Elfun Trusts
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: 811-00483
ELFUN TRUSTS
(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: |
| Joshua A. Weinberg, Esq.
Managing Director and Managing Counsel
c/o SSGA Funds Management, Inc.
One Iron Street Boston,
Massachusetts 02210 |
|
Timothy W. Diggins, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02110-2624 |
Registrant’s telephone number, including area code: (617) 664-7037
Date of fiscal year end: December 31
Date of reporting period: June 30, 2018
Item 1. Shareholder Report.
Semi-Annual Report
June 30, 2018
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
Semi-Annual Report
June 30, 2018
(Unaudited)
Table of Contents
This report has been prepared for shareholders and
may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.
Elfun Funds
Notes to Performance — June 30, 2018 (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 http://www.ssga.com/geam 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.
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. for investment advisory and administrative services.
Elfun International Equity Fund
Understanding Your Fund’s Expenses — June 30, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees,
professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during
the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2018.
Actual Expenses
The first section of the table provides
information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as
sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
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| |
|
Actual
Fund Return |
|
|
Hypothetical
5% Return
(2.5% for
the period) |
|
| Account value at the beginning of the period
January 1, 2018 |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
| Account value at the end of the period
June 30, 2018 |
|
$ |
966.50 |
|
|
$ |
1,023.06 |
|
| Expenses paid during the period* |
|
$ |
1.71 |
|
|
$ |
1.76 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio of 0.35% (for the period January 1,
2018-June 30, 2018), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
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| 2 |
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Elfun International Equity Fund |
Elfun International Equity Fund
Fund Information — June 30, 2018 (Unaudited)
Sector Allocation
Portfolio Composition as a % of Fair Value of $223,473 (in thousands) as of June 30, 2018 (a)(b)
Top Ten Largest Holdings
as of June 30, 2018 (as a % of Fair Value) (a)(b)
|
|
|
|
|
| Nestle S.A. |
|
|
3.36 |
% |
| ASML Holding N.V. |
|
|
2.76 |
% |
| Bayer AG |
|
|
2.50 |
% |
| SAP SE |
|
|
2.44 |
% |
| Daikin Industries Ltd. |
|
|
2.38 |
% |
| AIA Group Ltd. |
|
|
2.33 |
% |
| BHP Billiton PLC |
|
|
2.30 |
% |
| Roche Holding AG |
|
|
2.28 |
% |
| Equinor ASA |
|
|
2.15 |
% |
| Vodafone Group PLC |
|
|
2.11 |
% |
| (a) |
Fair Value basis is inclusive of short-term investments in State Street Institutional Treasury Money Market – Premier
Class and 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. |
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| Elfun International Equity Fund |
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|
3 |
|
Elfun International Equity Fund
Schedule of Investments — June 30, 2018 (Unaudited)
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| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Common Stock - 96.6%† |
|
| Australia - 0.7% |
|
| Suncorp Group Ltd. |
|
|
149,214 |
|
|
|
1,608,500 |
|
|
|
|
|
|
|
|
|
|
|
| Belgium - 1.6% |
|
| Anheuser-Busch InBev S.A. |
|
|
35,699 |
|
|
|
3,605,353 |
|
|
|
|
|
|
|
|
|
|
|
| Canada - 1.7% |
|
| Brookfield Asset Management Inc., Class A (h) |
|
|
27,705 |
|
|
|
1,123,195 |
|
| Cenovus Energy Inc. (h) |
|
|
115,804 |
|
|
|
1,201,661 |
|
| Seven Generations Energy Ltd., Class A (a) |
|
|
126,619 |
|
|
|
1,394,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,719,595 |
|
|
|
|
|
|
|
|
|
|
|
| China - 1.3% |
|
| New Oriental Education & Technology Group Inc. ADR |
|
|
30,951 |
|
|
|
2,929,822 |
|
|
|
|
|
|
|
|
|
|
|
| France - 12.3% |
|
| Air Liquide S.A. |
|
|
34,323 |
|
|
|
4,315,952 |
|
| Airbus SE |
|
|
32,626 |
|
|
|
3,819,154 |
|
| AXA S.A. |
|
|
130,520 |
|
|
|
3,202,449 |
|
| BNP Paribas S.A. |
|
|
72,913 |
|
|
|
4,528,044 |
|
| Schneider Electric SE |
|
|
55,799 |
|
|
|
4,652,881 |
|
| Valeo S.A. |
|
|
61,642 |
|
|
|
3,369,642 |
|
| Vivendi S.A. |
|
|
153,989 |
|
|
|
3,775,589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,663,711 |
|
|
|
|
|
|
|
|
|
|
|
| Germany - 12.2% |
|
| Bayer AG |
|
|
50,677 |
|
|
|
5,582,497 |
|
| Fresenius SE & Company KGaA |
|
|
27,354 |
|
|
|
2,197,278 |
|
| HeidelbergCement AG |
|
|
38,134 |
|
|
|
3,209,245 |
|
| Infineon Technologies AG |
|
|
133,849 |
|
|
|
3,411,493 |
|
| KION Group AG (h) |
|
|
35,287 |
|
|
|
2,539,528 |
|
| SAP SE |
|
|
47,108 |
|
|
|
5,442,346 |
|
| Wacker Chemie AG |
|
|
17,156 |
|
|
|
2,246,420 |
|
| Zalando SE (a) |
|
|
48,595 |
|
|
|
2,716,006 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,344,813 |
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 2.3% |
|
| AIA Group Ltd. |
|
|
596,367 |
|
|
|
5,214,586 |
|
|
|
|
|
|
|
|
|
|
|
| India - 1.4% |
|
| ICICI Bank Ltd. |
|
|
795,927 |
|
|
|
3,199,275 |
|
|
|
|
|
|
|
|
|
|
|
| Ireland - 1.7% |
|
| Kerry Group PLC, Class A |
|
|
35,872 |
|
|
|
3,752,660 |
|
|
|
|
|
|
|
|
|
|
|
| Italy - 0.5% |
|
| Intesa Sanpaolo S.p.A. |
|
|
390,615 |
|
|
|
1,134,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Japan - 27.8% |
|
| Daikin Industries Ltd. |
|
|
44,400 |
|
|
|
5,319,261 |
|
| Disco Corp. |
|
|
14,900 |
|
|
|
2,543,755 |
|
| FANUC Corp. |
|
|
19,200 |
|
|
|
3,814,346 |
|
| Hoya Corp. |
|
|
78,200 |
|
|
|
4,447,089 |
|
| Kao Corp. |
|
|
55,500 |
|
|
|
4,233,964 |
|
| Keyence Corp. |
|
|
5,600 |
|
|
|
3,162,876 |
|
| Komatsu Ltd. |
|
|
150,500 |
|
|
|
4,304,464 |
|
| Mitsubishi UFJ Financial Group Inc. |
|
|
789,600 |
|
|
|
4,498,863 |
|
| Mitsui Fudosan Company Ltd. |
|
|
160,118 |
|
|
|
3,865,441 |
|
| Murata Manufacturing Company Ltd. |
|
|
27,697 |
|
|
|
4,655,967 |
|
| Nidec Corp. |
|
|
28,700 |
|
|
|
4,307,656 |
|
| Secom Company Ltd. |
|
|
41,400 |
|
|
|
3,179,613 |
|
| Sekisui House Ltd. |
|
|
201,100 |
|
|
|
3,558,489 |
|
| Shimano Inc. |
|
|
17,200 |
|
|
|
2,524,913 |
|
| SoftBank Group Corp. |
|
|
39,401 |
|
|
|
2,836,132 |
|
| Subaru Corp. |
|
|
103,800 |
|
|
|
3,022,209 |
|
| Tokio Marine Holdings Inc. |
|
|
44,149 |
|
|
|
2,069,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,344,877 |
|
|
|
|
|
|
|
|
|
|
|
| Netherlands - 4.7% |
|
| ASML Holding N.V. |
|
|
31,138 |
|
|
|
6,169,475 |
|
| ING Groep N.V. |
|
|
300,509 |
|
|
|
4,325,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,494,870 |
|
|
|
|
|
|
|
|
|
|
|
| Norway - 2.1% |
|
| Equinor ASA |
|
|
180,941 |
|
|
|
4,804,136 |
|
|
|
|
|
|
|
|
|
|
|
| Portugal - 1.7% |
|
| Galp Energia SGPS S.A. |
|
|
202,594 |
|
|
|
3,863,860 |
|
|
|
|
|
|
|
|
|
|
|
| South Africa - 0.5% |
|
| Naspers Ltd., Class N |
|
|
4,431 |
|
|
|
1,126,642 |
|
|
|
|
|
|
|
|
|
|
|
| Sweden - 3.4% |
|
| Assa Abloy AB, Class B |
|
|
202,189 |
|
|
|
4,314,541 |
|
| Hexagon AB, Class B |
|
|
60,504 |
|
|
|
3,378,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,692,782 |
|
|
|
|
|
|
|
|
|
|
|
| Switzerland - 7.0% |
|
| Givaudan S.A. |
|
|
1,413 |
|
|
|
3,204,669 |
|
| Nestle S.A. |
|
|
96,900 |
|
|
|
7,504,517 |
|
| Roche Holding AG |
|
|
22,950 |
|
|
|
5,097,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,806,746 |
|
|
|
|
|
|
|
|
|
|
|
| Taiwan - 1.1% |
|
| Taiwan Semiconductor Manufacturing Company Ltd. |
|
|
349,900 |
|
|
|
2,484,653 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
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| 4 |
|
Elfun International Equity Fund |
Elfun International Equity Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
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| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 12.6% |
|
| AstraZeneca PLC |
|
|
44,267 |
|
|
|
3,070,039 |
|
| BHP Billiton PLC |
|
|
228,561 |
|
|
|
5,147,988 |
|
| Prudential PLC |
|
|
196,132 |
|
|
|
4,491,373 |
|
| Shire PLC |
|
|
66,342 |
|
|
|
3,735,631 |
|
| Smith & Nephew PLC |
|
|
171,247 |
|
|
|
3,160,723 |
|
| Smiths Group PLC |
|
|
176,088 |
|
|
|
3,947,515 |
|
| Vodafone Group PLC |
|
|
1,940,020 |
|
|
|
4,708,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,261,473 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock
(Cost $182,332,695) |
|
|
|
217,052,354 |
|
|
|
|
|
|
|
|
|
|
|
| Rights - 0.0%* |
|
| Italy - 0.0%* |
|
| Intesa Sanpaolo S.p.A.
(Cost $0) (a) |
|
|
390,615 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $182,332,695) |
|
|
|
217,052,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Short-Term Investments - 2.9% |
|
| State Street Institutional Treasury Money Market Fund - Premier
Class 1.73% (d)(p) |
|
|
3,220,293 |
|
|
|
3,220,293 |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares
1.86% (d)(p) |
|
|
3,200,819 |
|
|
|
3,200,819 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(Cost $6,421,112) |
|
|
|
6,421,112 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
(Cost $188,753,807) |
|
|
|
223,473,466 |
|
|
|
| Other Assets and Liabilities, net - 0.5% |
|
|
|
1,144,579 |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
224,618,045 |
|
|
|
|
|
|
|
|
|
|
Other Information:
The Fund had the following short futures contracts open at June 30, 2018:
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|
|
|
| Description |
|
Expiration
date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Value |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MSCI EAFE Mini Index Futures |
|
|
September 2018 |
|
|
|
7 |
|
|
|
(688,655 |
) |
|
$ |
(684,390 |
) |
|
$ |
4,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended June 30, 2018, average notional value related to futures contracts was $2,452,153 or 1.1% of net
assets.
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2018:
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|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
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|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
$ |
217,052,354 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
217,052,354 |
|
|
|
Short-Term Investments |
|
|
6,421,112 |
|
|
|
— |
|
|
|
— |
|
|
|
6,421,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
223,473,466 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
223,473,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures Contracts - Unrealized Appreciation |
|
$ |
4,265 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun International Equity Fund |
|
|
5 |
|
Elfun International Equity Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
The Fund was invested in the following sectors at June 30, 2018 (unaudited):
|
|
|
|
|
| Sector |
|
Percentage
(based on
Fair Value) |
|
| Diversified Banks |
|
|
7.91% |
|
| Pharmaceuticals |
|
|
6.15% |
|
| Packaged Foods & Meats |
|
|
5.04% |
|
| Integrated Oil & Gas |
|
|
4.42% |
|
| Life & Health Insurance |
|
|
4.34% |
|
| Building Products |
|
|
4.31% |
|
| Electrical Components & Equipment |
|
|
4.01% |
|
| Semiconductor Equipment |
|
|
3.90% |
|
| Wireless Telecommunication Services |
|
|
3.38% |
|
| Construction Machinery & Heavy Trucks |
|
|
3.06% |
|
| Electronic Equipment & Instruments |
|
|
2.93% |
|
| Semiconductors |
|
|
2.64% |
|
| Specialty Chemicals |
|
|
2.44% |
|
| Application Software |
|
|
2.44% |
|
| Diversified Metals & Mining |
|
|
2.30% |
|
| Electronic Components |
|
|
2.08% |
|
| Healthcare Supplies |
|
|
1.99% |
|
| Industrial Gases |
|
|
1.93% |
|
| Personal Products |
|
|
1.90% |
|
| Industrial Conglomerates |
|
|
1.77% |
|
| Diversified Real Estate Activities |
|
|
1.73% |
|
| Aerospace & Defense |
|
|
1.71% |
|
| Industrial Machinery |
|
|
1.71% |
|
| Movies & Entertainment |
|
|
1.69% |
|
|
|
|
|
|
| Sector |
|
Percentage
(based on
Fair Value) |
|
| Biotechnology |
|
|
1.67% |
|
| Property & Casualty Insurance |
|
|
1.65% |
|
| Brewers |
|
|
1.61% |
|
| Home Building |
|
|
1.59% |
|
| Auto Parts & Equipment |
|
|
1.51% |
|
| Construction Materials |
|
|
1.44% |
|
| Multi-Line Insurance |
|
|
1.43% |
|
| Security & Alarm Services |
|
|
1.42% |
|
| Healthcare Equipment |
|
|
1.42% |
|
| Automobile Manufacturers |
|
|
1.35% |
|
| Education Services |
|
|
1.31% |
|
| Internet & Direct Marketing Retail |
|
|
1.22% |
|
| Leisure Products |
|
|
1.13% |
|
| Healthcare Services |
|
|
0.98% |
|
| Oil & Gas Exploration & Production |
|
|
0.62% |
|
| Cable & Satellite |
|
|
0.50% |
|
| Asset Management & Custody Banks |
|
|
0.50% |
|
|
|
|
|
|
|
|
|
97.13% |
|
|
|
|
|
|
|
|
| Short-Term Investments |
|
|
|
|
| Short-Term Investments |
|
|
2.87% |
|
|
|
|
|
|
|
|
|
2.87% |
|
|
|
|
|
|
|
|
|
100.00% |
|
|
|
|
|
|
Affiliate Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares
Held at
12/31/17 |
|
|
Value At
12/31/17 |
|
|
Cost of
Purchases |
|
|
Proceeds
from
Shares
Sold |
|
|
Realized
Gain
(Loss) |
|
|
Change in
Unrealized
Appreciation/
Depreciation |
|
|
Number
of Shares
Held at
6/30/18 |
|
|
Value at
6/30/18 |
|
|
Dividend
Income |
|
|
Capital
Gains
Distributions |
|
| State Street Institutional Treasury Money Market Fund - Premier Class |
|
|
— |
|
|
$ |
— |
|
|
$ |
13,408,531 |
|
|
$ |
10,188,238 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
3,220,293 |
|
|
$ |
3,220,293 |
|
|
$ |
24,312 |
|
|
$ |
— |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares |
|
|
10,975,209 |
|
|
|
10,975,209 |
|
|
|
16,510,142 |
|
|
|
24,284,532 |
|
|
|
— |
|
|
|
— |
|
|
|
3,200,819 |
|
|
|
3,200,819 |
|
|
|
38,014 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL |
|
|
|
|
|
$ |
10,975,209 |
|
|
$ |
29,918,673 |
|
|
$ |
34,472,770 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
$ |
6,421,112 |
|
|
$ |
62,326 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 6 |
|
Elfun International Equity Fund |
Elfun Trusts
Understanding Your Fund’s Expenses — June 30, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees,
professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during
the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2018.
Actual Expenses
The first section of the table provides
information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as
sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
|
|
|
|
|
|
|
|
|
| |
|
Actual
Fund Return |
|
|
Hypothetical
5% Return
(2.5% for
the period) |
|
| Account value at the beginning of the period
January 1, 2018 |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
| Account value at the end of the period
June 30, 2018 |
|
$ |
1,041.40 |
|
|
$ |
1,023.90 |
|
| Expenses paid during the period* |
|
$ |
0.91 |
|
|
$ |
0.90 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio of 0.18% (for the period January 1,
2018-June 30, 2018), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
Elfun Trusts
Fund
Information — June 30, 2018 (Unaudited)
Sector Allocation
Portfolio Composition as a % of Fair Value of $2,776,555 (in thousands) as of June 30, 2018 (a)(b)
Top Ten Largest Holdings
as of June 30, 2018 (as a % of Fair Value) (a)(b)
|
|
|
|
|
| Visa Inc., Class A |
|
|
5.49 |
% |
| JPMorgan Chase & Co. |
|
|
4.50 |
% |
| Apple Inc. |
|
|
4.13 |
% |
| CME Group Inc. |
|
|
4.07 |
% |
| The Charles Schwab Corp. |
|
|
3.79 |
% |
| PepsiCo Inc. |
|
|
3.76 |
% |
| Amazon.com Inc. |
|
|
3.49 |
% |
| Alphabet Inc., Class C |
|
|
3.34 |
% |
| Microsoft Corp. |
|
|
3.29 |
% |
| Schlumberger Ltd. |
|
|
3.26 |
% |
| (a) |
Fair Value basis is inclusive of short-term investments in State Street Institutional Treasury Money Market Fund –
Premier Class and 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. |
Elfun Trusts
Schedule of
Investments — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Common Stock - 96.1%† |
|
| Application Software - 4.1% |
|
| Intuit Inc. |
|
|
190,000 |
|
|
|
38,817,950 |
|
| salesforce.com Inc. (a) |
|
|
540,000 |
|
|
|
73,656,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,473,950 |
|
|
|
|
|
|
|
|
|
|
|
| Biotechnology - 6.3% |
|
| Alexion Pharmaceuticals Inc. (a) |
|
|
570,000 |
|
|
|
70,765,500 |
|
| Biogen Inc. (a) |
|
|
95,000 |
|
|
|
27,572,800 |
|
| Gilead Sciences Inc. |
|
|
450,000 |
|
|
|
31,878,000 |
|
| Vertex Pharmaceuticals Inc. (a) |
|
|
270,000 |
|
|
|
45,889,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
176,105,500 |
|
|
|
|
|
|
|
|
|
|
|
| Cable & Satellite - 7.0% |
|
| Charter Communications Inc., Class A (a) |
|
|
240,000 |
|
|
|
70,370,400 |
|
| Comcast Corp., Class A |
|
|
1,600,000 |
|
|
|
52,496,000 |
|
| Liberty Global PLC, Class C (a) |
|
|
2,300,000 |
|
|
|
61,203,000 |
|
| Sirius XM Holdings Inc. |
|
|
1,600,000 |
|
|
|
10,832,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194,901,400 |
|
|
|
|
|
|
|
|
| Data Processing & Outsourced Services - 5.5% |
|
| Visa Inc., Class A |
|
|
1,150,000 |
|
|
|
152,317,500 |
|
|
|
|
|
|
|
|
|
|
|
| Diversified Banks - 4.5% |
|
| JPMorgan Chase & Co. |
|
|
1,200,000 |
|
|
|
125,040,000 |
|
|
|
|
|
|
|
|
|
|
|
| Financial Exchanges & Data - 6.6% |
|
| CME Group Inc. |
|
|
690,000 |
|
|
|
113,104,800 |
|
| S&P Global Inc. |
|
|
350,000 |
|
|
|
71,361,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
184,466,300 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Distributors - 0.4% |
|
| Henry Schein Inc. (a) |
|
|
170,000 |
|
|
|
12,348,800 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Equipment - 2.8% |
|
| Boston Scientific Corp. (a) |
|
|
870,000 |
|
|
|
28,449,000 |
|
| Medtronic PLC |
|
|
560,000 |
|
|
|
47,941,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,390,600 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Supplies - 2.5% |
|
| The Cooper Companies Inc. |
|
|
295,000 |
|
|
|
69,457,750 |
|
|
|
|
|
|
|
|
|
|
|
| Industrial Machinery - 0.7% |
|
| Dover Corp. |
|
|
275,000 |
|
|
|
20,130,000 |
|
|
|
|
|
|
|
|
|
|
|
| Integrated Oil & Gas - 2.2% |
|
| Chevron Corp. |
|
|
490,000 |
|
|
|
61,950,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Internet & Direct Marketing Retail - 3.5% |
|
| Amazon.com Inc. (a) |
|
|
57,000 |
|
|
|
96,888,600 |
|
|
|
|
|
|
|
|
|
|
|
| Internet Software & Services - 8.1% |
|
| Alibaba Group Holding Ltd. ADR (a) |
|
|
170,000 |
|
|
|
31,540,100 |
|
| Alphabet Inc., Class A (a) |
|
|
38,000 |
|
|
|
42,909,220 |
|
| Alphabet Inc., Class C (a) |
|
|
83,000 |
|
|
|
92,598,950 |
|
| Facebook Inc., Class A (a) |
|
|
300,000 |
|
|
|
58,296,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
225,344,270 |
|
|
|
|
|
|
|
|
|
|
|
| Investment Banking & Brokerage - 3.8% |
|
| The Charles Schwab Corp. |
|
|
2,060,000 |
|
|
|
105,266,000 |
|
|
|
|
|
|
|
|
|
|
|
| Movies & Entertainment - 2.5% |
|
| The Walt Disney Co. |
|
|
650,000 |
|
|
|
68,126,500 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Equipment & Services - 3.3% |
|
| Schlumberger Ltd. |
|
|
1,350,000 |
|
|
|
90,490,500 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Exploration & Production - 0.7% |
|
| Diamondback Energy Inc. |
|
|
150,000 |
|
|
|
19,735,500 |
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals - 6.5% |
|
| Allergan PLC |
|
|
480,000 |
|
|
|
80,025,600 |
|
| Johnson & Johnson |
|
|
460,000 |
|
|
|
55,816,400 |
|
| Merck & Company Inc. |
|
|
275,000 |
|
|
|
16,692,500 |
|
| Pfizer Inc. |
|
|
750,000 |
|
|
|
27,210,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
179,744,500 |
|
|
|
|
|
|
|
|
|
|
|
| Regional Banks - 1.6% |
|
| First Republic Bank |
|
|
450,000 |
|
|
|
43,555,500 |
|
|
|
|
|
|
|
|
|
|
|
| Reinsurance - 0.3% |
|
| Alleghany Corp. |
|
|
15,000 |
|
|
|
8,624,550 |
|
|
|
|
|
|
|
|
|
|
|
| Restaurants - 0.4% |
|
| Starbucks Corp. |
|
|
200,000 |
|
|
|
9,770,000 |
|
|
|
|
|
|
|
|
|
|
|
| Semiconductor Equipment - 2.5% |
|
| Applied Materials Inc. |
|
|
1,500,000 |
|
|
|
69,285,000 |
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors - 2.0% |
|
| Broadcom Inc. |
|
|
230,000 |
|
|
|
55,807,200 |
|
|
|
|
|
|
|
|
|
|
|
| Soft Drinks - 3.8% |
|
| PepsiCo Inc. |
|
|
960,000 |
|
|
|
104,515,200 |
|
|
|
|
|
|
|
|
|
|
|
| Specialized REITs - 3.2% |
|
| American Tower Corp. |
|
|
620,000 |
|
|
|
89,385,400 |
|
|
|
|
|
|
|
|
|
|
|
| Specialty Chemicals - 0.8% |
|
| Albemarle Corp. |
|
|
250,000 |
|
|
|
23,582,500 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Trusts
Schedule of
Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Systems Software - 3.3% |
|
| Microsoft Corp. |
|
|
925,000 |
|
|
|
91,214,250 |
|
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals - 4.1% |
|
| Apple Inc. |
|
|
620,000 |
|
|
|
114,768,200 |
|
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors - 3.1% |
|
| United Rentals Inc. (a) |
|
|
580,000 |
|
|
|
85,619,600 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock
(Cost $1,513,919,604) |
|
|
|
2,667,305,770 |
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments - 3.9% |
|
| State Street Institutional Treasury Money Market Fund - Premier
Class 1.74% (b)(p) |
|
|
54,744,131 |
|
|
|
54,744,131 |
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares
1.86% (b)(p) |
|
|
54,504,723 |
|
|
|
54,504,723 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(Cost $109,248,854) |
|
|
|
109,248,854 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
(Cost $1,623,168,458) |
|
|
|
2,776,554,624 |
|
|
|
| Other Assets and Liabilities, net - 0.0%* |
|
|
|
831,659 |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
2,777,386,283 |
|
|
|
|
|
|
|
|
|
|
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30,
2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Trusts |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
$ |
2,667,305,770 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,667,305,770 |
|
|
|
Short-Term Investments |
|
|
109,248,854 |
|
|
|
— |
|
|
|
— |
|
|
|
109,248,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
2,776,554,624 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,776,554,624 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares
Held at
12/31/17 |
|
|
Value At
12/31/17 |
|
|
Cost of
Purchases |
|
|
Proceeds
from
Shares
Sold |
|
|
Realized
Gain
(Loss) |
|
|
Change in
Unrealized
Appreciation/
Depreciation |
|
|
Number
of Shares
Held at
6/30/18 |
|
|
Value at
6/30/18 |
|
|
Dividend
Income |
|
|
Capital
Gains
Distributions |
|
| State Street Institutional Treasury Money Market Fund - Premier Class |
|
|
— |
|
|
$ |
— |
|
|
$ |
85,129,983 |
|
|
$ |
30,385,852 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
54,744,131 |
|
|
$ |
54,744,131 |
|
|
$ |
315,270 |
|
|
$ |
— |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares |
|
|
78,219,855 |
|
|
|
78,219,855 |
|
|
|
124,840,983 |
|
|
|
148,556,115 |
|
|
|
— |
|
|
|
— |
|
|
|
54,504,723 |
|
|
|
54,504,723 |
|
|
|
439,223 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL |
|
|
|
|
|
$ |
78,219,855 |
|
|
$ |
209,970,966 |
|
|
$ |
178,941,967 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
$ |
109,248,854 |
|
|
$ |
754,493 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Diversified Fund
Understanding Your Fund’s Expenses — June 30, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees,
professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during
the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2018.
