06/09 .......... 6,170 6,170 Lloyds TSB Bank PLC NY 2.05% 03/02/09 .......... 6,140 6,140 Rabobank Nederland NY 0.50% 03/19/09 .......... 7,100 7,100 3.80% 01/05/09 .......... 4,000 4,000 Royal Bank Of Canada NY 1.69% 02/04/09 .......... 8,480 8,480 Societe Generale NY 2.20% 03/03/09 .......... 8,350 8,350 Toronto-Dominion Bank NY 1.75% 01/22/09 .......... 5,700 5,700 78,300 - ----------------------------------------------------------------------------------------- PRINCIPAL AMORTIZED AMOUNT COST - ----------------------------------------------------------------------------------------- CORPORATE NOTES -- 6.5% Bank of Montreal Chicago 1.82% 01/12/09 .......... $ 6,070 $ 6,070 (i) Barclays Bank PLC NY 2.42% 02/26/09 .......... 3,000 3,004 (i) Toyota Motor Credit Corp 1.22% 09/15/09 .......... 9,470 9,470 (i) 18,544 TIME DEPOSIT -- 2.0% State Street Corp. 0.01% 01/02/09 .......... 5,701 5,701 (e) TOTAL SHORT-TERM INVESTMENTS (COST $284,424) ........................................ 284,424 OTHER ASSETS AND LIABILITIES, NET -- 0.3% ............................................ 965 ----------- NET ASSETS -- 100% ........................................ $ 285,389 ===========
- ---------- See Notes to Schedules of Investments on page 76 and Notes to Financial Statements. 75 - -------------------------------------------------------------------------------- Notes to Schedules of Investments - -------------------------------------------------------------------------------- (dollars in thousands) -- December 31, 2008 (a) Non-income producing security. (b) Pursuant to Rule 144A or Section 4(2) of the Securities Act of 1933, these Securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2008, these securities amounted to $2,721; $12,861; $ 11,879 and $21,929; or 1.42%, 0.79%, 3.61% and 7.68% of net assets for the Elfun Diversified Fund, Elfun Tax-Exempt 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. For the GE Money Market Fund, rate represents 7-day 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, 2008, 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, 2008. (j) All or a portion of the security is out on loan. (k) GEAM, the investment adviser of the Funds, 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, 2008 (as a percentage of net assets) as follows: AMBAC 11.17% MBIA 10.52% FSA 10.14%
(o) Treasury Inflation Protected Securities. (p) Sponsored by SSgA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund's custodian and accounting agent. (q) GEAM, the investment adviser of the Fund, also serves as investment adviser of the GE Money Market Fund. (r) Illiquid Securities. At December 31, 2008, these securities amounted to $4,119 and $12,647 or 2.15% and 3.84% of net assets for the Elfun Diversified and Elfun Income Fund respectively. These securities have been determined to be illiquid using procedures established by the Board of Trustees. (s) Sponsored by Barclay's Global Investors, an affiliate of State Street Bank & Trust Co., the Fund's custodian and accounting agent. (t) Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based. (u) Fair valued securities. (v) On September 7, 2008 the Federal Housing Finance Agency placed Fannie Mae and Freddie Mac into conservatorship. + Percentages are based on net assets as of December 31, 2008. * 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 NY -- New York Regd. -- Registered REIT -- Real Estate Investment Trust REMIC -- Estate Mortgage Investment Conduit SPDR -- Standard & Poor's Depository Receipts STRIPS -- Separate Trading of Registered Interest and Principal of Security 76 - -------------------------------------------------------------------------------- Financial Highlights - -------------------------------------------------------------------------------- SELECTED DATA BASED ON A UNIT OUTSTANDING DURING THE YEARS INDICATED
ELFUN INTERNATIONAL EQUITY FUND 2008 2007 2006 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ INCEPTION DATE -- -- -- -- 1/1/88 Net asset value, beginning of year .............. $ 28.32 $ 25.69 $ 21.82 $ 18.57 $ 16.17 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income ........................ 0.77 0.63 0.51 0.42 0.34 Net realized and unrealized gains (losses) on investments .............. (13.26) 5.45 5.16 3.24 2.39 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS .. (12.49) 6.08 5.67 3.66 2.73 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS FROM: Net investment income ........................ 0.74 0.61 0.52 0.41 0.33 Net realized gains ........................... 0.44 2.84 1.28 -- -- - ------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS ............................. 1.18 3.45 1.80 0.41 0.33 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR .................... $ 14.65 $ 28.32 $ 25.69 $ 21.82 $ 18.57 ============================================================================================================================== TOTAL RETURN(A) ................................. (44.15)% 23.78% 26.03% 19.69% 16.90% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....... $ 248,781 $ 483,850 $ 385,518 $ 287,527 $ 239,329 Ratios to average net assets: Net investment income ..................... 3.10% 2.23% 2.11% 2.16% 2.01% Net expenses .............................. 0.44%(c) 0.20% 0.18% 0.23% 0.31% Gross expenses ............................ 0.45% 0.20% 0.18% 0.23% 0.32% Portfolio turnover rate ...................... 41% 31% 30% 42% 38% - ------------------------------------------------------------------------------------------------------------------------------
ELFUN TRUSTS 2008 2007 2006 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ INCEPTION DATE -- -- -- -- 5/27/35 Net asset value, beginning of year .............. $ 48.73 $ 51.58 $ 50.74 $ 55.13 $ 55.28 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income ........................ 0.49 0.61 0.69 0.62 0.76 Net realized and unrealized gains (losses) on investments .............. (17.35) 2.01 5.97 (0.14) 3.63 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS .. (16.86) 2.62 6.66 0.48 4.39 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS FROM: Net investment income ........................ 0.49 0.61 0.70 0.64 0.76 Return of Capital ............................ 0.02 -- -- -- -- Net realized gains ........................... 1.13 4.86 5.12 4.23 3.78 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS ............................. 1.64 5.47 5.82 4.87 4.54 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR .................... $ 30.23 $ 48.73 $ 51.58 $ 50.74 $ 55.13 ============================================================================================================================== TOTAL RETURN(A) ................................. (34.53)% 5.05% 13.10% 0.80% 7.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....... $ 1,314,686 $ 2,199,017 $ 2,302,024 $ 2,273,709 $ 2,444,850 Ratios to average net assets: Net investment income ...................... 1.10% 1.10% 1.29% 1.12% 1.34% Net expenses ............................... 0.21%(c) 0.12% 0.13% 0.11% 0.15% Gross expenses ............................. 0.22% 0.12% 0.13% 0.11% 0.15% Portfolio turnover rate ...................... 20% 12% 14% 13% 13%
- ---------- See Notes to Financial Highlights and Notes to Financial Statements. 77 - -------------------------------------------------------------------------------- Financial Highlights - -------------------------------------------------------------------------------- SELECTED DATA BASED ON A UNIT OUTSTANDING DURING THE YEARS INDICATED
ELFUN DIVERSIFIED FUND 2008 2007 2006 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ INCEPTION DATE -- -- -- -- 1/1/88 Net asset value, beginning of year .............. $ 19.80 $ 20.15 $ 18.74 $ 19.43 $ 19.34 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income ........................ 0.42 0.50 0.50 0.44 0.42 Net realized and unrealized gains (losses) on investments .............. (6.41) 1.26 2.24 0.35 1.26 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS .. (5.99) 1.76 2.74 0.79 1.68 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS FROM: Net investment income ........................ 0.40 0.49 0.50 0.44 0.42 Net realized gains ........................... -- 1.62 0.83 1.04 1.17 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS ............................. 0.40 2.11 1.33 1.48 1.59 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR .................... $ 13.41 $ 19.80 $ 20.15 $ 18.74 $ 19.43 ============================================================================================================================== TOTAL RETURN(A) ................................. (30.23)% 8.74%(B) 14.60% 4.02% 8.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....... $ 191,347 $ 292,224 $ 283,069 $ 259,930 $ 256,472 Ratios to average net assets: Net investment income ...................... 2.35% 2.31% 2.45% 2.21% 2.13% Net expenses ............................... 0.31%(c) 0.20% 0.20% 0.22% 0.23% Gross expenses ............................. 0.33% 0.20% 0.20% 0.22% 0.24% Portfolio turnover rate ...................... 180% 171% 119% 118% 138% - ------------------------------------------------------------------------------------------------------------------------------
