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: 811-02735
ELFUN TAX-EXEMPT INCOME FUND
(Exact name of registrant as specified in charter)
One Iron Street
Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
| (Name and Address of Agent for Service) | Copy to: | |
| Sean O’Malley, Esq. Senior Vice President and General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 |
Adam M. Schlichtmann, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 | |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: December 31, 2023
Item 1. Shareholder Report.
| (a) | The Report to Shareholders is attached herewith. |
Annual Report
December 31, 2023
| Elfun Funds |
| Elfun International Equity Fund |
| Elfun Trusts |
| Elfun Diversified Fund |
| Elfun Tax-Exempt Income Fund |
| Elfun Income Fund |
| Elfun Government Money Market Fund |
Elfun Funds
Annual Report
December 31, 2023
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| Management’s
Discussion of Fund Performance, Understanding Your Fund’s Expenses, Performance Summary and Schedule of Investments |
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68 |
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| Financial Statements | |
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100 |
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106 |
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108 |
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110 |
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113 |
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124 |
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The information contained
in this report is intended for the general information of shareholders of the Funds. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus which contains important information
concerning the Funds. You may find the fund’s prospectus and other information about the fund online at www.ssga.com or you also may get this information at no cost by calling 1-800-242-0134 or by
sending an e-mail request to Statestreetfunds@ssga.com. Please read the prospectus carefully before you invest.
Elfun Funds
Notes to Performance — December 31, 2023 (Unaudited)
Information on the following performance pages relates to the
Elfun Funds.
Total returns take into account changes in
share price and assume reinvestment of all dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at www.ssga.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.
MSCI® Europe, Australasia, Far East Index (“MSCI® EAFE® Index”), The S&P 500® Index, MSCI ACWI ex-USA, MSCI® All-Country World ex USA Investable Market Index (“MSCI® ACWI ex USA Investable Market
Index”), Bloomberg U.S. Municipal Bond Index, Bloomberg U.S. Aggregate Bond Index and Daily linked 90 Day U.S. T-Bill are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. The
results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect the fees, expenses or taxes.
The MSCI® EAFE® Index is an unmanaged, free float-adjusted, market capitalization index that is designed to
measure developed market equity performance, excluding the U.S. and Canada.
The S&P 500 Index is an unmanaged, market
capitalization-weighted index of 500 widely held U.S. stocks recognized by investors to be representative of the stock market in general.
MSCI ACWI ex-USA is a market-capitalization-weighted index
maintained by MSCI and designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The index includes both developed and emerging markets.
The MSCI ACWI ex USA Investable Market Index is a free
float-adjusted market capitalization index that is designed to measure the combined equity market performance of securities, across all market capitalizations, in developed and emerging market countries excluding the United States.
The Bloomberg 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.
The Bloomberg
U.S. Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more.
The Daily-Linked 90-Day T-Bill is a measure of the performance
of U.S. Treasury bills currently available in the market place having a remaining maturity of 90 days.
The views, expressed in this document reflect our judgment as
of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the Elfun Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State
Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
| Notes to Performance | 1 |
Elfun International Equity
Fund
Management's Discussion of Fund Performance —
December 31, 2023 (Unaudited)
The Elfun International Equity Fund (the
“Fund”) seeks to provide 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’s benchmark is the MSCI
EAFE Index (the “Index”).
For the
12-month period ended December 31, 2023 (the “Reporting Period”), the total return for the Fund was 20.35%, and the return for the Index was 18.24%. The Fund and Index returns reflect the reinvestment of dividends and other income. The
Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on
returns.
Primary drivers of Fund performance during
the Reporting Period relative to the Index included outperformance and an overweight position in information technology, outperformance in consumer discretionary, and, on the negative side, underperformance in financials.
2023 was a strong year for technology stocks globally. This
provided a significant benefit to the Fund, whose largest sector overweight is in the sector. Even more benefit came from stock selection as the Fund outperformed the Index by nearly 19% in the sector. The biggest contributor was Japanese company
Disco Corp., which rose nearly 164% in the year (in U.S. dollar). Disco Corp. is a dominant supplier of semiconductor back-end equipment for the dicing and grinding of chips. The company has benefitted in the short-term from cyclical recovery in
semiconductor demand as well as newer demand drivers such as Artificial Intelligence, and longer-term from secular growth in semiconductor demand driven from the proliferation of technologies such as electric vehicles, cloud computing, and
electrification.
In consumer discretionary, the Fund
benefitted from a number of positions. Spanish specialty retailer Inditex, the parent company of brands such as Zara, was particularly strong as sales and margins surprised higher on strong execution. Other contributors included adidas AG and Sony
Group Corp.. The three names were up an average 48.0% in 2023.
In financials, the Fund had more positive contributing
positions than detractors, but overall the detractors were larger, leading to underperformance in the sector. The two largest detractors were AIA Group Ltd.(Hong Kong) and Worldline S.A. (France). Insurer AIA’s share price was impacted during
China’s COVID-19 lockdown on restrictions on cross-border travel between Hong Kong and China. More recently, the weaker than expected reopening in China has continued to be a drag on AIA’s growth, as well as a mix shift away from more
profitable protection products toward savings products, which have more competition. This resulted in lower margins. Worldline, a French payments processor, was hit by weak results as reduced economic activity hit its revenue and guidance. The
position was exited.
The Fund used futures in order to
efficiently manage cash flows during the Reporting Period. The Fund’s use of futures contributed positively to Fund performance relative to the Index.
On an individual security level, the top positive
contributors to the Fund’s performance on an absolute basis during the Reporting Period were Disco Corp., ASML Holding N.V., and SAP SE. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting
Period were Shiseido Co. Ltd., Worldline S.A., and AIA Group Ltd.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any
fund.
| 2 | Elfun International Equity Fund |
Elfun International Equity
Fund
Performance Summary — December 31, 2023
(Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $173,625 (in thousands) as of December 31, 2023 (a)(b) |
| (a) | Fair Value basis is inclusive of short-term investments in State Street Institutional U.S. Government Money Market Fund - Class G Shares and State Street Institutional Treasury Money Market Fund - Premier Class. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| Elfun International Equity Fund | 3 |
Elfun International Equity
Fund
Performance Summary, continued — December 31,
2023 (Unaudited)
Change in Value of a $10,000
Investment
Yearly periods
ended December 31
| 4 | Elfun International Equity Fund |
Elfun International Equity
Fund
Understanding Your Fund’s Expenses —
December 31, 2023 (Unaudited)
| Elfun International Equity Fund | 5 |
Elfun International Equity
Fund
Schedule of Investments — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 6 | Elfun International Equity Fund |
Elfun International Equity
Fund
Schedule of Investments, continued — December
31, 2023
| Number
of Shares |
Fair
Value | |
| Schneider Electric SE | 24,485 | $ 4,916,669 |
| 16,996,368 | ||
| Total
Common Stock (Cost $118,105,299) |
170,915,269 | |
| Short-Term Investments - 1.5% | ||
| State Street Institutional Treasury Money Market Fund - Premier Class 5.28% (c)(d) | 1,533,237 | 1,533,237 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 5.36% (c)(d)(e) | 1,176,046 | 1,176,046 |
| Total
Short-Term Investments (Cost $2,709,283) |
2,709,283 | |
| Total
Investments (Cost $120,814,582) |
173,624,552 | |
| Other Assets and Liabilities, net - 0.1% | 129,482 | |
| NET ASSETS - 100.0% | $ 173,754,034 | |
| The Fund had the following long futures contracts open at December 31, 2023: |
| Description | Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) |
| MSCI EAFE Mini Index Futures | March 2024 | 5 | $ 542,089 | $ 563,100 | $ 21,011 |
During the period ended December 31, 2023, the average
notional values related to long and short futures contracts were $940,389 and $572,703, respectively.
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun International Equity Fund | 7 |
Elfun International Equity
Fund
Schedule of Investments, continued — December
31, 2023
The following table presents the Fund’s
investments measured at fair value on a recurring basis at December 31, 2023:
| Investments | Level 1 | Level 2 | Level 3 | Total | |||
| Investments in Securities | |||||||
| Common Stock | $ 170,915,269 | $ — | $ — | $ 170,915,269 | |||
| Short-Term Investments | 2,709,283 | — | — | 2,709,283 | |||
| Total Investments in Securities | $ 173,624,552 | $ — | $ — | $ 173,624,552 | |||
| Other Financial Instruments | |||||||
| Long Futures Contracts - Unrealized Appreciation | $ 21,011 | $ — | $ — | $ 21,011 | |||
| Total Other Financial Instruments | $ 21,011 | $ — | $ — | $ 21,011 |
The Fund was invested in the following sectors at
December 31, 2023 (Unaudited):
| Sector | Percentage
(based on Fair Value) | ||
| Pharmaceuticals | 8.76% | ||
| Diversified Banks | 8.26% | ||
| Semiconductor Materials & Equipment | 5.90% | ||
| Building Products | 5.79% | ||
| Apparel, Accessories & Luxury Goods | 4.56% | ||
| Application Software | 4.53% | ||
| Packaged Foods & Meats | 3.99% | ||
| Healthcare Supplies | 3.80% | ||
| Specialty Chemicals | 3.58% | ||
| Life & Health Insurance | 3.29% | ||
| Electrical Components & Equipment | 2.83% | ||
| Consumer Electronics | 2.63% | ||
| Industrial Gases | 2.61% | ||
| Financial Exchanges & Data | 2.49% | ||
| Human Resource & Employment Services | 2.39% | ||
| Property & Casualty Insurance | 2.22% | ||
| Aerospace & Defense | 2.22% | ||
| Integrated Oil & Gas | 2.11% | ||
| Multi-Line Insurance | 1.99% | ||
| Industrial Machinery & Supplies & Components | 1.98% | ||
| Movies & Entertainment | 1.98% | ||
| Semiconductors | 1.97% | ||
| Apparel Retail | 1.94% | ||
| Personal Care Products | 1.87% | ||
| Integrated Telecommunication Services | 1.87% | ||
| Diversified Metals & Mining | 1.84% | ||
| Construction Machinery & Heavy Transportation Equipment | 1.79% | ||
| Trading Companies & Distributors | 1.64% | ||
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 8 | Elfun International Equity Fund |
Elfun International Equity
Fund
Schedule of Investments, continued — December
31, 2023
| Sector | Percentage
(based on Fair Value) | ||
| Research & Consulting Services | 1.56% | ||
| Distillers & Vintners | 1.52% | ||
| Environmental & Facilities Services | 1.49% | ||
| Electronic Components | 1.25% | ||
| Asset Management & Custody Banks | 0.89% | ||
| Security & Alarm Services | 0.46% | ||
| Electronic Equipment & Instruments | 0.44% | ||
| 98.44% | |||
| Short-Term Investments | |||
| Short-Term Investments | 1.56% | ||
| 100.00% | |||
| Affiliate Table |
| Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Number
of Shares Held at 12/31/23 |
Value
at 12/31/23 |
Dividend
Income | ||||||
| State Street Institutional Treasury Money Market Fund - Premier Class | 1,192,777 | $1,192,777 | $10,660,493 | $10,320,033 | $— | $— | 1,533,237 | $1,533,237 | $103,351 | |||||
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 935,166 | 935,166 | 10,560,913 | 10,320,033 | — | — | 1,176,046 | 1,176,046 | 89,770 | |||||
| TOTAL | $2,127,943 | $21,221,406 | $20,640,066 | $— | $— | $2,709,283 | $193,121 |
See Notes to Schedules of Investments and Notes to
Financial Statements.
| Elfun International Equity Fund | 9 |
Elfun Trusts
Management's Discussion of Fund Performance — December 31,
2023 (Unaudited)
The Elfun Trusts (the “Fund”) seeks to provide
long-term growth of capital and future income rather than current income. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the 12-month period ended December 31, 2023 (the
“Reporting Period”), the total return for the Fund was 34.49%, and return for the Index was 26.29%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of
managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Primary drivers of Fund performance relative to the Index
during the Reporting Period included stock selection and overweight in communication services, stock selection in industrials, and, on the negative side, exposure to two companies impacted by the March 2023 banking crisis. Overall, the Fund
delivered strong, broad-based outperformance versus the Index in a market that was notable for surprising resilience and narrowness of leadership that most active U.S. Funds found challenging.
In communication services, the Fund benefitted from holding
key positions in interactive media, a component of the broader communication services sector that focuses on online platforms. This segment is dominated by Meta Platforms (formerly Facebook) and Alphabet, both of which the Fund is overweight and
both of which outperformed significantly during the Reporting Period. These companies have dominant market positions in their respective specialties: Meta in social media, and Alphabet in online search, cloud, and other areas. They compete for
online advertising, but between the two, have well over half of the total market. They also have new growth drivers in areas such as generative AI. Their strong performance over the last year should be put in context of the previous few years, where
they experienced a massive surge during the early COVID-19 years only to give up much of it in 2022. This was especially the case with Meta, which experienced a particularly volatile two years. Their jump over the Reporting Period brings them close
to the previous peak in late 2021. The Fund was further helped by having no holdings in the telecom segments of communication services, which underperformed during the year.
In industrials, we had a broadly positive view of the
sector driven by tailwinds such as pent up capex demand, new growth drivers such as electrification and reshoring, and recent U.S. legislation providing incentives for investments in strategically important industries. Within the portfolio, we held
several names that were direct beneficiaries of this including United Rentals, Parker Hannifin, and Eaton. The average return of the Fund’s industrials holdings was 44.9% for the year, well ahead of the broader Index.
Negative contribution came from two names in the financial
sector that were impaired during the U.S. regional banking crisis early in 2023: First Republic Bank and Charles Schwab Corp. The rise in interest rates in 2022 and 2023 was initially a positive for the financial sector, but turned into a negative
as deposit costs rose and asset valuations fell. Our view was that in a slowing economy, credit risk was the biggest potential issue in the sector, leading us to focus on positions with very low exposure in this area, including First Republic Bank
and Charles Schwab Corp. The risk we underappreciated was that deposit outflows could threaten solvency in mid-sized banks. The failure of Silicon Valley Bank, which was not held by the Fund, in March of 2023 led rapidly to turmoil in U.S.
financials, which First Republic was caught up in. Another portfolio holding, Charles Schwab Corp., while not a bank, was also impacted, raising concerns about the resilience of its business model. Both positions were exited during the Reporting
Period.