Actual Expenses
The first section of the table provides
information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as
sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
|
|
|
|
|
|
|
|
|
| |
|
Actual
Fund Return |
|
|
Hypothetical
5% Return
(2.5% for
the period) |
|
| Account value at the
beginning of the period
January 1, 2018 |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
| Account value at the
end of the period
June 30, 2018 |
|
$ |
993.00 |
|
|
$ |
1,022.86 |
|
| Expenses paid during the period* |
|
$ |
1.93 |
|
|
$ |
1.96 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio of 0.39% (for the period January 1, 2018 -
June 30, 2018), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
|
|
|
|
|
| Elfun Diversified Fund |
|
|
11 |
|
Elfun Diversified Fund
Fund
Information — June 30, 2018 (Unaudited)
Sector Allocation
Portfolio Composition as a % of Fair Value of $202,935 (in thousands) as of June 30, 2018 (a)(b)
Top Ten Largest Equity Holdings
as of June 30, 2018 (as a % of Fair Value) (a)(b)
|
|
|
|
|
| Apple Inc. |
|
|
1.50 |
% |
| Microsoft Corp. |
|
|
1.25 |
% |
| Amazon.com Inc. |
|
|
1.13 |
% |
| Facebook Inc., Class A |
|
|
0.76 |
% |
| Berkshire Hathaway Inc., Class B |
|
|
0.59 |
% |
| JPMorgan Chase & Co. |
|
|
0.58 |
% |
| Exxon Mobil Corp. |
|
|
0.57 |
% |
| Alphabet Inc., Class C |
|
|
0.56 |
% |
| Alphabet Inc., Class A |
|
|
0.55 |
% |
| Johnson & Johnson |
|
|
0.53 |
% |
| (a) |
Fair Value basis is inclusive of short-term investment in several money market funds. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples
of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to
purchase or sell a particular security. |
| (c) |
Includes investment in SPDR Bloomberg Barclays High Yield Bond ETF. |
| (d) |
Includes investment in State Street Global Equity ex-U.S. Index Portfolio.
|
|
|
|
| 12 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Domestic Equity - 37.8%† |
|
|
|
|
|
|
|
|
| Common Stock - 37.6% |
|
|
|
|
|
|
|
|
| Advertising - 0.0%* |
|
|
|
|
|
|
|
|
| Omnicom Group Inc. (a) |
|
|
741 |
|
|
|
56,520 |
|
| The Interpublic Group of Companies Inc. |
|
|
1,166 |
|
|
|
27,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
83,855 |
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense - 1.0% |
|
| Arconic Inc. |
|
|
1,319 |
|
|
|
22,437 |
|
| General Dynamics Corp. (a) |
|
|
931 |
|
|
|
173,548 |
|
| Harris Corp. (a) |
|
|
409 |
|
|
|
59,117 |
|
| Huntington Ingalls Industries Inc. |
|
|
145 |
|
|
|
31,435 |
|
| L3 Technologies Inc. (a) |
|
|
272 |
|
|
|
52,312 |
|
| Lockheed Martin Corp. (a) |
|
|
835 |
|
|
|
246,685 |
|
| Northrop Grumman Corp. (a) |
|
|
586 |
|
|
|
180,313 |
|
| Raytheon Co. (a) |
|
|
969 |
|
|
|
187,192 |
|
| Rockwell Collins Inc. (a) |
|
|
547 |
|
|
|
73,670 |
|
| Textron Inc. (a) |
|
|
898 |
|
|
|
59,188 |
|
| The Boeing Co. (a) |
|
|
1,840 |
|
|
|
617,339 |
|
| TransDigm Group Inc. (a) |
|
|
165 |
|
|
|
56,949 |
|
| United Technologies Corp. (a) |
|
|
2,469 |
|
|
|
308,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,068,885 |
|
|
|
|
|
|
|
|
|
|
|
|
| Agricultural & Farm Machinery - 0.1% |
|
|
|
|
|
| Deere & Co. (a) |
|
|
1,094 |
|
|
|
152,949 |
|
|
|
|
|
|
|
|
|
|
|
| Agricultural Products - 0.0%* |
|
| Archer-Daniels-Midland Co. (a) |
|
|
1,905 |
|
|
|
87,314 |
|
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics - 0.3% |
|
| CH Robinson Worldwide Inc. |
|
|
443 |
|
|
|
37,063 |
|
| Expeditors International of Washington Inc. |
|
|
597 |
|
|
|
43,643 |
|
| FedEx Corp. (a) |
|
|
803 |
|
|
|
182,331 |
|
| United Parcel Service Inc., Class B (a) |
|
|
2,274 |
|
|
|
241,569 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
504,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Airlines - 0.2% |
|
|
|
|
|
|
|
|
| Alaska Air Group Inc. |
|
|
455 |
|
|
|
27,479 |
|
| American Airlines Group Inc. (a) |
|
|
1,444 |
|
|
|
54,816 |
|
| Delta Air Lines Inc. (a) |
|
|
2,150 |
|
|
|
106,513 |
|
| Southwest Airlines Co. (a) |
|
|
1,782 |
|
|
|
90,670 |
|
| United Continental Holdings Inc. (a)(b) |
|
|
826 |
|
|
|
57,598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
337,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Alternative Carriers - 0.0%* |
|
|
|
|
|
|
|
|
| CenturyLink Inc. (a) |
|
|
3,074 |
|
|
|
57,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Apparel Retail - 0.2% |
|
|
|
|
|
|
|
|
| Foot Locker Inc. |
|
|
400 |
|
|
|
21,062 |
|
| L Brands Inc. |
|
|
887 |
|
|
|
32,714 |
|
| Ross Stores Inc. (a) |
|
|
1,275 |
|
|
|
108,058 |
|
| The Gap Inc. |
|
|
810 |
|
|
|
26,237 |
|
| The TJX Companies Inc. (a) |
|
|
2,128 |
|
|
|
202,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390,616 |
|
|
|
|
|
|
|
|
|
|
|
| Apparel, Accessories & Luxury Goods - 0.1% |
|
| Hanesbrands Inc. |
|
|
1,196 |
|
|
|
26,337 |
|
| Michael Kors Holdings Ltd. (b) |
|
|
477 |
|
|
|
31,769 |
|
| PVH Corp. |
|
|
256 |
|
|
|
38,329 |
|
| Ralph Lauren Corp. |
|
|
208 |
|
|
|
26,151 |
|
| Tapestry Inc. |
|
|
936 |
|
|
|
43,722 |
|
| Under Armour Inc., Class A (b) |
|
|
679 |
|
|
|
15,265 |
|
| Under Armour Inc., Class C (b) |
|
|
682 |
|
|
|
14,378 |
|
| VF Corp. (a) |
|
|
1,122 |
|
|
|
91,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
287,417 |
|
|
|
|
|
|
|
|
|
|
|
| Application Software - 0.6% |
|
| Adobe Systems Inc. (a)(b) |
|
|
1,626 |
|
|
|
396,436 |
|
| ANSYS Inc. (b) |
|
|
260 |
|
|
|
45,288 |
|
| Autodesk Inc. (a)(b) |
|
|
751 |
|
|
|
98,450 |
|
| Cadence Design Systems Inc. (b) |
|
|
900 |
|
|
|
38,980 |
|
| Citrix Systems Inc. (b) |
|
|
406 |
|
|
|
42,566 |
|
| Intuit Inc. (a) |
|
|
808 |
|
|
|
165,079 |
|
| salesforce.com Inc. (a)(b) |
|
|
2,308 |
|
|
|
314,812 |
|
| Synopsys Inc. (b) |
|
|
500 |
|
|
|
42,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,144,397 |
|
|
|
|
|
|
|
|
|
|
|
| Asset Management & Custody Banks - 0.4% |
|
| Affiliated Managers Group Inc. |
|
|
162 |
|
|
|
24,085 |
|
| Ameriprise Financial Inc. (a) |
|
|
506 |
|
|
|
70,780 |
|
| BlackRock Inc. (a) |
|
|
406 |
|
|
|
202,611 |
|
| Franklin Resources Inc. |
|
|
992 |
|
|
|
31,795 |
|
| Invesco Ltd. |
|
|
1,409 |
|
|
|
37,424 |
|
| Northern Trust Corp. (a) |
|
|
732 |
|
|
|
75,316 |
|
| State Street Corp. (a)(c) |
|
|
1,195 |
|
|
|
111,244 |
|
| T Rowe Price Group Inc. (a) |
|
|
799 |
|
|
|
92,757 |
|
| The Bank of New York Mellon Corp. (a) |
|
|
3,355 |
|
|
|
180,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
826,948 |
|
|
|
|
|
|
|
|
|
|
|
| Auto Parts & Equipment - 0.0%* |
|
| BorgWarner Inc. |
|
|
639 |
|
|
|
27,587 |
|
|
|
|
|
|
|
|
|
|
|
| Automobile Manufacturers - 0.2% |
|
| Ford Motor Co. (a) |
|
|
12,955 |
|
|
|
143,416 |
|
| General Motors Co. (a) |
|
|
4,153 |
|
|
|
163,632 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
307,048 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
13 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Automotive Retail - 0.1% |
|
|
|
|
|
|
|
|
| Advance Auto Parts Inc. |
|
|
272 |
|
|
|
36,912 |
|
| AutoZone Inc. (a)(h) |
|
|
87 |
|
|
|
58,373 |
|
| CarMax Inc. (a) |
|
|
603 |
|
|
|
43,943 |
|
| O’Reilly Automotive Inc. (a)(h) |
|
|
289 |
|
|
|
79,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
218,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Biotechnology - 1.0% |
|
|
|
|
|
|
|
|
| AbbVie Inc. (h) |
|
|
5,061 |
|
|
|
468,903 |
|
| Alexion Pharmaceuticals Inc. (a)(h) |
|
|
738 |
|
|
|
91,624 |
|
| Amgen Inc. (h) |
|
|
2,240 |
|
|
|
413,482 |
|
| Biogen Inc. (a)(h) |
|
|
711 |
|
|
|
206,361 |
|
| Celgene Corp. (a)(h) |
|
|
2,360 |
|
|
|
187,432 |
|
| Gilead Sciences Inc. (h) |
|
|
4,376 |
|
|
|
309,997 |
|
| Incyte Corp. (h) |
|
|
580 |
|
|
|
38,861 |
|
| Regeneron Pharmaceuticals Inc. (a)(h) |
|
|
249 |
|
|
|
85,903 |
|
| Vertex Pharmaceuticals Inc. (a)(h) |
|
|
826 |
|
|
|
140,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,942,951 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brewers - 0.0%* |
|
|
|
|
|
|
|
|
| Molson Coors Brewing Co., Class B |
|
|
581 |
|
|
|
39,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Broadcasting - 0.1% |
|
|
|
|
|
|
|
|
| CBS Corp., Class B (h) |
|
|
1,163 |
|
|
|
65,387 |
|
| Discovery Inc., Class A (a) |
|
|
561 |
|
|
|
15,430 |
|
| Discovery Inc., Class C (a) |
|
|
887 |
|
|
|
22,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Products - 0.1% |
|
|
|
|
|
|
|
|
| AO Smith Corp. (h) |
|
|
500 |
|
|
|
29,577 |
|
| Fortune Brands Home & Security Inc. |
|
|
463 |
|
|
|
24,861 |
|
| Johnson Controls International PLC (h) |
|
|
3,020 |
|
|
|
101,021 |
|
| Masco Corp. |
|
|
1,093 |
|
|
|
40,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cable & Satellite - 0.4% |
|
|
|
|
|
|
|
|
| Charter Communications Inc., Class A (a)(h) |
|
|
611 |
|
|
|
179,154 |
|
| Comcast Corp., Class A (h) |
|
|
15,396 |
|
|
|
505,145 |
|
| DISH Network Corp., Class A (a) |
|
|
800 |
|
|
|
26,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
711,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Casinos & Gaming - 0.0%* |
|
|
|
|
|
|
|
|
| MGM Resorts International (h) |
|
|
1,700 |
|
|
|
49,355 |
|
| Wynn Resorts Ltd. |
|
|
265 |
|
|
|
44,349 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
93,704 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Commodity Chemicals - 0.1% |
|
| LyondellBasell Industries N.V., Class A (h) |
|
|
1,064 |
|
|
|
116,889 |
|
|
|
|
|
|
|
|
|
|
|
| Communications Equipment - 0.4% |
|
| Cisco Systems Inc. (h) |
|
|
15,700 |
|
|
|
675,573 |
|
| F5 Networks Inc. (a)(h) |
|
|
207 |
|
|
|
35,699 |
|
| Juniper Networks Inc. |
|
|
1,045 |
|
|
|
28,656 |
|
| Motorola Solutions Inc. (h) |
|
|
513 |
|
|
|
59,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
799,628 |
|
|
|
|
|
|
|
|
|
|
|
| Computer & Electronics Retail - 0.0%* |
|
| Best Buy Company Inc. (h) |
|
|
828 |
|
|
|
61,760 |
|
|
|
|
|
|
|
|
|
|
|
| Construction & Engineering - 0.0%* |
|
| Fluor Corp. |
|
|
514 |
|
|
|
25,076 |
|
| Jacobs Engineering Group Inc. |
|
|
446 |
|
|
|
28,319 |
|
| Quanta Services Inc. (a) |
|
|
558 |
|
|
|
18,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,035 |
|
|
|
|
|
|
|
|
|
|
|
| Construction Machinery & Heavy Trucks - 0.2% |
|
| Caterpillar Inc. (h) |
|
|
1,977 |
|
|
|
268,222 |
|
| Cummins Inc. (h) |
|
|
539 |
|
|
|
71,690 |
|
| PACCAR Inc. (h) |
|
|
1,125 |
|
|
|
69,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
409,620 |
|
|
|
|
|
|
|
|
|
|
|
| Construction Materials - 0.1% |
|
| Martin Marietta Materials Inc. |
|
|
211 |
|
|
|
47,127 |
|
| Vulcan Materials Co. (h) |
|
|
449 |
|
|
|
57,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
105,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Finance - 0.3% |
|
|
|
|
|
|
|
|
| American Express Co. (h) |
|
|
2,420 |
|
|
|
237,162 |
|
| Capital One Financial Corp. (h) |
|
|
1,631 |
|
|
|
149,891 |
|
| Discover Financial Services (h) |
|
|
1,157 |
|
|
|
81,466 |
|
| Synchrony Financial (h) |
|
|
2,296 |
|
|
|
76,643 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
545,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Copper - 0.0%* |
|
|
|
|
|
|
|
|
| Freeport-McMoRan Inc. (h) |
|
|
4,627 |
|
|
|
79,870 |
|
|
|
|
|
|
|
|
|
|
|
| Data Processing & Outsourced Services - 1.2% |
|
| Alliance Data Systems Corp. |
|
|
158 |
|
|
|
36,846 |
|
| Automatic Data Processing Inc. (h) |
|
|
1,471 |
|
|
|
197,321 |
|
| Broadridge Financial Solutions Inc. |
|
|
390 |
|
|
|
44,890 |
|
| Fidelity National Information Services Inc. (h) |
|
|
1,092 |
|
|
|
115,785 |
|
| Fiserv Inc. (a)(h) |
|
|
1,364 |
|
|
|
101,059 |
|
| FleetCor Technologies Inc. (a) |
|
|
300 |
|
|
|
63,196 |
|
| Global Payments Inc. (h) |
|
|
508 |
|
|
|
56,637 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 14 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Mastercard Inc., Class A (h) |
|
|
3,076 |
|
|
|
604,496 |
|
| Paychex Inc. (h) |
|
|
1,109 |
|
|
|
75,801 |
|
| PayPal Holdings Inc. (a)(h) |
|
|
3,716 |
|
|
|
309,432 |
|
| The Western Union Co. |
|
|
1,491 |
|
|
|
30,313 |
|
| Total System Services Inc. |
|
|
531 |
|
|
|
44,881 |
|
| Visa Inc., Class A (h) |
|
|
5,928 |
|
|
|
785,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,465,821 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Department Stores - 0.0%* |
|
|
|
|
|
|
|
|
| Kohl’s Corp. |
|
|
552 |
|
|
|
40,244 |
|
| Macy’s Inc. |
|
|
919 |
|
|
|
34,401 |
|
| Nordstrom Inc. |
|
|
429 |
|
|
|
22,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96,861 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distillers & Vintners - 0.1% |
|
|
|
|
|
|
|
|
| Brown-Forman Corp., Class B (h) |
|
|
892 |
|
|
|
43,721 |
|
| Constellation Brands Inc., Class A (h) |
|
|
584 |
|
|
|
127,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
171,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributors - 0.0%* |
|
|
|
|
|
|
|
|
| Genuine Parts Co. |
|
|
490 |
|
|
|
44,981 |
|
| LKQ Corp. (a) |
|
|
1,036 |
|
|
|
33,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Banks - 1.9% |
|
|
|
|
|
|
|
|
| Bank of America Corp. (h) |
|
|
31,492 |
|
|
|
887,761 |
|
| Citigroup Inc. (h) |
|
|
8,565 |
|
|
|
573,171 |
|
| JPMorgan Chase & Co. (h) |
|
|
11,324 |
|
|
|
1,179,963 |
|
| U.S. Bancorp (h) |
|
|
5,261 |
|
|
|
263,157 |
|
| Wells Fargo & Co. (h) |
|
|
14,655 |
|
|
|
812,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,716,527 |
|
|
|
|
|
|
|
|
|
|
|
| Diversified Chemicals - 0.3% |
|
| DowDuPont Inc. (h) |
|
|
7,756 |
|
|
|
511,279 |
|
| Eastman Chemical Co. (h) |
|
|
486 |
|
|
|
48,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
559,864 |
|
|
|
|
|
|
|
|
|
|
|
| Diversified Support Services - 0.0%* |
|
| Cintas Corp. (h) |
|
|
297 |
|
|
|
54,970 |
|
| Copart Inc. (a) |
|
|
700 |
|
|
|
39,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Drug Retail - 0.1% |
|
|
|
|
|
|
|
|
| Walgreens Boots Alliance Inc. (a) |
|
|
2,851 |
|
|
|
171,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric Utilities - 0.7% |
|
|
|
|
|
|
|
|
| Alliant Energy Corp. |
|
|
840 |
|
|
|
35,549 |
|
| American Electric Power Company Inc. (h) |
|
|
1,646 |
|
|
|
113,986 |
|
| Duke Energy Corp. (h) |
|
|
2,337 |
|
|
|
184,810 |
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Edison International (h) |
|
|
1,043 |
|
|
|
65,991 |
|
| Entergy Corp. |
|
|
600 |
|
|
|
48,474 |
|
| Evergy Inc. |
|
|
899 |
|
|
|
50,479 |
|
| Eversource Energy (h) |
|
|
1,102 |
|
|
|
64,589 |
|
| Exelon Corp. (h) |
|
|
3,260 |
|
|
|
138,877 |
|
| FirstEnergy Corp. (h) |
|
|
1,572 |
|
|
|
56,451 |
|
| NextEra Energy Inc. (h) |
|
|
1,558 |
|
|
|
260,233 |
|
| PG&E Corp. (h) |
|
|
1,638 |
|
|
|
69,714 |
|
| Pinnacle West Capital Corp. |
|
|
411 |
|
|
|
33,111 |
|
| PPL Corp. (h) |
|
|
2,380 |
|
|
|
67,950 |
|
| The Southern Co. (h) |
|
|
3,410 |
|
|
|
157,918 |
|
| Xcel Energy Inc. (h) |
|
|
1,636 |
|
|
|
74,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,422,865 |
|
|
|
|
|
|
|
|
|
|
|
| Electrical Components & Equipment - 0.2% |
|
| AMETEK Inc. (h) |
|
|
755 |
|
|
|
54,483 |
|
| Eaton Corporation PLC (h) |
|
|
1,458 |
|
|
|
108,973 |
|
| Emerson Electric Co. (h) |
|
|
2,084 |
|
|
|
144,090 |
|
| Rockwell Automation Inc. (h) |
|
|
404 |
|
|
|
67,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
374,705 |
|
|
|
|
|
|
|
|
|
|
|
| Electronic Components - 0.1% |
|
| Amphenol Corp., Class A (h) |
|
|
999 |
|
|
|
87,067 |
|
| Corning Inc. (h) |
|
|
2,803 |
|
|
|
77,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
164,181 |
|
|
|
|
|
|
|
|
|
|
|
| Electronic Equipment & Instruments - 0.0%* |
|
| FLIR Systems Inc. |
|
|
503 |
|
|
|
26,149 |
|
|
|
|
|
|
|
|
|
|
|
| Electronic Manufacturing Services - 0.0%* |
|
| IPG Photonics Corp. (a) |
|
|
100 |
|
|
|
22,071 |
|
|
|
|
|
|
|
|
|
|
|
| Environmental & Facilities Services - 0.1% |
|
| Republic Services Inc. |
|
|
772 |
|
|
|
52,776 |
|
| Stericycle Inc. (a) |
|
|
314 |
|
|
|
20,504 |
|
| Waste Management Inc. (h) |
|
|
1,312 |
|
|
|
106,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180,001 |
|
|
|
|
|
|
|
|
|
|
|
| Fertilizers & Agricultural Chemicals - 0.1% |
|
| CF Industries Holdings Inc. |
|
|
701 |
|
|
|
31,127 |
|
| FMC Corp. |
|
|
424 |
|
|
|
37,828 |
|
| The Mosaic Co. |
|
|
1,064 |
|
|
|
29,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98,803 |
|
|
|
|
|
|
|
|
|
|
|
| Financial Exchanges & Data - 0.4% |
|
| Cboe Global Markets Inc. |
|
|
400 |
|
|
|
41,629 |
|
| CME Group Inc. (h) |
|
|
1,133 |
|
|
|
185,723 |
|
| Intercontinental Exchange Inc. (h) |
|
|
1,910 |
|
|
|
140,482 |
|
| Moody’s Corp. (h) |
|
|
534 |
|
|
|
91,080 |
|
| MSCI Inc. |
|
|
300 |
|
|
|
49,630 |
|
| Nasdaq Inc. |
|
|
421 |
|
|
|
38,426 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
15 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| S&P Global Inc. (h) |