ELFUN TAX-EXEMPT INCOME FUND 2008 2007 2006 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ INCEPTION DATE -- -- -- -- 1/1/80 Net asset value, beginning of year .............. $ 11.54 $ 11.74 $ 11.75 $ 11.91 $ 12.00 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income ........................ 0.53 0.54 0.54 0.54 0.55 Net realized and unrealized gains (losses) on investments .............. (0.81) (0.20) 0.01 (0.12) (0.03) - ------------------------------------------------------------------------------------------------------------------------------ TOTAL INCOME FROM INVESTMENT OPERATIONS ......... (0.28) 0.34 0.55 0.42 0.52 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS FROM: Net investment income ........................ 0.53 0.54 0.54 0.54 0.55 Net realized gains ........................... -- 0.00* 0.02 0.04 0.06 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS ............................. 0.53 0.54 0.56 0.58 0.61 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR .................... $ 10.73 $ 11.54 $ 11.74 $ 11.75 $ 11.91 ============================================================================================================================== TOTAL RETURN(A) ................................. (2.51)% 2.96% 4.83% 3.64% 4.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....... $ 1,623,597 $ 1,757,490 $ 1,771,290 $ 1,741,535 $ 1,697,548 Ratios to average net assets: Net investment income ...................... 4.72% 4.63% 4.64% 4.56% 4.60% Net expenses ............................... 0.12% 0.12% 0.12% 0.13% 0.12% Gross expenses ............................. 0.12% 0.12% 0.12% 0.13% 0.12% Portfolio turnover rate ...................... 37% 39% 36% 32% 32%
- ---------- See Notes to Financial Highlights and Notes to Financial Statements. 78 - -------------------------------------------------------------------------------- Financial Highlights - -------------------------------------------------------------------------------- SELECTED DATA BASED ON A UNIT OUTSTANDING DURING THE YEARS INDICATED
ELFUN INCOME FUND 2008 2007 2006 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------- INCEPTION DATE -- -- -- -- 12/31/84 Net asset value, beginning of year .............. $ 11.09 $ 11.05 $ 11.14 $ 11.42 $ 11.60 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income ........................ 0.52 0.61 0.59 0.54 0.46 Net realized and unrealized gains (losses) on investments .............. (0.74) 0.05 (0.09) (0.25) (0.00)* - ------------------------------------------------------------------------------------------------------------------------------- TOTAL INCOME FROM INVESTMENT OPERATIONS ......... (0.22) 0.66 0.50 0.29 0.46 - ------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income ........................ 0.52 0.62 0.59 0.53 0.46 Net realized gains ........................... -- 0.00* -- 0.04 0.18 - ------------------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS ............................. 0.52 0.62 0.59 0.57 0.64 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR .................... $ 10.35 $ 11.09 $ 11.05 $ 11.14 $ 11.42 =============================================================================================================================== TOTAL RETURN(A) ................................. (2.01)% 6.16% 4.69% 2.58% 4.07% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....... $ 328,913 $ 363,695 $ 363,142 $ 385,076 $ 396,359 Ratios to average net assets: Net investment income ...................... 4.88% 5.58% 5.41% 4.74% 3.99% Net expenses ............................... 0.16%(c) 0.20% 0.19% 0.21% 0.19% Gross expenses ............................. 0.20% 0.20% 0.19% 0.21% 0.19% Portfolio turnover rate ...................... 451% 432% 328% 317% 351% - -------------------------------------------------------------------------------------------------------------------------------
ELFUN MONEY MARKET FUND 2008 2007 2006 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------- 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 ........................ 0.03 0.05 0.05 0.03 0.01 - ------------------------------------------------------------------------------------------------------------------------------- TOTAL INCOME FROM INVESTMENT OPERATIONS ......... 0.03 0.05 0.05 0.03 0.01 - ------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income ........................ 0.03 0.05 0.05 0.03 0.01 - ------------------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS ............................. 0.03 0.05 0.05 0.03 0.01 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR .................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 =============================================================================================================================== TOTAL RETURN(A) ................................. 2.57% 5.24% 4.93% 3.00% 1.15% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands) ....... $ 285,389 $ 327,766 $ 306,582 $ 313,641 $ 315,279 Ratios to average net assets: Net investment income ...................... 2.57% 5.12% 4.87% 3.06% 1.24% Net expenses ............................... 0.19% 0.18% 0.18% 0.19% 0.18% Gross expenses ............................. 0.19% 0.18% 0.18% 0.19% 0.18%
- ---------- NOTES TO FINANCIAL HIGHLIGHTS (A) TOTAL RETURNS ARE HISTORICAL AND ASSUME CHANGES IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AND ASSUME NO SALES CHARGE. (B) THE TOTAL RETURN INCLUDES03% 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 0.01 PER SHARE. - ---------- See Notes to Financial Statements. 79
- ------------------------------------------------------------------------------------------------------------------------------------ STATEMENTS OF ASSETS ELFUN AND LIABILITIES DECEMBER 31, 2008 INTERNATIONAL ELFUN (AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments in securities, at market (cost $316,222; $1,362,465; $215,943; $1,628,379; $374,345 and $0 respectively) ................................ $ 237,835 $ 1,286,785 Investments in affiliated securities, at market (at cost $177; $816; $367; $501; $1,855 and $0 respectively) ...................................... 98 449 Short-term Investments (at amortized cost) ........................................... -- -- Short-term affiliated investments (at amortized cost) ................................ 10,343 26,850 Repurchase Agreements ................................................................ -- -- Foreign currency (cost $10; $0; $8; $0; $0; and $0, respectively) .................... 10 -- Receivable for investments sold ...................................................... -- -- Income receivables ................................................................... 465 2,255 Receivable for fund shares sold ...................................................... 88 236 Variation margin receivable .......................................................... 68 -- Receivable from GEAM ................................................................. -- -- Other assets ......................................................................... 399 37 - ------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS ....................................................................... 249,306 1,316,612 - ------------------------------------------------------------------------------------------------------------------------- LIABILITIES Distribution payable to unitholders .................................................. 5 6 Payable for investments purchased .................................................... -- -- Payable for fund units redeemed ...................................................... 258 666 Payable to GEAM ...................................................................... 183 1,195 Accrued other expenses ............................................................... 55 -- Variation margin payable ............................................................. 1 -- Interest/Dividend payable ............................................................ 1 -- Other liabilities .................................................................... 22 59 - ------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES .................................................................. 525 1,926 - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 248,781 $ 1,314,686 ========================================================================================================================= NET ASSETS CONSIST OF: Capital paid in ...................................................................... 330,943 1,391,027 Undistributed (distribution in excess of) net investment income .............................................................. 352 -- Accumulated net realized loss ........................................................ (4,067) (294) Net unrealized appreciation/(depreciation) on: Investments ........................................................................ (78,466) (76,047) Futures ............................................................................ 34 -- Foreign currency related transactions .............................................. (15) -- - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS .............................................................................. $ 248,781 $ 1,314,686 - ------------------------------------------------------------------------------------------------------------------------- Units outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized) ........................................... 16,986 43,483 Net asset value, offering and redemption price per unit ................................. $ 14.65 $30.23
- ---------- See Notes to Financial Statements. 80