The Fund did not invest in derivatives during
the Reporting Period.
On an individual security
level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were NVIDIA Corp., Microsoft Corp., and Meta Platforms, Inc.. The top negative contributors to the Fund’s performance on an
absolute basis during the Reporting Period were First Republic Bank, Charles Schwab Corp., and Johnson & Johnson.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any
fund.
| 10 | Elfun Trusts |
Elfun Trusts
Performance Summary — December 31, 2023 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $3,635,069 (in thousands) as of December 31, 2023 (a)(b) |
| (a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund - Class G Shares and State Street Institutional Treasury Money Market Fund - Premier Class. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| Elfun Trusts | 11 |
Elfun Trusts
Performance Summary, continued — December 31, 2023
(Unaudited)
Change in Value of a $10,000
Investment
Yearly periods
ended December 31
See Notes to Performance beginning on page 1 for further
information.
Past performance does not predict future
performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
| 12 | Elfun Trusts |
Elfun Trusts
Schedule of Investments — December 31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 14 | Elfun Trusts |
Elfun Trusts
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to
Financial Statements.
| Elfun Trusts | 15 |
Elfun Trusts
Schedule of Investments, continued — December 31,
2023
The following table presents the Fund’s investments
measured at fair value on a recurring basis at December 31, 2023:
| Investments | Level 1 | Level 2 | Level 3 | Total | |||
| Investments in Securities | |||||||
| Common Stock | $ 3,588,856,288 | $ — | $ — | $ 3,588,856,288 | |||
| Short-Term Investments | 46,213,083 | — | — | 46,213,083 | |||
| Total Investments in Securities | $ 3,635,069,371 | $ — | $ — | $ 3,635,069,371 |
| Affiliate Table |
| Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Number
of Shares Held at 12/31/23 |
Value
at 12/31/23 |
Dividend
Income | ||||||
| State Street Institutional Treasury Money Market Fund - Premier Class | 19,801,698 | $19,801,698 | $217,235,400 | $212,781,042 | $— | $— | 24,256,056 | $24,256,056 | $1,471,317 | |||||
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 18,975,185 | 18,975,185 | 215,762,883 | 212,781,041 | — | — | 21,957,027 | 21,957,027 | 1,419,174 | |||||
| TOTAL | $38,776,883 | $432,998,283 | $425,562,083 | $— | $— | $46,213,083 | $2,890,491 |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 16 | Elfun Trusts |
Elfun Diversified Fund
Management's Discussion of Fund Performance — December 31,
2023 (Unaudited)
The Elfun Diversified Fund (the “Fund”) seeks
the highest total return consistent with prudent investment management and the preservation of capital (total return includes both income and capital appreciation). The Fund’s benchmarks are the S&P 500 Index, Bloomberg U.S. Aggregate Bond
Index and the MSCI ACWI ex USA Investable Market Index (the “Indices”).
For the 12-month period ended December 31, 2023 (the
“Reporting Period”), the total return for the Fund was 16.13%, and the return for the S&P 500 Index, Bloomberg U.S. Aggregate Bond Index and MSCI ACWI ex USA Investable Market Index, were 26.29%, 5.53% and 16.21% respectively. The
Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not
reflect fees and expenses of any kind, which would have a negative impact on returns.
The biggest drivers of the Fund’s performance were
its positions in the S&P 500 Index, the MSCI® ACWI ex USA Investable Market Index, and the Bloomberg U.S. Aggregate Bond Index. All of which posted positive returns for
the year.
The Fund began the year with a modest
overweight position to U.S. fixed income offset with an underweight to U.S. equity while neutral to the benchmark within non-U.S. equities. In January, the Fund moved to an overweight U.S. equity position as an improvement in risk sentiment observed
through an easing of risky debt spreads and a meaningful improvement in implied volatility on currency, signaled a more favorable environment for risk assets. Given the improvement in the macro environment, the Fund added to U.S. equities funded
from fixed income. The Regional Bank issues punctuated by the Silicon Valley Bank failure in March reversed much of the gains of the first two months of 2023 as investors grew cautious and worried about the financial stability of the banking sector.
However, the Federal Reserve’s (the “Fed”) quick intervention eased investor’s concerns and reignited the optimism around slowing inflation and a resilient U.S. consumer. The Fund remained overweight to U.S. equities and cash
throughout the first quarter offset with an underweight to U.S. Fixed Income. The Fund extended the overweight U.S. equity position in the second quarter. Healthy corporate balance sheets, a resilient consumer, and strong labor markets provided
support for the positive view on the U.S. equity market. The strength in the macro environment led to improved market sentiment measured by analysts upgrading corporate sales and earnings forecasts. The strengthening market fundamentals taken in
tandem with the positive signals from market risk indicators resulted in the Fund extending the equity overweight in the second quarter. The Fund modestly reduced risk exposure in July due to a less constructive outlook for equities driven by
weakening in macroeconomic factors and less attractive valuations after June’s positive performance. In the latter half of the third quarter the Fund moved underweight non-U.S. equities as regions such as Europe began to deteriorate from both
a long-term price momentum and sentiment standpoint. The Fund used the proceeds from the reduced allocation to non-U.S. equities to further extend the U.S. equity overweight and went into the fourth quarter overweight U.S. equity and cash with an
underweight to non-U.S. equity and fixed income. The Fund reduced risk exposure in October after what could be described as a hawkish Fed pause in September, which lead to spikes in yields and volatility, with implied volatility on equities
experiencing a particularly sharp move higher. While the environment was not seen as outright negative for equity markets it suggested a more cautious allocation was warranted. As a result, the Fund sold U.S. equity to Fund an increased allocation
to cash. However, underwhelming PMI data and another Fed pause in November reignited market views for an accommodative Fed with multiple interest rate cuts in 2024. Risky debt spreads decreased and implied volatility on equity moved lower signaling
investor risk appetite had improved. As the market environment became more supportive for risk assets the Fund sold cash to further increase the overweight to U.S. equity. The Fund did not execute any tactical changes to the asset allocation in
December as the environment remained supportive for risk assets as inflation continued to moderate and a narrative of peak policy rates gained momentum with market participants. The Fund ended 2023 with an overweight to U.S. equity and cash offset
with underweights to non-U.S. equity and fixed income.
Global equity markets proved resilient in the first quarter
of 2023. Stocks broadly started the year strong but the collapse of Silicon Valley Bank and broader concerns around the financial sector in March pulled down banking sector stocks. However, investors took comfort as regulators and central banks
intervened to stabilize the sector. The global economy expanded in the second quarter, but momentum slowed in June as activity in the services sector showed signs of moderating. On balance, risk assets rallied in the second quarter as the economic
data indicated U.S. inflation
| Elfun Diversified Fund | 17 |
Elfun Diversified Fund
Management's Discussion of Fund Performance, continued —
December 31, 2023 (Unaudited)
was moving in the right direction while the job markets remained healthy.
Through the first half of the year, U.S. markets were driven significantly by a select group of stocks known as the “Magnificent Seven”. These stocks were responsible for the majority of the market rally due to optimism around artificial
intelligence (“AI”), while the rest of the market remained relatively flat. Global economic growth remained lackluster in the third quarter, with manufacturing activity contracting and the service sector showing signs of deceleration.
Risk assets ended the third quarter down amid a sharp increase in interest rates and risk of financial instability in China. A volatile 2023 ended on a cautiously positive note, as developed market (“DM”) central banks generally signaled
an end to their respective tightening cycles. Global economic activity also edged higher with service sector activity expanding. Inflation continued to decline during the quarter. During 2023, global growth slowed at divergent rates across key
economies – growth in the United States outpaced expectations but growth disappointed elsewhere. In Q4, risk assets generally rose as rates rallied on the back of anticipated policy easing in 2024. The S&P 500 Index returned 11.69% for Q4
and 26.29% for the Reporting Period. Global equity markets ended 2023 with a rally, as recession concerns eased. The MSCI ACWI ex US Investable Market Index returned 9.87% over the final quarter of 2023 and 16.21% for the Reporting Period.
The tone of the December Federal Open Market Committee
(“FOMC”) meeting shifted as Fed Chair, Jerome Powell, did not push against markets pricing of rate cuts in 2024. The Federal Reserve maintained restrictive monetary policy throughout 2023 but now anticipates three 25 basis point cuts to
the Federal Funds rate over the course of 2024 as economic conditions are expected to weaken. Investment grade (IG) bonds fared well in 2023 following a difficult year in 2022. Despite higher yields throughout the year of 2023, IG bonds saw healthy
issuance. The Bloomberg U.S. Aggregate Index ended the year up 6.80% for the fourth quarter and returned 5.52% for the Reporting Period.
The Fund used equity and treasury futures in order to
actively manage equity exposure and duration during the Reporting Period. The Fund’s use of these derivatives contributed to Fund liquidity and exposure management versus utilizing cash instruments only.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any
fund.
| 18 | Elfun Diversified Fund |
Elfun Diversified Fund
Performance Summary — December 31, 2023 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $182,327 (in thousands) as of December 31, 2023 (a)(b) |
| (a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| (b) | Fair Value basis is inclusive of short-term investment in affiliated money market funds. |
| Elfun Diversified Fund | 19 |
Elfun Diversified Fund
Performance Summary, continued — December 31, 2023
(Unaudited)
Change in Value of a $10,000
Investment
Yearly periods
ended December 31
See Notes to Performance beginning on page 1 for further
information.
Past performance does not predict future
performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
| 20 | Elfun Diversified Fund |
Elfun Diversified Fund
Understanding Your Fund’s Expenses — December 31,
2023 (Unaudited)
| Elfun Diversified Fund | 21 |
Elfun Diversified Fund
Schedule of Investments — December 31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 22 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 23 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 24 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 25 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 26 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 27 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 28 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 29 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 30 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 31 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 32 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 33 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 34 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 35 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 36 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 37 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 38 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 39 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 40 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 41 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 42 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 43 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 44 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 45 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 46 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 47 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 48 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
Other Information:
| Centrally Cleared Credit Default Swaps: |
| Reference Entity | Counterparty | Notional
Amount (000s omitted) |
Contract
Annual Fixed Rate/ Payment Frequency |
Termination
Date |
Market
Value |
Unamortized
Upfront Payments Received (Paid) |
Unrealized
Appreciation (Depreciation) |
| Sell Protection | |||||||
| Markit CDX North America High Yield Index | Intercontinental Exchange | $1,257 | 5.00%/
Quarterly |
12/20/28 | $73,304 | $151 | $73,153 |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 49 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
| The Fund had the following long futures contracts open at December 31, 2023: |
| Description | Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) |
| U.S. Long Bond Futures | March 2024 | 7 | $ 812,712 | $ 874,762 | $ 62,050 |
| 10 Yr. U.S. Treasury Ultra Futures | March 2024 | 63 | 7,078,451 | 7,434,984 | 356,533 |