|
|
846 |
|
|
|
172,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
719,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food Distributors - 0.1% |
|
|
|
|
|
|
|
|
| Sysco Corp. (h) |
|
|
1,638 |
|
|
|
111,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food Retail - 0.0%* |
|
|
|
|
|
|
|
|
| The Kroger Co. (h) |
|
|
2,717 |
|
|
|
77,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Footwear - 0.2% |
|
|
|
|
|
|
|
|
| NIKE Inc., Class B (h) |
|
|
4,335 |
|
|
|
345,421 |
|
|
|
|
|
|
|
|
|
|
|
| General Merchandise Stores - 0.1% |
|
| Dollar General Corp. (h) |
|
|
839 |
|
|
|
82,728 |
|
| Dollar Tree Inc. (a)(h) |
|
|
812 |
|
|
|
69,023 |
|
| Target Corp. (h) |
|
|
1,845 |
|
|
|
140,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
292,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gold - 0.0%* |
|
|
|
|
|
|
|
|
| Newmont Mining Corp. (h) |
|
|
1,700 |
|
|
|
64,115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care REITs - 0.1% |
|
|
|
|
|
|
|
|
| HCP Inc. |
|
|
1,527 |
|
|
|
39,430 |
|
| Ventas Inc. (h) |
|
|
1,238 |
|
|
|
70,507 |
|
| Welltower Inc. (h) |
|
|
1,269 |
|
|
|
79,556 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
189,493 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Distributors - 0.1% |
|
| AmerisourceBergen Corp. |
|
|
568 |
|
|
|
48,435 |
|
| Cardinal Health Inc. (h) |
|
|
1,102 |
|
|
|
53,813 |
|
| Henry Schein Inc. (a) |
|
|
554 |
|
|
|
40,245 |
|
| McKesson Corp. (h) |
|
|
705 |
|
|
|
94,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
236,542 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Equipment - 0.9% |
|
| Abbott Laboratories (h) |
|
|
5,747 |
|
|
|
350,510 |
|
| ABIOMED Inc. (a) |
|
|
140 |
|
|
|
57,268 |
|
| Baxter International Inc. (h) |
|
|
1,698 |
|
|
|
125,381 |
|
| Becton Dickinson and Co. (h) |
|
|
887 |
|
|
|
212,490 |
|
| Boston Scientific Corp. (a)(h) |
|
|
4,559 |
|
|
|
149,080 |
|
| Danaher Corp. (h) |
|
|
2,054 |
|
|
|
202,689 |
|
| Edwards Lifesciences Corp. (a)(h) |
|
|
690 |
|
|
|
100,444 |
|
| Hologic Inc. (a) |
|
|
948 |
|
|
|
37,683 |
|
| IDEXX Laboratories Inc. (a)(h) |
|
|
301 |
|
|
|
65,600 |
|
| Intuitive Surgical Inc. (a)(h) |
|
|
367 |
|
|
|
175,603 |
|
| ResMed Inc. |
|
|
500 |
|
|
|
51,791 |
|
| Stryker Corp. (h) |
|
|
1,088 |
|
|
|
183,720 |
|
| Varian Medical Systems Inc. (a) |
|
|
321 |
|
|
|
36,505 |
|
| Zimmer Biomet Holdings Inc. (h) |
|
|
700 |
|
|
|
78,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,826,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Healthcare Facilities - 0.1% |
|
|
|
|
|
|
|
|
| HCA Healthcare Inc. (h) |
|
|
942 |
|
|
|
96,653 |
|
| Universal Health Services Inc., Class B |
|
|
306 |
|
|
|
34,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Services - 0.3% |
|
|
|
|
|
|
|
|
| CVS Health Corp. (h) |
|
|
3,332 |
|
|
|
214,416 |
|
| DaVita Inc. (a) |
|
|
532 |
|
|
|
36,943 |
|
| Envision Healthcare Corp. (h) |
|
|
433 |
|
|
|
19,058 |
|
| Express Scripts Holding Co. (a)(h) |
|
|
1,857 |
|
|
|
143,380 |
|
| Laboratory Corporation of America Holdings (a)(h) |
|
|
346 |
|
|
|
62,119 |
|
| Quest Diagnostics Inc. |
|
|
465 |
|
|
|
51,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
527,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Supplies - 0.1% |
|
|
|
|
|
|
|
|
| Align Technology Inc. (a)(h) |
|
|
250 |
|
|
|
85,538 |
|
| DENTSPLY SIRONA Inc. |
|
|
753 |
|
|
|
32,961 |
|
| The Cooper Companies Inc. |
|
|
171 |
|
|
|
40,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
158,764 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Technology - 0.0%* |
|
| Cerner Corp. (a)(h) |
|
|
1,026 |
|
|
|
61,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Building - 0.1% |
|
|
|
|
|
|
|
|
| D.R. Horton Inc. |
|
|
1,153 |
|
|
|
47,276 |
|
| Lennar Corp., Class A |
|
|
856 |
|
|
|
44,942 |
|
| PulteGroup Inc. |
|
|
899 |
|
|
|
25,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
118,067 |
|
|
|
|
|
|
|
|
|
|
|
| Home Entertainment Software - 0.2% |
|
| Activision Blizzard Inc. (h) |
|
|
2,535 |
|
|
|
193,474 |
|
| Electronic Arts Inc. (a)(h) |
|
|
1,016 |
|
|
|
143,279 |
|
| Take-Two Interactive Software Inc. (a) |
|
|
390 |
|
|
|
46,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
382,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Furnishings - 0.0%* |
|
|
|
|
|
|
|
|
| Leggett & Platt Inc. |
|
|
494 |
|
|
|
22,056 |
|
| Mohawk Industries Inc. (a) |
|
|
212 |
|
|
|
45,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,486 |
|
|
|
|
|
|
|
|
|
|
|
| Home Improvement Retail - 0.5% |
|
| Lowe’s Companies Inc. (h) |
|
|
2,730 |
|
|
|
260,910 |
|
| The Home Depot Inc. (h) |
|
|
3,831 |
|
|
|
747,432 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,008,342 |
|
|
|
|
|
|
|
|
|
|
|
| Hotel & Resort REITs - 0.0%* |
|
| Host Hotels & Resorts Inc. |
|
|
2,433 |
|
|
|
51,271 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 16 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Hotels, Resorts & Cruise Lines - 0.2% |
|
| Carnival Corp. (h) |
|
|
1,319 |
|
|
|
75,594 |
|
| Hilton Worldwide Holdings Inc. (h) |
|
|
960 |
|
|
|
75,995 |
|
| Marriott International Inc., Class A (h) |
|
|
998 |
|
|
|
126,348 |
|
| Norwegian Cruise Line Holdings Ltd. (a) |
|
|
600 |
|
|
|
28,352 |
|
| Royal Caribbean Cruises Ltd. (h) |
|
|
571 |
|
|
|
59,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
365,446 |
|
|
|
|
|
|
|
|
|
|
|
| Household Appliances - 0.0%* |
|
| Whirlpool Corp. |
|
|
249 |
|
|
|
36,419 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Products - 0.5% |
|
|
|
|
|
|
|
|
| Church & Dwight Company Inc. |
|
|
875 |
|
|
|
46,517 |
|
| Colgate-Palmolive Co. (h) |
|
|
2,914 |
|
|
|
188,858 |
|
| Kimberly-Clark Corp. (h) |
|
|
1,170 |
|
|
|
123,249 |
|
| The Clorox Co. |
|
|
446 |
|
|
|
60,323 |
|
| The Procter & Gamble Co. (h) |
|
|
8,410 |
|
|
|
656,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,075,433 |
|
|
|
|
|
|
|
|
|
|
|
| Housewares & Specialties - 0.0%* |
|
| Newell Brands Inc. |
|
|
1,682 |
|
|
|
43,387 |
|
|
|
|
|
|
|
|
|
|
|
| Human Resource & Employment Services - 0.0%* |
|
| Robert Half International Inc. |
|
|
366 |
|
|
|
23,835 |
|
|
|
|
|
|
|
|
|
|
|
| Hypermarkets & Super Centers - 0.4% |
|
| Costco Wholesale Corp. (h) |
|
|
1,456 |
|
|
|
304,279 |
|
| Walmart Inc. (h) |
|
|
4,792 |
|
|
|
410,439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
714,718 |
|
|
|
|
|
|
|
|
|
|
|
| Independent Power Producers & Energy Traders - 0.0%* |
|
| AES Corp. |
|
|
2,435 |
|
|
|
32,657 |
|
| NRG Energy Inc. |
|
|
1,065 |
|
|
|
32,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,357 |
|
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates - 0.6% |
|
| 3M Co. (h) |
|
|
1,981 |
|
|
|
389,704 |
|
| General Electric Co. (h) |
|
|
28,733 |
|
|
|
391,058 |
|
| Honeywell International Inc. (h) |
|
|
2,517 |
|
|
|
362,576 |
|
| Roper Technologies Inc. (h) |
|
|
335 |
|
|
|
92,432 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,235,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Gases - 0.1% |
|
|
|
|
|
|
|
|
| Air Products & Chemicals Inc. (h) |
|
|
723 |
|
|
|
112,597 |
|
| Praxair Inc. (h) |
|
|
964 |
|
|
|
152,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
265,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Machinery - 0.3% |
|
|
|
|
|
|
|
|
| Dover Corp. |
|
|
543 |
|
|
|
39,749 |
|
| Flowserve Corp. |
|
|
482 |
|
|
|
19,474 |
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Fortive Corp. (h) |
|
|
1,011 |
|
|
|
77,959 |
|
| Illinois Tool Works Inc. (h) |
|
|
1,027 |
|
|
|
142,281 |
|
| Ingersoll-Rand PLC (h) |
|
|
834 |
|
|
|
74,836 |
|
| Parker-Hannifin Corp. (h) |
|
|
423 |
|
|
|
65,925 |
|
| Snap-on Inc. |
|
|
182 |
|
|
|
29,252 |
|
| Stanley Black & Decker Inc. (h) |
|
|
521 |
|
|
|
69,195 |
|
| Xylem Inc. |
|
|
563 |
|
|
|
37,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
556,607 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial REITs - 0.1% |
|
|
|
|
|
|
|
|
| Duke Realty Corp. |
|
|
1,080 |
|
|
|
31,356 |
|
| Prologis Inc. REIT (h) |
|
|
1,752 |
|
|
|
115,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
146,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance Brokers - 0.1% |
|
|
|
|
|
|
|
|
| Arthur J Gallagher & Co. |
|
|
567 |
|
|
|
37,018 |
|
| Marsh & McLennan Companies Inc. (h) |
|
|
1,714 |
|
|
|
140,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
177,518 |
|
|
|
|
|
|
|
|
|
|
|
| Integrated Oil & Gas - 1.1% |
|
| Chevron Corp. (h) |
|
|
6,379 |
|
|
|
806,500 |
|
| Exxon Mobil Corp. (h) |
|
|
14,085 |
|
|
|
1,165,255 |
|
| Occidental Petroleum Corp. (h) |
|
|
2,522 |
|
|
|
211,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,182,798 |
|
|
|
|
|
|
|
|
|
|
|
| Integrated Telecommunication Services - 0.7% |
|
| AT&T Inc. (h) |
|
|
24,194 |
|
|
|
776,873 |
|
| Verizon Communications Inc. (h) |
|
|
13,777 |
|
|
|
693,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,469,998 |
|
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail - 1.6% |
|
| Amazon.com Inc. (a)(h) |
|
|
1,345 |
|
|
|
2,286,233 |
|
| Booking Holdings Inc. (a)(h) |
|
|
156 |
|
|
|
316,228 |
|
| Expedia Group Inc. |
|
|
410 |
|
|
|
49,279 |
|
| Netflix Inc. (a)(h) |
|
|
1,437 |
|
|
|
562,487 |
|
| TripAdvisor Inc. (a) |
|
|
422 |
|
|
|
23,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,237,738 |
|
|
|
|
|
|
|
|
|
|
|
| Internet Software & Services - 2.0% |
|
| Akamai Technologies Inc. (a) |
|
|
540 |
|
|
|
39,545 |
|
| Alphabet Inc., Class A (a)(h) |
|
|
992 |
|
|
|
1,120,158 |
|
| Alphabet Inc., Class C (a)(h) |
|
|
1,010 |
|
|
|
1,126,808 |
|
| eBay Inc. (a)(h) |
|
|
3,210 |
|
|
|
116,396 |
|
| Facebook Inc., Class A (a)(h) |
|
|
7,969 |
|
|
|
1,548,537 |
|
| Twitter Inc. (a) |
|
|
2,100 |
|
|
|
91,708 |
|
| VeriSign Inc. (a) |
|
|
287 |
|
|
|
39,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,082,593 |
|
|
|
|
|
|
|
|
|
|
|
| Investment Banking & Brokerage - 0.4% |
|
| E*TRADE Financial Corp. (a)(h) |
|
|
913 |
|
|
|
55,841 |
|
| Morgan Stanley (h) |
|
|
4,566 |
|
|
|
216,430 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
17 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Raymond James Financial Inc. |
|
|
400 |
|
|
|
35,742 |
|
| The Charles Schwab Corp. (h) |
|
|
3,986 |
|
|
|
203,686 |
|
| The Goldman Sachs Group Inc. (h) |
|
|
1,185 |
|
|
|
261,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
773,076 |
|
|
|
|
|
|
|
|
|
|
|
| IT Consulting & Other Services - 0.3% |
|
| Cognizant Technology Solutions Corp., Class A (h) |
|
|
1,961 |
|
|
|
154,901 |
|
| DXC Technology Co. (h) |
|
|
944 |
|
|
|
76,098 |
|
| Gartner Inc. (a) |
|
|
300 |
|
|
|
39,872 |
|
| International Business Machines Corp. (h) |
|
|
2,848 |
|
|
|
397,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
668,739 |
|
|
|
|
|
|
|
|
|
|
|
| Leisure Products - 0.0%* |
|
| Hasbro Inc. |
|
|
344 |
|
|
|
31,759 |
|
| Mattel Inc. |
|
|
1,263 |
|
|
|
20,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,501 |
|
|
|
|
|
|
|
|
|
|
|
| Life & Health Insurance - 0.3% |
|
| Aflac Inc. (h) |
|
|
2,614 |
|
|
|
112,455 |
|
| Brighthouse Financial Inc. (a) |
|
|
341 |
|
|
|
13,665 |
|
| Lincoln National Corp. |
|
|
684 |
|
|
|
42,580 |
|
| MetLife Inc. (h) |
|
|
3,390 |
|
|
|
147,805 |
|
| Principal Financial Group Inc. |
|
|
888 |
|
|
|
47,021 |
|
| Prudential Financial Inc. (h) |
|
|
1,396 |
|
|
|
130,541 |
|
| Torchmark Corp. |
|
|
375 |
|
|
|
30,530 |
|
| Unum Group |
|
|
757 |
|
|
|
28,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
552,599 |
|
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services - 0.3% |
|
| Agilent Technologies Inc. (h) |
|
|
1,118 |
|
|
|
69,138 |
|
| Illumina Inc. (a)(h) |
|
|
484 |
|
|
|
135,178 |
|
| IQVIA Holdings Inc. (a) |
|
|
500 |
|
|
|
49,911 |
|
| Mettler-Toledo International Inc. (a) |
|
|
88 |
|
|
|
50,921 |
|
| PerkinElmer Inc. |
|
|
405 |
|
|
|
29,659 |
|
| Thermo Fisher Scientific Inc. (h) |
|
|
1,329 |
|
|
|
275,290 |
|
| Waters Corp. (a) |
|
|
270 |
|
|
|
52,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
662,368 |
|
|
|
|
|
|
|
|
|
|
|
| Managed Healthcare - 0.8% |
|
| Aetna Inc. (h) |
|
|
1,096 |
|
|
|
201,117 |
|
| Anthem Inc. (h) |
|
|
855 |
|
|
|
203,517 |
|
| Centene Corp. (a)(h) |
|
|
685 |
|
|
|
84,400 |
|
| Cigna Corp. (h) |
|
|
807 |
|
|
|
137,151 |
|
| Humana Inc. (h) |
|
|
469 |
|
|
|
139,590 |
|
| UnitedHealth Group Inc. (h) |
|
|
3,192 |
|
|
|
783,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,548,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Metal & Glass Containers - 0.0%* |
|
| Ball Corp. |
|
|
1,192 |
|
|
|
42,384 |
|
|
|
|
|
|
|
|
|
|
|
| Motorcycle Manufacturers - 0.0%* |
|
| Harley-Davidson Inc. |
|
|
553 |
|
|
|
23,278 |
|
|
|
|
|
|
|
|
|
|
|
| Movies & Entertainment - 0.4% |
|
| The Walt Disney Co. (h) |
|
|
4,928 |
|
|
|
516,506 |
|
| Twenty-First Century Fox Inc., Class A (h) |
|
|
3,521 |
|
|
|
174,961 |
|
| Twenty-First Century Fox Inc., Class B |
|
|
1,409 |
|
|
|
69,423 |
|
| Viacom Inc., Class B |
|
|
1,083 |
|
|
|
32,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
793,555 |
|
|
|
|
|
|
|
|
|
|
|
| Multi-Line Insurance - 0.1% |
|
| American International Group Inc. (h) |
|
|
2,984 |
|
|
|
158,214 |
|
| Assurant Inc. |
|
|
144 |
|
|
|
14,905 |
|
| Loews Corp. |
|
|
911 |
|
|
|
43,985 |
|
| The Hartford Financial Services Group Inc. (h) |
|
|
1,195 |
|
|
|
61,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
278,206 |
|
|
|
|
|
|
|
|
|
|
|
| Multi-Sector Holdings - 0.6% |
|
| Berkshire Hathaway Inc., Class B (a)(h) |
|
|
6,400 |
|
|
|
1,194,564 |
|
| Jefferies Financial Group Inc. |
|
|
997 |
|
|
|
22,676 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,217,240 |
|
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities - 0.4% |
|
| Ameren Corp. |
|
|
800 |
|
|
|
48,681 |
|
| CenterPoint Energy Inc. |
|
|
1,491 |
|
|
|
41,316 |
|
| CMS Energy Corp. |
|
|
979 |
|
|
|
46,288 |
|
| Consolidated Edison Inc. (h) |
|
|
1,065 |
|
|
|
83,050 |
|
| Dominion Energy Inc. (h) |
|
|
2,125 |
|
|
|
144,883 |
|
| DTE Energy Co. (h) |
|
|
623 |
|
|
|
64,562 |
|
| NiSource Inc. |
|
|
1,192 |
|
|
|
31,327 |
|
| Public Service Enterprise Group Inc. (h) |
|
|
1,638 |
|
|
|
88,682 |
|
| SCANA Corp. |
|
|
528 |
|
|
|
20,339 |
|
| Sempra Energy (h) |
|
|
874 |
|
|
|
101,481 |
|
| WEC Energy Group Inc. (h) |
|
|
1,096 |
|
|
|
70,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
741,466 |
|
|
|
|
|
|
|
|
|
|
|
| Office REITs - 0.1% |
|
| Alexandria Real Estate Equities Inc. |
|
|
330 |
|
|
|
41,638 |
|
| Boston Properties Inc. (h) |
|
|
538 |
|
|
|
67,478 |
|
| SL Green Realty Corp. |
|
|
275 |
|
|
|
27,648 |
|
| Vornado Realty Trust |
|
|
601 |
|
|
|
44,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
181,192 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 18 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Drilling - 0.0%* |
|
| Helmerich & Payne Inc. |
|
|
400 |
|
|
|
25,512 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Equipment & Services - 0.3% |
|
| Baker Hughes a GE Co. (h) |
|
|
1,492 |
|
|
|
49,283 |
|
| Halliburton Co. (h) |
|
|
2,963 |
|
|
|
133,515 |
|
| National Oilwell Varco Inc. (h) |
|
|
1,295 |
|
|
|
56,205 |
|
| Schlumberger Ltd. (h) |
|
|
4,579 |
|
|
|
306,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
545,935 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Exploration & Production - 0.6% |
|
| Anadarko Petroleum Corp. (h) |
|
|
1,694 |
|
|
|
124,086 |
|
| Apache Corp. (h) |
|
|
1,321 |
|
|
|
61,757 |
|
| Cabot Oil & Gas Corp. |
|
|
1,618 |
|
|
|
38,509 |
|
| Cimarex Energy Co. |
|
|
308 |
|
|
|
31,336 |
|
| Concho Resources Inc. (a)(h) |
|
|
478 |
|
|
|
66,132 |
|
| ConocoPhillips (h) |
|
|
3,936 |
|
|
|
274,025 |
|
| Devon Energy Corp. (h) |
|
|
1,674 |
|
|
|
73,590 |
|
| EOG Resources Inc. (h) |
|
|
1,914 |
|
|
|
238,160 |
|
| EQT Corp. |
|
|
838 |
|
|
|
46,241 |
|
| Hess Corp. (h) |
|
|
865 |
|
|
|
57,860 |
|
| Marathon Oil Corp. (h) |
|
|
2,929 |
|
|
|
61,100 |
|
| Newfield Exploration Co. (a) |
|
|
729 |
|
|
|
22,053 |
|
| Noble Energy Inc. (h) |
|
|
1,583 |
|
|
|
55,849 |
|
| Pioneer Natural Resources Co. (h) |
|
|
557 |
|
|
|
105,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,256,105 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Refining & Marketing - 0.3% |
|
| Andeavor (h) |
|
|
449 |
|
|
|
58,902 |
|
| HollyFrontier Corp. |
|
|
590 |
|
|
|
40,375 |
|
| Marathon Petroleum Corp. (h) |
|
|
1,559 |
|
|
|
109,381 |
|
| Phillips 66 (h) |
|
|
1,395 |
|
|
|
156,674 |
|
| Valero Energy Corp. (h) |
|
|
1,438 |
|
|
|
159,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
524,707 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Storage & Transportation - 0.1% |