- ------------------------------------------------------------------------------------------------------------------------------------ STATEMENTS OF ASSETS ELFUN ELFUN ELFUN ELFUN AND LIABILITIES DECEMBER 31, 2008 DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET (AMOUNTS IN THOUSANDS) FUND INCOME FUND INCOME FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments in securities, at market (cost $316,222; $1,362,465; $215,943; $1,628,379; $374,345 and $0 respectively) ................. $ 163,287 $ 1,560,341 $ 349,453 $ -- Investments in affiliated securities, at market (at cost $177; $816; $367; $501; $1,855 and $0 respectively) ....................... 202 275 1,020 -- Short-term Investments (at amortized cost) ............................ -- -- -- 256,124 Short-term affiliated investments (at amortized cost) ................. 38,111 46,529 42,701 -- Repurchase Agreements ................................................. -- -- -- 28,300 Foreign currency (cost $10; $0; $8; $0; $0; and $0, respectively) ....................................................... 8 -- -- -- Receivable for investments sold ....................................... 1,703 -- 10,652 -- Income receivables .................................................... 771 23,424 3,226 242 Receivable for fund shares sold ....................................... 23 159 173 1,270 Variation margin receivable ........................................... 12 -- 118 -- Receivable from GEAM .................................................. 320 -- -- 211 Other assets .......................................................... 42 -- 157 19 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS ........................................................ 204,479 1,630,728 407,500 286,166 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Distribution payable to unitholders ................................... 2 2,118 379 39 Payable for investments purchased ..................................... 12,942 3,835 77,792 -- Payable for fund units redeemed ....................................... 159 325 81 709 Payable to GEAM ....................................................... -- 703 316 -- Accrued other expenses ................................................ 2 92 -- 29 Variation margin payable .............................................. -- -- -- -- Interest/Dividend payable ............................................. -- -- -- -- Other liabilities ..................................................... 27 58 19 -- - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES ................................................... 13,132 7,131 78,587 777 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS ............................................................... $ 191,347 $ 1,623,597 $ 328,913 $ 285,389 ==================================================================================================================================== NET ASSETS CONSIST OF: Capital paid in ....................................................... 244,164 1,698,060 363,706 285,596 Undistributed (distribution in excess of) net investment income ............................................... 74 -- 793 1 Accumulated net realized loss ......................................... (116) (6,199) (10,268) (208) Net unrealized appreciation/(depreciation) on: Investments ......................................................... (52,821) (68,264) (25,727) -- Futures ............................................................. 51 -- 409 -- Foreign currency related transactions ............................... (5) -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS ............................................................... $ 191,347 $ 1,623,597 $ 328,913 $ 285,389 - ------------------------------------------------------------------------------------------------------------------------------------ Units outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized) ............................ 14,271 151,308 31,772 285,609 Net asset value, offering and redemption price per unit .................. $ 13.41 $ 10.73 $ 10.35 $ 1.00
81
- -------------------------------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS ELFUN FOR THE YEAR ENDED DECEMBER 31, 2008 INTERNATIONAL ELFUN (AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS - -------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME: Dividends .......................................................... $ 14,757 $ 23,216 Interest* .......................................................... 126 78 Interest from affliated investments** .............................. 278 1,080 Less: Foreign taxes withheld ....................................... (1,216) -- - -------------------------------------------------------------------------------------------------------- TOTAL INCOME .......................................................... 13,945 24,374 - -------------------------------------------------------------------------------------------------------- EXPENSES: Administration expenses ............................................ 1,225 2,796 Unitholder servicing agent expenses ................................ 81 261 Transfer agent expenses ............................................ 200 654 Custody and accounting expenses .................................... 180 132 Professional fees .................................................. 24 66 Registration, filing, printing and miscellaneous expenses .......... 54 157 - -------------------------------------------------------------------------------------------------------- TOTAL EXPENSES ..................................................... 1,764 4,066 Less: Expenses Waived or borne by the adviser ...................... (24) (105) Net expenses ....................................................... 1,740 3,961 - -------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME ................................................. 12,205 20,413 ======================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS)ON INVESTMENTS REALIZED GAIN (LOSS) ON: Investments ........................................................ 7,392 45,849 Futures ............................................................ (892) -- Foreign currency related transactions .............................. (477) -- INCREASE (DECREASE) IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ........................................................ (231,641) (795,454) Futures ............................................................ 97 -- Foreign currency related transactions .............................. (20) -- - -------------------------------------------------------------------------------------------------------- Net realized and unrealized loss on investments ....................... (225,541) (749,605) - -------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ....... $ (213,336) $ (729,192) ========================================================================================================
* Income attributable to securities lending activity, net of rebate expenses, for the Elfun Income Fund was $787. ** Income attributable to securities lending activity, net of rebate, for Elfun Income Fund was $474. - ---------- See Notes to Financial Statements. 82
- ----------------------------------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS ELFUN ELFUN ELFUN FOR THE YEAR ENDED DECEMBER 31, 2008 DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET (AMOUNTS IN THOUSANDS) FUND INCOME FUND INCOME FUND FUND - ----------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME: Dividends ................................. $ 3,502 $ -- $ -- $ -- Interest* ................................. 2,789 83,825 15,806 8,683 Interest from affliated investments** ..... 544 161 1,842 -- Less: Foreign taxes withheld .............. (167) -- -- -- - ----------------------------------------------------------------------------------------------------------- TOTAL INCOME ................................. 6,668 83,986 17,648 8,683 - ----------------------------------------------------------------------------------------------------------- EXPENSES: Administration expenses ................... 413 1,319 272 249 Unitholder servicing agent expenses ....... 54 110 61 54 Transfer agent expenses ................... 135 278 152 133 Custody and accounting expenses ........... 117 117 125 47 Professional fees ......................... 62 55 22 20 Registration, filing, printing and miscellaneous expenses .................. 48 134 55 99 - ----------------------------------------------------------------------------------------------------------- TOTAL EXPENSES ............................ 829 2,013 687 602 Less: Expenses Waived or borne by the adviser ................................. (58) -- (143) -- Net expenses .............................. 771 2,013 544 602 - ----------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME ........................ 5,897 81,973 17,104 8,081 =========================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS)ON INVESTMENTS REALIZED GAIN (LOSS) ON: Investments ............................... (793) (5,111) (4,143) (208) Futures ................................... 890 -- 236 -- Foreign currency related transactions ..... (165) -- 63 -- INCREASE (DECREASE) IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ............................... (92,881) (123,349) (20,782) -- Futures ................................... 127 -- 358 -- Foreign currency related transactions ..... (7) -- (37) -- - ----------------------------------------------------------------------------------------------------------- Net realized and unrealized loss on investments ................................ (92,829) (128,460) (24,305) (208) - ----------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .................. $ (86,932) $ (46,487) $ (7,201) $ 7,873 ===========================================================================================================
83