| 2 Yr. U.S. Treasury Notes Futures | March 2024 | 10 | 2,038,229 | 2,059,141 | 20,912 |
| Ultra Long-Term U.S. Treasury Bond Futures | March 2024 | 5 | 616,692 | 667,969 | 51,277 |
| 5 Yr. U.S. Treasury Notes Futures | March 2024 | 33 | 3,503,729 | 3,589,524 | 85,795 |
| S&P 500 E-mini Index Futures | March 2024 | 2 | 464,148 | 482,000 | 17,852 |
| $ 594,419 |
| The Fund had the following short futures contracts open at December 31, 2023: |
| Description | Expiration
date |
Number
of Contracts |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | March 2024 | 29 | $ (3,168,144) | $ (3,273,828) | $ (105,684) |
| During the year ended December 31, 2023, average notional values related to derivative contracts were as follows: | |||
| Long
Futures Contracts |
Short
Futures Contracts |
Credit
Default Swap Contracts | |
| Average Notional Value | $12,241,322 | $3,001,958 | $1,952,012 |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 50 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
The following table presents the Fund’s
investments measured at fair value on a recurring basis at December 31, 2023:
| Investments | Level 1 | Level 2 | Level 3 | Total | |||
| Investments in Securities | |||||||
| Domestic Equity | $ 78,056,939 | $ — | $ — | $ 78,056,939 | |||
| Foreign Equity | 113,232 | — | — | 113,232 | |||
| U.S. Treasuries | — | 15,046,240 | — | 15,046,240 | |||
| Agency Mortgage Backed | — | 13,473,839 | — | 13,473,839 | |||
| Agency Collateralized Mortgage Obligations | — | 334,548 | — | 334,548 | |||
| Corporate Notes | — | 17,968,520 | — | 17,968,520 | |||
| Non-Agency Collateralized Mortgage Obligations | — | 3,235,839 | — | 3,235,839 | |||
| Municipal Bonds and Notes | — | 183,872 | — | 183,872 | |||
| Exchange Traded & Mutual Funds | 40,606,701 | — | — | 40,606,701 | |||
| Short-Term Investments | 13,307,050 | — | — | 13,307,050 | |||
| Total Investments in Securities | $ 132,083,922 | $ 50,242,858 | $ — | $ 182,326,780 | |||
| Other Financial Instruments | |||||||
| Credit Default Swap Contracts - Unrealized Appreciation | $ — | $ 73,153 | $ — | $ 73,153 | |||
| Long Futures Contracts - Unrealized Appreciation | 594,419 | — | — | 594,419 | |||
| Short Futures Contracts - Unrealized Depreciation | (105,684) | — | — | (105,684) | |||
| Total Other Financial Instruments | $ 488,735 | $ 73,153 | $ — | $ 561,888 |
The Fund’s % share of investment in the
various categories, based on Fair Value, is as follows at December 31, 2023 (unaudited):
| Industry | Domestic | Foreign | Total |
| Exchange Traded Funds | 22.27% | 0.00% | 22.27% |
| Systems Software | 3.47% | 0.00% | 3.47% |
| Technology Hardware, Storage & Peripherals | 3.12% | 0.00% | 3.12% |
| Semiconductors | 3.03% | 0.06% | 3.09% |
| Interactive Media & Services | 2.48% | 0.00% | 2.48% |
| Pharmaceuticals | 1.60% | 0.00% | 1.60% |
| Broadline Retail | 1.51% | 0.00% | 1.51% |
| Diversified Banks | 1.26% | 0.00% | 1.26% |
| Application Software | 1.14% | 0.00% | 1.14% |
| Transaction & Payment Processing Services | 1.09% | 0.00% | 1.09% |
| Healthcare Equipment | 1.06% | 0.00% | 1.06% |
| Biotechnology | 0.87% | 0.00% | 0.87% |
| Automobile Manufacturers | 0.84% | 0.00% | 0.84% |
| Managed Healthcare | 0.76% | 0.00% | 0.76% |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 51 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
| Industry | Domestic | Foreign | Total |
| Integrated Oil & Gas | 0.75% | 0.00% | 0.75% |
| Aerospace & Defense | 0.70% | 0.00% | 0.70% |
| Multi-Sector Holdings | 0.69% | 0.00% | 0.69% |
| Consumer Staples Merchandise Retail | 0.69% | 0.00% | 0.69% |
| Electric Utilities | 0.66% | 0.00% | 0.66% |
| Life Sciences Tools & Services | 0.62% | 0.00% | 0.62% |
| Soft Drinks & Non-alcoholic Beverages | 0.58% | 0.00% | 0.58% |
| Household Products | 0.53% | 0.00% | 0.53% |
| Home Improvement Retail | 0.51% | 0.00% | 0.51% |
| Financial Exchanges & Data | 0.49% | 0.00% | 0.49% |
| IT Consulting & Other Services | 0.49% | 0.00% | 0.49% |
| Restaurants | 0.49% | 0.00% | 0.49% |
| Oil & Gas Exploration & Production | 0.45% | 0.00% | 0.45% |
| Movies & Entertainment | 0.45% | 0.00% | 0.45% |
| Asset Management & Custody Banks | 0.39% | 0.00% | 0.39% |
| Investment Banking & Brokerage | 0.39% | 0.00% | 0.39% |
| Hotels, Resorts & Cruise Lines | 0.39% | 0.00% | 0.39% |
| Property & Casualty Insurance | 0.38% | 0.00% | 0.38% |
| Semiconductor Materials & Equipment | 0.38% | 0.00% | 0.38% |
| Industrial Machinery & Supplies & Components | 0.37% | 0.00% | 0.37% |
| Communications Equipment | 0.36% | 0.00% | 0.36% |
| Industrial Conglomerates | 0.36% | 0.00% | 0.36% |
| Packaged Foods & Meats | 0.32% | 0.00% | 0.32% |
| Integrated Telecommunication Services | 0.30% | 0.00% | 0.30% |
| Rail Transportation | 0.29% | 0.00% | 0.29% |
| Multi-Utilities | 0.29% | 0.00% | 0.29% |
| Construction Machinery & Heavy Transportation Equipment | 0.28% | 0.00% | 0.28% |
| Industrial Gases | 0.28% | 0.00% | 0.28% |
| Specialty Chemicals | 0.28% | 0.00% | 0.28% |
| Electrical Components & Equipment | 0.27% | 0.00% | 0.27% |
| Insurance Brokers | 0.26% | 0.00% | 0.26% |
| Healthcare Services | 0.24% | 0.00% | 0.24% |
| Tobacco | 0.23% | 0.00% | 0.23% |
| Cable & Satellite | 0.23% | 0.00% | 0.23% |
| Consumer Finance | 0.22% | 0.00% | 0.22% |
| Air Freight & Logistics | 0.22% | 0.00% | 0.22% |
| Building Products | 0.21% | 0.00% | 0.21% |
| Telecom Tower REITs | 0.19% | 0.00% | 0.19% |
| Human Resource & Employment Services | 0.18% | 0.00% | 0.18% |
| Oil & Gas Refining & Marketing | 0.17% | 0.00% | 0.17% |
| Apparel Retail | 0.16% | 0.00% | 0.16% |
| Life & Health Insurance | 0.16% | 0.00% | 0.16% |
| Oil & Gas Equipment & Services | 0.15% | 0.00% | 0.15% |
| Oil & Gas Storage & Transportation | 0.15% | 0.00% | 0.15% |
| Footwear | 0.14% | 0.00% | 0.14% |
| Environmental & Facilities Services | 0.14% | 0.00% | 0.14% |
| Healthcare Distributors | 0.14% | 0.00% | 0.14% |
| Regional Banks | 0.14% | 0.00% | 0.14% |
| Home Building | 0.14% | 0.00% | 0.14% |
| Passenger Ground Transportation | 0.14% | 0.00% | 0.14% |
| Industrial REITs | 0.13% | 0.00% | 0.13% |
| Retail REITs | 0.13% | 0.00% | 0.13% |
| Data Center REITs | 0.13% | 0.00% | 0.13% |
| Trading Companies & Distributors | 0.12% | 0.00% | 0.12% |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 52 | Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
| Industry | Domestic | Foreign | Total |
| Automotive Retail | 0.12% | 0.00% | 0.12% |
| Agricultural & Farm Machinery | 0.11% | 0.00% | 0.11% |
| Multi-Family Residential REITs | 0.11% | 0.00% | 0.11% |
| Research & Consulting Services | 0.10% | 0.00% | 0.10% |
| Diversified Support Services | 0.10% | 0.00% | 0.10% |
| Electronic Components | 0.09% | 0.00% | 0.09% |
| Self Storage REITs | 0.09% | 0.00% | 0.09% |
| Wireless Telecommunication Services | 0.09% | 0.00% | 0.09% |
| Health Care REITs | 0.09% | 0.00% | 0.09% |
| Apparel, Accessories & Luxury Goods | 0.09% | 0.00% | 0.09% |
| Electronic Equipment & Instruments | 0.08% | 0.00% | 0.08% |
| Personal Care Products | 0.08% | 0.00% | 0.08% |
| Paper & Plastic Packaging Products & Materials | 0.07% | 0.00% | 0.07% |
| Passenger Airlines | 0.07% | 0.00% | 0.07% |
| Commodity Chemicals | 0.07% | 0.00% | 0.07% |
| Fertilizers & Agricultural Chemicals | 0.07% | 0.00% | 0.07% |
| Real Estate Services | 0.07% | 0.00% | 0.07% |
| Construction Materials | 0.07% | 0.00% | 0.07% |
| Healthcare Facilities | 0.07% | 0.00% | 0.07% |
| Interactive Home Entertainment | 0.07% | 0.00% | 0.07% |
| Other Specialty Retail | 0.06% | 0.00% | 0.06% |
| Copper | 0.06% | 0.00% | 0.06% |
| Steel | 0.06% | 0.00% | 0.06% |
| Electronic Manufacturing Services | 0.06% | 0.00% | 0.06% |
| Multi-Line Insurance | 0.06% | 0.00% | 0.06% |
| Agricultural Products & Services | 0.06% | 0.00% | 0.06% |
| Cargo Ground Transportation | 0.06% | 0.00% | 0.06% |
| Other Specialized REITs | 0.06% | 0.00% | 0.06% |
| Distillers & Vintners | 0.05% | 0.00% | 0.05% |
| Distributors | 0.05% | 0.00% | 0.05% |
| Gold | 0.05% | 0.00% | 0.05% |
| Casinos & Gaming | 0.05% | 0.00% | 0.05% |
| Healthcare Supplies | 0.05% | 0.00% | 0.05% |
| Internet Services & Infrastructure | 0.04% | 0.00% | 0.04% |
| Food Distributors | 0.04% | 0.00% | 0.04% |
| Automotive Parts & Equipment | 0.04% | 0.00% | 0.04% |
| Construction & Engineering | 0.04% | 0.00% | 0.04% |
| Technology Distributors | 0.03% | 0.00% | 0.03% |
| Food Retail | 0.03% | 0.00% | 0.03% |
| Advertising | 0.03% | 0.00% | 0.03% |
| Water Utilities | 0.03% | 0.00% | 0.03% |
| Timber REITs | 0.03% | 0.00% | 0.03% |
| Office REITs | 0.03% | 0.00% | 0.03% |
| Data Processing & Outsourced Services | 0.03% | 0.00% | 0.03% |
| Single-Family Residential REITs | 0.02% | 0.00% | 0.02% |
| Consumer Electronics | 0.02% | 0.00% | 0.02% |
| Drug Retail | 0.02% | 0.00% | 0.02% |
| Broadcasting | 0.02% | 0.00% | 0.02% |
| Metal, Glass & Plastic Containers | 0.02% | 0.00% | 0.02% |
| Computer & Electronics Retail | 0.02% | 0.00% | 0.02% |
| Gas Utilities | 0.02% | 0.00% | 0.02% |
| Reinsurance | 0.01% | 0.00% | 0.01% |
| Hotel & Resort REITs | 0.01% | 0.00% | 0.01% |
| Publishing | 0.01% | 0.00% | 0.01% |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Diversified Fund | 53 |
Elfun Diversified Fund
Schedule of Investments, continued — December 31,
2023
| Industry | Domestic | Foreign | Total |
| Independent Power Producers & Energy Traders | 0.01% | 0.00% | 0.01% |
| Brewers | 0.01% | 0.00% | 0.01% |
| Household Appliances | 0.01% | 0.00% | 0.01% |
| Leisure Products | 0.01% | 0.00% | 0.01% |
| Home Furnishings | 0.01% | 0.00% | 0.01% |
| 65.14% |
| Affiliate Table |
| Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Number
of Shares Held at 12/31/23 |
Value
at 12/31/23 |
Dividend
Income | ||||||
| State Street Corp. | 592 | $ 45,921 | $ 24,864 | $ 23,154 | $ (2,727) | $ 875 | 591 | $ 45,779 | $ 1,697 | |||||
| State Street Global All Cap Equity ex-U.S. Index Portfolio | 425,386 | 42,695,979 | 7,447,970 | 14,535,000 | (127,198) | 5,124,950 | 360,372 | 40,606,701 | 1,167,971 | |||||
| State Street Institutional Treasury Money Market Fund - Premier Class | 8,599,525 | 8,599,525 | 20,153,867 | 24,164,299 | — | — | 4,589,093 | 4,589,093 | 282,789 | |||||
| State Street Institutional Treasury Plus Fund - Premier Class | 116,548 | 116,548 | 12,369,729 | 10,584,763 | — | — | 1,901,514 | 1,901,514 | 89,281 | |||||
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 8,748,612 | 8,748,612 | 50,963,971 | 54,797,654 | — | — | 4,914,929 | 4,914,929 | 308,584 | |||||
| TOTAL | $60,206,585 | $90,960,401 | $104,104,870 | $(129,925) | $5,125,825 | $52,058,016 | $1,850,322 |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 54 | Elfun Diversified Fund |
Elfun Tax-Exempt Income
Fund
Management's Discussion of Fund Performance —
December 31, 2023 (Unaudited)
The Elfun Tax-Exempt Income Fund (the “Fund”)
seeks as high a level of current interest income exempt from federal income taxation as is available from a concentration of investments in municipal bonds consistent with prudent investment management and the preservation of capital. The
Fund’s benchmark is the Bloomberg U.S. Municipal Bond Index (the “Index”).
For the 12-month period ended December 31, 2023 (the
“Reporting Period”), the total return for the Fund was 5.31% and the return for the Index was 6.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of
managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund, which is an income oriented Fund ended the year with
a book yield of 3.78%, 47 bps above the start of the year and our 12-month distribution yield was 3.99%.
The past year was one of resilience and adaptation for
economies and markets worldwide. With the central banks fine tuning monetary policy, balancing growth concerns and inflation pressures, market narratives changed dramatically, resulting in multiple selloffs and rallies. It was a difficult year for
municipals as the rate volatility negatively affected the asset class for most of the year. Index returns moved up and down throughout the year. The asset class performed well in the early part of the year, with 2022’s rally continuing to
mid-February. Tax-exempts were on track for a solid year through the first half of 2023. However, August to October was extremely difficult, with returns moving into negative territory. The year-end rally pulled returns back into positive territory.
We expect the strength in the municipal market to continue in 2024 but caution that it will be data dependent. We expect yields to decline helping tax-exempts perform with returns driven by coupon income and spread compression.
During the past year, performance of the Fund was once
again influenced by its defensive credit profile as well as curve positioning. We started the year by shortening the overall portfolio duration in response to the U.S. Federal Reserve’s (the “Fed”) continued path toward higher
rates. During the 4th quarter, as the Federal Reserve’s pivot to a dovish posture, pausing their rate hikes, we extended duration in anticipation of lower rates in 2024. The Tax-Exempt curve which saw an inversion in the front part of the
curve during late 2022 experienced significant volatility in the entire yield curve throughout 2023 as the 10 year maturity reach a 14 year high. The Fund used every opportunity to increase book yield, while also significantly increasing the overall
portfolio quality.
We remain focused on managing the
Fund’s credit risk while maximizing tax-exempt income during the past year. The continued liquidity pressures and market volatility experienced during the past year led us to be more defensive in the Fund’s composition. We believe the
Fund is well positioned for the current market conditions. Tax-exempt ratios remained at multi-year tights.