|
| Kinder Morgan Inc. (h) |
|
|
6,481 |
|
|
|
114,522 |
|
| ONEOK Inc. (h) |
|
|
1,341 |
|
|
|
93,645 |
|
| The Williams Companies Inc. (h) |
|
|
2,813 |
|
|
|
76,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
284,430 |
|
|
|
|
|
|
|
|
|
|
|
| Packaged Foods & Meats - 0.4% |
|
| Campbell Soup Co. |
|
|
716 |
|
|
|
29,027 |
|
| Conagra Brands Inc. |
|
|
1,266 |
|
|
|
45,235 |
|
| General Mills Inc. (h) |
|
|
1,944 |
|
|
|
86,042 |
|
| Hormel Foods Corp. |
|
|
817 |
|
|
|
30,401 |
|
| Kellogg Co. |
|
|
833 |
|
|
|
58,203 |
|
| McCormick & Company Inc. |
|
|
373 |
|
|
|
43,302 |
|
| Mondelez International Inc., Class A (h) |
|
|
4,984 |
|
|
|
204,345 |
|
| The Hershey Co. |
|
|
463 |
|
|
|
43,088 |
|
| The JM Smucker Co. |
|
|
390 |
|
|
|
41,918 |
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| The Kraft Heinz Co. (h) |
|
|
2,013 |
|
|
|
126,457 |
|
| Tyson Foods Inc., Class A (h) |
|
|
993 |
|
|
|
68,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
776,387 |
|
|
|
|
|
|
|
|
|
|
|
| Paper Packaging - 0.1% |
|
| Avery Dennison Corp. |
|
|
279 |
|
|
|
28,488 |
|
| International Paper Co. (h) |
|
|
1,429 |
|
|
|
74,424 |
|
| Packaging Corporation of America |
|
|
300 |
|
|
|
33,539 |
|
| Sealed Air Corp. |
|
|
614 |
|
|
|
26,066 |
|
| WestRock Co. |
|
|
843 |
|
|
|
48,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210,586 |
|
|
|
|
|
|
|
|
|
|
|
| Personal Products - 0.1% |
|
| Coty Inc., Class A |
|
|
1,737 |
|
|
|
24,496 |
|
| The Estee Lauder Companies Inc., Class A (h) |
|
|
731 |
|
|
|
104,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
128,806 |
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals - 1.7% |
|
| Allergan PLC (h) |
|
|
1,115 |
|
|
|
185,894 |
|
| Bristol-Myers Squibb Co. (h) |
|
|
5,473 |
|
|
|
302,877 |
|
| Eli Lilly & Co. (h) |
|
|
3,195 |
|
|
|
272,630 |
|
| Johnson & Johnson (h) |
|
|
8,918 |
|
|
|
1,082,111 |
|
| Merck & Company Inc. (h) |
|
|
8,933 |
|
|
|
542,234 |
|
| Mylan N.V. (a)(h) |
|
|
1,630 |
|
|
|
58,909 |
|
| Nektar Therapeutics (a) |
|
|
550 |
|
|
|
26,857 |
|
| Pfizer Inc. (h) |
|
|
19,533 |
|
|
|
708,658 |
|
| Zoetis Inc. (h) |
|
|
1,624 |
|
|
|
138,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,318,520 |
|
|
|
|
|
|
|
|
|
|
|
| Property & Casualty Insurance - 0.2% |
|
| Cincinnati Financial Corp. |
|
|
523 |
|
|
|
34,970 |
|
| The Allstate Corp. (h) |
|
|
1,210 |
|
|
|
110,439 |
|
| The Progressive Corp. (h) |
|
|
1,923 |
|
|
|
113,747 |
|
| The Travelers Companies Inc. (h) |
|
|
909 |
|
|
|
111,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
370,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Publishing - 0.0%* |
|
|
|
|
|
|
|
|
| News Corp., Class A |
|
|
1,411 |
|
|
|
21,874 |
|
| News Corp., Class B |
|
|
442 |
|
|
|
7,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Railroads - 0.4% |
|
|
|
|
|
|
|
|
| CSX Corp. (h) |
|
|
2,959 |
|
|
|
188,727 |
|
| Kansas City Southern |
|
|
351 |
|
|
|
37,194 |
|
| Norfolk Southern Corp. (h) |
|
|
937 |
|
|
|
141,367 |
|
| Union Pacific Corp. (h) |
|
|
2,598 |
|
|
|
368,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
735,375 |
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Services - 0.0%* |
|
| CBRE Group Inc., Class A (a) |
|
|
1,009 |
|
|
|
48,178 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
19 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Regional Banks - 0.5% |
|
|
|
|
|
|
|
|
| BB&T Corp. (h) |
|
|
2,527 |
|
|
|
127,462 |
|
| Citizens Financial Group Inc. (h) |
|
|
1,661 |
|
|
|
64,614 |
|
| Comerica Inc. (h) |
|
|
556 |
|
|
|
50,552 |
|
| Fifth Third Bancorp (h) |
|
|
2,221 |
|
|
|
63,743 |
|
| Huntington Bancshares Inc. (h) |
|
|
3,607 |
|
|
|
53,240 |
|
| KeyCorp (h) |
|
|
3,402 |
|
|
|
66,476 |
|
| M&T Bank Corp. (h) |
|
|
466 |
|
|
|
79,291 |
|
| People’s United Financial Inc. |
|
|
1,150 |
|
|
|
20,804 |
|
| Regions Financial Corp. (h) |
|
|
3,627 |
|
|
|
64,489 |
|
| SunTrust Banks Inc. (h) |
|
|
1,523 |
|
|
|
100,549 |
|
| SVB Financial Group (a)(h) |
|
|
180 |
|
|
|
51,977 |
|
| The PNC Financial Services Group Inc. (h) |
|
|
1,582 |
|
|
|
213,729 |
|
| Zions Bancorporation |
|
|
652 |
|
|
|
34,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
991,280 |
|
|
|
|
|
|
|
|
|
|
|
| Research & Consulting Services - 0.1% |
|
| Equifax Inc. |
|
|
406 |
|
|
|
50,797 |
|
| Nielsen Holdings PLC |
|
|
1,101 |
|
|
|
34,057 |
|
| Verisk Analytics Inc. (a)(h) |
|
|
514 |
|
|
|
55,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential REITs - 0.2% |
|
|
|
|
|
|
|
|
| Apartment Investment & Management Co., Class A |
|
|
579 |
|
|
|
24,493 |
|
| AvalonBay Communities Inc. (h) |
|
|
477 |
|
|
|
81,993 |
|
| Equity Residential (h) |
|
|
1,181 |
|
|
|
75,219 |
|
| Essex Property Trust Inc. |
|
|
223 |
|
|
|
53,314 |
|
| Mid-America Apartment Communities Inc. |
|
|
396 |
|
|
|
39,867 |
|
| UDR Inc. |
|
|
817 |
|
|
|
30,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
305,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Restaurants - 0.4% |
|
|
|
|
|
|
|
|
| Chipotle Mexican Grill Inc. (a) |
|
|
83 |
|
|
|
35,805 |
|
| Darden Restaurants Inc. |
|
|
388 |
|
|
|
41,541 |
|
| McDonald’s Corp. (h) |
|
|
2,599 |
|
|
|
407,239 |
|
| Starbucks Corp. (h) |
|
|
4,655 |
|
|
|
227,399 |
|
| Yum! Brands Inc. (h) |
|
|
1,088 |
|
|
|
85,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
797,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail REITs - 0.2% |
|
|
|
|
|
|
|
|
| Federal Realty Investment Trust |
|
|
265 |
|
|
|
33,537 |
|
| GGP Inc. |
|
|
1,957 |
|
|
|
39,983 |
|
| Kimco Realty Corp. |
|
|
1,570 |
|
|
|
26,675 |
|
| Realty Income Corp. |
|
|
955 |
|
|
|
51,371 |
|
| Regency Centers Corp. |
|
|
500 |
|
|
|
31,041 |
|
| Simon Property Group Inc. (h) |
|
|
1,052 |
|
|
|
179,041 |
|
| The Macerich Co. |
|
|
346 |
|
|
|
19,664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
381,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Semiconductor Equipment - 0.2% |
|
| Applied Materials Inc. (h) |
|
|
3,292 |
|
|
|
152,060 |
|
| KLA-Tencor Corp. (h) |
|
|
528 |
|
|
|
54,139 |
|
| Lam Research Corp. (h) |
|
|
542 |
|
|
|
93,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
299,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors - 1.4% |
|
|
|
|
|
|
|
|
| Advanced Micro Devices Inc. (a) |
|
|
2,850 |
|
|
|
42,722 |
|
| Analog Devices Inc. (h) |
|
|
1,204 |
|
|
|
115,488 |
|
| Broadcom Inc. (h) |
|
|
1,353 |
|
|
|
328,293 |
|
| Intel Corp. (h) |
|
|
15,633 |
|
|
|
777,117 |
|
| Microchip Technology Inc. (h) |
|
|
798 |
|
|
|
72,579 |
|
| Micron Technology Inc. (a)(h) |
|
|
3,812 |
|
|
|
199,902 |
|
| NVIDIA Corp. (h) |
|
|
2,011 |
|
|
|
476,407 |
|
| Qorvo Inc. (a) |
|
|
392 |
|
|
|
31,427 |
|
| QUALCOMM Inc. (h) |
|
|
4,975 |
|
|
|
279,198 |
|
| Skyworks Solutions Inc. (h) |
|
|
576 |
|
|
|
55,671 |
|
| Texas Instruments Inc. (h) |
|
|
3,272 |
|
|
|
360,739 |
|
| Xilinx Inc. (a) |
|
|
853 |
|
|
|
55,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,795,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Soft Drinks - 0.6% |
|
|
|
|
|
|
|
|
| Monster Beverage Corp. (a)(h) |
|
|
1,397 |
|
|
|
80,051 |
|
| PepsiCo Inc. (h) |
|
|
4,724 |
|
|
|
514,305 |
|
| The Coca-Cola Co. (h) |
|
|
12,797 |
|
|
|
561,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,155,635 |
|
|
|
|
|
|
|
|
|
|
|
| Specialized Consumer Services - 0.0%* |
|
| H&R Block Inc. |
|
|
765 |
|
|
|
17,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialized REITs - 0.4% |
|
|
|
|
|
|
|
|
| American Tower Corp. (h) |
|
|
1,475 |
|
|
|
212,652 |
|
| Crown Castle International Corp. (h) |
|
|
1,372 |
|
|
|
147,930 |
|
| Digital Realty Trust Inc. (h) |
|
|
701 |
|
|
|
78,218 |
|
| Equinix Inc. (h) |
|
|
264 |
|
|
|
113,492 |
|
| Extra Space Storage Inc. |
|
|
393 |
|
|
|
39,226 |
|
| Iron Mountain Inc. |
|
|
905 |
|
|
|
31,685 |
|
| Public Storage (h) |
|
|
491 |
|
|
|
111,389 |
|
| SBA Communications Corp. (a)(h) |
|
|
400 |
|
|
|
66,049 |
|
| Weyerhaeuser Co. (h) |
|
|
2,453 |
|
|
|
89,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
890,078 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialty Chemicals - 0.2% |
|
|
|
|
|
|
|
|
| Albemarle Corp. |
|
|
370 |
|
|
|
34,904 |
|
| Ecolab Inc. (h) |
|
|
869 |
|
|
|
121,948 |
|
| International Flavors & Fragrances Inc. |
|
|
276 |
|
|
|
34,215 |
|
| PPG Industries Inc. (h) |
|
|
835 |
|
|
|
86,616 |
|
| The Sherwin-Williams Co. (h) |
|
|
273 |
|
|
|
111,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
388,951 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 20 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Specialty Stores - 0.1% |
|
|
|
|
|
|
|
|
| Tiffany & Co. |
|
|
331 |
|
|
|
43,562 |
|
| Tractor Supply Co. |
|
|
385 |
|
|
|
29,452 |
|
| Ulta Salon Cosmetics & Fragrance Inc. (b) |
|
|
177 |
|
|
|
41,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
114,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Steel - 0.0%* |
|
|
|
|
|
|
|
|
| Nucor Corp. (h) |
|
|
1,076 |
|
|
|
67,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Systems Software - 1.6% |
|
|
|
|
|
|
|
|
| CA Inc. |
|
|
957 |
|
|
|
34,119 |
|
| Microsoft Corp. (h) |
|
|
25,628 |
|
|
|
2,527,179 |
|
| Oracle Corp. (h) |
|
|
10,009 |
|
|
|
440,998 |
|
| Red Hat Inc. (a)(h) |
|
|
573 |
|
|
|
76,996 |
|
| Symantec Corp. |
|
|
2,143 |
|
|
|
44,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,123,546 |
|
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals - 1.7% |
|
| Apple Inc. (h) |
|
|
16,413 |
|
|
|
3,038,212 |
|
| Hewlett Packard Enterprise Co. (h) |
|
|
5,273 |
|
|
|
77,040 |
|
| HP Inc. (h) |
|
|
5,349 |
|
|
|
121,370 |
|
| NetApp Inc. (h) |
|
|
917 |
|
|
|
72,013 |
|
| Western Digital Corp. (h) |
|
|
974 |
|
|
|
75,399 |
|
| Xerox Corp. |
|
|
786 |
|
|
|
18,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,402,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tires & Rubber - 0.0%* |
|
|
|
|
|
|
|
|
| The Goodyear Tire & Rubber Co. |
|
|
844 |
|
|
|
19,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tobacco - 0.4% |
|
|
|
|
|
|
|
|
| Altria Group Inc. (h) |
|
|
6,313 |
|
|
|
358,519 |
|
| Philip Morris International Inc. (h) |
|
|
5,170 |
|
|
|
417,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
775,949 |
|
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors - 0.1% |
|
| Fastenal Co. |
|
|
968 |
|
|
|
42,593 |
|
| United Rentals Inc. (a) |
|
|
282 |
|
|
|
41,632 |
|
| WW Grainger Inc. |
|
|
162 |
|
|
|
49,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
134,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trucking - 0.0%* |
|
|
|
|
|
|
|
|
| JB Hunt Transport Services Inc. |
|
|
297 |
|
|
|
36,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Water Utilities - 0.0%* |
|
|
|
|
|
|
|
|
| American Water Works Company Inc. |
|
|
598 |
|
|
|
51,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock
(Cost $63,783,381) |
|
|
|
|
|
|
75,139,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value
$ |
|
| Preferred Stock - 0.2% |
|
| Diversified Banks - 0.2% |
|
| Wells Fargo & Co.
3.09% + 3 month USD LIBOR (i) |
|
|
1,469 |
|
|
|
39,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stock
(Cost $37,725) |
|
|
|
|
|
|
39,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Domestic Equity
(Cost $63,821,106) |
|
|
|
|
|
|
75,178,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Equity - 1.0% |
|
|
|
|
|
|
|
|
| Common Stock - 1.0% |
|
|
|
|
|
|
|
|
| Auto Parts & Equipment - 0.1% |
|
| Aptiv PLC (h) |
|
|
870 |
|
|
|
79,789 |
|
|
|
|
|
|
|
|
|
|
|
| Building Products - 0.0%* |
|
| Allegion PLC |
|
|
354 |
|
|
|
27,457 |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Electronics - 0.0%* |
|
| Garmin Ltd. |
|
|
315 |
|
|
|
19,286 |
|
|
|
|
|
|
|
|
|
|
|
| Electronic Manufacturing Services - 0.1% |
|
| TE Connectivity Ltd. (h) |
|
|
1,162 |
|
|
|
104,721 |
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Equipment - 0.2% |
|
| Medtronic PLC (h) |
|
|
4,501 |
|
|
|
385,402 |
|
|
|
|
|
|
|
|
|
|
|
| Industrial Machinery - 0.0%* |
|
| Pentair PLC |
|
|
518 |
|
|
|
21,869 |
|
|
|
|
|
|
|
|
|
|
|
| Insurance Brokers - 0.1% |
|
| Aon PLC (a) |
|
|
815 |
|
|
|
111,829 |
|
| Willis Towers Watson PLC (h) |
|
|
445 |
|
|
|
67,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
179,327 |
|
|
|
|
|
|
|
|
|
|
|
| IT Consulting & Other Services - 0.2% |
|
| Accenture PLC, Class A (h) |
|
|
2,147 |
|
|
|
351,299 |
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Equipment & Services - 0.0%* |
|
| TechnipFMC PLC |
|
|
1,406 |
|
|
|
44,698 |
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals - 0.0%* |
|
| Perrigo Company PLC |
|
|
446 |
|
|
|
32,589 |
|
|
|
|
|
|
|
|
|
|
|
| Property & Casualty Insurance - 0.1% |
|
| Chubb Ltd. (h) |
|
|
1,544 |
|
|
|
196,155 |
|
| XL Group Ltd. |
|
|
874 |
|
|
|
48,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
245,091 |
|
|
|
|
|
|
|
|
|
|
|
| Reinsurance - 0.0%* |
|
| Everest Re Group Ltd. |
|
|
141 |
|
|
|
32,569 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
21 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($)
or Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Research & Consulting Services - 0.1% |
|
| IHS Markit Ltd. (a)(h) |
|
|
1,170 |
|
|
|
60,432 |
|
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals - 0.1% |
|
| Seagate Technology PLC (h) |
|
|
988 |
|
|
|
55,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Equity
(Cost $1,407,456) |
|
|
|
|
|
|
1,640,393 |
|
|
|
|
|
|
|
|
|
|
|
| Bonds and Notes - 31.9% |
|
| U.S. Treasuries - 10.9% |
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
| 2.75% 11/15/42 |
|
|
92,000 |
|
|
|
88,505 |
|
| 3.13% 05/15/48 |
|
|
981,500 |
|
|
|
1,009,006 |
|
| 3.75% 11/15/43 |
|
|
174,000 |
|
|
|
197,826 |
|
| 4.50% 02/15/36 |
|
|
771,500 |
|
|
|
943,520 |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
| 1.38% 12/15/19 |
|
|
2,631,700 |
|
|
|
2,590,703 |
|
| 1.50% 11/30/19 - 02/28/23 |
|
|
7,479,000 |
|
|
|
7,247,686 |
|
| 1.88% 08/31/24 |
|
|
829,000 |
|
|
|
786,589 |
|
| 2.25% 03/31/20 - 11/15/25 |
|
|
7,672,000 |
|
|
|
7,544,675 |
|
| 2.88% 05/15/28 |
|
|
1,076,700 |
|
|
|
1,079,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,487,640 |
|
|
|
|
|
|
|
|
|
|
|
| Agency Mortgage Backed - 3.5% |
|
| Federal Home Loan Mortgage Corp. |
|
| 4.50% 06/01/33 - 02/01/35 |
|
|
2,490 |
|
|
|
2,614 |
|
| 5.00% 07/01/35 - 06/01/41 |
|
|
143,584 |
|
|
|
152,523 |
|
| 5.50% 05/01/20 - 04/01/39 |
|
|
35,502 |
|
|
|
38,228 |
|
| 6.00% 05/01/20 - 11/01/37 |
|
|
93,076 |
|
|
|
101,713 |
|
| 6.50% 11/01/28 - 07/01/29 |
|
|
5,464 |
|
|
|
6,097 |
|
| 7.00% 06/01/29 - 08/01/36 |
|
|
17,512 |
|
|
|
19,064 |
|
| 7.50% 09/01/33 |
|
|
1,145 |
|
|
|
1,190 |
|
| 8.00% 07/01/26 - 11/01/30 |
|
|
1,962 |
|
|
|
2,172 |
|
| 8.50% 04/01/30 |
|
|
6,345 |
|
|
|
7,446 |
|
| Federal National Mortgage Assoc. |
|
|
|
|
|
|
|
|
| 3.00% 02/01/43 - 05/01/43 |
|
|
448,790 |
|
|
|
438,656 |
|
| 3.50% 11/01/42 - 08/01/45 |
|
|
984,424 |
|
|
|
987,541 |
|
| 4.00% 05/01/19 - 03/01/41 |
|
|
229,137 |
|
|
|
235,625 |
|
| 4.50% 05/01/19 - 01/01/41 |
|
|
822,232 |
|
|
|
864,245 |
|
| 5.00% 07/01/20 - 06/01/41 |
|
|
243,381 |
|
|
|
259,493 |
|
| 5.50% 06/01/20 - 01/01/39 |
|
|
139,702 |
|
|
|
150,252 |
|
| 6.00% 02/01/20 - 05/01/41 |
|
|
408,526 |
|
|
|
445,462 |
|
| 6.50% 01/01/19 - 08/01/36 |
|
|
14,949 |
|
|
|
16,541 |
|
| 7.00% 05/01/33 - 12/01/33 |
|
|
571 |
|
|
|
595 |
|
| 7.50% 12/01/26 - 12/01/33 |
|
|
4,950 |
|
|
|
5,431 |
|
| 8.00% 06/01/24 - 12/01/30 |
|
|
6,507 |
|
|
|
6,649 |
|
| 9.00% 12/01/22 |
|
|
398 |
|
|
|
424 |
|
| Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR 3.97% 04/01/37 (i) |
|
|
489 |
|
|
|
503 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($)
or Number
of Shares |
|
|
Fair
Value
$ |
|
| Federal National Mortgage Assoc. TBA |
|
|
|
|
|
|
|
|
| 3.00% TBA (c) |
|
|
664,934 |
|
|
|
661,035 |
|
| 3.50% TBA (c) |
|
|
1,191,023 |
|
|
|
1,205,264 |
|
| Government National Mortgage Assoc. |
|
|
|
|
|
|
|
|
| 4.00% 01/20/41 - 04/20/43 |
|
|
351,609 |
|
|
|
363,446 |
|
| 4.50% 08/15/33 - 03/20/41 |
|
|
156,690 |
|
|
|
164,721 |
|
| 5.00% 08/15/33 |
|
|
8,040 |
|
|
|
8,480 |
|
| 6.00% 07/15/33 - 04/15/34 |
|
|
7,871 |
|
|
|
8,884 |
|
| 6.50% 04/15/28 - 07/15/36 |
|
|
12,637 |
|
|
|
13,960 |
|
| 7.00% 04/15/28 - 10/15/36 |
|
|
5,617 |
|
|
|
6,038 |
|
| 7.50% 07/15/23 - 04/15/28 |
|
|
7,345 |
|
|
|
7,456 |
|
| 8.00% 05/15/30 |
|
|
184 |
|
|
|
193 |
|
| 9.00% 12/15/21 |
|
|
194 |
|
|
|
209 |
|
| 5.00% TBA (c) |
|
|
400,000 |
|
|
|
417,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,599,973 |
|
|
|
|
|
|
|
|
|
|
|
| Agency Collateralized Mortgage Obligations - 0.2% |
|
| Federal Home Loan Mortgage Corp.