- ------------------------------------------------------------------------------------------------------------------------------------ STATEMENTS OF CHANGES ELFUN IN NET ASSETS FOR THE YEARS ENDED INTERNATIONAL ELFUN DECEMBER 31, 2008 AND 2007 (AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS - ------------------------------------------------------------------------------------------------------------------------------------ 2008 2007 2008 2007 - ------------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income .................................................. $ 12,205 $ 9,757 $ 20,413 $ 25,405 Net realized gain (loss) on investments, futures, and foreign currency related transactions ....................................... 6,023 43,590 45,849 200,810 Net increase (decrease) in unrealized appreciation/(depreciation) on investments, futures and foreign currency related transactions ... (231,564) 39,326 (795,454) (111,610) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from operations ................................ (213,336) 92,673 (729,192) 114,605 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO UNITHOLDERS FROM: Net investment income .................................................. (11,764) (9,300) (20,393) (25,190) Return of Capital ...................................................... -- -- (831) -- Net realized gains ..................................................... (7,022) (43,535) (47,329) (202,395) - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS ....................................................... (18,786) (52,835) (68,553) (227,585) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations and distributions ....... (232,122) 39,838 (797,745) (112,980) - ------------------------------------------------------------------------------------------------------------------------------------ UNIT TRANSACTIONS: Proceeds from sale of units ............................................ 40,614 47,920 34,480 35,365 Value of distributions reinvested ...................................... 16,479 46,994 51,476 170,557 Cost of units redeemed ................................................. (60,040) (36,420) (172,542) (195,949) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from unit transactions ............................ (2,947) 58,494 (86,586) 9,973 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS ................................... (235,069) 98,332 (884,331) (103,007) NET ASSETS Beginning of year ......................................................... 483,850 385,518 2,199,017 2,302,024 - ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR ............................................................... $ 248,781 $ 483,850 $ 1,314,686 $ 2,199,017 ==================================================================================================================================== UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME, END OF YEAR ................................................................... $ 352 $ 388 $ -- $ 575 - ------------------------------------------------------------------------------------------------------------------------------------ CHANGES IN FUND UNITS - ------------------------------------------------------------------------------------------------------------------------------------ Units sold by subscription ................................................... 1,672 1,688 837 674 Issued for distribution reinvested ........................................... 1,108 1,674 1,735 3,491 Units redeemed ............................................................... (2,878) (1,286) (4,216) (3,668) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in fund units ........................................ (98) 2,076 (1,644) 497 ====================================================================================================================================
- ---------- See Notes to Financial Statements. 84
- ------------------------------------------------------------------------------------------------------------------------------------ STATEMENTS OF CHANGES ELFUN ELFUN IN NET ASSETS FOR THE YEARS ENDED DIVERSIFIED TAX-EXEMPT DECEMBER 31, 2008 AND 2007 (AMOUNTS IN THOUSANDS) FUND INCOME FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2008 2007 2008 2007 - ------------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income .................................................. $ 5,897 $ 6,723 $ 81,973 $ 82,004 Net realized gain (loss) on investments, futures, and foreign currency related transactions ....................................... (68) 21,473 (5,111) (1,087) Net increase (decrease) in unrealized appreciation/(depreciation) on investments, futures and foreign currency related transactions ............................... (92,761) (3,894) (123,349) (29,673) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from operations ................................ (86,932) 24,302 (46,487) 51,244 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO UNITHOLDERS FROM: Net investment income .................................................. (5,618) (6,593) (82,012) (82,004) Return of Capital ...................................................... -- -- -- -- Net realized gains ..................................................... -- (21,725) -- (244) - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS ....................................................... (5,618) (28,318) (82,012) (82,248) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations and distributions ....... (92,550) (4,015) (128,499) (31,004) - ------------------------------------------------------------------------------------------------------------------------------------ UNIT TRANSACTIONS: Proceeds from sale of units ............................................ 14,407 16,479 124,398 110,110 Value of distributions reinvested ...................................... 4,807 24,452 56,912 56,680 Cost of units redeemed ................................................. (27,541) (27,760) (186,704) (149,586) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from unit transactions ............................ (8,327) 13,171 (5,394) 17,204 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS ................................... (100,877) 9,155 (133,893) (13,800) NET ASSETS Beginning of year ......................................................... 292,224 283,069 1,757,490 1,771,290 - ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR ............................................................... $ 191,347 $ 292,224 $ 1,623,597 $ 1,757,490 ==================================================================================================================================== UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME, END OF YEAR ....................................................... $ 74 $ -- $ -- $ -- - ------------------------------------------------------------------------------------------------------------------------------------ CHANGES IN FUND UNITS - ------------------------------------------------------------------------------------------------------------------------------------ Units sold by subscription ................................................... 849 788 10,981 9,502 Issued for distribution reinvested ........................................... 342 1,237 5,102 4,894 Units redeemed ............................................................... (1,681) (1,313) (17,077) (12,935) Net increase (decrease) in fund units ........................................ (490) 712 (994) 1,461 ==================================================================================================================================== - ------------------------------------------------------------------------------------------------------------------------------------ STATEMENTS OF CHANGES ELFUN IN NET ASSETS FOR THE YEARS ENDED ELFUN MONEY MARKET DECEMBER 31, 2008 AND 2007 (AMOUNTS IN THOUSANDS) INCOME FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2008 2007 2008 2007 - ------------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income ..................................................... $ 17,104 $ 20,174 $ 8,081 $ 15,896 Net realized gain (loss) on investments, futures, and foreign currency related transactions .......................................... (3,844) 376 (208) -- Net increase (decrease) in unrealized appreciation/ (depreciation) on investments, futures and foreign currency related transactions ................................................... (20,461) 1,202 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from operations ................................... (7,201) 21,752 7,873 15,896 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO UNITHOLDERS FROM: Net investment income ..................................................... (17,027) (20,362) (8,080) (15,895) Return of Capital ......................................................... -- -- -- -- Net realized gains ........................................................ -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS .......................................................... (17,027) (20,362) (8,080) (15,896) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations and distributions ......................................................... (24,228) 1,390 (207) -- - ------------------------------------------------------------------------------------------------------------------------------------ UNIT TRANSACTIONS: Proceeds from sale of units ............................................... 29,224 21,052 168,489 160,908 Value of distributions reinvested ......................................... 11,873 14,148 7,122 13,932 Cost of units redeemed .................................................... (51,651) (36,037) (217,781) (153,656) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from unit transactions ............................... (10,554) (837) (42,170) 21,183 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS ...................................... (34,782) 553 (42,377) 21,184 NET ASSETS Beginning of year ............................................................ 363,695 363,142 327,766 306,582 - ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR .................................................................. $ 328,913 $ 363,695 $ 285,389 $ 327,766 ==================================================================================================================================== UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME, END OF YEAR ............................................... $ 793 $ 652 $ 1 $ -- - ------------------------------------------------------------------------------------------------------------------------------------ CHANGES IN FUND UNITS - ------------------------------------------------------------------------------------------------------------------------------------ Units sold by subscription ...................................................... 2,726 1,913 168,490 160,908 Issued for distribution reinvested .............................................. 1,110 1,285 7,122 13,932 Units redeemed .................................................................. (4,863) (3,271) (217,781) (153,657) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in fund units ........................................... (1,027) (73) (42,169) 21,183 ====================================================================================================================================