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
| Elfun Tax-Exempt Income Fund | 55 |
Elfun Tax-Exempt Income
Fund
Performance Summary — December 31, 2023
(Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $1,014,376 (in thousands) as of December 31, 2023 (a)(b) |
| (a) | Fair Value basis is inclusive of short-term investment in State Street Institutional Treasury Plus Fund — Premier Class. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| * | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
| 56 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income
Fund
Performance Summary, continued — December 31,
2023 (Unaudited)
Change in Value of a $10,000
Investment
Yearly periods
ended December 31
| Elfun Tax-Exempt Income Fund | 57 |
Elfun Tax-Exempt Income
Fund
Understanding Your Fund’s Expenses —
December 31, 2023 (Unaudited)
| 58 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income
Fund
Schedule of Investments — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Tax-Exempt Income Fund | 59 |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 60 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Tax-Exempt Income Fund | 61 |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 62 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Tax-Exempt Income Fund | 63 |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 64 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Tax-Exempt Income Fund | 65 |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to
Financial Statements.
| 66 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income
Fund
Schedule of Investments, continued — December
31, 2023
The following table presents the Fund’s
investments measured at fair value on a recurring basis at December 31, 2023:
| Investments | Level 1 | Level 2 | Level 3 | Total | |||
| Investments in Securities | |||||||
| Municipal Bonds and Notes | $ — | $ 1,009,798,273 | $ — | $ 1,009,798,273 | |||
| Short-Term Investments | 4,577,263 | — | — | 4,577,263 | |||
| Total Investments in Securities | $ 4,577,263 | $ 1,009,798,273 | $ — | $ 1,014,375,536 |
| Affiliate Table |
| Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Number
of Shares Held at 12/31/23 |
Value
at 12/31/23 |
Dividend
Income | |
| State Street Institutional Treasury Plus Fund - Premier Class | 15,874,392 | $15,874,392 | $285,432,118 | $296,729,247 | $— | $— | 4,577,263 | $4,577,263 | $568,445 |
See Notes to Schedules of Investments and Notes to
Financial Statements.
| Elfun Tax-Exempt Income Fund | 67 |
Elfun Income Fund
Management's Discussion of Fund Performance — December 31,
2023 (Unaudited)
The Elfun Income Fund (the “Fund”) seeks to
provide a high level of income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended December 31, 2023 (the
“Reporting Period”), the total return for the Fund’s Investment Class was 5.78%, and the return for the Index was 5.53%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s
performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Sector allocation and security selection were the primary
drivers of Fund performance during the Reporting Period relative to the Index, while duration was a detractor of Fund performance during the Reporting Period relative to the Index. Modest allocation over-weights to investment-grade and high-yield
corporate credit, and a modest allocation under-weight to U.S. Treasury securities, explains the Fund’s out-performance relative to the Index.
Our view in the fourth quarter of 2022 was that after an
increase in the U.S. Federal Reserve (the “Fed”) Funds rate of 425 bps during the prior Reporting Period, there was value in fixed income as compared to long-term fair value estimates, both in the form of Treasury rates and credit
spreads, and that modest allocation over-weights were warranted in duration and credit. During the Reporting Period, the Fed raised the Fed Funds rate by an additional 100 bps. In the first quarter of the Reporting Period several regional banks
failed, which caused the Fed to offer emergency liquidity and attractive terms in order to reduce the risk of a sharp decline in deposits and further bank failures. The Fed’s measures proved effective and the sharp decline in rates and
widening in credit spreads largely reversed during the second quarter of the Reporting Period. In the fourth quarter of the Reporting Period the U.S. Treasury announced lower than expected auctions with a shift to shorter maturities, and the Fed
signaled additional rate cuts in 2024. These announcements led to a sharp decline in interest rates and credit spreads. The Fund’s modest over-weight to both investment-grade and high-yield credit generated positive excess returns relative to
the Index as each sector produced positive excess returns relative to duration-neutral Treasury equivalents during the Reporting Period.
The Fund used treasury futures and index credit default
swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of index credit default swaps contributed to Fund performance relative to the Index, while its use of treasury futures detracted
from Fund performance.
Security selection in the
investment-grade credit allocation generated positive excess returns as our bottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities, while security selection in the commercial mortgage-backed
securities allocation detracted from Fund performance relative to the Index.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any
fund.
| 68 | Elfun Income Fund |
Elfun Income Fund
Performance Summary — December 31, 2023 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $156,647 (in thousands) as of December 31, 2023 (a)(b) |
| (a) | Fair Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| * | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
| Elfun Income Fund | 69 |
Elfun Income Fund
Performance Summary, continued — December 31, 2023
(Unaudited)
Change in Value of a $10,000
Investment
Yearly periods
ended December 31
See Notes to Performance beginning on page 1 for further
information.
Past performance does not predict future
performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
| 70 | Elfun Income Fund |
Elfun Income Fund
Understanding Your Fund’s Expenses — December 31,
2023 (Unaudited)
| Elfun Income Fund | 71 |
Elfun Income Fund
Schedule of Investments — December 31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 72 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 73 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 74 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 75 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 76 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 77 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 78 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 79 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 80 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 81 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 82 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 83 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 84 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 85 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 86 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Income Fund | 87 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 88 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
Other Information:
| Centrally Cleared Credit Default Swaps: |
| Reference Entity | Counterparty | Notional
Amount (000s omitted) |
Contract
Annual Fixed Rate/ Payment Frequency |
Termination
Date |
Market
Value |
Unamortized
Upfront Payments Received (Paid) |
Unrealized
Appreciation (Depreciation) |
| Sell Protection | |||||||
| Markit CDX North America High Yield Index | Intercontinental Exchange | $3,472 | 5.00%/
Quarterly |
12/20/28 | $202,508 | $417 | $202,091 |
See Notes to Schedules of Investments and Notes to
Financial Statements.
| Elfun Income Fund | 89 |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
| The Fund had the following long futures contracts open at December 31, 2023: |
| Description | Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) |
| U.S. Long Bond Futures | March 2024 | 12 | $ 1,400,996 | $ 1,499,129 | $ 98,133 |
| 10 Yr. U.S. Treasury Ultra Futures | March 2024 | 176 | 19,773,218 | 20,770,750 | 997,532 |
| 2 Yr. U.S. Treasury Notes Futures | March 2024 | 25 | 5,095,572 | 5,147,851 | 52,279 |
| Ultra Long-Term U.S. Treasury Bond Futures | March 2024 | 16 | 1,933,387 | 2,137,500 | 204,113 |
| 5 Yr. U.S. Treasury Notes Futures | March 2024 | 91 | 9,655,310 | 9,898,383 | 243,073 |
| $ 1,595,130 |
| The Fund had the following short futures contracts open at December 31, 2023: |
| Description | Expiration
date |
Number
of Contracts |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | March 2024 | 57 | $ (6,228,627) | $ (6,434,766) | $ (206,139) |
| During the year ended December 31, 2023, average notional values related to derivative contracts were as follows: | |||
| Long
Futures Contracts |
Short
Futures Contracts |
Credit
Default Swap Contracts | |
| Average Notional Value | $34,158,859 | $8,580,187 | $5,002,508 |
See Notes to Schedules of Investments and Notes to
Financial Statements.
| 90 | Elfun Income Fund |
Elfun Income Fund
Schedule of Investments, continued — December 31,
2023
The following table presents the Fund’s
investments measured at fair value on a recurring basis at December 31, 2023:
| Investments | Level 1 | Level 2 | Level 3 | Total | |||
| Investments in Securities | |||||||
| U.S. Treasuries | $ — | $ 38,737,550 | $ — | $ 38,737,550 | |||
| Agency Mortgage Backed | — | 35,924,606 | — | 35,924,606 | |||
| Agency Collateralized Mortgage Obligations | — | 1,201,361 | — | 1,201,361 | |||
| Asset Backed | — | 48,305 | — | 48,305 | |||
| Corporate Notes | — | 48,406,978 | — | 48,406,978 | |||
| Non-Agency Collateralized Mortgage Obligations | — | 9,127,337 | — | 9,127,337 | |||
| Sovereign Bonds | — | 1,774,829 | — | 1,774,829 | |||
| Municipal Bonds and Notes | — | 714,930 | — | 714,930 | |||
| Short-Term Investments | 20,710,832 | — | — | 20,710,832 | |||
| Total Investments in Securities | $ 20,710,832 | $ 135,935,896 | $ — | $ 156,646,728 | |||
| Other Financial Instruments | |||||||
| Credit Default Swap Contracts - Unrealized Appreciation | $ — | $ 202,091 | $ — | $ 202,091 | |||
| Long Futures Contracts - Unrealized Appreciation | 1,595,130 | — | — | 1,595,130 | |||
| Short Futures Contracts - Unrealized Depreciation | (206,139) | — | — | (206,139) | |||
| Total Other Financial Instruments | $ 1,388,991 | $ 202,091 | $ — | $ 1,591,082 |
| Affiliate Table |
| Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Number
of Shares Held at 12/31/23 |
Value
at 12/31/23 |
Dividend
Income | |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 33,943,475 | $33,943,475 | $51,271,000 | $64,503,643 | $— | $— | 20,710,832 | $20,710,832 | $1,394,546 |
See Notes to Schedules of Investments and Notes to
Financial Statements.
| Elfun Income Fund | 91 |
Elfun Government Money Market
Fund
Management's Discussion of Fund Performance —
December 31, 2023 (Unaudited)
The Elfun Government Money Market Fund (the
“Fund”) seeks a high level of current income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Daily-Linked 90-Day T-Bill (the “Index”).
For the 12-month period ended December 31, 2023 (the
“Reporting Period”), the total return for the Fund was 4.89%, while the benchmark returned 5.01%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of
managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Over the course of 2023 the Fund adhered to its primary
objective of principle preservation and liquidity while generating a market rate of return. Allocations to agencies and overnight repo as well as duration differences were primary drivers of Fund performance during the Reporting Period relative to
the Index.
Over the course of 2023 the Fund adhered
to its primary objective of principle preservation and liquidity while generating a market rate of return. In order to reign in persistent inflation and an overheated economy, the U.S. Federal Reserve’s (the “Fed”) began an
about-face on the previous easy monetary policy in 2022 by embarking on an aggressive rate hiking cycle. The Central Bank raised interest rates by a total of 5.25% over the past two years. This hawkish pivot roiled markets and sent yields soaring,
providing a boon for the cash markets, which had seen ultra-low interest rates in prior years.
The duration of the Fund was managed in order to maximize
safety and liquidity while still allowing for competitive returns. Treasury Bill yields plunged in March and April during the height of the banking crisis after a number of U.S. regional banks as well as Credit Suisse were downgraded by ratings
agencies and ultimately either failed or were bought by other large banks. The incident sent shockwaves through global markets as investors feared contagion into other sectors of the global economy. Investors fled to safe-haven assets sending yields
plummeting. Ultimately, the contagion story did not play out, and market volatility was calmed as early as April. In the second half of the year, short term yields held steady with one-month Bills yielding between 5.30-5.40%.
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
| 92 | Elfun Government Money Market Fund |
Elfun Government Money Market
Fund
Performance Summary — December 31, 2023
(Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $149,980 (in thousands) as of December 31, 2023 (a) |
| Average Annual Total Return for the years ended December 31, 2023 | |||||||
| (Inception date: 6/13/90) | |||||||
| One Year | Five Year | Ten Year | Ending
Value of a $10,000 Investment | ||||
| Elfun Government Money Market Fund | 4.89% | 1.72% | 1.09% | $11,142 | |||
| Daily-linked 90-Day T-Bill | 5.01% | 1.79% | 1.23% | $11,300 | |||
| (a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| Elfun Government Money Market Fund | 93 |
Elfun Government Money Market
Fund
Performance Summary, continued — December 31,
2023 (Unaudited)
Change in Value of a $10,000
Investment
Yearly periods
ended December 31
See Notes to Performance beginning on page 1 for further
information.
Past performance does not predict future
performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
An investment in the Elfun Government 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.
| 94 | Elfun Government Money Market Fund |
Elfun Government Money Market
Fund
Understanding Your Fund’s Expenses —
December 31, 2023 (Unaudited)
| Elfun Government Money Market Fund | 95 |
Elfun Government Money Market
Fund
Schedule of Investments — December 31,
2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| 96 | Elfun Government Money Market Fund |
Elfun Government Money Market
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Government Money Market Fund | 97 |
Elfun Government Money Market
Fund
Schedule of Investments, continued — December
31, 2023
See Notes to Schedules of Investments and Notes to
Financial Statements.
| 98 | Elfun Government Money Market Fund |
Elfun Government Money Market
Fund
Schedule of Investments, continued — December
31, 2023
The following table presents the Fund’s
investments measured at fair value on a recurring basis at December 31, 2023:
| Investments | Level 1 | Level 2 | Level 3 | Total | |||
| Investments in Securities | |||||||
| U.S. Treasuries | $ — | $ 64,453,622 | $ — | $ 64,453,622 | |||
| U.S. Government Agency Obligations | — | 24,402,110 | — | 24,402,110 | |||
| Repurchase Agreements | — | 61,124,000 | — | 61,124,000 | |||
| Total Investments in Securities | $ — | $ 149,979,732 | $ — | $ 149,979,732 |
See Notes to Schedules of Investments and Notes to Financial
Statements.
| Elfun Government Money Market Fund | 99 |
Elfun International Equity
Fund
Financial Highlights
Selected data based on a share outstanding throughout the
fiscal years indicated
| 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | |||||
| Inception date | 1/1/88 | ||||||||
| Net asset value, beginning of period | $ 20.97 | $ 26.73 | $ 26.53 | $ 23.69 | $ 18.51 | ||||
| Income/(loss) from investment operations: | |||||||||
| Net investment income(a) | 0.46 | 0.56 | 0.83 | 0.29 | 0.43 | ||||
| Net realized and unrealized gains/(losses) on investments | 3.80 | (4.86) | 1.57 | 2.86 | 5.15 | ||||
| Total income/(loss) from investment operations | 4.26 | (4.30) | 2.40 | 3.15 | 5.58 | ||||
| Less distributions from: | |||||||||
| Net investment income | (0.48) | (0.55) | (0.86) | (0.31) | (0.40) | ||||
| Net realized gains | — | (0.91) | (1.34) | — | — | ||||
| Total distributions | (0.48) | (1.46) | (2.20) | (0.31) | (0.40) | ||||
| Net asset value, end of period | $ 24.75 | $ 20.97 | $ 26.73 | $ 26.53 | $ 23.69 | ||||
| Total Return(b) | 20.35% | (16.11)% | 9.05% | 13.31% | 30.14% | ||||
| Ratios/Supplemental Data: | |||||||||
| Net assets, end of period (in thousands) | $173,754 | $153,897 | $204,799 | $201,200 | $199,123 | ||||
| Ratios to average net assets: | |||||||||
| Net expenses | 0.44% | 0.44% | 0.37% | 0.40% | 0.38% | ||||
| Gross expenses | 0.44% | 0.44% | 0.37% | 0.40% | 0.38% | ||||
| Net investment income | 1.99% | 2.46% | 2.93% | 1.31% | 2.02% | ||||
| Portfolio turnover rate | 9% | 16% | 17% | 20% | 15% | ||||
| Notes to Financial Highlights | |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
The
accompanying Notes are an integral part of these financial statements.