0.08% 09/25/43 (g)(i) |
|
|
147,099 |
|
|
|
373 |
|
| Federal Home Loan Mortgage Corp. REMIC |
|
|
|
|
|
|
|
|
| 3.50%
11/15/24 - 11/15/30 (g) |
|
|
78,114 |
|
|
|
5,880 |
|
| 5.50% 06/15/33 (g) |
|
|
6,163 |
|
|
|
1,242 |
|
| 7.50% 07/15/27 (g) |
|
|
5,956 |
|
|
|
891 |
|
| Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR
4.53% 08/15/25 (g)(i) |
|
|
34,720 |
|
|
|
2,109 |
|
| Federal Home Loan Mortgage Corp. STRIPS |
|
|
|
|
|
|
|
|
| 1.47% 08/01/27 (d)(f) |
|
|
242 |
|
|
|
251 |
|
| 8.00%
02/01/23 - 07/01/24 (g) |
|
|
863 |
|
|
|
189 |
|
| Federal National Mortgage Assoc. REMIC |
|
|
|
|
|
|
|
|
| 0.51% 12/25/22 (d)(f) |
|
|
128 |
|
|
|
157 |
|
| 1.16% 12/25/42 (g)(i) |
|
|
32,841 |
|
|
|
1,298 |
|
| 5.00% 09/25/40 (g) |
|
|
33,557 |
|
|
|
3,564 |
|
| 8.00% 05/25/22 (g) |
|
|
1 |
|
|
|
40 |
|
| Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR 3.91% 07/25/38
(g)(i) |
|
|
10,185 |
|
|
|
1,047 |
|
| Federal National Mortgage Assoc. REMIC 6.20% - 1 month USD LIBOR 4.11% 06/25/48
(g)(i) |
|
|
534,407 |
|
|
|
82,046 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 22 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Federal National Mortgage Assoc. STRIPS |
|
|
|
|
|
|
|
|
| 4.50% 08/25/35 - 01/25/36 (g) |
|
|
15,288 |
|
|
|
2,800 |
|
| 5.00% 03/25/38 - 05/25/38 (g) |
|
|
8,801 |
|
|
|
1,848 |
|
| 5.50% 12/25/33 (g) |
|
|
2,981 |
|
|
|
707 |
|
| 6.00% 01/25/35 (g) |
|
|
7,790 |
|
|
|
1,573 |
|
| 7.50% 11/25/23 (g) |
|
|
6,957 |
|
|
|
968 |
|
| 8.00% 08/25/23 - 07/25/24 (g) |
|
|
1,734 |
|
|
|
358 |
|
| 8.50% 07/25/22 (g) |
|
|
134 |
|
|
|
44 |
|
| 8.50% 07/25/22 (g) |
|
|
3 |
|
|
|
31 |
|
| 9.00% 05/25/22 (g) |
|
|
157 |
|
|
|
45 |
|
| Government National Mortgage Assoc. REMIC |
|
|
|
|
|
|
|
|
| 4.50% 08/16/39 (g) |
|
|
21,696 |
|
|
|
1,855 |
|
| 5.00% 09/20/38 (g) |
|
|
5,326 |
|
|
|
185 |
|
| Government National Mortgage Assoc. REMIC 6.80% - 1 month USD LIBOR
4.71% 01/16/40 (g)(i) |
|
|
58,434 |
|
|
|
9,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
119,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset Backed - 0.9% |
|
|
|
|
|
|
|
|
| American Express Credit Account Master Trust
2017-6
2.04% 05/15/23 |
|
|
357,738 |
|
|
|
350,711 |
|
| American Express Credit Account Master Trust 2018-1 2.67%
10/17/22 |
|
|
150,000 |
|
|
|
149,746 |
|
| BA Credit Card Trust 2017-A2
1.84% 01/17/23 |
|
|
200,000 |
|
|
|
195,798 |
|
| BA Credit Card Trust 2018-A1 2.70% 07/17/23 |
|
|
131,000 |
|
|
|
130,296 |
|
| BMW Floorplan Master Owner Trust 2018-1
3.15% 05/15/23 (b) |
|
|
100,000 |
|
|
|
100,176 |
|
| Citibank Credit Card Issuance Trust 2016-A1
1.75% 11/19/21 |
|
|
446,000 |
|
|
|
439,583 |
|
| Securitized Term Auto Receivables Trust 2018-1A 3.30%
11/25/22 (b) |
|
|
100,000 |
|
|
|
100,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,466,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Notes - 14.1% |
|
|
|
|
|
|
|
|
| 21st Century Fox America Inc. |
|
|
|
|
|
|
|
|
| 3.38% 11/15/26 |
|
|
6,000 |
|
|
|
5,751 |
|
| 4.50% 02/15/21 |
|
|
19,000 |
|
|
|
19,533 |
|
| 4.75% 11/15/46 |
|
|
6,000 |
|
|
|
6,209 |
|
| 6.65% 11/15/37 |
|
|
45,000 |
|
|
|
55,734 |
|
| Abbott Laboratories |
|
|
|
|
|
|
|
|
| 2.90% 11/30/21 |
|
|
88,000 |
|
|
|
86,622 |
|
| 3.75% 11/30/26 |
|
|
54,000 |
|
|
|
53,054 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| 4.90% 11/30/46 |
|
|
20,000 |
|
|
|
21,533 |
|
| AbbVie Inc. |
|
|
|
|
|
|
|
|
| 2.00% 11/06/18 |
|
|
49,000 |
|
|
|
48,888 |
|
| 3.20% 05/14/26 |
|
|
54,000 |
|
|
|
50,466 |
|
| 4.45% 05/14/46 |
|
|
13,000 |
|
|
|
12,427 |
|
| 4.70% 05/14/45 |
|
|
12,000 |
|
|
|
11,898 |
|
| Acadia Healthcare Company Inc.
6.50% 03/01/24 |
|
|
44,000 |
|
|
|
44,991 |
|
| Activision Blizzard Inc.
2.30% 09/15/21 |
|
|
115,000 |
|
|
|
111,147 |
|
| AES Corp.
4.88% 05/15/23 |
|
|
74,000 |
|
|
|
73,816 |
|
| Aetna Inc.
3.50% 11/15/24 |
|
|
50,000 |
|
|
|
48,591 |
|
| Aflac Inc.
4.00% 10/15/46 |
|
|
10,000 |
|
|
|
9,400 |
|
| Alexandria Real Estate Equities Inc.
4.70% 07/01/30 |
|
|
22,000 |
|
|
|
22,238 |
|
| Alimentation Couche-Tard Inc. |
|
|
|
|
|
|
|
|
| 2.70% 07/26/22 (b) |
|
|
49,000 |
|
|
|
47,143 |
|
| 3.55% 07/26/27 (b) |
|
|
49,000 |
|
|
|
46,345 |
|
| 4.50% 07/26/47 (b) |
|
|
10,000 |
|
|
|
9,411 |
|
| Allergan Finance LLC
3.25% 10/01/22 |
|
|
44,000 |
|
|
|
42,763 |
|
| Allergan Funding SCS |
|
|
|
|
|
|
|
|
| 3.00% 03/12/20 |
|
|
57,000 |
|
|
|
56,722 |
|
| 3.45% 03/15/22 |
|
|
26,000 |
|
|
|
25,592 |
|
| 4.55% 03/15/35 |
|
|
10,000 |
|
|
|
9,495 |
|
| 4.75% 03/15/45 |
|
|
13,000 |
|
|
|
12,411 |
|
| Allergan Sales LLC
5.00% 12/15/21 (b) |
|
|
74,000 |
|
|
|
76,565 |
|
| Altria Group Inc. |
|
|
|
|
|
|
|
|
| 2.95% 05/02/23 |
|
|
28,000 |
|
|
|
27,220 |
|
| 3.88% 09/16/46 |
|
|
10,000 |
|
|
|
8,806 |
|
| 4.50% 05/02/43 |
|
|
9,000 |
|
|
|
8,664 |
|
| Amazon.com Inc. |
|
|
|
|
|
|
|
|
| 2.80% 08/22/24 |
|
|
38,000 |
|
|
|
36,623 |
|
| 3.15% 08/22/27 |
|
|
24,000 |
|
|
|
23,025 |
|
| 3.88% 08/22/37 |
|
|
17,000 |
|
|
|
16,612 |
|
| 4.05% 08/22/47 |
|
|
15,000 |
|
|
|
14,628 |
|
| 4.25% 08/22/57 |
|
|
20,000 |
|
|
|
19,711 |
|
| Ameren Corp.
3.65% 02/15/26 |
|
|
22,000 |
|
|
|
21,367 |
|
| American Axle & Manufacturing Inc.
6.25% 04/01/25 |
|
|
37,000 |
|
|
|
36,539 |
|
| American Campus Communities Operating Partnership LP |
|
|
|
|
|
|
|
|
| 3.35% 10/01/20 |
|
|
36,000 |
|
|
|
35,893 |
|
| 4.13% 07/01/24 |
|
|
24,000 |
|
|
|
23,897 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
23 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| American Express Credit Corp.
2.25% 05/05/21 |
|
|
48,000 |
|
|
|
46,716 |
|
| American International Group Inc. |
|
|
|
|
|
|
|
|
| 4.50% 07/16/44 |
|
|
46,000 |
|
|
|
42,898 |
|
| 6.40% 12/15/20 |
|
|
19,000 |
|
|
|
20,364 |
|
| American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR
thereafter)
5.75% 04/01/48 (i) |
|
|
23,000 |
|
|
|
22,565 |
|
| American Tower Corp. (REIT) |
|
|
|
|
|
|
|
|
| 3.38% 10/15/26 |
|
|
15,000 |
|
|
|
13,926 |
|
| 3.40% 02/15/19 |
|
|
134,000 |
|
|
|
134,397 |
|
| American Water Capital Corp.
2.95% 09/01/27 |
|
|
41,000 |
|
|
|
38,534 |
|
| Amgen Inc. |
|
|
|
|
|
|
|
|
| 2.20% 05/22/19 |
|
|
64,000 |
|
|
|
63,649 |
|
| 2.65% 05/11/22 |
|
|
52,000 |
|
|
|
50,440 |
|
| 3.20% 11/02/27 |
|
|
37,000 |
|
|
|
34,648 |
|
| 4.56% 06/15/48 |
|
|
25,000 |
|
|
|
24,488 |
|
| AMN Healthcare Inc.
5.13% 10/01/24 (b) |
|
|
64,000 |
|
|
|
62,081 |
|
| Anadarko Petroleum Corp. |
|
|
|
|
|
|
|
|
| 4.85% 03/15/21 |
|
|
5,000 |
|
|
|
5,154 |
|
| 6.20% 03/15/40 |
|
|
20,000 |
|
|
|
22,512 |
|
| 6.60% 03/15/46 |
|
|
5,000 |
|
|
|
6,027 |
|
| Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
|
|
|
|
|
|
|
|
| 5.20% 12/01/47 |
|
|
14,000 |
|
|
|
13,586 |
|
| 5.25% 01/15/25 |
|
|
186,000 |
|
|
|
190,503 |
|
| 5.50% 10/15/19 |
|
|
71,000 |
|
|
|
72,599 |
|
| 6.25% 10/15/22 |
|
|
51,000 |
|
|
|
52,818 |
|
| Anheuser-Busch InBev Finance Inc. |
|
|
|
|
|
|
|
|
| 2.65% 02/01/21 |
|
|
107,000 |
|
|
|
105,479 |
|
| 3.65% 02/01/26 |
|
|
86,000 |
|
|
|
84,211 |
|
| 4.70% 02/01/36 |
|
|
20,000 |
|
|
|
20,241 |
|
| 4.90% 02/01/46 |
|
|
69,000 |
|
|
|
70,974 |
|
| Anheuser-Busch InBev Worldwide Inc. |
|
|
|
|
|
|
|
|
| 2.50% 07/15/22 |
|
|
101,000 |
|
|
|
97,576 |
|
| 4.00% 04/13/28 |
|
|
18,000 |
|
|
|
17,951 |
|
| 4.38% 04/15/38 |
|
|
27,000 |
|
|
|
26,268 |
|
| 4.60% 04/15/48 |
|
|
23,000 |
|
|
|
22,647 |
|
| 4.75% 04/15/58 |
|
|
19,000 |
|
|
|
18,669 |
|
| Anthem Inc.
3.30% 01/15/23 |
|
|
41,000 |
|
|
|
39,952 |
|
| Apache Corp.
5.10% 09/01/40 |
|
|
20,000 |
|
|
|
19,684 |
|
| Apple Inc. |
|
|
|
|
|
|
|
|
| 2.50% 02/09/22 |
|
|
47,000 |
|
|
|
46,096 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| 2.85% 05/11/24 |
|
|
50,000 |
|
|
|
48,375 |
|
| 3.35% 02/09/27 |
|
|
32,000 |
|
|
|
31,271 |
|
| 3.45% 02/09/45 |
|
|
26,000 |
|
|
|
23,279 |
|
| 3.85% 08/04/46 |
|
|
53,000 |
|
|
|
50,416 |
|
| 4.25% 02/09/47 |
|
|
7,000 |
|
|
|
7,118 |
|
| 4.65% 02/23/46 |
|
|
8,000 |
|
|
|
8,610 |
|
| Applied Materials Inc. |
|
|
|
|
|
|
|
|
| 3.30% 04/01/27 |
|
|
37,000 |
|
|
|
35,887 |
|
| 4.35% 04/01/47 |
|
|
7,000 |
|
|
|
7,001 |
|
| Aptiv PLC
4.40% 10/01/46 |
|
|
19,000 |
|
|
|
17,725 |
|
| Aramark Services Inc. |
|
|
|
|
|
|
|
|
| 5.00% 02/01/28 (b) |
|
|
20,000 |
|
|
|
19,051 |
|
| 5.13% 01/15/24 |
|
|
47,001 |
|
|
|
47,001 |
|
| Archer-Daniels-Midland Co.
2.50% 08/11/26 |
|
|
38,000 |
|
|
|
34,956 |
|
| Arconic Inc. |
|
|
|
|
|
|
|
|
| 5.13% 10/01/24 |
|
|
41,000 |
|
|
|
40,591 |
|
| 6.15% 08/15/20 |
|
|
20,000 |
|
|
|
20,801 |
|
| Ascension Health
4.85% 11/15/53 |
|
|
13,000 |
|
|
|
14,622 |
|
| AstraZeneca PLC |
|
|
|
|
|
|
|
|
| 2.38% 11/16/20 |
|
|
16,000 |
|
|
|
15,698 |
|
| 3.38% 11/16/25 |
|
|
38,000 |
|
|
|
36,755 |
|
| AT&T Inc. |
|
|
|
|
|
|
|
|
| 2.45% 06/30/20 |
|
|
44,000 |
|
|
|
43,313 |
|
| 3.00% 06/30/22 |
|
|
53,000 |
|
|
|
51,420 |
|
| 4.10% 02/15/28 (b) |
|
|
60,000 |
|
|
|
57,312 |
|
| 4.45% 04/01/24 |
|
|
37,000 |
|
|
|
37,423 |
|
| 4.50% 05/15/35 |
|
|
50,000 |
|
|
|
46,200 |
|
| 4.75% 05/15/46 |
|
|
26,000 |
|
|
|
23,197 |
|
| 4.80% 06/15/44 |
|
|
31,000 |
|
|
|
28,073 |
|
| 5.25% 03/01/37 |
|
|
34,000 |
|
|
|
33,516 |
|
| 5.45% 03/01/47 |
|
|
43,000 |
|
|
|
42,141 |
|
| Athene Holding Ltd.
4.13% 01/12/28 |
|
|
41,000 |
|
|
|
37,782 |
|
| Avangrid Inc.
3.15% 12/01/24 |
|
|
63,000 |
|
|
|
60,466 |
|
| Bank of America Corp. |
|
|
|
|
|
|
|
|
| 2.65% 04/01/19 |
|
|
63,000 |
|
|
|
62,935 |
|
| 3.25% 10/21/27 |
|
|
73,000 |
|
|
|
68,021 |
|
| 3.95% 04/21/25 |
|
|
47,000 |
|
|
|
46,027 |
|
| 4.25% 10/22/26 |
|
|
20,000 |
|
|
|
19,747 |
|
| Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR
thereafter)
2.37% 07/21/21 (i) |
|
|
42,000 |
|
|
|
41,160 |
|
| Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR
thereafter)
3.12% 01/20/23 (i) |
|
|
190,000 |
|
|
|
186,804 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 24 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR
thereafter)
3.37% 01/23/26 (i) |
|
|
141,000 |
|
|
|
135,576 |
|
| Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR
thereafter)
3.42% 12/20/28 (i) |
|
|
55,000 |
|
|
|
51,838 |
|
| Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR
thereafter)
3.95% 01/23/49 (i) |
|
|
43,000 |
|
|
|
38,858 |
|
| Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR
thereafter)
4.24% 04/24/38 (i) |
|
|
60,000 |
|
|
|
58,220 |
|
| Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR
thereafter)
4.44% 01/20/48 (i) |
|
|
33,000 |
|
|
|
32,342 |
|
| Bank of America Corp. 3.63% + 3 month USD LIBOR 5.99% 12/31/49 (i) |
|
|
30,000 |
|
|
|
30,124 |
|
| Barrick North America Finance LLC
5.70% 05/30/41 |
|
|
6,000 |
|
|
|
6,550 |
|
| BAT Capital Corp. |
|
|
|
|
|
|
|
|
| 2.30% 08/14/20 (b) |
|
|
43,000 |
|
|
|
42,068 |
|
| 2.76% 08/15/22 (b) |
|
|
36,000 |
|
|
|
34,519 |
|
| 3.56% 08/15/27 (b) |
|
|
53,000 |
|
|
|
49,357 |
|
| 4.39% 08/15/37 (b) |
|
|
15,000 |
|
|
|
14,039 |
|
| 4.54% 08/15/47 (b) |
|
|
18,000 |
|
|
|
16,840 |
|
| Baxalta Inc.
2.88% 06/23/20 |
|
|
41,000 |
|
|
|
40,534 |
|
| Bayer US Finance II LLC
3.50% 06/25/21 (b) |
|
|
200,000 |
|
|
|
200,399 |
|
| Becton Dickinson and Co. |
|
|
|
|
|
|
|
|
| 2.89% 06/06/22 |
|
|
37,000 |
|
|
|
35,681 |
|
| 3.70% 06/06/27 |
|
|
65,000 |
|
|
|
61,582 |
|
| 3.73% 12/15/24 |
|
|
3,000 |
|
|
|
2,931 |
|
| 4.67% 06/06/47 |
|
|
6,000 |
|
|
|
5,829 |
|
| 4.69% 12/15/44 |
|
|
7,000 |
|
|
|
6,781 |
|
| Berkshire Hathaway Energy Co. |
|
|
|
|
|
|
|
|
| 2.40% 02/01/20 |
|
|
48,000 |
|
|
|
47,584 |
|
| 3.25% 04/15/28 |
|
|
24,000 |
|
|
|
22,873 |
|
| 3.80% 07/15/48 |
|
|
16,000 |
|
|
|
14,636 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Berkshire Hathaway Inc.
4.50% 02/11/43 |
|
|
10,000 |
|
|
|
10,397 |
|
| Berry Global Inc.
5.13% 07/15/23 |
|
|
60,000 |
|
|
|
59,479 |
|
| BHP Billiton Finance USA Ltd.
5.00% 09/30/43 |
|
|
9,000 |
|
|
|
10,091 |
|
| Biogen Inc.
2.90% 09/15/20 |
|
|
16,000 |
|
|
|
15,916 |
|
| BNP Paribas S.A.
5.00% 01/15/21 |
|
|
19,000 |
|
|
|
19,746 |
|
| Boston Scientific Corp.
4.00% 03/01/28 |
|
|
45,000 |
|
|
|
44,016 |
|
| BP Capital Markets PLC |
|
|
|
|
|
|
|
|
| 2.52% 01/15/20 |
|
|
19,000 |
|
|
|
18,880 |
|
| 3.22% 11/28/23 |
|
|
42,000 |
|
|
|
41,227 |
|
| 3.28% 09/19/27 |
|
|
33,000 |
|
|
|
31,752 |
|
| Brighthouse Financial Inc. |
|
|
|
|
|
|
|
|
| 3.70% 06/22/27 |
|
|
5,000 |
|
|
|
4,452 |
|
| 4.70% 06/22/47 |
|
|
3,000 |
|
|
|
2,481 |
|
| Brixmor Operating Partnership LP
3.90% 03/15/27 |
|
|
22,000 |
|
|
|
20,828 |
|
| Broadcom Corp./Broadcom Cayman Finance Ltd. |
|
|
|
|
|
|
|
|
| 2.20% 01/15/21 |
|
|
16,000 |
|
|
|
15,497 |
|
| 2.65% 01/15/23 |
|
|
13,000 |
|
|
|
12,261 |
|
| 3.13% 01/15/25 |
|
|
16,000 |
|
|
|
14,838 |
|
| 3.88% 01/15/27 |
|
|
34,000 |
|
|
|
32,207 |
|
| Brown-Forman Corp.
4.00% 04/15/38 |
|
|
11,000 |
|
|
|
10,965 |
|
| Buckeye Partners LP
5.60% 10/15/44 |
|
|
15,000 |
|
|
|
13,449 |
|
| Bunge Limited Finance Corp.
3.75% 09/25/27 |
|
|
19,000 |
|
|
|
17,875 |
|
| Burlington Northern Santa Fe LLC
3.65% 09/01/25 |
|
|
38,000 |
|
|
|
37,987 |
|
| Campbell Soup Co.