85 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- 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. 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 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. Those procedures require that the fair value of a security be established by the fair valuation committee. The fair valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment by any Fund in the appropriate circumstances. Examples of the types of securities that may be fair valued include: thinly traded or illiquid investments, high-yield securities or foreign securities. 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 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 86 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- 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. FAIR VALUE MEASUREMENTS The Funds adopted FASB Statement No. 157, Fair Value Measurements (FAS 157). FAS 157 establishes a single definition of fair value, a framework for measuring fair value, and expanded disclosures about fair value measurements. Various inputs are used in determining the value of the funds' investments. These inputs are classified into three broad levels: Level 1 includes quoted prices in active markets of securities identical to those of the funds. Level 2 includes: 1) quoted prices in active markets for similar securities to those of the funds; 2) quoted prices for identical or similar securities to those of the funds that trade in markets in which there are few transactions or the quoted prices are not current; 3) prices based on observable market data such as interest rates and yield curves, volatilities, bond prepayment speeds, and credit risk and; 4) prices based principally on observable market data by use of correlation techniques or other means. Level 3 includes unobservable market inputs used to fair value securities. These inputs are based on assumptions that market participants would use to price securities and may include the adviser's own assumptions. Other financial instruments are derivative instruments 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. ELFUN INTERNATIONAL EQUITY FUND
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------- Investments in Securities $ 248,178 $ 98 $ -- $ 248,276 Other Financial Instruments 34 -- -- 34
ELFUN TRUSTS
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------- Investments in Securities $ 1,313,635 $ 449 $ -- $ 1,314,084 Other Financial Instruments -- -- -- --
ELFUN DIVERSIFIED FUND
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------- Investments in Securities $ 143,765 $53,519 $ 4,316 $ 201,600 Other Financial Instruments 51 -- -- 51
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 OTHER FINANCIAL INSTRUMENTS - ------------------------------------------------------------------------------------------------------------------------- Balance at 12/31/07 $ 7,828 $ -- Accrued discounts/premiums (107) -- Realized gain (loss) 1 -- Change in unrealized appreciation (depreciation) (1,311) -- Net purchases (sales) (1,842) -- Net transfers in and out of Level 3 (254) -- - ------------------------------------------------------------------------------------------------------------------------- Balance at 12/31/08 $ 4,316 $ -- - ------------------------------------------------------------------------------------------------------------------------- Change in Unrealized Gain/(Loss) relating to Level 3 $(1,351,307) $ -- Securities held at December 31, 2008
87 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- ELFUN TAX-EXEMPT INCOME FUND
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------- Investments in Securities $ -- $1,607,145 $ -- $ 1,607,145 Other Financial Instruments -- -- -- --
ELFUN INCOME FUND
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------- Investments in Securities $ 42,701 $ 341,967 $ 8,506 $ 393,174 Other Financial Instruments 409 -- -- 409
Folllowing 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 OTHER FINANCIAL INSTRUMENTS - ------------------------------------------------------------------------------------------------------------------------- Balance at 12/31/07 $ 20,500 $ -- Accrued discounts/premiums (583) -- Realized gain (loss) (379) -- Change in unrealized appreciation (depreciation) (3,195) -- Net purchases (sales) (3,950) -- Net transfers in and out of Level 3 (3,886) -- - ------------------------------------------------------------------------------------------------------------------------- Balance at 12/31/08 $ 8,506 $ -- - ------------------------------------------------------------------------------------------------------------------------- Change in Unrealized Gain/(Loss) relating to Level 3 $ (3,602,915) $ -- Securities held at December 31, 2008
ELFUN MONEY MARKET FUND
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------- Investments in Securities $ -- $ 284,424 $ -- $ 284,424 Other Financial Instruments -- -- -- --
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 88 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- 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 from the fluctuations arising from changes in the market prices of 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 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 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 89 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- 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 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 90 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- 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. At December 31, 2008, information on the tax components of capital is as follows:
COST OF GROSS TAX GROSS TAX NET TAX APPRECIATION/ INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION) FOR TAX PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS - -------------------------------------------------------------------------------------------------------------- Elfun International Equity Fund $ 331,241 $ 6,774 $ (89,739) $ (82,965) Elfun Trusts 1,390,425 224,724 (301,065) (76,341) Elfun Diversified Fund 254,490 3,754 (56,644) (52,890) Elfun Tax-Exempt Income Fund 1,676,314 54,017 (123,186) (69,169) Elfun Income Fund 419,401 10,918 (37,145) (26,227) Elfun Money Market Fund 284,424 -- -- --
NET TAX APPRECIATION/ UNDISTRIBUTED UNDISTRIBUTED POST (DEPRECIATION) ON INCOME/ LONG-TERM GAINS/ OCTOBER DERIVATIVES, CURRENCY (ACCUMULATED (ACCUMULATED LOSSES AND OTHER NET ASSETS ORDINARY LOSS) CAPITAL LOSS) (SEE DETAIL BELOW) - --------------------------------------------------------------------------------------------------------------------- Elfun International Equity Fund $ 19 $ 354 $ 430 $ -- Elfun Trusts -- -- -- -- Elfun Diversified Fund (4) 74 3 -- Elfun Tax-Exempt Income Fund -- -- (2,028) (3,266) Elfun Income Fund -- 793 (6,196) (3,163) Elfun Money Market Fund -- 1 (208) --
As of December 31, 2008, 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, 2008, there were no capital loss utilization.
FUND AMOUNT EXPIRES - -------------------------------------------------------------------------------- Elfun Tax-Exempt Income Fund 1,038 12/31/15 990 12/31/16 Elfun Income Fund 1,558 12/31/13 4,451 12/31/14 187 12/31/16 Elfun Money Market Fund 208 12/31/16
91 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- 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, 2008 as follows:
CAPITAL CURRENCY - -------------------------------------------------------------------------------- Elfun Tax-Exempt Income Fund $ 3,266 $ -- Elfun Income Fund 3,163 --
The tax composition of distributions paid during the years ended December 31, 2008 and December 31, 2007, were as follows:
EXEMPT ORDINARY LONG-TERM INTEREST INCOME CAPITAL GAINS ROC TOTAL - ----------------------------------------------------------------------------------------------- Elfun International Equity Fund 2008 $ -- $ 11,764 $ 7,022 $ -- $ 18,786 2007 -- 10,213 42,622 -- 52,835 Elfun Trusts 2008 -- 21,873 45,849 831 68,553 2007 -- 27,628 199,957 -- 227,585 Elfun Diversified Fund 2008 -- 5,618 -- -- 5,618 2007 -- 6,792 21,526 -- 28,318 Elfun Tax-Exempt Income Fund 2008 79,398 2,614 -- -- 82,012 2007 79,642 2,401 205 -- 82,248 Elfun Income Fund 2008 -- 17,027 -- -- 17,027 2007 -- 20,362 -- -- 20,362 Elfun Money Market Fund 2008 -- 8,080 -- -- 8,080 2007 -- 15,896 -- -- 15,896