| 100 | Financial Highlights |
Elfun Trusts
Financial Highlights
Selected data based on a share outstanding throughout the
fiscal years indicated
| 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | |||||
| Inception date | 5/27/35 | ||||||||
| Net asset value, beginning of period | $ 58.58 | $ 79.73 | $ 71.55 | $ 62.16 | $ 50.14 | ||||
| Income/(loss) from investment operations: | |||||||||
| Net investment income(a) | 0.80 | 0.72 | 0.72 | 0.64 | 0.71 | ||||
| Net realized and unrealized gains/(losses) on investments | 19.40 | (16.59) | 16.72 | 14.90 | 17.15 | ||||
| Total income/(loss) from investment operations | 20.20 | (15.87) | 17.44 | 15.54 | 17.86 | ||||
| Less distributions from: | |||||||||
| Net investment income | (0.82) | (0.75) | (0.74) | (0.69) | (0.67) | ||||
| Net realized gains | (1.40) | (4.53) | (8.52) | (5.46) | (5.17) | ||||
| Total distributions | (2.22) | (5.28) | (9.26) | (6.15) | (5.84) | ||||
| Net asset value, end of period | $ 76.56 | $ 58.58 | $ 79.73 | $ 71.55 | $ 62.16 | ||||
| Total Return(b) | 34.49% | (19.87)% | 24.28% | 25.07% | 35.57% | ||||
| Ratios/Supplemental Data: | |||||||||
| Net assets, end of period (in thousands) | $3,636,415 | $2,912,901 | $3,965,156 | $3,419,765 | $2,979,222 | ||||
| Ratios to average net assets: | |||||||||
| Net expenses | 0.18% | 0.18% | 0.18% | 0.18% | 0.18% | ||||
| Gross expenses | 0.18% | 0.18% | 0.18% | 0.18% | 0.18% | ||||
| Net investment income | 1.18% | 1.03% | 0.89% | 0.99% | 1.20% | ||||
| Portfolio turnover rate | 22% | 29% | 26% | 25% | 17% | ||||
| Notes to Financial Highlights | |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these
financial statements.
| Financial Highlights | 101 |
Elfun Diversified Fund
Financial Highlights
Selected data based on a share outstanding throughout the
fiscal years indicated
| 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | |||||
| Inception date | 1/1/88 | ||||||||
| Net asset value, beginning of period | $ 17.02 | $ 21.68 | $ 20.97 | $ 19.54 | $ 17.02 | ||||
| Income/(loss) from investment operations: | |||||||||
| Net investment income(a) | 0.45 | 0.35 | 0.34 | 0.37 | 0.41 | ||||
| Net realized and unrealized gains/(losses) on investments | 2.29 | (3.67) | 2.08 | 2.02 | 2.93 | ||||
| Total income/(loss) from investment operations | 2.74 | (3.32) | 2.42 | 2.39 | 3.34 | ||||
| Less distributions from: | |||||||||
| Net investment income | (0.41) | (0.42) | (0.42) | (0.38) | (0.42) | ||||
| Net realized gains | (0.08) | (0.92) | (1.29) | (0.58) | (0.40) | ||||
| Total distributions | (0.49) | (1.34) | (1.71) | (0.96) | (0.82) | ||||
| Net asset value, end of period | $ 19.27 | $ 17.02 | $ 21.68 | $ 20.97 | $ 19.54 | ||||
| Total Return(b) | 16.13% | (15.31)% | 11.56% | 12.23% | 19.58% | ||||
| Ratios/Supplemental Data: | |||||||||
| Net assets, end of period (in thousands) | $176,538 | $166,006 | $211,716 | $205,144 | $199,011 | ||||
| Ratios to average net assets: | |||||||||
| Net expenses | 0.32% | 0.33% | 0.30% | 0.31% | 0.30% | ||||
| Gross expenses | 0.34% | 0.34% | 0.30% | 0.31% | 0.30% | ||||
| Net investment income | 2.47% | 1.83% | 1.53% | 1.88% | 2.20% | ||||
| Portfolio turnover rate | 45% (c) | 49% (c) | 41% (c) | 56% (c) | 162% | ||||
| Notes to Financial Highlights | |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
| (c) | The portfolio turnover calculated for the fiscal years ended 12/31/23, 12/31/22, 12/31/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 125%, 116%, 90% and 136%, respectively. |
The accompanying Notes are an integral part of these
financial statements.
| 102 | Financial Highlights |
Elfun Tax-Exempt Income
Fund
Financial Highlights
Selected data based on a share outstanding throughout the
fiscal years indicated
| 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | ||||||
| Inception date | 1/1/80 | |||||||||
| Net asset value, beginning of period | $ 10.13 | $ 11.47 | $ 11.67 | $ 11.54 | $ 11.19 | |||||
| Income/(loss) from investment operations: | ||||||||||
| Net investment income(a) | 0.34 | 0.31 | 0.31 | 0.37 | 0.38 | |||||
| Net realized and unrealized gains/(losses) on investments | 0.18 | (1.28) | (0.14) | 0.17 | 0.41 | |||||
| Total income/(loss) from investment operations | 0.52 | (0.97) | 0.17 | 0.54 | 0.79 | |||||
| Contribution from affiliate (Note 5) | 0.00 (b) | — | — | — | — | |||||
| Less distributions from: | ||||||||||
| Net investment income | (0.39) | (0.37) | (0.37) | (0.41) | (0.44) | |||||
| Total distributions | (0.39) | (0.37) | (0.37) | (0.41) | (0.44) | |||||
| Net asset value, end of period | $ 10.26 | $ 10.13 | $ 11.47 | $ 11.67 | $ 11.54 | |||||
| Total Return(c) | 5.31% | (8.44)% | 1.44% | 4.77% | 7.13% | |||||
| Ratios/Supplemental Data: | ||||||||||
| Net assets, end of period (in thousands) | $1,009,908 | $1,047,236 | $1,250,501 | $1,341,617 | $1,377,821 | |||||
| Ratios to average net assets: | ||||||||||
| Net expenses | 0.21% | 0.21% | 0.21% | 0.21% | 0.20% | |||||
| Gross expenses | 0.21% | 0.21% | 0.21% | 0.21% | 0.20% | |||||
| Net investment income | 3.37% | 2.96% | 2.65% | 3.24% | 3.35% | |||||
| Portfolio turnover rate | 79% | 43% | 42% | 41% | 25% | |||||
| Notes to Financial Highlights | |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Rounds to less than $0.005. |
| (c) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
The
accompanying Notes are an integral part of these financial statements.
| Financial Highlights | 103 |
Elfun Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the
fiscal years indicated
| 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | |||||
| Inception date | 12/31/84 | ||||||||
| Net asset value, beginning of period | $ 9.68 | $ 11.67 | $ 12.25 | $ 11.74 | $ 11.02 | ||||
| Income/(loss) from investment operations: | |||||||||
| Net investment income(a) | 0.34 | 0.25 | 0.24 | 0.29 | 0.32 | ||||
| Net realized and unrealized gains/(losses) on investments | 0.19 | (1.80) | (0.38) | 0.63 | 0.73 | ||||
| Total income/(loss) from investment operations | 0.53 | (1.55) | (0.14) | 0.92 | 1.05 | ||||
| Less distributions from: | |||||||||
| Net investment income | (0.36) | (0.27) | (0.27) | (0.34) | (0.33) | ||||
| Net realized gains | — | (0.17) | (0.17) | (0.07) | — | ||||
| Total distributions | (0.36) | (0.44) | (0.44) | (0.41) | (0.33) | ||||
| Net asset value, end of period | $ 9.85 | $ 9.68 | $ 11.67 | $ 12.25 | $ 11.74 | ||||
| Total Return(b) | 5.78% | (13.47)% | (1.19)% | 8.03% | 9.50% | ||||
| Ratios/Supplemental Data: | |||||||||
| Net assets, end of period (in thousands) | $146,043 | $160,286 | $218,824 | $244,329 | $233,663 | ||||
| Ratios to average net assets: | |||||||||
| Net expenses | 0.33% | 0.32% | 0.29% | 0.27% | 0.29% | ||||
| Gross expenses | 0.34% | 0.32% | 0.29% | 0.27% | 0.29% | ||||
| Net investment income | 3.51% | 2.41% | 2.03% | 2.44% | 2.77% | ||||
| Portfolio turnover rate | 53% (c) | 40% (c) | 71% (c) | 108% (c) | 107% | ||||
| Notes to Financial Highlights | |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
| (c) | The portfolio turnover calculated for the fiscal years ended 12/31/23, 12/31/22 and 12/31/21 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 268%, 187%, and 184%, respectively. |
The accompanying Notes are an integral part of these
financial statements.
| 104 | Financial Highlights |
Elfun Government Money Market
Fund
Financial Highlights
Selected data based on a share outstanding throughout the
fiscal years indicated
| 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | |||||
| Inception date | 6/13/90 | ||||||||
| Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||
| Income/(loss) from investment operations: | |||||||||
| Net investment income(a) | 0.05 | 0.01 | — | 0.00 (b) | 0.02 | ||||
| Total income from investment operations | 0.05 | 0.01 | — | 0.00 (b) | 0.02 | ||||
| Less distributions from: | |||||||||
| Net investment income | (0.05) | (0.01) | — | (0.00) (b) | (0.02) | ||||
| Total distributions | (0.05) | (0.01) | — | (0.00) (b) | (0.02) | ||||
| Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||
| Total Return(c) | 4.89% | 1.45% | —% | 0.32% | 1.99% | ||||
| Ratios/Supplemental Data: | |||||||||
| Net assets, end of period (in thousands) | $147,062 | $159,127 | $142,430 | $153,251 | $128,561 | ||||
| Ratios to average net assets: | |||||||||
| Net expenses | 0.26% | 0.24% | 0.09% | 0.19% | 0.26% | ||||
| Gross expenses | 0.26% | 0.27% | 0.26% | 0.25% | 0.26% | ||||
| Net investment income | 4.77% | 1.50% | —% | 0.30% | 1.96% | ||||
| Notes to Financial Highlights | |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Rounds to less than $0.005. |
| (c) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
The accompanying
Notes are an integral part of these financial statements.
| Financial Highlights | 105 |
Elfun Funds
Statements of Assets and Liabilities — December 31,
2023
| Elfun
International Equity Fund |
Elfun
Trusts | ||
| Assets | |||
| Investments in unaffiliated securities, at fair value (cost $118,105,299; $1,608,899,978; $108,506,252; $986,086,424; $144,162,041 and $0, respectively) | $ 170,915,269 | $ 3,588,856,288 | |
| Short-term investments, at fair value (cost $0; $0; $0; $0; $0 and $88,855,732, respectively) | — | — | |
| Investments in affiliated securities, at fair value (cost $2,709,283; $46,213,083; $46,484,469; $4,577,263; $20,710,832 and $0, respectively) | 2,709,283 | 46,213,083 | |
| Repurchase agreements | — | — | |
| Cash | — | — | |
| Net cash collateral on deposit with broker for future contracts | 2,372 | — | |
| Foreign currency (cost $2,306, $0, $32,020, $0, $0 and $0, respectively) | 2,306 | — | |
| Receivable for investments sold | — | — | |
| Income receivables | 484,406 | 3,797,921 | |
| Receivable for fund shares sold | 1,239 | 387,698 | |
| Income receivable from affiliated investments | 19,300 | 164,266 | |
| Receivable for accumulated variation margin on swap contracts | — | — | |
| Receivable for accumulated variation margin on futures contracts | 21,025 | — | |
| Prepaid expenses and other assets | 464 | 9,162 | |
| Total assets | 174,155,664 | 3,639,428,418 | |
| Liabilities | |||
| Distribution payable to shareholders | — | — | |
| Net cash collateral on futures contracts due to broker | — | — | |
| Net cash collateral on swap contracts due to broker | — | — | |
| Payable for investments purchased | — | — | |
| Payable for fund shares redeemed | 220,273 | 2,328,472 | |
| Payable to the Adviser | 24,489 | 407,857 | |
| Payable for custody, fund accounting and sub-administration fees | 9,493 | 72,781 | |
| Accrued other expenses | 147,375 | 204,715 | |
| Total liabilities | 401,630 | 3,013,825 | |
| Net Assets | $ 173,754,034 | $ 3,636,414,593 | |
| Net Assets Consist of: | |||
| Capital paid in | $ 123,137,919 | $ 1,628,813,590 | |
| Total distributable earnings (loss) | 50,616,115 | 2,007,601,003 | |
| Net Assets | $ 173,754,034 | $ 3,636,414,593 | |
| Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized) | 7,021,303 | 47,497,079 | |
| Net asset value, offering and redemption price per share | $ 24.75 | $ 76.56 | |
The accompanying Notes are an integral part of these
financial statements.