3.30% 03/15/21 |
|
|
60,000 |
|
|
|
59,748 |
|
| Canadian Natural Resources Ltd. |
|
|
|
|
|
|
|
|
| 3.85% 06/01/27 |
|
|
9,000 |
|
|
|
8,778 |
|
| 4.95% 06/01/47 |
|
|
8,000 |
|
|
|
8,331 |
|
| Capital One Financial Corp. |
|
|
|
|
|
|
|
|
| 3.75% 07/28/26 |
|
|
21,000 |
|
|
|
19,532 |
|
| 4.20% 10/29/25 |
|
|
31,000 |
|
|
|
30,132 |
|
| Cardinal Health Inc. |
|
|
|
|
|
|
|
|
| 2.62% 06/15/22 |
|
|
14,000 |
|
|
|
13,419 |
|
| 3.08% 06/15/24 |
|
|
16,000 |
|
|
|
15,093 |
|
| 3.41% 06/15/27 |
|
|
7,000 |
|
|
|
6,424 |
|
| 4.37% 06/15/47 |
|
|
7,000 |
|
|
|
6,160 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
25 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Caterpillar Financial Services Corp.
2.55% 11/29/22 |
|
|
57,000 |
|
|
|
55,141 |
|
| Caterpillar Inc.
3.80% 08/15/42 |
|
|
10,000 |
|
|
|
9,556 |
|
| Catholic Health Initiatives |
|
|
|
|
|
|
|
|
| 2.60% 08/01/18 |
|
|
30,000 |
|
|
|
30,002 |
|
| 4.35% 11/01/42 |
|
|
24,000 |
|
|
|
22,721 |
|
| CBL & Associates LP
4.60% 10/15/24 |
|
|
44,000 |
|
|
|
36,191 |
|
| CBS Corp. |
|
|
|
|
|
|
|
|
| 2.50% 02/15/23 |
|
|
35,000 |
|
|
|
32,893 |
|
| 2.90% 01/15/27 |
|
|
21,000 |
|
|
|
18,700 |
|
| CCO Holdings LLC/CCO Holdings Capital Corp. |
|
|
|
|
|
|
|
|
| 5.00% 02/01/28 (b) |
|
|
65,000 |
|
|
|
59,561 |
|
| 5.88% 04/01/24 (b) |
|
|
69,000 |
|
|
|
69,174 |
|
| Celgene Corp. |
|
|
|
|
|
|
|
|
| 3.45% 11/15/27 |
|
|
4,000 |
|
|
|
3,684 |
|
| 4.35% 11/15/47 |
|
|
5,000 |
|
|
|
4,413 |
|
| 4.55% 02/20/48 |
|
|
25,000 |
|
|
|
22,801 |
|
| Cenovus Energy Inc. |
|
|
|
|
|
|
|
|
| 4.25% 04/15/27 |
|
|
10,000 |
|
|
|
9,640 |
|
| 5.40% 06/15/47 |
|
|
7,000 |
|
|
|
6,878 |
|
| CenterPoint Energy Inc.
2.50% 09/01/22 |
|
|
42,000 |
|
|
|
40,333 |
|
| CenturyLink Inc.
5.80% 03/15/22 |
|
|
77,000 |
|
|
|
76,231 |
|
| Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13% 12/15/21 (b) |
|
|
60,000 |
|
|
|
59,629 |
|
| CF Industries Inc. |
|
|
|
|
|
|
|
|
| 5.15% 03/15/34 |
|
|
43,000 |
|
|
|
39,884 |
|
| 7.13% 05/01/20 |
|
|
36,000 |
|
|
|
37,959 |
|
| Charles River Laboratories International Inc.
5.50% 04/01/26 (b) |
|
|
55,000 |
|
|
|
54,933 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital |
|
|
|
|
|
|
|
|
| 3.58% 07/23/20 |
|
|
60,000 |
|
|
|
59,923 |
|
| 4.91% 07/23/25 |
|
|
49,000 |
|
|
|
49,481 |
|
| 5.38% 05/01/47 |
|
|
25,000 |
|
|
|
22,983 |
|
| 5.75% 04/01/48 |
|
|
14,000 |
|
|
|
13,550 |
|
| 6.38% 10/23/35 |
|
|
7,000 |
|
|
|
7,329 |
|
| 6.48% 10/23/45 |
|
|
11,000 |
|
|
|
11,605 |
|
| Chevron Corp. |
|
|
|
|
|
|
|
|
| 2.42% 11/17/20 |
|
|
19,000 |
|
|
|
18,787 |
|
| 3.19% 06/24/23 |
|
|
33,000 |
|
|
|
32,816 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Chevron Phillips Chemical Company LLC/Chevron Phillips Chemical Company LP
3.70% 06/01/28
(b) |
|
|
47,000 |
|
|
|
46,495 |
|
| Church & Dwight Company Inc.
2.45% 08/01/22 |
|
|
15,000 |
|
|
|
14,371 |
|
| Cigna Corp. |
|
|
|
|
|
|
|
|
| 3.25% 04/15/25 |
|
|
40,000 |
|
|
|
37,636 |
|
| 3.88% 10/15/47 |
|
|
21,000 |
|
|
|
17,916 |
|
| Cimarex Energy Co.
3.90% 05/15/27 |
|
|
7,000 |
|
|
|
6,737 |
|
| Cinemark USA Inc.
4.88% 06/01/23 |
|
|
42,000 |
|
|
|
41,061 |
|
| Cisco Systems Inc.
2.20% 02/28/21 |
|
|
86,000 |
|
|
|
84,325 |
|
| Citigroup Inc. |
|
|
|
|
|
|
|
|
| 2.05% 12/07/18 |
|
|
85,000 |
|
|
|
84,794 |
|
| 2.40% 02/18/20 |
|
|
58,000 |
|
|
|
57,278 |
|
| 2.70% 10/27/22 |
|
|
41,000 |
|
|
|
39,379 |
|
| 2.90% 12/08/21 |
|
|
44,000 |
|
|
|
43,099 |
|
| 4.40% 06/10/25 |
|
|
19,000 |
|
|
|
18,930 |
|
| 4.45% 09/29/27 |
|
|
42,000 |
|
|
|
41,277 |
|
| 4.75% 05/18/46 |
|
|
23,000 |
|
|
|
21,992 |
|
| Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR
thereafter)
2.88% 07/24/23 (i) |
|
|
163,000 |
|
|
|
157,186 |
|
| Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR
thereafter)
3.88% 01/24/39 (i) |
|
|
18,000 |
|
|
|
16,398 |
|
| Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR
thereafter)
4.28% 04/24/48 (i) |
|
|
42,000 |
|
|
|
39,881 |
|
| CME Group Inc.
3.75% 06/15/28 |
|
|
52,000 |
|
|
|
52,466 |
|
| CMS Energy Corp.
4.88% 03/01/44 |
|
|
45,000 |
|
|
|
47,818 |
|
| CNA Financial Corp. |
|
|
|
|
|
|
|
|
| 3.45% 08/15/27 |
|
|
21,000 |
|
|
|
19,560 |
|
| 5.88% 08/15/20 |
|
|
56,000 |
|
|
|
58,799 |
|
| CNH Industrial Capital LLC |
|
|
|
|
|
|
|
|
| 3.38% 07/15/19 |
|
|
29,000 |
|
|
|
28,947 |
|
| 4.38% 11/06/20 |
|
|
23,000 |
|
|
|
23,275 |
|
| 4.88% 04/01/21 |
|
|
28,000 |
|
|
|
28,736 |
|
| CNH Industrial N.V.
4.50% 08/15/23 |
|
|
50,000 |
|
|
|
50,271 |
|
| Columbia Pipeline Group Inc.
3.30% 06/01/20 |
|
|
26,000 |
|
|
|
25,876 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 26 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Comcast Corp. |
|
|
|
|
|
|
|
|
| 3.38% 08/15/25 |
|
|
18,000 |
|
|
|
17,240 |
|
| 3.97% 11/01/47 |
|
|
54,000 |
|
|
|
47,539 |
|
| 4.20% 08/15/34 |
|
|
34,000 |
|
|
|
32,448 |
|
| 4.60% 08/15/45 |
|
|
33,000 |
|
|
|
31,821 |
|
| Concho Resources Inc. |
|
|
|
|
|
|
|
|
| 3.75% 10/01/27 |
|
|
9,000 |
|
|
|
8,657 |
|
| 4.30% 08/15/28 (c) |
|
|
52,000 |
|
|
|
52,206 |
|
| 4.88% 10/01/47 |
|
|
12,000 |
|
|
|
12,115 |
|
| ConocoPhillips Co.
5.95% 03/15/46 |
|
|
6,000 |
|
|
|
7,485 |
|
| Consolidated Edison Company of New York Inc.
2.90% 12/01/26 |
|
|
40,000 |
|
|
|
37,432 |
|
| Constellation Brands Inc. |
|
|
|
|
|
|
|
|
| 2.70% 05/09/22 |
|
|
35,000 |
|
|
|
33,862 |
|
| 4.50% 05/09/47 |
|
|
9,000 |
|
|
|
8,608 |
|
| Continental Resources Inc.
4.50% 04/15/23 |
|
|
28,000 |
|
|
|
28,402 |
|
| Corning Inc.
4.38% 11/15/57 |
|
|
19,000 |
|
|
|
16,711 |
|
| Corporation Andina de Fomento |
|
|
|
|
|
|
|
|
| 2.20% 07/18/20 |
|
|
44,000 |
|
|
|
43,191 |
|
| 4.38% 06/15/22 |
|
|
121,000 |
|
|
|
125,538 |
|
| Crane Co.
4.20% 03/15/48 |
|
|
8,000 |
|
|
|
7,603 |
|
| Crown Americas LLC/Crown Americas Capital Corp. VI
4.75% 02/01/26 (b) |
|
|
40,000 |
|
|
|
37,977 |
|
| CSX Corp.
4.50% 08/01/54 |
|
|
23,000 |
|
|
|
21,909 |
|
| CVS Health Corp. |
|
|
|
|
|
|
|
|
| 2.25% 08/12/19 |
|
|
52,000 |
|
|
|
51,602 |
|
| 3.13% 03/09/20 |
|
|
156,000 |
|
|
|
155,875 |
|
| 3.35% 03/09/21 |
|
|
156,000 |
|
|
|
155,853 |
|
| 3.70% 03/09/23 |
|
|
47,000 |
|
|
|
46,658 |
|
| 3.88% 07/20/25 |
|
|
24,000 |
|
|
|
23,453 |
|
| 4.10% 03/25/25 |
|
|
47,000 |
|
|
|
46,766 |
|
| 4.30% 03/25/28 |
|
|
47,000 |
|
|
|
46,356 |
|
| 4.78% 03/25/38 |
|
|
57,000 |
|
|
|
56,285 |
|
| 5.05% 03/25/48 |
|
|
27,000 |
|
|
|
27,440 |
|
| D.R. Horton Inc.
2.55% 12/01/20 |
|
|
47,000 |
|
|
|
46,033 |
|
| Daimler Finance North America LLC
2.38% 08/01/18 (b) |
|
|
150,000 |
|
|
|
149,961 |
|
| Dana Financing Luxembourg Sarl
6.50% 06/01/26 (b) |
|
|
56,000 |
|
|
|
56,841 |
|
| Dell International LLC/EMC Corp. |
|
|
|
|
|
|
|
|
| 3.48% 06/01/19 (b) |
|
|
64,000 |
|
|
|
64,168 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| 5.45% 06/15/23 (b) |
|
|
33,000 |
|
|
|
34,533 |
|
| 6.02% 06/15/26 (b) |
|
|
15,000 |
|
|
|
15,764 |
|
| 8.10% 07/15/36 (b) |
|
|
6,000 |
|
|
|
7,016 |
|
| 8.35% 07/15/46 (b) |
|
|
7,000 |
|
|
|
8,448 |
|
| Deutsche Bank AG
2.70% 07/13/20 |
|
|
43,000 |
|
|
|
41,877 |
|
| Deutsche Telekom International Finance BV
2.49% 09/19/23 (b) |
|
|
150,000 |
|
|
|
139,895 |
|
| Devon Energy Corp. |
|
|
|
|
|
|
|
|
| 4.00% 07/15/21 |
|
|
64,000 |
|
|
|
64,911 |
|
| 5.00% 06/15/45 |
|
|
12,000 |
|
|
|
12,194 |
|
| Dexia Credit Local S.A.
2.25% 01/30/19 (b) |
|
|
250,000 |
|
|
|
249,529 |
|
| Diageo Investment Corp.
2.88% 05/11/22 |
|
|
36,000 |
|
|
|
35,446 |
|
| Discovery Communications LLC |
|
|
|
|
|
|
|
|
| 2.20% 09/20/19 |
|
|
45,000 |
|
|
|
44,533 |
|
| 3.95% 03/20/28 |
|
|
40,000 |
|
|
|
37,903 |
|
| 5.00% 09/20/37 |
|
|
16,000 |
|
|
|
15,461 |
|
| 5.20% 09/20/47 |
|
|
8,000 |
|
|
|
7,736 |
|
| Dollar Tree Inc. |
|
|
|
|
|
|
|
|
| 3.70% 05/15/23 |
|
|
47,000 |
|
|
|
46,572 |
|
| 4.00% 05/15/25 |
|
|
47,000 |
|
|
|
45,962 |
|
| Dominion Energy Inc. |
|
|
|
|
|
|
|
|
| 2.50% 12/01/19 |
|
|
51,000 |
|
|
|
50,571 |
|
| 2.58% 07/01/20 |
|
|
30,000 |
|
|
|
29,573 |
|
| 3.63% 12/01/24 |
|
|
29,000 |
|
|
|
28,456 |
|
| DTE Energy Co. |
|
|
|
|
|
|
|
|
| 2.85% 10/01/26 |
|
|
55,000 |
|
|
|
50,193 |
|
| 3.85% 12/01/23 |
|
|
24,000 |
|
|
|
24,107 |
|
| Duke Energy Corp.
3.75% 09/01/46 |
|
|
6,000 |
|
|
|
5,308 |
|
| Duke Energy Progress LLC
4.15% 12/01/44 |
|
|
26,000 |
|
|
|
25,805 |
|
| Duke Realty LP |
|
|
|
|
|
|
|
|
| 3.25% 06/30/26 |
|
|
29,000 |
|
|
|
27,250 |
|
| 3.38% 12/15/27 |
|
|
19,000 |
|
|
|
17,705 |
|
| Duquesne Light Holdings Inc.
3.62% 08/01/27 (b) |
|
|
43,000 |
|
|
|
40,736 |
|
| Eastman Chemical Co.
3.60% 08/15/22 |
|
|
11,000 |
|
|
|
10,976 |
|
| Eaton Corp.
3.10% 09/15/27 |
|
|
34,000 |
|
|
|
31,782 |
|
| Ecolab Inc. |
|
|
|
|
|
|
|
|
| 3.25% 12/01/27 |
|
|
26,000 |
|
|
|
24,870 |
|
| 3.95% 12/01/47 |
|
|
15,000 |
|
|
|
14,340 |
|
| Ecopetrol S.A. |
|
|
|
|
|
|
|
|
| 5.88% 05/28/45 |
|
|
28,000 |
|
|
|
26,470 |
|
| 7.63% 07/23/19 |
|
|
19,000 |
|
|
|
19,854 |
|
| Edison International
4.13% 03/15/28 |
|
|
28,000 |
|
|
|
27,571 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
27 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR 2.89% 05/01/20 (i) |
|
|
39,000 |
|
|
|
39,135 |
|
| Electricite de France S.A.
2.15% 01/22/19 (b) |
|
|
100,000 |
|
|
|
99,699 |
|
| Eli Lilly & Co.
3.70% 03/01/45 |
|
|
6,000 |
|
|
|
5,678 |
|
| EMC Corp.
2.65% 06/01/20 |
|
|
100,000 |
|
|
|
96,881 |
|
| Emera US Finance LP
4.75% 06/15/46 |
|
|
8,000 |
|
|
|
7,888 |
|
| Enbridge Energy Partners LP
5.50% 09/15/40 |
|
|
8,000 |
|
|
|
8,370 |
|
| Encana Corp.
3.90% 11/15/21 |
|
|
41,000 |
|
|
|
41,258 |
|
| Energy Transfer Equity LP
5.88% 01/15/24 |
|
|
157,000 |
|
|
|
161,123 |
|
| Energy Transfer Partners LP |
|
|
|
|
|
|
|
|
| 4.20% 09/15/23 |
|
|
26,000 |
|
|
|
26,028 |
|
| 4.95% 06/15/28 |
|
|
14,000 |
|
|
|
13,997 |
|
| 5.80% 06/15/38 |
|
|
27,000 |
|
|
|
26,779 |
|
| 6.00% 06/15/48 |
|
|
25,000 |
|
|
|
25,080 |
|
| 6.50% 02/01/42 |
|
|
26,000 |
|
|
|
27,051 |
|
| Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50% 11/01/23 |
|
|
30,000 |
|
|
|
30,267 |
|
| Entergy Louisiana LLC |
|
|
|
|
|
|
|
|
| 3.05% 06/01/31 |
|
|
26,000 |
|
|
|
23,707 |
|
| 4.00% 03/15/33 |
|
|
18,000 |
|
|
|
18,015 |
|
| Enterprise Products Operating LLC |
|
|
|
|
|
|
|
|
| 3.95% 02/15/27 |
|
|
58,000 |
|
|
|
57,600 |
|
| 4.25% 02/15/48 |
|
|
31,000 |
|
|
|
28,818 |
|
| Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR
thereafter) 5.25% 08/16/77 (i) |
|
|
15,000 |
|
|
|
13,949 |
|
| Envision Healthcare Corp.
6.25% 12/01/24 (b) |
|
|
40,000 |
|
|
|
42,601 |
|
| EOG Resources Inc. |
|
|
|
|
|
|
|
|
| 4.10% 02/01/21 |
|
|
52,000 |
|
|
|
53,061 |
|
| 4.15% 01/15/26 |
|
|
36,000 |
|
|
|
36,810 |
|
| EPR Properties
4.95% 04/15/28 |
|
|
29,000 |
|
|
|
28,301 |
|
| EQT Corp.
3.90% 10/01/27 |
|
|
21,000 |
|
|
|
19,594 |
|
| EQT Midstream Partners LP |
|
|
|
|
|
|
|
|
| 4.75% 07/15/23 |
|
|
22,000 |
|
|
|
21,985 |
|
| 5.50% 07/15/28 |
|
|
22,000 |
|
|
|
22,061 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| ERP Operating LP
4.50% 07/01/44 |
|
|
16,000 |
|
|
|
16,257 |
|
| Exelon Corp. |
|
|
|
|
|
|
|
|
| 3.50% 06/01/22 |
|
|
29,000 |
|
|
|
28,696 |
|
| 4.45% 04/15/46 |
|
|
39,000 |
|
|
|
38,007 |
|
| Express Scripts Holding Co. |
|
|
|
|
|
|
|
|
| 3.40% 03/01/27 |
|
|
25,000 |
|
|
|
22,887 |
|
| 4.80% 07/15/46 |
|
|
9,000 |
|
|
|
8,572 |
|
| Exxon Mobil Corp.
2.22% 03/01/21 |
|
|
25,000 |
|
|
|
24,354 |
|
| FirstEnergy Corp. |
|
|
|
|
|
|
|
|
| 3.90% 07/15/27 |
|
|
10,000 |
|
|
|
9,714 |
|
| 4.85% 07/15/47 |
|
|
15,000 |
|
|
|
15,364 |
|
| Florida Power & Light Co.
4.13% 02/01/42 |
|
|
23,000 |
|
|
|
23,221 |
|
| Ford Motor Co.
4.35% 12/08/26 |
|
|
68,000 |
|
|
|
66,568 |
|
| Frontier Communications Corp.
7.13% 03/15/19 |
|
|
91,000 |
|
|
|
91,684 |
|
| GameStop Corp.
6.75% 03/15/21 (b) |
|
|
110,000 |
|
|
|
111,101 |
|
| General Dynamics Corp. |
|
|
|
|
|
|
|
|
| 2.13% 08/15/26 |
|
|
10,000 |
|
|
|
8,977 |
|
| 2.88% 05/11/20 |
|
|
55,000 |
|
|
|
54,946 |
|
| 3.00% 05/11/21 |
|
|
76,000 |
|
|
|
75,748 |
|
| 3.38% 05/15/23 |
|
|
52,000 |
|
|
|
52,110 |
|
| 3.50% 05/15/25 |
|
|
52,000 |
|
|
|
51,988 |
|
| 3.75% 05/15/28 |
|
|
52,000 |
|
|
|
52,515 |
|
| General Mills Inc. |
|
|
|
|
|
|
|
|
| 3.20% 04/16/21 |
|
|
50,000 |
|
|
|
49,756 |
|
| 3.70% 10/17/23 |
|
|
45,000 |
|
|
|
44,527 |
|
| 4.55% 04/17/38 |
|
|
8,000 |
|
|
|
7,655 |
|
| 4.70% 04/17/48 |
|
|
26,000 |
|
|
|
24,748 |
|
| General Motors Co.
5.20% 04/01/45 |
|
|
7,000 |
|
|
|
6,459 |
|
| General Motors Financial Company Inc. |
|
|
|
|
|
|
|
|
| 2.35% 10/04/19 |
|
|
55,000 |
|
|
|
54,537 |
|
| 3.15% 01/15/20 |
|
|
56,000 |
|
|
|
55,913 |
|
| 3.20% 07/13/20 |
|
|
101,000 |
|
|
|
100,453 |
|
| 3.55% 04/09/21 |
|
|
74,000 |
|
|
|
73,809 |
|
| 5.25% 03/01/26 |
|
|
69,000 |
|
|
|
71,354 |
|
| Georgia-Pacific LLC
3.60% 03/01/25 (b) |
|
|
10,000 |
|
|
|
9,956 |
|
| Gilead Sciences Inc. |
|
|
|
|
|
|
|
|
| 2.55% 09/01/20 |
|
|
19,000 |
|
|
|
18,771 |
|
| 2.95% 03/01/27 |
|
|
7,000 |
|
|
|
6,546 |
|
| 3.50% 02/01/25 |
|
|
24,000 |
|
|
|
23,662 |
|
| 3.65% 03/01/26 |
|
|
24,000 |
|
|
|
23,696 |
|
| 4.15% 03/01/47 |
|
|
29,000 |
|
|
|
27,717 |
|
| 4.80% 04/01/44 |
|
|
16,000 |
|
|
|
16,615 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 28 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| GlaxoSmithKline Capital Inc. |
|
|
|
|
|
|
|
|
| 3.38% 05/15/23 |
|
|
52,000 |
|
|
|
51,990 |
|
| 3.63% 05/15/25 |
|
|
52,000 |
|
|
|
51,984 |
|
| 3.88% 05/15/28 |
|
|
30,000 |
|
|
|
30,270 |
|
| GlaxoSmithKline Capital PLC
3.13% 05/14/21 |
|
|
38,000 |
|
|
|
38,035 |
|
| Glencore Funding LLC
2.50% 01/15/19 (b) |
|
|
99,000 |
|
|
|
98,714 |
|
| Goldman Sachs Bank USA
3.20% 06/05/20 |
|
|
41,000 |
|
|
|
41,198 |
|
| H&E Equipment Services Inc.