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. 92 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- The reclassifications for the year ended December 31, 2008 were as follows:
UNDISTRIBUTED NET INVESTMENT ACCUMULATED PAID IN INCOME NET REALIZED LOSS CAPITAL - --------------------------------------------------------------------------------- Elfun International Equity Fund $ (477) $ (2,867) $ 3,344 Elfun Trusts 236 595 (831) Elfun Diversified Fund (205) 205 -- Elfun Tax-Exempt Income Fund 39 -- (39) Elfun Income Fund 64 (64) -- Elfun Money Market Fund -- -- --
On June 29, 2007, the Fund adopted FIN48, "Accounting for Uncertainty in Income Taxes." FIN48 provides guidance for how certain uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN48 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more likely than not" of being sustained by the applicable tax authority. The adoption of FIN48 did not have an impact on the Funds' assets and financial statements. The Funds' 2004, 2005, 2006 and 2007 calendar years tax returns are still open to examination by the Federal and applicable state tax authorities. 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. FAS 161 On March 19, 2008, the FASB issued Statement of Financial Accounting Standards No. 161 ("FAS No. 161"), "Disclosure about Derivative Instruments and Hedging Activities." This new accounting statement requires enhanced disclosures about an entity's derivative and hedging activities. Entities are required to provide enhanced disclosures about (a) how and why an entity invests in derivatives, (b) how derivatives are accounted for under FAS No. 133, and (c) how derivatives affect an entity's financial position, financial performance, and cash flows. FAS No. 161 also requires enhanced disclosures regarding credit-risk-related contingent features of derivative instruments. FAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. As of December 31, 2008, management of the Funds is currently assessing the impact of the expanded financial statement disclosures that will result from adopting FAS No. 161. 3. LINE OF CREDIT The Trust shares 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 0.09% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, 93 December 31, 2008 - -------------------------------------------------------------------------------- Notes to Financial Statements - -------------------------------------------------------------------------------- the Trust has a $100 million uncommitted,unsecured line of credit with State Street, which was established November 4, 2008. 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 Trust during the period ended December 31, 2008. 4. AMOUNTS PAID TO AFFILIATES During 2008, 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, 2008, $72 (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. 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, 2008, were as follows:
U.S.GOVERNMENT SECURITIES OTHER SECURITIES ------------------------- --------------------- PURCHASES SALES PURCHASES SALES - ------------------------------------------------------------------------------------ Elfun International Equity Fund $ -- $ -- $ 155,254 $ 163,475 Elfun Trusts Fund 8,856 6,620 352,442 483,973 Elfun Diversified Fund 251,155 253,950 170,933 205,169 Elfun Tax-Exempt Fund -- -- 634,444 679,551 Elfun Income Fund 1,596,774 1,629,550 102,123 77,290
OPTIONS During the year ended December 31, 2008 there were no option contracts written. SECURITY LENDING At December 31, 2008, the Funds did not participate in securities lending. 94 December 31, 2008 - ------------------------------------------------------------------------------ Notes to Financial Statements - ------------------------------------------------------------------------------ 6. U.S. TREASURY MONEY MARKET GUARANTEE PROGRAM (ELFUN MONEY MARKET FUND) The U.S. Treasury Department ("U.S. Treasury") extended its Temporary Guarantee Program for money market funds (the "Program") until April 30, 2009. The Elfun Money Market Fund will participate in the Program extension. The U.S. Treasury has not decided whether to extend the Program beyond April 30, 2009. A summary of the Program is provided below. The U.S. Treasury established the Program to provide stability to the market. It provides that, in exchange for the payment of a premium, the U.S. Treasury will guarantee to money market fund shareholders that they will receive $1.00 for each money market fund share held as of the close of business on September 19, 2008, subject to certain conditions and limitations. The guarantee is available under the Program if the participating money market fund is no longer able to maintain a stable $1.00 share price, commonly referred to as "breaking the buck." While the Elfun Money Market Fund has maintained and expects to continue to maintain its $1.00 unit price, there can be no assurance that the Elfun Money Market Fund will be able to do so. As a result , at a meeting held on October 6, 2008, the Board of Trustees (the "Board") of the Fund determined that , considering the cost of the premium and the potential benefits of the guarantee to the Elfun Money Market Fund unitholders, the Elfun Money Market Fund would apply to participate in the Program. The cost of the premium for participation in the Program was borne by the Elfun Money Market Fund. At a meeting held on December 1, 2008, the Board approved the Elfun Money Market Fund's participation in the Program extension. The Elfun Money Market Fund also will bear the cost of participating in the Program extension. The guarantee under the Program covers shareholders (or unitholders in the case of the Elfun Money Market Fund) of a participating money market fund only for the number of shares (or units) held in that fund as of the close of business on September 19, 2008 and still held on the date that the fund's net asset value falls below $1.00 per share. A shareholder's holding in a participating money market fund as of September 19, 2008 represents the maximum amount of shares eligible for reimbursement under the Program. Any increase in the number of shares held by a shareholder after the close of business on September 19, 2008 will not be guaranteed. If the number of shares held in that fund fluctuates, a shareholder will be covered for either the number of shares held as of the close of business on September 19, 2008, or the amount held at the time the guarantee is triggered, whichever is less. If a shareholder closes his or her account, any future investment in the fund will not be guaranteed. As a result, shareholders of record on September 19 wishing to remain covered by the guarantee afforded under the Program should consider the fact that any redemption or exchange out of the Fund will generally cause those shares to lose this guarantee coverage, even if the shares are exchanged into another fund that is also participating in the Program. Under the terms of the Program, if the guarantee is triggered with respect the Elfun Money Market Fund, the Board will be required to liquidate the Elfun Money Market Fund. For units covered by the guarantee, any difference between the amount received by a unitholder in connection with the liquidation and $1.00 per unit will be covered under the Program, subject to the overall amount available to all funds participating in the Program. In liquidation, unitholders with units not covered under the Program may receive less than $1.00 per unit. The Program had an initial three-month term beginning September 19, 2008, which was extended to April 30, 2009. The Secretary of the U.S. Treasury has the option to further extend the Program up to the close of business on September 18, 2009. Each participating money market fund would have to renew its participation at each extension point to maintain coverage and would have to pay additional fees. If the Secretary chooses not to extend the Program at the end of any period, the Program will terminate. Guarantee payments under the Program will not exceed the amount available in the U.S. Treasury Department's Exchange Stabilization Fund on the date of claim (currently, approximately $50 billion). For additional information on the program, visit the U.S. Treasury Department's website at WWW.USTREAS.GOV. 95 - -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm - -------------------------------------------------------------------------------- [KPMG LOGO] THE UNITHOLDERS AND BOARD OF TRUSTEES ELFUN FUNDS We have audited the accompanying statements of assets and liabilities 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"), including the schedules of investments, as of December 31, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2008 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, 2008, the results of their operations, changes in their net assets and financial highlights for the years described above, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Boston, Massachusetts February 25, 2008 96 - -------------------------------------------------------------------------------- Tax Information, unaudited - -------------------------------------------------------------------------------- For the year ended December 31, 2008 SUMMARY For the fiscal year ended December 31, 2008 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 88.03% Elfun Diversified Fund 51.66% Elfun Trusts 99.06%
Of the dividends paid from net investment income by the Elfun Tax Exempt Fund during the calendar year ended December 31, 2008, 96.81% 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 23.47% Elfun Trusts 95.04%
For the year ended December 31, 2008, the fund hereby designates as capital gain dividends the amounts set forth, or the amount ultimately treated as capital gain net income.