| 106 | Statements of Assets and Liabilities |
| Elfun
Diversified Fund |
Elfun
Tax-Exempt Income Fund |
Elfun
Income Fund |
Elfun
Government Money Market Fund | |||
| $ 130,268,764 | $ 1,009,798,273 | $ 135,935,896 | $ — | |||
| — | — | — | 88,855,732 | |||
| 52,058,016 | 4,577,263 | 20,710,832 | — | |||
| — | — | — | 61,124,000 | |||
| — | — | — | 328 | |||
| — | — | — | — | |||
| 37,171 | — | — | — | |||
| 3,143,406 | — | 10,476,430 | — | |||
| 434,125 | 13,335,526 | 1,045,165 | — | |||
| 1,135 | 58,764 | 24,589 | 242,493 | |||
| 62,550 | 54,797 | 101,358 | 280,821 | |||
| 75,398 | — | 208,293 | — | |||
| 488,656 | — | 1,389,405 | — | |||
| 481 | 2,827 | 416 | 407 | |||
| 186,569,702 | 1,027,827,450 | 169,892,384 | 150,503,781 | |||
| — | 920,947 | 108,930 | 48,266 | |||
| 469,721 | — | 1,674,526 | — | |||
| 75,946 | — | 169,302 | — | |||
| 9,277,237 | 16,064,739 | 21,742,316 | 2,948,300 | |||
| 80,748 | 648,445 | 43,279 | 351,630 | |||
| 23,358 | 136,448 | 19,494 | 12,688 | |||
| 10,256 | 21,095 | 4,040 | 12,519 | |||
| 94,315 | 128,185 | 87,394 | 68,796 | |||
| 10,031,581 | 17,919,859 | 23,849,281 | 3,442,199 | |||
| $ 176,538,121 | $ 1,009,907,591 | $ 146,043,103 | $ 147,061,582 | |||
| $ 151,622,592 | $ 1,103,546,200 | $ 174,759,902 | $ 147,061,550 | |||
| 24,915,529 | (93,638,609) | (28,716,799) | 32 | |||
| $ 176,538,121 | $ 1,009,907,591 | $ 146,043,103 | $ 147,061,582 | |||
| 9,162,431 | 98,429,229 | 14,829,968 | 147,061,530 | |||
| $ 19.27 | $ 10.26 | $ 9.85 | $ 1.00 | |||
The accompanying Notes are an integral part of these
financial statements.
| Statements of Assets and Liabilities | 107 |
Elfun Funds
Statements of Operations — For the year ended December 31,
2023
| Elfun
International Equity Fund |
Elfun
Trusts | ||
| Investment Income | |||
| Income | |||
| Dividend | $ 3,930,153 | $ 41,436,234 | |
| Interest | — | — | |
| Income from affiliated investments | 193,121 | 2,890,491 | |
| Less: Foreign taxes withheld | (120,979) | (38,256) | |
| Total income | 4,002,295 | 44,288,469 | |
| Expenses | |||
| Advisory and administration fees | 346,858 | 4,574,863 | |
| Blue Sky fees | 33,186 | 36,970 | |
| Transfer agent fees | 121,110 | 550,928 | |
| Trustees' fees | 22,405 | 48,221 | |
| Custody, fund accounting and sub-administration fees | 56,622 | 426,037 | |
| Professional fees | 102,910 | 50,317 | |
| Printing and shareholder reports | 3,528 | 19,539 | |
| Registration fees | — | 2,567 | |
| Other expenses | 35,021 | 58,704 | |
| Total expenses before waivers | 721,640 | 5,768,146 | |
| Fees waived and/or reimbursed by the adviser | — | — | |
| Net expenses | 721,640 | 5,768,146 | |
| Net investment income (loss) | $ 3,280,655 | $ 38,520,323 | |
| Net Realized and Unrealized Gain (Loss) on Investments | |||
| Realized gain (loss) on: | |||
| Unaffiliated investments | $ 608,838 | $ 66,873,485 | |
| Affiliated investments | — | — | |
| Futures | 166,377 | — | |
| Swap contracts | — | — | |
| Foreign currency transactions | (80,969) | — | |
| Increase (decrease) in unrealized appreciation/depreciation on: | |||
| Unaffiliated investments | 26,298,605 | 864,081,688 | |
| Affiliated investments | — | — | |
| Futures | 27,002 | — | |
| Swap contracts | — | — | |
| Foreign currency translations | 76,855 | — | |
| Net realized and unrealized gain (loss) on investments | 27,096,708 | 930,955,173 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ 30,377,363 | $ 969,475,496 |
The accompanying Notes are an integral part of these
financial statements.
| 108 | Statements of Operations |
| Elfun
Diversified Fund |
Elfun
Tax-Exempt Income Fund |
Elfun
Income Fund |
Elfun
Government Money Market Fund | |||
| $ 1,273,905 | $ — | $ 8,544 | $ — | |||
| 1,696,750 | 36,040,105 | 4,432,765 | 7,539,874 | |||
| 1,850,322 | 568,445 | 1,394,546 | — | |||
| (349) | — | (114) | — | |||
| 4,820,628 | 36,608,550 | 5,835,741 | 7,539,874 | |||
| 293,012 | 1,636,828 | 258,174 | 149,600 | |||
| 32,555 | 31,672 | 31,386 | 27,093 | |||
| 102,803 | 226,745 | 111,610 | 78,946 | |||
| 22,486 | 29,971 | 22,366 | 22,245 | |||
| 78,513 | 152,026 | 51,550 | 67,439 | |||
| 46,238 | 44,447 | 39,031 | 26,566 | |||
| 460 | 5,214 | 368 | 14,277 | |||
| — | 730 | — | — | |||
| 8,576 | 20,643 | 9,434 | 2,540 | |||
| 584,643 | 2,148,276 | 523,919 | 388,706 | |||
| (27,233) | — | (20,958) | — | |||
| 557,410 | 2,148,276 | 502,961 | 388,706 | |||
| $ 4,263,218 | $ 34,460,274 | $ 5,332,780 | $ 7,151,168 | |||
| $ 487,194 | $ (22,004,512) | $ (7,135,536) | $ 28 | |||
| (129,925) | — | — | — | |||
| (583,911) | — | (1,701,442) | — | |||
| 210,019 | — | 509,179 | — | |||
| — | — | — | — | |||
| 15,765,563 | 39,230,213 | 9,922,410 | — | |||
| 5,125,825 | — | — | — | |||
| 505,446 | — | 1,342,451 | — | |||
| (41,324) | — | (79,001) | — | |||
| 3,356 | — | — | — | |||
| 21,342,243 | 17,225,701 | 2,858,061 | 28 | |||
| $ 25,605,461 | $ 51,685,975 | $ 8,190,841 | $ 7,151,196 |
The accompanying Notes are an integral part of these
financial statements.
| Statements of Operations | 109 |
Elfun Funds
Statements of Changes in Net Assets
| Elfun International Equity Fund | Elfun Trusts | ||||||
| Year
Ended December 31, 2023 |
Year
Ended December 31, 2022 |
Year
Ended December 31, 2023 |
Year
Ended December 31, 2022 | ||||
| Increase (Decrease) in Net Assets | |||||||
| Operations: | |||||||
| Net investment income (loss) | $ 3,280,655 | $ 4,093,389 | $ 38,520,323 | $ 34,301,058 | |||
| Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | 694,246 | 1,012,444 | 66,873,485 | 29,082,241 | |||
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | 26,402,462 | (38,191,968) | 864,081,688 | (838,339,517) | |||
| Net increase (decrease) from operations | 30,377,363 | (33,086,135) | 969,475,496 | (774,956,218) | |||
| Distributions to shareholders: | |||||||
| Total distributions | (3,335,403) | (10,109,923) | (103,313,728) | (244,921,749) | |||
| Increase (decrease) in assets from operations and distributions | 27,041,960 | (43,196,058) | 866,161,768 | (1,019,877,967) | |||
| Share transactions: | |||||||
| Proceeds from sale of shares | 1,123,363 | 1,319,728 | 29,812,242 | 46,867,193 | |||
| Value of distributions reinvested | 2,845,714 | 8,739,289 | 83,869,293 | 199,361,109 | |||
| Cost of shares redeemed | (11,153,754) | (17,765,665) | (256,330,188) | (278,604,671) | |||
| Net increase (decrease) from share transactions | (7,184,677) | (7,706,648) | (142,648,653) | (32,376,369) | |||
| Contribution from affiliate (Note 5) | — | — | — | — | |||
| Total increase (decrease) in net assets | 19,857,283 | (50,902,706) | 723,513,115 | (1,052,254,336) | |||
| Net Assets | |||||||
| Beginning of year | 153,896,751 | 204,799,457 | 2,912,901,478 | 3,965,155,814 | |||
| End of year | $ 173,754,034 | $ 153,896,751 | $ 3,636,414,593 | $ 2,912,901,478 | |||
| Changes in Fund Shares | |||||||
| Shares sold | 48,534 | 57,624 | 431,748 | 682,298 | |||
| Issued for distributions reinvested | 116,342 | 414,965 | 1,095,731 | 3,419,573 | |||
| Shares redeemed | (481,778) | (796,024) | (3,752,164) | (4,109,858) | |||
| Net increase (decrease) in fund shares | (316,902) | (323,435) | (2,224,685) | (7,987) | |||
The accompanying Notes are an integral part of these
financial statements.
| 110 | Statements of Changes in Net Assets |
| Elfun Diversified Fund | Elfun Tax-Exempt Income Fund | |||||
| Year
Ended December 31, 2023 |
Year
Ended December 31, 2022 |
Year
Ended December 31, 2023 |
Year
Ended December 31, 2022 | |||
| $ 4,263,218 | $ 3,341,934 | $ 34,460,274 | $ 32,745,446 | |||
| (16,623) | 2,862,030 | (22,004,512) | (38,399,737) | |||
| 21,358,866 | (38,242,543) | 39,230,213 | (97,949,642) | |||
| 25,605,461 | (32,038,579) | 51,685,975 | (103,603,933) | |||
| (4,450,469) | (12,253,898) | (39,868,126) | (39,613,148) | |||
| 21,154,992 | (44,292,477) | 11,817,849 | (143,217,081) | |||
| 3,675,600 | 4,806,152 | 17,516,652 | 27,813,701 | |||
| 3,924,811 | 10,857,841 | 28,676,526 | 28,329,020 | |||
| (18,223,226) | (17,081,582) | (95,357,812) | (116,189,891) | |||
| (10,622,815) | (1,417,589) | (49,164,634) | (60,047,170) | |||
| — | — | 17,942 | — | |||
| 10,532,177 | (45,710,066) | (37,328,843) | (203,264,251) | |||
| 166,005,944 | 211,716,010 | 1,047,236,434 | 1,250,500,685 | |||
| $ 176,538,121 | $ 166,005,944 | $ 1,009,907,591 | $ 1,047,236,434 | |||
| 200,733 | 245,078 | 1,723,651 | 2,667,177 | |||
| 204,524 | 637,197 | 2,844,784 | 2,728,399 | |||
| (993,874) | (896,699) | (9,471,668) | (11,098,604) | |||
| (588,617) | (14,424) | (4,903,233) | (5,703,028) | |||
The accompanying Notes are an integral part of these financial
statements.
| Statements of Changes in Net Assets | 111 |
Elfun Funds
Statements of Changes in Net Assets
| Elfun Income Fund | Elfun
Government Money Market Fund | ||||||
| Year
Ended December 31, 2023 |
Year
Ended December 31, 2022 |
Year
Ended December 31, 2023 |
Year
Ended December 31, 2022 | ||||
| Increase (Decrease) in Net Assets | |||||||
| Operations: | |||||||
| Net investment income (loss) | $ 5,332,780 | $ 4,480,057 | $ 7,151,168 | $ 2,245,052 | |||
| Net realized gain (loss) on investments, futures and swap contracts | (8,327,799) | (10,985,019) | 28 | 211 | |||
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | 11,185,860 | (22,359,867) | — | — | |||
| Net increase (decrease) from operations | 8,190,841 | (28,864,829) | 7,151,196 | 2,245,263 | |||
| Distributions to shareholders: | |||||||
| Total distributions | (5,736,339) | (7,501,246) | (7,151,430) | (2,245,052) | |||
| Increase (decrease) in assets from operations and distributions | 2,454,502 | (36,366,075) | (234) | 211 | |||
| Share transactions: | |||||||
| Proceeds from sale of shares | 3,850,491 | 10,181,575 | 49,228,579 | 76,139,491 | |||
| Value of distributions reinvested | 4,551,271 | 6,014,489 | 6,813,329 | 2,101,565 | |||
| Cost of shares redeemed | (25,099,421) | (38,368,027) | (68,107,558) | (61,544,131) | |||
| Net increase (decrease) from share transactions | (16,697,659) | (22,171,963) | (12,065,650) | 16,696,925 | |||
| Total increase (decrease) in net assets | (14,243,157) | (58,538,038) | (12,065,884) | 16,697,136 | |||
| Net Assets | |||||||
| Beginning of year | 160,286,260 | 218,824,298 | 159,127,466 | 142,430,330 | |||
| End of year | $ 146,043,103 | $ 160,286,260 | $ 147,061,582 | $ 159,127,466 | |||
| Changes in Fund Shares | |||||||
| Shares sold | 402,137 | 943,220 | 49,228,578 | 76,139,492 | |||
| Issued for distributions reinvested | 472,181 | 598,767 | 6,813,329 | 2,101,565 | |||
| Shares redeemed | (2,610,193) | (3,722,118) | (68,107,558) | (61,544,131) | |||
| Net increase (decrease) in fund shares | (1,735,875) | (2,180,131) | (12,065,651) | 16,696,926 | |||
The accompanying Notes are an integral part of these financial
statements.
| 112 | Statements of Changes in Net Assets |
Elfun Funds
Notes to Financial Statements — December 31, 2023
1.
Organization of the Funds
The Elfun International Equity Fund,
Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (each, a “Fund” and collectively, the “Funds”) are each registered under the Investment Company Act
of 1940, as amended (the “1940 Act”), as open-end management investment companies. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Under each Fund’s organizational
documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts with service providers that
contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Funds in the preparation of their financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Board of Trustees (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value
of investments.
Valuation
techniques used to value each Fund’s investments by major category are as follows:
| • | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
| • | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit. |
| • | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
| • | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
| Notes to Financial Statements | 113 |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
| • | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
| • | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board. |
| • | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an
event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s NAV calculation. Fair value may
be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets,
certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would
result in the investments being classified within Level 2 of the fair value hierarchy.
The Funds value their assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
| • | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
| • | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
| • | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Fund’s investments
according to the fair value hierarchy as of December 31, 2023 is disclosed in each Fund’s Schedule of Investments.
| 114 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
Certain Funds may invest in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds’ policy is to record all REIT
distributions initially as dividend income and re-designate the prior calendar year’s to return of capital or capital gains distributions at year end based on information provided by the REITs and/or the Adviser’s estimates of such
re-designations for which actual information has not yet been reported.