5.63% 09/01/25 |
|
|
68,000 |
|
|
|
66,811 |
|
| Halliburton Co. |
|
|
|
|
|
|
|
|
| 3.80% 11/15/25 |
|
|
33,000 |
|
|
|
32,751 |
|
| 5.00% 11/15/45 |
|
|
18,000 |
|
|
|
19,164 |
|
| HCA Inc.
4.75% 05/01/23 |
|
|
122,000 |
|
|
|
121,391 |
|
| Hess Corp. |
|
|
|
|
|
|
|
|
| 5.60% 02/15/41 |
|
|
9,000 |
|
|
|
9,104 |
|
| 5.80% 04/01/47 |
|
|
6,000 |
|
|
|
6,214 |
|
| Hewlett Packard Enterprise Co.
6.35% 10/15/45 |
|
|
9,000 |
|
|
|
8,938 |
|
| Highwoods Realty LP
4.13% 03/15/28 |
|
|
21,000 |
|
|
|
20,619 |
|
| Hilcorp Energy I LP/Hilcorp Finance Co.
5.75% 10/01/25 (b) |
|
|
70,001 |
|
|
|
70,001 |
|
| HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter) 6.50% 12/31/99 (i) |
|
|
50,000 |
|
|
|
47,966 |
|
| Hyundai Capital America
3.10% 04/05/22 (b) |
|
|
18,000 |
|
|
|
17,561 |
|
| IBM Credit LLC
2.65% 02/05/21 |
|
|
200,000 |
|
|
|
197,991 |
|
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.
6.00% 08/01/20 |
|
|
54,000 |
|
|
|
54,779 |
|
| Ingersoll-Rand Luxembourg Finance S.A.
3.55% 11/01/24 |
|
|
47,000 |
|
|
|
46,257 |
|
| Intel Corp. |
|
|
|
|
|
|
|
|
| 2.60% 05/19/26 |
|
|
67,000 |
|
|
|
62,518 |
|
| 2.88% 05/11/24 |
|
|
34,000 |
|
|
|
32,941 |
|
| International Paper Co.
4.40% 08/15/47 |
|
|
33,000 |
|
|
|
30,143 |
|
| Interstate Power & Light Co.
3.40% 08/15/25 |
|
|
150,000 |
|
|
|
145,858 |
|
| j2 Cloud Services LLC/j2 Global Co-Obligor Inc.
6.00%
07/15/25 (b) |
|
|
32,000 |
|
|
|
32,401 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Jabil Inc.
3.95% 01/12/28 |
|
|
41,000 |
|
|
|
39,154 |
|
| JBS USA LUX S.A./JBS USA Finance Inc.
6.75% 02/15/28 (b) |
|
|
44,000 |
|
|
|
41,416 |
|
| Jefferies Group LLC |
|
|
|
|
|
|
|
|
| 5.13% 01/20/23 |
|
|
68,000 |
|
|
|
70,736 |
|
| 6.50% 01/20/43 |
|
|
26,000 |
|
|
|
26,947 |
|
| Johnson & Johnson |
|
|
|
|
|
|
|
|
| 2.63% 01/15/25 |
|
|
82,000 |
|
|
|
78,593 |
|
| 3.63% 03/03/37 |
|
|
25,000 |
|
|
|
24,453 |
|
| Johnson Controls International PLC
4.50% 02/15/47 |
|
|
10,000 |
|
|
|
9,644 |
|
| JPMorgan Chase & Co. |
|
|
|
|
|
|
|
|
| 2.30% 08/15/21 |
|
|
92,000 |
|
|
|
89,039 |
|
| 2.55% 10/29/20 |
|
|
92,000 |
|
|
|
90,445 |
|
| 3.30% 04/01/26 |
|
|
71,000 |
|
|
|
67,801 |
|
| 3.63% 12/01/27 |
|
|
24,000 |
|
|
|
22,589 |
|
| JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR
thereafter) 3.51% 01/23/29 (i) |
|
|
44,000 |
|
|
|
41,639 |
|
| JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR
thereafter)
3.88% 07/24/38 (i) |
|
|
64,000 |
|
|
|
59,029 |
|
| JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR
thereafter)
3.90% 01/23/49 (i) |
|
|
17,000 |
|
|
|
15,305 |
|
| JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR
thereafter)
4.01% 04/23/29 (i) |
|
|
100,000 |
|
|
|
98,721 |
|
| JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR
thereafter)
4.03% 07/24/48 (i) |
|
|
25,000 |
|
|
|
22,799 |
|
| JPMorgan Chase & Co. (4.63% fixed rate until 11/01/22; 2.58% + 3 month USD LIBOR
thereafter)
4.63% 12/31/99 (i) |
|
|
41,000 |
|
|
|
37,908 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
29 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR
thereafter)
6.10% 10/29/49 (i) |
|
|
110,000 |
|
|
|
113,587 |
|
| JPMorgan Chase & Co. 3.47% + 3 month USD LIBOR 5.83% 12/29/49 (i) |
|
|
44,000 |
|
|
|
44,400 |
|
| Kinder Morgan Energy Partners LP |
|
|
|
|
|
|
|
|
| 3.50% 03/01/21 |
|
|
19,000 |
|
|
|
18,963 |
|
| 5.30% 09/15/20 |
|
|
26,000 |
|
|
|
27,025 |
|
| 6.38% 03/01/41 |
|
|
15,000 |
|
|
|
16,051 |
|
| Kinder Morgan Inc. |
|
|
|
|
|
|
|
|
| 3.05% 12/01/19 |
|
|
16,000 |
|
|
|
15,971 |
|
| 4.30% 03/01/28 |
|
|
64,000 |
|
|
|
62,253 |
|
| 5.05% 02/15/46 |
|
|
15,000 |
|
|
|
14,184 |
|
| 5.55% 06/01/45 |
|
|
28,000 |
|
|
|
28,217 |
|
| Kraft Heinz Foods Co.
4.38% 06/01/46 |
|
|
28,000 |
|
|
|
24,257 |
|
| Kreditanstalt fuer Wiederaufbau |
|
|
|
|
|
|
|
|
| 2.00% 10/04/22 |
|
|
51,000 |
|
|
|
49,223 |
|
| 4.50% 07/16/18 |
|
|
102,000 |
|
|
|
102,090 |
|
| L Brands Inc.
5.25% 02/01/28 |
|
|
43,000 |
|
|
|
38,112 |
|
| Lamb Weston Holdings Inc.
4.63% 11/01/24 (b) |
|
|
60,000 |
|
|
|
58,426 |
|
| Lee Enterprises Inc.
9.50% 03/15/22 (b) |
|
|
57,000 |
|
|
|
59,531 |
|
| Lennar Corp.
4.75% 05/30/25 - 11/29/27 |
|
|
108,000 |
|
|
|
102,389 |
|
| Levi Strauss & Co.
5.00% 05/01/25 |
|
|
59,000 |
|
|
|
58,783 |
|
| Lincoln National Corp. |
|
|
|
|
|
|
|
|
| 3.63% 12/12/26 |
|
|
51,000 |
|
|
|
48,542 |
|
| 3.80% 03/01/28 |
|
|
30,000 |
|
|
|
28,622 |
|
| 4.35% 03/01/48 |
|
|
22,000 |
|
|
|
20,367 |
|
| Lithia Motors Inc.
5.25% 08/01/25 (b) |
|
|
53,000 |
|
|
|
51,676 |
|
| Lockheed Martin Corp. |
|
|
|
|
|
|
|
|
| 3.55% 01/15/26 |
|
|
27,000 |
|
|
|
26,572 |
|
| 3.80% 03/01/45 |
|
|
10,000 |
|
|
|
9,193 |
|
| Lowe’s Companies Inc.
3.70% 04/15/46 |
|
|
9,000 |
|
|
|
8,076 |
|
| LYB International Finance BV
4.88% 03/15/44 |
|
|
9,000 |
|
|
|
8,951 |
|
| LYB International Finance II BV
3.50% 03/02/27 |
|
|
13,000 |
|
|
|
12,222 |
|
| Macy’s Retail Holdings Inc.
4.30% 02/15/43 |
|
|
7,000 |
|
|
|
5,448 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Maple Escrow Subsidiary Inc. |
|
|
|
|
|
|
|
|
| 3.55% 05/25/21 (b) |
|
|
162,000 |
|
|
|
162,084 |
|
| 4.06% 05/25/23 (b) |
|
|
52,000 |
|
|
|
52,184 |
|
| 4.60% 05/25/28 (b) |
|
|
52,000 |
|
|
|
52,191 |
|
| 5.09% 05/25/48 (b) |
|
|
52,000 |
|
|
|
52,396 |
|
| Marathon Oil Corp. |
|
|
|
|
|
|
|
|
| 2.70% 06/01/20 |
|
|
56,000 |
|
|
|
55,271 |
|
| 3.85% 06/01/25 |
|
|
19,000 |
|
|
|
18,712 |
|
| Marathon Petroleum Corp.
3.63% 09/15/24 |
|
|
33,000 |
|
|
|
32,271 |
|
| Marsh & McLennan Companies Inc.
3.50% 03/10/25 |
|
|
40,000 |
|
|
|
39,197 |
|
| Masco Corp.
3.50% 11/15/27 |
|
|
11,000 |
|
|
|
10,147 |
|
| McDonald’s Corp. |
|
|
|
|
|
|
|
|
| 3.70% 01/30/26 |
|
|
40,000 |
|
|
|
39,736 |
|
| 4.88% 12/09/45 |
|
|
15,000 |
|
|
|
15,728 |
|
| Medtronic Inc. |
|
|
|
|
|
|
|
|
| 2.50% 03/15/20 |
|
|
58,000 |
|
|
|
57,580 |
|
| 4.63% 03/15/45 |
|
|
47,000 |
|
|
|
49,845 |
|
| Memorial Sloan-Kettering Cancer Center
4.13% 07/01/52 |
|
|
26,000 |
|
|
|
26,224 |
|
| Merck & Company Inc.
2.75% 02/10/25 |
|
|
78,000 |
|
|
|
74,564 |
|
| MetLife Inc. |
|
|
|
|
|
|
|
|
| 4.05% 03/01/45 |
|
|
8,000 |
|
|
|
7,443 |
|
| 4.72% 12/15/44 |
|
|
25,000 |
|
|
|
25,668 |
|
| MGM Resorts International |
|
|
|
|
|
|
|
|
| 4.63% 09/01/26 |
|
|
37,000 |
|
|
|
34,275 |
|
| 5.75% 06/15/25 |
|
|
50,000 |
|
|
|
49,816 |
|
| 6.63% 12/15/21 |
|
|
57,000 |
|
|
|
60,065 |
|
| Microsoft Corp. |
|
|
|
|
|
|
|
|
| 1.55% 08/08/21 |
|
|
40,000 |
|
|
|
38,371 |
|
| 2.40% 08/08/26 |
|
|
45,000 |
|
|
|
41,603 |
|
| 3.45% 08/08/36 |
|
|
20,000 |
|
|
|
19,199 |
|
| 3.70% 08/08/46 |
|
|
20,000 |
|
|
|
19,406 |
|
| 4.00% 02/12/55 |
|
|
33,000 |
|
|
|
32,919 |
|
| 4.10% 02/06/37 |
|
|
10,000 |
|
|
|
10,395 |
|
| 4.25% 02/06/47 |
|
|
24,000 |
|
|
|
25,418 |
|
| 4.50% 02/06/57 |
|
|
9,000 |
|
|
|
9,762 |
|
| Mizuho Financial Group Inc.
2.63% 04/12/21 (b) |
|
|
200,000 |
|
|
|
195,279 |
|
| Molina Healthcare Inc.
4.88% 06/15/25 (b) |
|
|
86,000 |
|
|
|
83,314 |
|
| Molson Coors Brewing Co. |
|
|
|
|
|
|
|
|
| 2.10% 07/15/21 |
|
|
60,000 |
|
|
|
57,534 |
|
| 4.20% 07/15/46 |
|
|
11,000 |
|
|
|
9,850 |
|
| Monsanto Co.
4.70% 07/15/64 |
|
|
8,000 |
|
|
|
7,022 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 30 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
| 2.45% 02/01/19 |
|
|
138,000 |
|
|
|
137,761 |
|
| 2.63% 11/17/21 |
|
|
78,000 |
|
|
|
75,867 |
|
| 2.65% 01/27/20 |
|
|
44,000 |
|
|
|
43,685 |
|
| 2.75% 05/19/22 |
|
|
41,000 |
|
|
|
39,755 |
|
| 3.63% 01/20/27 |
|
|
5,000 |
|
|
|
4,812 |
|
| 3.70% 10/23/24 |
|
|
20,000 |
|
|
|
19,748 |
|
| 3.95% 04/23/27 |
|
|
90,000 |
|
|
|
85,925 |
|
| 4.10% 05/22/23 |
|
|
231,000 |
|
|
|
232,196 |
|
| 4.38% 01/22/47 |
|
|
39,000 |
|
|
|
37,180 |
|
| 5.00% 11/24/25 |
|
|
56,000 |
|
|
|
57,983 |
|
| Morgan Stanley (3.77% fixed rate until 01/24/28; 1.14% + 3 month USD LIBOR
thereafter)
3.77% 01/24/29 (i) |
|
|
44,000 |
|
|
|
42,428 |
|
| Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR
thereafter)
3.97% 07/22/38 (i) |
|
|
21,000 |
|
|
|
19,359 |
|
| MPLX LP |
|
|
|
|
|
|
|
|
| 3.38% 03/15/23 |
|
|
25,000 |
|
|
|
24,447 |
|
| 4.50% 04/15/38 |
|
|
26,000 |
|
|
|
24,061 |
|
| 4.70% 04/15/48 |
|
|
21,000 |
|
|
|
19,498 |
|
| 5.20% 03/01/47 |
|
|
7,000 |
|
|
|
6,895 |
|
| Murphy Oil Corp.
5.75% 08/15/25 |
|
|
144,000 |
|
|
|
143,281 |
|
| Mylan Inc. |
|
|
|
|
|
|
|
|
| 4.55% 04/15/28 (b) |
|
|
50,000 |
|
|
|
48,844 |
|
| 5.20% 04/15/48 (b) |
|
|
19,000 |
|
|
|
18,363 |
|
| Mylan N.V. |
|
|
|
|
|
|
|
|
| 3.15% 06/15/21 |
|
|
20,000 |
|
|
|
19,785 |
|
| 3.95% 06/15/26 |
|
|
17,000 |
|
|
|
16,247 |
|
| National Retail Properties Inc.
4.00% 11/15/25 |
|
|
40,000 |
|
|
|
39,211 |
|
| Navient Corp. |
|
|
|
|
|
|
|
|
| 6.75% 06/15/26 |
|
|
40,000 |
|
|
|
39,089 |
|
| 8.00% 03/25/20 |
|
|
82,000 |
|
|
|
86,511 |
|
| Newell Brands Inc. |
|
|
|
|
|
|
|
|
| 3.85% 04/01/23 |
|
|
9,000 |
|
|
|
8,868 |
|
| 4.20% 04/01/26 |
|
|
5,000 |
|
|
|
4,834 |
|
| 5.50% 04/01/46 |
|
|
23,000 |
|
|
|
22,521 |
|
| Newfield Exploration Co.
5.38% 01/01/26 |
|
|
65,000 |
|
|
|
66,464 |
|
| Newmont Mining Corp.
4.88% 03/15/42 |
|
|
29,000 |
|
|
|
29,003 |
|
| Nexen Energy ULC
6.40% 05/15/37 |
|
|
10,000 |
|
|
|
12,245 |
|
| NGPL PipeCo LLC
4.88% 08/15/27 (b) |
|
|
53,000 |
|
|
|
52,339 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Noble Energy Inc. |
|
|
|
|
|
|
|
|
| 3.90% 11/15/24 |
|
|
41,000 |
|
|
|
40,425 |
|
| 5.05% 11/15/44 |
|
|
8,000 |
|
|
|
7,997 |
|
| Nordstrom Inc.
5.00% 01/15/44 |
|
|
2,000 |
|
|
|
1,842 |
|
| Northern States Power Co.
2.20% 08/15/20 |
|
|
94,000 |
|
|
|
92,556 |
|
| Northrop Grumman Corp. |
|
|
|
|
|
|
|
|
| 2.08% 10/15/20 |
|
|
16,000 |
|
|
|
15,637 |
|
| 2.55% 10/15/22 |
|
|
18,000 |
|
|
|
17,355 |
|
| 2.93% 01/15/25 |
|
|
35,000 |
|
|
|
33,227 |
|
| 3.25% 01/15/28 |
|
|
27,000 |
|
|
|
25,420 |
|
| 3.85% 04/15/45 |
|
|
5,000 |
|
|
|
4,548 |
|
| 4.03% 10/15/47 |
|
|
19,000 |
|
|
|
17,786 |
|
| Novartis Capital Corp.
3.00% 11/20/25 |
|
|
6,000 |
|
|
|
5,786 |
|
| NRG Energy Inc.
6.25% 07/15/22 |
|
|
59,000 |
|
|
|
60,718 |
|
| Nucor Corp. |
|
|
|
|
|
|
|
|
| 3.95% 05/01/28 |
|
|
48,000 |
|
|
|
47,934 |
|
| 4.13% 09/15/22 |
|
|
18,000 |
|
|
|
18,488 |
|
| Nutrien Ltd. |
|
|
|
|
|
|
|
|
| 4.00% 12/15/26 |
|
|
19,000 |
|
|
|
18,356 |
|
| 4.90% 06/01/43 |
|
|
16,000 |
|
|
|
15,915 |
|
| Occidental Petroleum Corp. |
|
|
|
|
|
|
|
|
| 4.10% 02/15/47 |
|
|
15,000 |
|
|
|
14,707 |
|
| 4.20% 03/15/48 |
|
|
16,000 |
|
|
|
15,933 |
|
| Olin Corp.
5.00% 02/01/30 |
|
|
65,000 |
|
|
|
61,426 |
|
| Omnicom Group Inc./Omnicom Capital Inc.
3.63% 05/01/22 |
|
|
23,000 |
|
|
|
22,885 |
|
| Oncor Electric Delivery Company LLC
3.80% 09/30/47 |
|
|
8,000 |
|
|
|
7,646 |
|
| Oracle Corp. |
|
|
|
|
|
|
|
|
| 1.90% 09/15/21 |
|
|
41,000 |
|
|
|
39,431 |
|
| 2.40% 09/15/23 |
|
|
24,000 |
|
|
|
22,771 |
|
| 3.25% 11/15/27 |
|
|
38,000 |
|
|
|
36,389 |
|
| 3.80% 11/15/37 |
|
|
14,000 |
|
|
|
13,242 |
|
| 4.00% 07/15/46 - 11/15/47 |
|
|
34,000 |
|
|
|
32,099 |
|
| Oshkosh Corp.
5.38% 03/01/25 |
|
|
33,000 |
|
|
|
33,826 |
|
| Owens Corning
4.40% 01/30/48 |
|
|
14,000 |
|
|
|
11,675 |
|
| Owens-Brockway Glass Container Inc.
6.38% 08/15/25 (b) |
|
|
25,000 |
|
|
|
25,626 |
|
| Pacific Gas & Electric Co.
3.40% 08/15/24 |
|
|
138,000 |
|
|
|
129,650 |
|
| PacifiCorp
6.25% 10/15/37 |
|
|
50,000 |
|
|
|
64,025 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
31 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Packaging Corporation of America
3.40% 12/15/27 |
|
|
40,000 |
|
|
|
37,763 |
|
| Parker-Hannifin Corp.
3.25% 03/01/27 |
|
|
81,000 |
|
|
|
78,142 |
|
| Party City Holdings Inc.
6.13% 08/15/23 (b) |
|
|
20,000 |
|
|
|
20,101 |
|
| Penske Automotive Group Inc.
5.38% 12/01/24 |
|
|
50,000 |
|
|
|
49,501 |
|
| PepsiCo Inc.
3.45% 10/06/46 |
|
|
11,000 |
|
|
|
9,826 |
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
| 4.50% 01/23/26 |
|
|
45,000 |
|
|
|
42,008 |
|
| 5.35% 02/12/28 (b) |
|
|
15,000 |
|
|
|
14,177 |
|
| 5.38% 03/13/22 |
|
|
50,000 |
|
|
|
51,223 |
|
| 5.63% 01/23/46 |
|
|
19,000 |
|
|
|
16,158 |
|
| 6.35% 02/12/48 (b) |
|
|
15,000 |
|
|
|
13,517 |
|
| 6.38% 01/23/45 |
|
|
25,000 |
|
|
|
22,951 |
|
| 6.50% 03/13/27 |
|
|
50,000 |
|
|
|
51,179 |
|
| 6.75% 09/21/47 |
|
|
40,000 |
|
|
|
37,743 |
|
| Pfizer Inc. |
|
|
|
|
|
|
|
|
| 3.00% 12/15/26 |
|
|
45,000 |
|
|
|
43,265 |
|
| 4.13% 12/15/46 |
|
|
15,000 |
|
|
|
15,123 |
|
| 4.40% 05/15/44 |
|
|
8,000 |
|
|
|
8,336 |
|
| Philip Morris International Inc.
4.13% 03/04/43 |
|
|
28,000 |
|
|
|
25,967 |
|
| Phillips 66
3.90% 03/15/28 |
|
|
45,000 |
|
|
|
44,119 |
|
| Phillips 66 Partners LP |
|
|
|
|
|
|
|
|
| 3.75% 03/01/28 |
|
|
38,000 |
|
|
|
35,561 |
|
| 4.68% 02/15/45 |
|
|
21,000 |
|
|
|
19,618 |
|
| Pilgrim’s Pride Corp.
5.88% 09/30/27 (b) |
|
|
43,000 |
|
|
|
39,991 |
|
| Plains All American Pipeline LP/PAA Finance Corp. |
|
|
|
|
|
|
|
|
| 4.70% 06/15/44 |
|
|
12,000 |
|
|
|
10,562 |
|
| 5.75% 01/15/20 |
|
|
29,000 |
|
|
|
29,944 |
|
| PPL Capital Funding Inc.
3.10% 05/15/26 |
|
|
50,000 |
|
|
|
46,554 |
|
| Precision Castparts Corp.
4.38% 06/15/45 |
|
|
22,000 |
|
|
|
22,840 |
|
| Prudential Financial Inc. (4.50% fixed rate until 09/15/27; 2.38% + 3 month USD LIBOR
thereafter)
4.50% 09/15/47 (i) |
|
|
16,000 |
|
|
|
14,690 |
|
| Prudential Financial Inc. (5.38% fixed rate until 05/15/25; 3.03% + 3 month USD LIBOR
thereafter)
5.38% 05/15/45 (i) |
|
|
38,000 |
|
|
|
37,769 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Public Service Company of Colorado
3.70% 06/15/28 |
|
|
52,000 |
|
|
|
52,303 |
|
| Public Service Electric & Gas Co.