FUND NAME PER SHARE AMOUNT -------------------------------------------------------------------------- Elfun International Equity Fund $ 10,365,835 Elfun Trusts 45,849,254
The following funds intend to make an election under Internal Revenue Code Section 853. The election will allow shareholders to treat their attributable share of foreign taxes paid by the Funds to be paid by them directly. For the fiscal year ended December 31, 2008, the total amount of income received by the Funds from sources within foreign countries and possessions of the United States and the amount of taxes paid by the Funds follows:
TOTOL GROSS FOREIGN TOTAL FOREIGN FUND NAME SOURCE INCOME TAXES PAID -------------------------------------------------------------------------- Elfun International Equity Fund $ 14,713,301 $ 1,222,939
97 - -------------------------------------------------------------------------------- Advisory Agreement Renewal, unaudited - -------------------------------------------------------------------------------- The Board of Trustees of the Elfun Funds (the "Board") considered and unanimously approved the continuance of the investment advisory agreements with GE Asset Management Incorporated ("GEAM") at a meeting held on December 18, 2008. 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 an independent third party provider, Lipper Inc. ("Lipper"). 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 members also reviewed materials discussing the legal standards for the consideration of the proposed continuances. In connection with their approval of the Funds' investment advisory agreements, 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 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 agreements in recent years, noting that the information they received was presented in a similar manner and format. In reaching their determinations relating to continuance of the Funds' investment advisory agreements, the Board members considered all factors they believed relevant, including the factors discussed below. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Board member 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, selecting brokers and with respect to Fund administration, controllership and compliance activities; (iii) highly skilled professionals, including analysts, research professionals and portfolio managers with a depth of experience involving the types of Funds they oversee; (iv) access to significant technological resources from which the Funds may benefit; and (v) a favorable history and reputation. The Board members discussed the personnel changes made 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. 98 - -------------------------------------------------------------------------------- Advisory Agreement Renewal, unaudited - -------------------------------------------------------------------------------- In light of the foregoing, the Board members concluded that the services provided by GEAM were of a high quality and had benefited the Funds. INVESTMENT PERFORMANCE OF THE FUNDS. The Board members considered the investment performance of the Funds for various periods. The Board members reviewed detailed comparisons of the performance of the Funds with the relevant securities indexes and peer groupings of mutual funds prepared by Lipper with respect to various periods. The Board members also engaged in discussions regarding the investment process for each Fund, the portfolio management and supporting research personnel, the investment style and approach employed for each Fund and the likely market cycles for the investment style, in light of current market conditions. The Board members concluded that the Funds' performance was acceptable overall taking into consideration the factors discussed above. COST OF THE SERVICES TO BE PROVIDED TO THE FUNDS. The Board members considered the cost of the services provided by GEAM. The Board members noted that, under each investment advisory agreement, GEAM is reimbursed for its reasonable costs incurred in providing the services contemplated by the agreement and for the reasonable costs incurred by its affiliate, GE Investment Distributors, Inc. ("GEID"), in providing services specified in its agreement with the Funds as unitholder servicing agent. The Board members considered that the charges resulting from this arrangement involve all of the expenses incurred by GEAM and GEID with respect to the management and 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. 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 members recognized the significant benefits to the Funds resulting from their arrangement with GEAM, which causes them to bear only the reasonable costs incurred by GEAM and GEID, without any element of profit, for the substantial services they provide to the Funds. The Board members also recognized the benefits to the Funds of being able to leverage a favorable cost structure achieved with respect to the Funds' other operating expenses as a result of GEAM's large overall base of assets under management and its vendor management practices. COMPARISON OF SERVICES TO BE RENDERED AND COSTS TO BE INCURRED. The Board members discussed the services provided to the Funds by GEAM, and the costs incurred by the Funds for those services. The Board members reviewed information concerning the Funds' expense ratios, and comparative information with respect to similar products. 99 - -------------------------------------------------------------------------------- Advisory Agreement Renewal, unaudited - -------------------------------------------------------------------------------- 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 members' decision. Based on their discussion and such other matters as were deemed relevant, the Board members concluded that the proposed level of cost reimbursement to GEAM and projected total expense ratios for the Funds are reasonable in relation to the services provided. In view of these facts, the Board members concluded that the renewal of each advisory agreement was in the best interests of the Funds and their shareholders. 100 - -------------------------------------------------------------------------------- Additional Information, unaudited - -------------------------------------------------------------------------------- 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 53 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED One year 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 42 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - less than 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 40 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 - 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 59 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 21 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President and Chief Executive Officer - Mutual Funds and Intermediary Business of GEAM since March 2007; Executive Vice President of GEAM from February 2007 to March 2007; Vice President, GE Capital Corporation, an indirect wholly-owned subsidiary of GE, since December 1999; Executive Vice President - Mutual Funds of GEAM, a wholly-owned subsidiary of GE that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, since March 1993; Director of GEAM since 1988. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 51 OTHER DIRECTORSHIPS HELD BY TRUSTEE Chairman of the Board and President of GE Funds since 1993 and GE Institutional Funds, GE LifeStyle Funds and GE Investments Funds, Inc. since 1997; Trustee of GE Savings & Security Funds and General Elec- 101 - -------------------------------------------------------------------------------- Additional Information, unaudited - -------------------------------------------------------------------------------- tric 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. - -------------------------------------------------------------------------------- KATHRYN D. KARLIC - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 53 POSITIONS 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 - Institutional Sales of GEAM since March 2007; Executive Vice President of GEAM from March 2004 to March 2007; President - Fixed Income at GEAM from March 2004 to March 2007, Senior Vice President - Fixed Income of GEAM from 2002 to 2004. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings and Security Funds and General Electric Pension Trust since 2006; Director of GE Asset Management Limited (GEAML) since September 2005; Trustee of Babson College since 1999. - -------------------------------------------------------------------------------- RALPH R. LAYMAN - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 53 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 17 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - 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 47 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED One year 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 Febru-ary 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, GE Institutional Funds and GE LifeStyle 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. - -------------------------------------------------------------------------------- JUDITH A. STUDER - -------------------------------------------------------------------------------- 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 - 5 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - U.S. Equities at GEAM since June 2007; 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. 102 - -------------------------------------------------------------------------------- Additional Information, unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DONALD W. TOREY - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 51 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 15 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 55 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 9 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 52 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - Less than 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 GE Savings & Security Funds and General Electric Pension Trust since 2008; Director of Edmunds Holding Company since 1999; Director of The Rittenhouse 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. 103 - -------------------------------------------------------------------------------- Elfun Funds' Investment Team - -------------------------------------------------------------------------------- PORTFOLIO MANAGER BIOGRAPHIES The following sets forth biographical information for those individuals who are primarily responsible for managing the specified Fund's investments. The portfolio managers may change from time to time. DAVID B. CARLSON is 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 a Director and President - Fixed Income 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 a Director and President -International Equities at GE Asset Management. He manages the overall international 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 managed foreign investments for the ELFUN DIVERSIFIED FUND since September 1997. Mr. Layman joined GE Asset Management in 1991 as Senior Vice President for International Investments and became and Executive Vice President in 1992 and President -International Equities in March 2007. THOMAS R. LINCOLN is a Senior Vice President of GE Asset Management. He has served on the portfolio management team for the ELFUN DIVERSIFIED FUND since May 2007. Mr. Lincoln joined GE Asset Management in 1994 as a financial analyst in U.S. equities. Mr. Lincoln became part of the investment management team for U.S. equities at GE Asset Management in 1997 and a portfolio manager for U.S. equities in 2003. 104 - -------------------------------------------------------------------------------- Elfun Funds' Investment Team - -------------------------------------------------------------------------------- PORTFOLIO MANAGER BIOGRAPHIES (CONTINUED) 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. ANDREW A. MASELLI is an assistant portfolio manager of GE Asset Management. He has served on the portfolio management team for the ELFUN MONEY MARKET FUND since April 2003. Mr. Maselli joined GE Asset Management in 1998 as a data integrity analyst in trade operations, where he held various positions both in equities and fixed income support. In 2002, he was promoted to Senior trade support specialist working on the short-term desk and became an assistant portfolio manager in June 2005. 