Expenses
Fund specific expenses are charged to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not Fund specific are allocated pro rata across
the Funds.
Foreign Currency
Translation The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated
to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of
the transactions.
The
effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed
separately.
Foreign Taxes The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes
are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected
in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2023, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Distributions Distributions from net investment income, if any, are declared daily and paid monthly for the Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund and declared and paid annually for the
Eflun International Equity Fund, Elfun Trusts and Elfun Diversified Income Fund.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Securities
and Other Investments
Delayed
Delivery Transactions and When-Issued Securities During the period, the Elfun Diversified Fund and Elfun Income Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take
place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a
delayed delivery or when-issued basis are identified as such in the applicable Fund’s Schedule of Investments. A Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to
such purchase commitments, a Fund identifies securities as
| Notes to Financial Statements | 115 |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
segregated in its records with a value at least equal
to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political,
economic or other factors.
To-Be-Announced Transactions Certain Funds may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used
mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
A Fund may use TBA transactions to
“roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll”. In a TBA roll, a Fund generally will sell the obligation to purchase the pools stipulated in the TBA
agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. A Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date
by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
Default by or bankruptcy of a
counterparty to a TBA transaction would expose a Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To
minimize this risk, a Fund will enter into TBA transactions only with established counterparties. A Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
Repurchase Agreements Certain Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to a Fund to repurchase the
securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund including accrued interest, is required to exceed the value of the
repurchase agreement, including accrued interest.
The applicable Fund monitors, on a daily
basis, the value of the collateral to ensure it is at least equal to the Fund’s the principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government
Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed,
during which the value of the collateral may decline.
As of December 31, 2023, the Elfun
Government Money Market Fund had invested in repurchase agreements with the gross values of $61,124,000 and associated collateral equal to $62,347,501.
4.Derivative
Financial Instruments
Futures
Contracts Certain Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a
future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated
on the Schedule of Investments and cash deposited, if any, is shown as Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the
daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A
Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
| 116 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
During the fiscal year ended December 31,
2023, the following Funds entered into futures contracts for the strategies listed below:
| Fund | Strategies |
| Elfun International Equity Fund | Equitization of Cash |
| Elfun Diversified Fund | Management of Interest Rate Risk and Equitization of Cash |
| Elfun Income Fund | Management of Interest Rate Risk |
Credit Default Swaps During the fiscal year ended December 31, 2023, the Elfun Diversified Fund and Elfun Income Fund engaged in credit default swaps to manage credit risk. When a Fund is the buyer in a credit default swap contract, a Fund
is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared
swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the
contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have
little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional
amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include
bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would
be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default
swap agreement entered into by a Fund for the same referenced obligation.
As the seller, a Fund may create
economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate
on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation
(depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any,
are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization.
For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an
amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is
the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if a Fund had invested in the referenced debt obligation directly. If a Fund is a buyer of a credit default swap and no credit event occurs, a Fund will
not earn any return on its investment. If a Fund is a seller of a credit default swap, a Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject a Fund to the risk that the counterparty to the transaction may
not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
| Notes to Financial Statements | 117 |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
The following tables summarize the value
of the Funds’ derivative instruments as of December 31, 2023 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
| Asset Derivatives | ||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | |
| Elfun International Equity Fund | ||||||
| Futures Contracts | $ — | $ — | $ — | $ 21,025 | $ — | $ 21,025 |
| Elfun Diversified Fund | ||||||
| Futures Contracts | $ 470,804 | $ — | $ — | $ 17,852 | $ — | $ 488,656 |
| Swap Contracts | — | — | 75,398 | — | — | 75,398 |
| Elfun Income Fund | ||||||
| Futures Contracts | $ 1,389,405 | $ — | $ — | $ — | $ — | $ 1,389,405 |
| Swap Contracts | — | — | 208,293 | — | — | 208,293 |
| Realized Gain (Loss) | ||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | |
| Elfun International Equity Fund | ||||||
| Futures Contracts | $ — | $ — | $ — | $ 166,377 | $ — | $ 166,377 |
| Elfun Diversified Fund | ||||||
| Futures Contracts | $ (630,155) | $ — | $ — | $ 46,244 | $ — | $ (583,911) |
| Swap Contracts | — | — | 210,019 | — | — | 210,019 |
| Elfun Income Fund | ||||||
| Futures Contracts | $ (1,701,442) | $ — | $ — | $ — | $ — | $ (1,701,442) |
| Swap Contracts | — | — | 509,179 | — | — | 509,179 |
| Net Change in Unrealized Appreciation/Depreciation | ||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | |
| Elfun International Equity Fund | ||||||
| Futures Contracts | $ — | $ — | $ — | $ 27,002 | $ — | $ 27,002 |
| Elfun Diversified Fund | ||||||
| Futures Contracts | $ 474,011 | $ — | $ — | $ 31,435 | $ — | $ 505,446 |
| Swap Contracts | — | — | (41,324) | — | — | (41,324) |
| Elfun Income Fund | ||||||
| Futures Contracts | $ 1,342,451 | $ — | $ — | $ — | $ — | $ 1,342,451 |
| Swap Contracts | — | — | (79,001) | — | — | (79,001) |
| 118 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
5.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
| Fund | Management Fee |
| Elfun International Equity Fund | 0.21% |
| Elfun Trusts | 0.14% |
| Elfun Diversified Fund | 0.17% |
| Elfun Tax-Exempt Income Fund | 0.16% |
| Elfun Income Fund | 0.17% |
| Elfun Government Money Market Fund | 0.10% |
SSGA FM is
contractually obligated until April 30, 2024 to waive its Management Fee and/or reimburse certain expenses for the Elfun Diversified Fund and Elfun Income Fund, in an amount equal to any acquired fund fees and expenses (“AFFEs”),
excluding AFFEs derived from each Fund’s holdings in acquired funds for cash management purposes, if any. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to April 30, 2024 except with approval of the
Board.
Amounts waived or reimbursed
are included in the respective Statement of Operations.
Each of the Adviser and certain of its
affiliates (each a “Service Provider”) also may voluntarily reduce all or a portion of its fees and/or reimburse expenses for the Elfun Government Money Market Fund to the extent necessary to attempt to maintain a certain minimum net
yield, which may vary from time to time, in SSGA FM's sole discretion (any such waiver or reimbursement of expenses by a Service Provider being referred to herein as a ”Voluntary Reduction”). Under an agreement with the Service Providers
relating to the Voluntary Reduction, the Elfun Government Money Market Fund has agreed to reimburse the Service Providers for the full dollar amount of any Voluntary Reduction beginning on May 1, 2020, subject to certain limitations. Each Service
Provider may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from the Elfun Government Money Market Fund. A reimbursement to the Service Provider would increase fund expenses and may negatively impact the
Elfun Government Money Market Fund’s yield during such period. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that the Elfun Government Money Market Fund will be able to avoid a negative yield. Fees
reduced or expenses reimbursed by the Service Providers in connection with the Voluntary Reduction for the year ended December 31, 2023 were $0.
As of December 31, 2023, SSGA FM has not
recouped any expenses from the Elfun Government Money Market Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:
| Expiration Date | Amount |
| 12/31/2024 | $233,832 |
| 12/31/2025 | $ 43,973 |
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Funds. Amounts paid by the Funds to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statements of Operations.
Other Transactions with Affiliates The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2023 are disclosed in the Schedules of Investments.
During the fiscal year ended December 31,
2023, SSGA FM made a contribution of $17,942 to the Elfun Tax-Exempt Income Fund related to a trading matter.
| Notes to Financial Statements | 119 |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
6.Trustees'
Fees
The fees and expenses of
each Fund’s trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
7.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the year ended December 31, 2023 were as follows:
| U.S.
Government Obligations |
Other
Securities | ||||
| Fund | Purchases | Sales | Purchases | Sales | |
| Elfun International Equity Fund | $ — | $ — | $ 14,023,758 | $ 21,421,076 | |
| Elfun Trusts | — | — | 714,721,437 | 928,974,544 | |
| Elfun Diversified Fund | 17,464,780 | 21,732,111 | 52,598,136 | 57,554,857 | |
| Elfun Tax-Exempt Income Fund | — | — | 793,508,338 | 817,171,032 | |
| Elfun Income Fund | 381,073,547 | 395,504,055 | 19,091,609 | 27,550,764 | |
8.Income Tax Information
The Funds have qualified and intend to
continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to the federal income taxes to the extent it distributes its taxable income, including any net
realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds' tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the
financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on NAVs or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to
differing treatments for character of distributions, paydown gains and losses, futures contracts, swap contracts, straddle loss deferrals, return of capital adjustments, wash sale loss deferrals, and amortization and accretion of premium and
discount for financial statement purposes.
The tax character of distributions paid
during the fiscal year ended December 31, 2023 were as follows:
| Fund | Exempt
Income |
Ordinary
Income |
Long-Term
Capital Gains |
Total |
| Elfun International Equity Fund | $ — | $ 3,335,403 | $ — | $ 3,335,403 |
| Elfun Trusts | — | 56,486,542 | 46,827,186 | 103,313,728 |
| Elfun Diversified Fund | — | 3,740,490 | 709,979 | 4,450,469 |
| Elfun Tax-Exempt Income Fund | 39,197,233 | 670,893 | — | 39,868,126 |
| Elfun Income Fund | — | 5,736,339 | — | 5,736,339 |
| Elfun Government Money Market Fund | — | 7,151,430 | — | 7,151,430 |
| 120 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
The tax character of distributions paid
during the fiscal year ended December 31, 2022 was as follows:
| Fund | Exempt
Income |
Ordinary
Income |
Long-Term
Capital Gains |
Total |
| Elfun International Equity Fund | $ — | $ 4,234,360 | $ 5,875,563 | $ 10,109,923 |
| Elfun Trusts | — | 41,029,943 | 203,891,806 | 244,921,749 |
| Elfun Diversified Fund | — | 4,049,986 | 8,203,912 | 12,253,898 |
| Elfun Tax-Exempt Income Fund | 39,349,026 | 264,122 | — | 39,613,148 |
| Elfun Income Fund | — | 5,213,578 | 2,287,668 | 7,501,246 |
| Elfun Government Money Market Fund | — | 2,245,052 | — | 2,245,052 |
At December 31,
2023, the components of distributable earnings on a tax basis were as follows:
| Fund | Undistributed
Ordinary Income |
Tax
Exempt Income |
Capital
Loss Carryforwards |
Undistributed
long term gain |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total |
| Elfun International Equity Fund | $ 58,234 | $ — | $ (1,127,928) | $ — | $ 51,685,809 | $— | $ 50,616,115 |
| Elfun Trusts | 4,563,844 | — | — | 28,663,863 | 1,974,373,296 | — | 2,007,601,003 |
| Elfun Diversified Fund | 652,785 | — | — | 1,193,506 | 23,069,238 | — | 24,915,529 |
| Elfun Tax-Exempt Income Fund | — | 60,437 | (103,997,585) | — | 10,298,539 | — | (93,638,609) |
| Elfun Income Fund | 16,758 | — | (19,805,726) | — | (8,927,831) | — | (28,716,799) |
| Elfun Government Money Market Fund | 32 | — | — | — | — | — | 32 |
As of December
31, 2023, the Funds had capital loss carryforwards available to offset future realized capital gains as follows:
| Fund | Non-Expiring
Short Term |
Non-Expiring
Long Term |
| Elfun International Equity Fund | $ — | $ 1,127,928 |
| Elfun Tax-Exempt Income Fund | 47,192,459 | 56,805,126 |
| Elfun Income Fund | 7,189,579 | 12,616,147 |
As of December
31, 2023, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
| Fund | Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
| Elfun International Equity Fund | $ 121,983,542 | $ 56,013,765 | $ 4,351,744 | $ 51,662,021 |
| Elfun Trusts | 1,660,696,076 | 1,987,000,244 | 12,626,949 | 1,974,373,295 |
| Elfun Diversified Fund | 159,824,579 | 27,137,917 | 4,073,828 | 23,064,089 |
| Elfun Tax-Exempt Income Fund | 1,004,076,997 | 22,949,226 | 12,650,687 | 10,298,539 |
| Elfun Income Fund | 167,165,641 | 1,991,793 | 10,919,624 | (8,927,831) |
| Elfun Government Money Market Fund | 149,979,732 | — | — | — |
| Notes to Financial Statements | 121 |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
9.Line
of Credit
The Funds (excluding the
Elfun Government Money Market Fund) and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $180 million of a $960 million ($200 million of $1.275 billion prior to October 5,
2023) revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2024 unless extended or renewed.
The Participants are charged an annual
commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Funds had no outstanding loans as of
December 31, 2023.
10.Risks
Concentration Risk As a result of a Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of a Fund's investments more than if a Fund was more broadly diversified.
Interest Rate Risk The risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in
governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and
liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of a Fund’s investments. The U.S. Federal Reserve has been engaged in an aggressive campaign to raise interest rates in an
effort to combat historically high levels of inflation. Interest rate increases may continue. High levels of inflation and/or a significantly changing interest rate environment can lead to heightened levels of volatility and reduced
liquidity.
Foreign and
Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government
regulation, economic, political and social instability in the countries in which a Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund
invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Russian Sanctions Risk Sanctions threatened or imposed by a number of jurisdictions, including the United States, the European Union and the United Kingdom, and other intergovernmental actions that have been or may be undertaken in the
future, against Russia, Russian entities or Russian individuals, may result in the devaluation of Russian currency, a downgrade in the country’s credit rating, an immediate freeze of Russian assets, a decline in the value and liquidity of
Russian securities, property or interests, and/or other adverse consequences to the Russian economy or a Fund. The scope and scale of sanctions in place at a particular time may be expanded or otherwise modified in a way that have negative effects
on a Fund. Sanctions, or the threat of new or modified sanctions, could impair the ability of a Fund to buy, sell, hold, receive, deliver or otherwise transact in certain affected securities or other investment instruments. Sanctions could also
result in Russia taking counter measures or other actions in response, which may further impair the value and liquidity of Russian securities. These sanctions, and the resulting disruption of the Russian economy, may cause volatility in other
regional and global markets and may negatively impact the performance of various sectors and industries, as well as companies in other countries, which could have a negative effect on the performance of a Fund, even if a Fund does not have direct
exposure to securities of Russian issuers. As a collective result of the imposition of sanctions, Russian government countermeasures and the impact that they have had on the trading markets for Russian
| 122 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31,
2023
securities, certain Funds have used, and may in the future
use, fair valuation procedures approved by the Fund’s Board to value certain Russian securities, which could result in such securities being deemed to have a zero value.
Credit Risk
A Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.
Market Risk A Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices
of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. A
Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness, such as
COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
11.Recent
Accounting Pronouncement
In
December 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2206 Reference Rate Reform (Topic 848). ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with
respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective
immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.
12.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
| Notes to Financial Statements | 123 |
Elfun Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Elfun
International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and
liabilities of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (collectively referred to as the “Funds”), including the
schedules of investments, as of December 31, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the
five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the
Funds at December 31, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then
ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of
the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were
we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an
opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the
risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing
procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable
basis for our opinion.
We have served as
the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 23, 2024
| 124 | Report of Independent Registered Public Accounting Firm |
Elfun Funds
Other Information — December 31,
2023 (Unaudited)
Tax Information
For federal income tax purposes, the following information is
furnished with respect to the distributions of the Funds for their fiscal year ended December 31, 2023.
Dividends Received Deduction
The Funds report the maximum amount allowable of their net
taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the
fiscal year ended December 31, 2023 is considered qualified dividend income and are eligible for reduced tax rates. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and
Growth Tax Relief Reconciliation Act of 2003.
Long Term
Capital Gains Distributions
Long term capital gain
dividends were paid from the Funds during the year ended December 31, 2023:
| Amount | |
| Elfun Trusts | $46,827,186 |
| Elfun Diversified Fund | 709,979 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code
Section 853 to pass through foreign taxes paid by each Fund to its shareholders. For the year ended December 31, 2023, the total amount of foreign taxes that will be passed through are:
| Amount | |
| Elfun International Equity Fund | $107,789 |
The amount of foreign source income
earned on the following Fund during the year ended December 31, 2023 was as follows:
| Amount | |
| Elfun International Equity Fund | $3,939,298 |
Tax-Exempt Income
For the fiscal year ended December 31, 2023, the following
Fund hereby designates as exempt-interest dividends the amounts set forth, or the amount ultimately treated as exempt-interest dividends:
| Amount | |
| Elfun Tax-Exempt Income Fund | $39,197,233 |
| Other Information | 125 |
Elfun Funds
Other Information, continued — December 31,
2023 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Funds have adopted the proxy voting policies
of the Adviser. A description of the Funds' proxy voting policies and procedures that are used by the Funds' Adviser to vote proxies relating to Funds' portfolio of securities are available (i) without charge, upon request, by calling
1-800-242-0134 (toll free) and (ii) on the SEC’s website at www.sec.gov. Information regarding how the Funds voted for the prior 12-month period ended June 30 is available by August 31 of each year by
calling the same number and on the SEC's website, at www.sec.gov, and on the Funds' website at www.ssga.com.
Quarterly Portfolio Schedule
With the exception of the Elfun Government Money Market
Fund, following the Funds’ first and third fiscal quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the SEC’s website at
www.sec.gov and on the Funds’ website at www.ssga.com. The Funds’ Schedules of Investments are available upon request, without charge, by calling
1-800-242-0134 (toll free).
Monthly Portfolio
Schedule
The Elfun Government Money Market Fund files
its portfolio holdings monthly with the SEC on Form N-MFP. The Fund’s Form N-MFP is available on the SEC’s website at www.sec.gov. The Fund’s monthly portfolio holdings are available at the
Fund’s website at www.ssga.com.
| 126 | Other Information |
Elfun Funds
Other Information, continued — December 31,
2023 (Unaudited)
TRUSTEES AND OFFICERS
| Name,
Address, and Year of Birth |
Position(s)
Held with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation During Past Five Years and Relevant Experience |
Number
of Funds in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During Past Five Years |
| INDEPENDENT TRUSTEES | |||||
| Patrick
J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 |
Trustee
and Chairperson of the Board |
Term:
Indefinite Appointed: 4/16 Elected: 6/16 |
Associate
Justice of the Superior Court, Commonwealth of Massachusetts (2002 – May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 – 2002); Independent Director, State Street Global Advisors Europe (investment company) (1998 – 2023); Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc) (1998 – 2023); Independent Director, SSGA Fixed Income plc (January 2009 – present); and Independent Director, SSGA Qualified Funds plc (January 2009 – 2019). |
54 | Board
Director and Chairman, SSGA SPDR ETFs Europe I, plc Board (2011 – March 2023); Board Director and Chairman, SPDR Europe II, plc (2013 – March 2023). Board Director, State Street Liquidity plc (1998 – March 2023). |
| John
R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 |
Trustee
and Chairperson of the Qualified Legal Compliance Committee |
Term:
Indefinite Elected: 12/18 |
Executive,
Kleinfeld Bridal Corp. (January 2023 – present); Senior Advisor to NGN Capital LLC (January 2020 – present); Managing General Partner, NGN Capital LLC (2006 – December 2019). |
54 | Director
of Kleinfeld Bridal Corp. (January 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2017); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (2019-present); Trustee of Gregorian University Foundation (1992 – 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 – present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 – present); Trustee, Gallim Dance (December 2021 – present). |
| Other Information | 127 |
Elfun Funds
Other Information, continued — December 31,
2023 (Unaudited)
| Name,
Address, and Year of Birth |
Position(s)
Held with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation During Past Five Years and Relevant Experience |
Number
of Funds in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During Past Five Years |
| INDEPENDENT TRUSTEES (continued) | |||||
| Donna
M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 |
Trustee,
Chairperson of the Audit Committee, Vice-Chairperson of the Nominating Committee and Vice-Chairperson of the Governance Committee |
Term:
Indefinite Elected: 12/18 |
Dean
of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. |
54 | Director-
Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
| Michael
A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 |
Trustee
and Chairperson of the Valuation Committee |
Term:
Indefinite Appointed: 7/16 Elected: 12/18 |
Retired;
formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). |
54 | None. |
| Margaret
McLaughlin c/o SSGA Funds Management,Inc. One Iron Street Boston,MA 02210 YOB: 1967 |
Trustee,
Vice-Chairperson of the Audit Committee and Vice-Chairperson of the Qualified Legal Compliance Committee |
Term:
Indefinite Appointed: 9/22 |
Consultant,Bates
Group(consultants)(September 2020 – January 2023) consultant,Madison Dearborn Partners (private equity)(2019 – 2020) General Counsel/CCO, kramer Van Krik Credit strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology)(2011 – 2019) |
54 | Director,Manning
& Naiper Fund Inc(2021 – 2022) |
| George
M. Pereira c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1964 |
Trustee,
Chairperson of the Nominating Committee and Chairperson of the Governance Committee |
Term:
Indefinite Appointed: 9/22 |
Chief
Operating Officer (January 2011 – September 2020) and Chief Financial Officer (November 2004 – September 2020), Charles Schwab Investment Management. |
54 | Director,
Pave Finance Inc. (May 2023 – present); Director, Pacific Premier Bancorp,Pacific Premier Bank(2021 – present) Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds plc. (2005 – 2020); Director, Rotaplast International, Inc. . (non-profit providing free medical services to children worldwide) (2012 – 2018). |
| 128 | Other Information |
Elfun Funds
Other Information, continued — December 31,
2023 (Unaudited)
| Name,
Address, and Year of Birth |
Position(s)
Held with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation During Past Five Years and Relevant Experience |
Number
of Funds in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During Past Five Years |
| INDEPENDENT TRUSTEES (continued) | |||||
| Mark
E. Swanson c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1963 |
Trustee
and Vice-Chairperson of the Valuation Committee |
Term:
Indefinite Appointed: 3/23 |
Treasurer, Chief Accounting Officer and Chief Financial Officer, Russell Investment Funds (“RIF”) (1998 – 2022); Global Head of Fund Services, Russell Investments (2013 – 2022); Treasurer, Chief Accounting Officer and Chief Financial Officer, Russell Investment Company (“RIC”) (1998 – 2022); President and Chief Executive Officer, RIF (2016 – 2017 and 2020 – 2022); President and Chief Executive Officer, RIC (2016 – 2017 and 2020 – 2022). | 54 | Director and President, Russell Investments Fund Services, LLC (2010 – 2023); Director, Russell Investment Management, LLC, Russell Investments Trust Company and Russell Investments Financial Services, LLC (2010 – 2023). |
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
| Other Information | 129 |
Elfun Funds
Other Information, continued — December 31,
2023 (Unaudited)
| Name,
Address, and Year of Birth |
Position(s)
Held with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation During Past Five Years |
| OFFICERS | |||
| Ann
M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 |
President
and Principal Executive Officer; Deputy Treasurer |
Term:
Indefinite Served: since 10/12 Term: Indefinite Served: since 5/23 |
Chief
Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 – present).* |
| Bruce
S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 |
Treasurer | Term:
Indefinite served:since 7/16 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). |
| Chad
C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 |
Deputy
Treasurer |
Term:
Indefinite served: since7/16 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President. |
| Darlene
Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 |
Deputy
Treasurer |
Term:
Indefinite served:since 11/16 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
| Arthur
A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 |
Deputy
Treasurer |
Term:
Indefinite served:since 7/16 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present). |
| David
K. Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 |
Assistant Treasurer | Term:
Indefinite served: since 11/20 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017).* |
| John
Bettencourt SSGA Funds Management, Inc. One Iron Street Boston MA 02210 YOB:1976 |
Assistant Treasurer | Term:
Indefinite served: since 5/22 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc.(March 2020 – present); Assistant Vice President, State Street Global Advisors (June 2007 – March 2020). |
| 130 | Other Information |
Elfun Funds
Other Information, continued — December 31,
2023 (Unaudited)
| Name,
Address, and Year of Birth |
Position(s)
Held with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation During Past Five Years |
| OFFICERS (continued) | |||
| Vedran
Vukovic SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 |
Assistant Treasurer | Term:
Indefinite Served: since 2/24 |
Vice President, State Street Global Advisors (2023 – present); Assistant Vice President, Brown Brothers Harriman & Co. (2011 – 2023). |
| Brian
Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 |
Chief
Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer |
Term:
Indefinite served: since 7/16 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* |
| Andrew
J. DeLorme SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1975 |
Chief Legal Officer | Term:
Indefinite Served: since 2/24 |
Managing Director and Managing Counsel, State Street Global Advisors (March 2023 – present); Counsel, K&L Gates (February 2021 – March 2023); Vice President and Senior Counsel, State Street Global Advisors (August 2014 – February 2021). |
| David
Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 |
Secretary | Term:
Indefinite served: since 9/20 |
Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President and Counsel, Eaton Vance Corp. (October 2010 – October 2019). |
| E.
Gerard Maiorana, Jr. SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 |
Assistant Secretary | Term:
Indefinite Served: since 5/23 |
Assistant Vice President, State Street Global Advisors (July 2014 – present). |
| David
Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 |
Assistant
Secretary |
Term:
Indefinite Elected: 8/19 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * | Served in various capacities and/or with various affiliated entities during noted time period. |
| Other Information | 131 |
| (b) | Not applicable. |
Item 2. Code of Ethics.
As of the end of the period covered by this report, the Elfun Tax-Exempt Income Fund (the “Fund,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. The Code is combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Fund’s Board of Trustees (the “Board”) has determined that the Fund has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Mr. John R. Costantino, Mr. George M. Pereira, Mr. Mark E. Swanson and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
| (a) | Audit Fees |
For the fiscal years ended December 31, 2023 and December 31, 2022, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Registrant’s principal accountant, for the audit of the Registrant’s annual financial statements or services normally provided by E&Y in connection with the Registrant’s statutory and regulatory filings and engagements were $32,345 and $32,345, respectively.
| (b) | Audit-Related Fees |
For the fiscal years ended December 31, 2023 and December 31, 2022, there were no fees for assurance and related services by E&Y that were reasonably related to the performance of the audit of the Registrant’s financial statements that were not reported under paragraph (a) of this Item.
| (c) | Tax Fees |
For the fiscal years ending December 31, 2023 and December 31, 2022 the aggregate tax fees billed for professional services rendered by E&Y for the review of year-end distribution requirements were $2,774 and $2,774, respectively.
| (d) | All Other Fees |
For the fiscal years ended December 31, 2023 and December 31, 2022, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Registrant, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2023 and December 31, 2022, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that (i) relate directly to the operations and financial reporting of the Registrant and (ii) were pre-approved by the Registrant’s Audit Committee were approximately $9,540,002 and $9,327,125, respectively.
| (e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Fund’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
| • | To pre-approve engagements by a Fund Entity’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
| • | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
| • | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
| (e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
| (f) | Not applicable. |
| (g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2023 and December 31, 2022, the aggregate non-audit fees billed by E&Y for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant were approximately $39,000,000 and $38,000,000, respectively.
| (h) | E&Y notified the Fund’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Fund, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Fund’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
| (i) | Not applicable. |
| (j) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
| (a) | Schedules of Investments are included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
| (a) | Not applicable to the Registrant. |
| (b) | Not applicable to the Registrant. |
Item 13. Exhibits.
| (a)(1) | Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto. |
| (a)(2) |
| (a)(3) | Not applicable to the Registrant. |
| (a)(4) | Not applicable. |
| (b) |
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 TAX-EXEMPT INCOME FUND | ||
| By: | /s/ Ann M. Carpenter | |
| Ann M. Carpenter | ||
| President (Principal Executive Officer) | ||
| Date: | March 7, 2024 | |
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/ Ann M. Carpenter | |
| Ann M. Carpenter | ||
| President (Principal Executive Officer) | ||
| Date: | March 7, 2024 | |
| By: | /s/ Bruce S. Rosenberg | |
| Bruce S. Rosenberg | ||
| Treasurer (Principal Financial and Accounting Officer) | ||
| Date: | March 7, 2024 | |