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 a Senior Vice President and Co-Chief Investment Officer - International Equities at GE Asset Management. He has served as a portfolio manager of the ELFUN INTERNATIONAL EQUITY FUND since August 1999. He joined GE Asset Management in 1990 as an international equity analyst. He became a Vice President for international equity portfolios in 1996 and Senior Vice President in 2000. JUDITH A. STUDER is a Director and President - U.S. Equities at GE Asset Management . She has led the team of portfolio managers for the ELFUN DIVERSIFIED FUND since July 2004, and has co-led the Fund since January 2009. Ms. Studer joined GE Asset Management in August 1984. She became Senior Vice President - U.S. Equities in 1991 and Senior Vice President - International Equities in 1995 and President - Investment Strategies in July 2006 and President - U.S. Equities in June 2007. MAKOTO SUMINO 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. Sumino joined GE Asset Management in September 1996 as a securities analyst and portfolio manager. He became Deputy Director of the international equity research team in January 2001 and Director in April 2005. DAVID WIEDERECHT is a Director and President -- Investment Strategies at GE Asset Management since February 2008. He has co-led the team of portfolio managers for the ELFUN DIVERSIFIED FUND since January 2009. Mr. Wiederecht joined GE Asset Management in 1988 and has held various positions at GE Asset Management including Vice President -- Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004, and Managing Director -- Alternative Investments from 2004 to 2008, responsible in both positions for portfolio management within those strategies. 105 - -------------------------------------------------------------------------------- Elfun Funds' Investment Team - -------------------------------------------------------------------------------- PORTFOLIO MANAGERS ELFUN INTERNATIONAL EQUITY FUND Team led by Ralph R. Layman ELFUN TRUSTS David B. Carlson ELFUN DIVERSIFIED FUND Judith A. Studer David Wiederecht Thomas R. Lincoln Ralph R. Layman Paul M. Colonna 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 Dan Colao, TRUSTEE, EVP, CHIEF FINANCIAL OFFICER (AS OF JULY 28, 2008) Michael J. Cosgrove, TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER - MUTUAL FUNDS AND INTERMEDIARY BUSINESS Paul M. Colonna, TRUSTEE, PRESIDENT - FIXED INCOME Kathryn D. Karlic, TRUSTEE, PRESIDENT - INSTITUTIONAL SALES AND MARKETING Ralph R. Layman, TRUSTEE, PRESIDENT - INTERNATIONAL EQUITIES Matthew J. Simpson, TRUSTEE, EVP, GENERAL COUNSEL AND SECRETARY Judith A. Studer, TRUSTEE, PRESIDENT - U.S. EQUITIES Donald W. Torey, TRUSTEE, PRESIDENT - ALTERNATIVE INVESTMENTS AND REAL ESTATE John J. Walker, TRUSTEE, EVP, CHIEF OPERATING OFFICER David Wiederecht, TRUSTEE, PRESIDENT - INVESTMENT STRATEGIES 106 - -------------------------------------------------------------------------------- Shareholder Services - -------------------------------------------------------------------------------- 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: o View account balance and transaction history o Make exchanges o Redeem shares o Purchase shares o View and order tax forms o View quarterly statements o Change address o 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. 107 - -------------------------------------------------------------------------------- Highly Rated Elfun Funds - --------------------------------------------------------------------------------
MORNINGSTAR RATINGS(TM) THROUGH DECEMBER 31, 2008 - --------------------------------------------------------------------------------------------- FUND NUMBER OF STAR (CATEGORY) FUNDS IN CATEGORY RATING - --------------------------------------------------------------------------------------------- ELFUN INTERNATIONAL EQUITY -- (Foreign Large Blend) - --------------------------------------------------------------------------------------------- Overall 570 **** ------------------------------------------------------------------------- 3 year 570 **** ------------------------------------------------------------------------- 5 year 452 **** ------------------------------------------------------------------------- 10 year 238 **** - --------------------------------------------------------------------------------------------- ELFUN TRUSTS -- (Large Growth) - --------------------------------------------------------------------------------------------- Overall 1507 **** ------------------------------------------------------------------------- 3 year 1507 **** ------------------------------------------------------------------------- 5 year 1243 *** ------------------------------------------------------------------------- 10 year 608 **** - --------------------------------------------------------------------------------------------- ELFUN DIVERSIFIED -- (Moderate Allocation) - --------------------------------------------------------------------------------------------- Overall 962 **** ------------------------------------------------------------------------- 3 year 962 *** ------------------------------------------------------------------------- 5 year 768 *** ------------------------------------------------------------------------- 10 year 448 **** - --------------------------------------------------------------------------------------------- ELFUN TAX-EXEMPT INCOME -- (Muni National Intermediate) - --------------------------------------------------------------------------------------------- Overall 237 ***** ------------------------------------------------------------------------- 3 year 237 *** ------------------------------------------------------------------------- 5 year 214 ***** ------------------------------------------------------------------------- 10 year 127 ***** - --------------------------------------------------------------------------------------------- ELFUN INCOME -- (Intermediate-Term Bond) - --------------------------------------------------------------------------------------------- Overall 991 **** ------------------------------------------------------------------------- 3 year 991 *** ------------------------------------------------------------------------- 5 year 857 *** ------------------------------------------------------------------------- 10 year 458 **** ------------------------------------------------------------------------- =============================================================================================
Morningstar is an independent fund rating company that seeks to provide a non-biased rating system used in making investment decisions. A fund is rated in its broad asset class on a scale of one to five stars through the evaluation of the historical balance of risk and return after 3 years of performance. Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund's monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top ten percent of the funds in each category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The ratings are subject to change every month. The overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten year (if applicable) Morningstar Rating metrics. Investment return and principal value of an investment will fluctuate and you may have a gain or loss when you sell your shares. Returns assume changes in share price and reinvestment of dividends and capital gains. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THIS DOES NOT CONSTITUTE A PART OF THE FUNDS' SHAREHOLDER REPORT - -------------------------------------------------------------------------------- ELFUN FUNDS ---------------- 3001 SUMMER STREET PRSRT STD STAMFORD, CT 06905 U.S. POSTAGE PAID DISTRIBUTOR Permit No. 1793 GE INVESTMENT DISTRIBUTORS INC. Lancaster, PA MEMBER FINRA AND SIPC ---------------- 3001 SUMMER STREET P.O. BOX 7900 STAMFORD, CT 06904-7900 WWW.GEFUNDS.COM/ELFUN - -------------------------------------------------------------------------------- The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds' website at HTTP://WWW.GEFUNDS.COM; and (iii) on the Commission's website at HTTP://WWW.SEC.GOV. The Funds' Forms N-Q may be reviewed and copied at the Commission's Public Reference Room in Washington, DC -- information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds' website at HTTP://WWW.GEFUNDS.COM; and (ii) on the Commission's website at HTTP://WWW.SEC.GOV. - -------------------------------------------------------------------------------- [GE LOGO] ELF 1 (2/09) - -------------------------------------------------------------------------------- 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 $14,600 in 2007 and $15,300 in 2008. (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 2007 or 2008 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 2007 and $0 in 2008. (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 Diversified Fund By: /S/JAMES W.IRELAND James W.Ireland TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET MANAGEMENT INCORPORATED Date: March 09, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /S/JAMES W.IRELAND James W.Ireland TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET MANAGEMENT INCORPORATED Date: March 09, 2009 By: /S/SCOTT RHODES Scott Rhodes TREASURER, ELFUN FUNDS Date: March 09, 2009 EXHIBIT INDEX (b)(1) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2 under the Investment Company Act of 1940. (b)(2) Certification of principal executive officer and principal financial officer as required by Section 906 of the Sarbanes-Oxley Act of 2002. EX-99.CERT 2 elfdivcsr302cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 SECTION 302 CERTIFICATIONS CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER I, James W.Ireland, certify that: 1.I have reviewed this report on Form N-CSR of Elfun Diversified Fund; 2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3.Item 3 of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. 4.The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a.Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b.Item 4(b) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. c.Item 4(c) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. d.Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5.The registrant's other certifying officers and I have disclosed, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a.All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably, likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: March 09, 2009 James W.Ireland Trustee, President and Chief Executive Officer GE Asset Management Incorporated SECTION 302 CERTIFICATIONS CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER I, Scott Rhodes, certify that: 1.I have reviewed this report on Form N-CSR of Elfun Diversified Fund; 2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3.Item 3 of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. 4.The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a.Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b.Item 4(b) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. c.Item 4(c) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. d.Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5.The registrant's other certifying officers and I have disclosed, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a.All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably, likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: March 09, 2009 Scott Rhodes Treasurer, Elfun Funds EX-99.906 CERT 3 elfdivcsr906cert.txt CERTIFICATIONS PURSUANT TO SECTION 906 Exhibit (b)(2) SECTION 906 CERTIFICATIONS In connection with this report on Form N-CSR for the Registrant as furnished to the Securities and Exchange Commission on the date hereof (the "Report"), the undersigned hereby certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that: (1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and (2) the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Registrant. By: James W.Ireland Trustee, President and Chief Executive Officer GE Asset Management Incorporated Date: March 09, 2009 By: Scott Rhodes Treasurer, Elfun Funds Date: March 09, 2009 [A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.] -----END PRIVACY-ENHANCED MESSAGE-----