2.38% 05/15/23 |
|
|
67,000 |
|
|
|
63,962 |
|
| PulteGroup Inc.
5.50% 03/01/26 |
|
|
60,000 |
|
|
|
59,701 |
|
| QUALCOMM Inc. |
|
|
|
|
|
|
|
|
| 2.90% 05/20/24 |
|
|
18,000 |
|
|
|
17,005 |
|
| 3.00% 05/20/22 |
|
|
11,000 |
|
|
|
10,831 |
|
| 3.25% 05/20/27 |
|
|
4,000 |
|
|
|
3,730 |
|
| 4.30% 05/20/47 |
|
|
7,000 |
|
|
|
6,529 |
|
| Range Resources Corp.
5.00% 08/15/22 |
|
|
65,000 |
|
|
|
64,270 |
|
| Realty Income Corp.
3.00% 01/15/27 |
|
|
19,000 |
|
|
|
17,405 |
|
| Republic Services Inc.
3.38% 11/15/27 |
|
|
12,000 |
|
|
|
11,374 |
|
| Reynolds American Inc.
4.45% 06/12/25 |
|
|
7,000 |
|
|
|
7,043 |
|
| Rio Tinto Finance USA PLC
4.13% 08/21/42 |
|
|
15,000 |
|
|
|
14,772 |
|
| Rockwell Collins Inc.
3.50% 03/15/27 |
|
|
44,000 |
|
|
|
41,890 |
|
| Rogers Communications Inc.
5.00% 03/15/44 |
|
|
9,000 |
|
|
|
9,358 |
|
| RPM International Inc.
3.75% 03/15/27 |
|
|
41,000 |
|
|
|
39,170 |
|
| RSP Permian Inc.
5.25% 01/15/25 |
|
|
57,000 |
|
|
|
60,974 |
|
| Ryder System Inc.
2.45% 09/03/19 |
|
|
110,000 |
|
|
|
109,300 |
|
| Sabine Pass Liquefaction LLC |
|
|
|
|
|
|
|
|
| 4.20% 03/15/28 |
|
|
36,000 |
|
|
|
34,717 |
|
| 5.00% 03/15/27 |
|
|
12,000 |
|
|
|
12,248 |
|
| salesforce.com Inc. |
|
|
|
|
|
|
|
|
| 3.25% 04/11/23 |
|
|
47,000 |
|
|
|
46,742 |
|
| 3.70% 04/11/28 |
|
|
67,000 |
|
|
|
66,468 |
|
| Santander Holdings USA Inc. |
|
|
|
|
|
|
|
|
| 2.65% 04/17/20 |
|
|
78,000 |
|
|
|
77,282 |
|
| 3.70% 03/28/22 |
|
|
71,000 |
|
|
|
69,995 |
|
| 4.40% 07/13/27 |
|
|
25,000 |
|
|
|
23,923 |
|
| Schlumberger Holdings Corp. |
|
|
|
|
|
|
|
|
| 3.00% 12/21/20 (b) |
|
|
32,000 |
|
|
|
31,810 |
|
| 4.00% 12/21/25 (b) |
|
|
12,000 |
|
|
|
11,961 |
|
| Select Income REIT
4.25% 05/15/24 |
|
|
39,000 |
|
|
|
37,269 |
|
| Sempra Energy |
|
|
|
|
|
|
|
|
| 3.80% 02/01/38 |
|
|
14,000 |
|
|
|
12,710 |
|
| 4.00% 02/01/48 |
|
|
14,000 |
|
|
|
12,601 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 32 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Shell International Finance BV |
|
|
|
|
|
|
|
|
| 3.25% 05/11/25 |
|
|
27,000 |
|
|
|
26,455 |
|
| 3.40% 08/12/23 |
|
|
54,000 |
|
|
|
54,086 |
|
| 3.75% 09/12/46 |
|
|
14,000 |
|
|
|
13,056 |
|
| 4.13% 05/11/35 |
|
|
20,000 |
|
|
|
20,292 |
|
| Shire Acquisitions Investments Ireland DAC |
|
|
|
|
|
|
|
|
| 2.40% 09/23/21 |
|
|
36,000 |
|
|
|
34,466 |
|
| 2.88% 09/23/23 |
|
|
42,000 |
|
|
|
39,540 |
|
| 3.20% 09/23/26 |
|
|
12,000 |
|
|
|
10,977 |
|
| Simon Property Group LP
3.38% 06/15/27 |
|
|
39,000 |
|
|
|
37,458 |
|
| Sinclair Television Group Inc.
5.38% 04/01/21 |
|
|
60,000 |
|
|
|
60,451 |
|
| Smithfield Foods Inc. |
|
|
|
|
|
|
|
|
| 2.70% 01/31/20 (b) |
|
|
16,000 |
|
|
|
15,772 |
|
| 4.25% 02/01/27 (b) |
|
|
24,000 |
|
|
|
23,095 |
|
| South Carolina Electric & Gas Co.
4.10% 06/15/46 |
|
|
7,000 |
|
|
|
6,368 |
|
| Southern California Edison Co.
2.40% 02/01/22 |
|
|
34,000 |
|
|
|
32,850 |
|
| Southern Copper Corp.
5.88% 04/23/45 |
|
|
14,000 |
|
|
|
14,923 |
|
| Southwestern Electric Power Co.
2.75% 10/01/26 |
|
|
38,000 |
|
|
|
34,846 |
|
| Spectra Energy Partners LP |
|
|
|
|
|
|
|
|
| 3.38% 10/15/26 |
|
|
11,000 |
|
|
|
10,198 |
|
| 4.50% 03/15/45 |
|
|
6,000 |
|
|
|
5,559 |
|
| Sprint Corp.
7.63% 02/15/25 |
|
|
134,000 |
|
|
|
137,351 |
|
| Standard Industries Inc.
5.38% 11/15/24 (b) |
|
|
118,000 |
|
|
|
116,526 |
|
| Suncor Energy Inc.
4.00% 11/15/47 |
|
|
9,000 |
|
|
|
8,472 |
|
| Sysco Corp.
3.25% 07/15/27 |
|
|
33,000 |
|
|
|
30,941 |
|
| T-Mobile USA Inc.
4.50% 02/01/26 |
|
|
112,000 |
|
|
|
104,587 |
|
| Tampa Electric Co.
4.35% 05/15/44 |
|
|
35,000 |
|
|
|
35,620 |
|
| Target Corp.
2.50% 04/15/26 |
|
|
36,000 |
|
|
|
33,105 |
|
| Teachers Insurance & Annuity Association of America
4.90% 09/15/44 (b) |
|
|
14,000 |
|
|
|
14,739 |
|
| Teck Resources Ltd.
4.75% 01/15/22 |
|
|
38,000 |
|
|
|
38,081 |
|
| Telecom Italia S.p.A.
5.30% 05/30/24 (b) |
|
|
200,000 |
|
|
|
198,001 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Telefonica Emisiones SAU
4.10% 03/08/27 |
|
|
150,000 |
|
|
|
145,168 |
|
| Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
| 4.75% 06/01/20 |
|
|
90,000 |
|
|
|
90,226 |
|
| 6.00% 10/01/20 |
|
|
96,000 |
|
|
|
98,641 |
|
| Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
|
|
|
|
|
| 1.70% 07/19/19 |
|
|
122,000 |
|
|
|
119,195 |
|
| 2.20% 07/21/21 |
|
|
18,000 |
|
|
|
16,696 |
|
| 2.80% 07/21/23 |
|
|
86,000 |
|
|
|
74,148 |
|
| Texas Instruments Inc.
4.15% 05/15/48 |
|
|
20,000 |
|
|
|
20,303 |
|
| The Allstate Corp.
4.20% 12/15/46 |
|
|
14,000 |
|
|
|
13,750 |
|
| The Allstate Corp.
(5.75% fixed rate until 08/15/23; 2.94% + 3 month
USD LIBOR thereafter) 5.75% 08/15/53 (i) |
|
|
51,000 |
|
|
|
52,470 |
|
| The Bank of New York Mellon Corp. (2.66% fixed rate until 05/16/22; 0.63% + 3 month
USD LIBOR thereafter) 2.66% 05/16/23 (i) |
|
|
40,000 |
|
|
|
38,811 |
|
| The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month
USD LIBOR thereafter) 4.63% 12/29/49 (i) |
|
|
98,000 |
|
|
|
92,734 |
|
| The Bank of Nova Scotia
(4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR
thereafter) 4.65% 12/31/99 (i) |
|
|
56,000 |
|
|
|
50,703 |
|
| The Boeing Co. |
|
|
|
|
|
|
|
|
| 3.25% 03/01/28 |
|
|
42,000 |
|
|
|
40,975 |
|
| 3.55% 03/01/38 |
|
|
42,000 |
|
|
|
40,457 |
|
| The Dow Chemical Co.
4.25% 10/01/34 |
|
|
32,000 |
|
|
|
30,913 |
|
| The George Washington University
4.13% 09/15/48 |
|
|
25,000 |
|
|
|
25,392 |
|
| The Goldman Sachs Group Inc. |
|
|
|
|
|
|
|
|
| 2.30% 12/13/19 |
|
|
138,000 |
|
|
|
136,472 |
|
| 2.35% 11/15/21 |
|
|
77,000 |
|
|
|
74,129 |
|
| 2.63% 04/25/21 |
|
|
61,000 |
|
|
|
59,643 |
|
| 2.90% 07/19/18 |
|
|
60,000 |
|
|
|
60,013 |
|
| 3.85% 01/26/27 |
|
|
61,000 |
|
|
|
58,604 |
|
| 4.25% 10/21/25 |
|
|
24,000 |
|
|
|
23,629 |
|
| 4.80% 07/08/44 |
|
|
13,000 |
|
|
|
12,965 |
|
| 5.15% 05/22/45 |
|
|
38,000 |
|
|
|
37,683 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
33 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| The Goldman Sachs Group Inc.
(2.91% fixed rate until 06/05/22; 1.05% + 3 month
USD LIBOR thereafter) 2.91% 06/05/23 (i) |
|
|
207,000 |
|
|
|
199,808 |
|
| The Goldman Sachs Group Inc.
(3.81% fixed rate until 04/23/28; 1.16% + 3 month
USD LIBOR thereafter) 3.81% 04/23/29 (i) |
|
|
43,000 |
|
|
|
40,892 |
|
| The Goldman Sachs Group Inc.
(4.02% fixed rate until 10/31/37; 1.37% + 3 month
USD LIBOR thereafter) 4.02% 10/31/38 (i) |
|
|
24,000 |
|
|
|
21,835 |
|
| The Goldman Sachs Group Inc.
(4.22% fixed rate until 05/01/28; 1.30% + 3 month
USD LIBOR thereafter) 4.22% 05/01/29 (i) |
|
|
48,000 |
|
|
|
47,316 |
|
| The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR
4.47% 02/12/47
(b)(i) |
|
|
30,000 |
|
|
|
28,465 |
|
| The Home Depot Inc. |
|
|
|
|
|
|
|
|
| 3.35% 09/15/25 |
|
|
51,000 |
|
|
|
50,181 |
|
| 3.50% 09/15/56 |
|
|
16,000 |
|
|
|
13,687 |
|
| 3.90% 06/15/47 |
|
|
15,000 |
|
|
|
14,376 |
|
| The Kroger Co. |
|
|
|
|
|
|
|
|
| 2.95% 11/01/21 |
|
|
57,000 |
|
|
|
56,176 |
|
| 4.65% 01/15/48 |
|
|
13,000 |
|
|
|
12,280 |
|
| The Men’s Wearhouse Inc.
7.00% 07/01/22 |
|
|
33,000 |
|
|
|
34,033 |
|
| The Mosaic Co.
5.63% 11/15/43 |
|
|
6,000 |
|
|
|
6,038 |
|
| The Nielsen Company Luxembourg Sarl
5.00% 02/01/25 (b) |
|
|
38,000 |
|
|
|
36,196 |
|
| The Sherwin-Williams Co. |
|
|
|
|
|
|
|
|
| 2.25% 05/15/20 |
|
|
39,000 |
|
|
|
38,400 |
|
| 2.75% 06/01/22 |
|
|
13,000 |
|
|
|
12,594 |
|
| 3.45% 06/01/27 |
|
|
14,000 |
|
|
|
13,254 |
|
| 4.50% 06/01/47 |
|
|
23,000 |
|
|
|
21,998 |
|
| The Southern Co. |
|
|
|
|
|
|
|
|
| 1.85% 07/01/19 |
|
|
138,000 |
|
|
|
136,693 |
|
| 3.25% 07/01/26 |
|
|
17,000 |
|
|
|
15,967 |
|
| 4.40% 07/01/46 |
|
|
11,000 |
|
|
|
10,747 |
|
| The Toronto-Dominion Bank
(3.63% fixed rate until 09/15/26; 2.21% + USD
5 year Swap Rate thereafter) 3.63% 09/15/31 (i) |
|
|
95,000 |
|
|
|
89,299 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| The Walt Disney Co.
4.13% 06/01/44 |
|
|
12,000 |
|
|
|
11,571 |
|
| Time Warner Cable LLC |
|
|
|
|
|
|
|
|
| 4.50% 09/15/42 |
|
|
7,000 |
|
|
|
5,792 |
|
| 6.55% 05/01/37 |
|
|
22,000 |
|
|
|
23,261 |
|
| Transcontinental Gas Pipe Line Company LLC
4.00% 03/15/28 (b) |
|
|
28,000 |
|
|
|
27,415 |
|
| Tyco Electronics Group S.A. |
|
|
|
|
|
|
|
|
| 2.35% 08/01/19 |
|
|
84,000 |
|
|
|
83,568 |
|
| 3.13% 08/15/27 |
|
|
38,000 |
|
|
|
35,570 |
|
| Tyson Foods Inc. |
|
|
|
|
|
|
|
|
| 2.65% 08/15/19 |
|
|
16,000 |
|
|
|
15,938 |
|
| 4.55% 06/02/47 |
|
|
6,000 |
|
|
|
5,746 |
|
| U.S. Bancorp
(5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter)
5.13% 12/29/49 (i) |
|
|
94,000 |
|
|
|
96,469 |
|
| Union Pacific Corp. |
|
|
|
|
|
|
|
|
| 3.20% 06/08/21 |
|
|
54,000 |
|
|
|
54,121 |
|
| 3.50% 06/08/23 |
|
|
52,000 |
|
|
|
52,069 |
|
| 3.60% 09/15/37 |
|
|
10,000 |
|
|
|
9,143 |
|
| 4.10% 09/15/67 |
|
|
15,000 |
|
|
|
13,164 |
|
| United Rentals North America Inc.
4.88% 01/15/28 |
|
|
43,000 |
|
|
|
39,764 |
|
| United Technologies Corp.
4.50% 06/01/42 |
|
|
10,000 |
|
|
|
9,848 |
|
| UnitedHealth Group Inc.
4.75% 07/15/45 |
|
|
33,000 |
|
|
|
35,379 |
|
| Vale Overseas Ltd. |
|
|
|
|
|
|
|
|
| 4.38% 01/11/22 |
|
|
8,000 |
|
|
|
8,121 |
|
| 6.25% 08/10/26 |
|
|
25,000 |
|
|
|
27,128 |
|
| 6.88% 11/10/39 |
|
|
11,000 |
|
|
|
12,428 |
|
| Vale S.A.
5.63% 09/11/42 |
|
|
8,000 |
|
|
|
8,114 |
|
| Valeant Pharmaceuticals International Inc.
7.00% 03/15/24 (b) |
|
|
147,000 |
|
|
|
154,131 |
|
| Ventas Realty LP
3.25% 10/15/26 |
|
|
45,000 |
|
|
|
41,745 |
|
| Verizon Communications Inc. |
|
|
|
|
|
|
|
|
| 3.38% 02/15/25 |
|
|
52,000 |
|
|
|
49,886 |
|
| 4.33% 09/21/28 (b) |
|
|
46,000 |
|
|
|
45,673 |
|
| 4.40% 11/01/34 |
|
|
33,000 |
|
|
|
31,107 |
|
| 4.67% 03/15/55 |
|
|
22,000 |
|
|
|
19,514 |
|
| 4.86% 08/21/46 |
|
|
79,000 |
|
|
|
73,978 |
|
| 5.01% 04/15/49 |
|
|
12,000 |
|
|
|
11,687 |
|
| 5.25% 03/16/37 |
|
|
22,000 |
|
|
|
22,613 |
|
| Viacom Inc. |
|
|
|
|
|
|
|
|
| 3.45% 10/04/26 |
|
|
19,000 |
|
|
|
17,346 |
|
| 5.25% 04/01/44 |
|
|
7,000 |
|
|
|
6,626 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 34 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Virginia Electric & Power Co.
4.00% 11/15/46 |
|
|
43,000 |
|
|
|
41,200 |
|
| Visa Inc. |
|
|
|
|
|
|
|
|
| 3.15% 12/14/25 |
|
|
36,000 |
|
|
|
34,820 |
|
| 4.30% 12/14/45 |
|
|
18,000 |
|
|
|
18,682 |
|
| Vodafone Group PLC |
|
|
|
|
|
|
|
|
| 4.38% 05/30/28 |
|
|
55,000 |
|
|
|
54,345 |
|
| 5.25% 05/30/48 |
|
|
14,000 |
|
|
|
13,941 |
|
| Vornado Realty LP
3.50% 01/15/25 |
|
|
24,000 |
|
|
|
23,038 |
|
| Vulcan Materials Co.
3.90% 04/01/27 |
|
|
14,000 |
|
|
|
13,402 |
|
| Wabtec Corp.
3.45% 11/15/26 |
|
|
39,000 |
|
|
|
35,787 |
|
| Walgreens Boots Alliance Inc.
4.65% 06/01/46 |
|
|
9,000 |
|
|
|
8,305 |
|
| Walmart Inc. |
|
|
|
|
|
|
|
|
| 3.63% 12/15/47 |
|
|
18,000 |
|
|
|
16,782 |
|
| 3.70% 06/26/28 |
|
|
52,000 |
|
|
|
52,496 |
|
| 3.95% 06/28/38 |
|
|
20,000 |
|
|
|
20,082 |
|
| 4.05% 06/29/48 |
|
|
20,000 |
|
|
|
20,155 |
|
| Warner Media LLC
5.35% 12/15/43 |
|
|
39,000 |
|
|
|
38,074 |
|
| WEC Energy Group Inc.
3.55% 06/15/25 |
|
|
65,000 |
|
|
|
63,954 |
|
| WellCare Health Plans Inc.
5.25% 04/01/25 |
|
|
44,000 |
|
|
|
43,781 |
|
| Wells Fargo & Co. |
|
|
|
|
|
|
|
|
| 2.63% 07/22/22 |
|
|
82,000 |
|
|
|
78,864 |
|
| 3.90% 05/01/45 |
|
|
5,000 |
|
|
|
4,541 |
|
| 4.75% 12/07/46 |
|
|
61,000 |
|
|
|
58,879 |
|
| Wells Fargo & Co.
(5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR
thereafter) 5.88% 12/29/49 (i) |
|
|
61,000 |
|
|
|
62,908 |
|
| Wells Fargo & Co.
(5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR
thereafter) 5.90% 12/29/49 (i) |
|
|
57,000 |
|
|
|
57,215 |
|
| Wells Fargo & Co.
3.77% + 3 month USD LIBOR
6.11% 03/29/49 (i) |
|
|
44,000 |
|
|
|
44,564 |
|
| Wells Fargo Bank NA
2.60% 01/15/21 |
|
|
250,000 |
|
|
|
246,036 |
|
| Western Digital Corp.
4.75% 02/15/26 |
|
|
30,000 |
|
|
|
29,151 |
|
| Western Gas Partners LP |
|
|
|
|
|
|
|
|
| 4.00% 07/01/22 |
|
|
95,000 |
|
|
|
94,162 |
|
| 5.38% 06/01/21 |
|
|
43,000 |
|
|
|
44,595 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Westlake Chemical Corp. |
|
|
|
|
|
|
|
|
| 3.60% 08/15/26 |
|
|
24,000 |
|
|
|
22,791 |
|
| 4.38% 11/15/47 |
|
|
5,000 |
|
|
|
4,614 |
|
| 5.00% 08/15/46 |
|
|
9,000 |
|
|
|
9,105 |
|
| WestRock Co.
3.00% 09/15/24 (b) |
|
|
28,000 |
|
|
|
26,535 |
|
| William Lyon Homes Inc.
5.88% 01/31/25 |
|
|
20,000 |
|
|
|
18,751 |
|
| Williams Partners LP |
|
|
|
|
|
|
|
|
| 3.75% 06/15/27 |
|
|
10,000 |
|
|
|
9,451 |
|
| 3.90% 01/15/25 |
|
|
24,000 |
|
|
|
23,401 |
|
| 4.85% 03/01/48 |
|
|
21,000 |
|
|
|
20,119 |
|
| 4.90% 01/15/45 |
|
|
9,000 |
|
|
|
8,634 |
|
| 5.40% 03/04/44 |
|
|
7,000 |
|
|
|
7,196 |
|
| Willis North America Inc.
3.60% 05/15/24 |
|
|
41,000 |
|
|
|
39,701 |
|
| WPP Finance 2010
3.75% 09/19/24 |
|
|
39,000 |
|
|
|
37,743 |
|
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.25% 05/15/27 (b) |
|
|
42,000 |
|
|
|
39,271 |
|
| Xilinx Inc.
2.95% 06/01/24 |
|
|
24,000 |
|
|
|
22,806 |
|
| XPO Logistics Inc.
6.50% 06/15/22 (b) |
|
|
38,000 |
|
|
|
38,906 |
|
| Yamana Gold Inc.
4.63% 12/15/27 |
|
|
26,000 |
|
|
|
24,980 |
|
| Zoetis Inc.
3.00% 09/12/27 |
|
|
15,000 |
|
|
|
13,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,881,757 |
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Collateralized Mortgage Obligations -
1.2% |
|
| BANK 2018-BNK10
4.16% 02/15/61 (i) |
|
|
47,011 |
|
|
|
46,053 |
|
| BANK 2018-BNK11
4.50% 03/15/61 (i) |
|
|
35,000 |
|
|
|
35,899 |
|
| BANK 2018-BNK12
4.55% 05/15/61 (i) |
|
|
53,333 |
|
|
|
53,055 |
|
| BXP Trust 2017-GM
3.38% 06/13/39 (b) |
|
|
171,000 |
|
|
|
166,128 |
|
| Citigroup Commercial Mortgage Trust 2015-GC33
3.78% 09/10/58 |
|
|
100,000 |
|
|
|
100,893 |
|
| Citigroup Commercial Mortgage Trust 2016-P5
2.94%
10/10/49 |
|
|
90,682 |
|
|
|
85,845 |
|
| Citigroup Commercial Mortgage Trust 2016-P6 |
|
|
|
|
|
|
|
|
| 3.72% 12/10/49 (i) |
|
|
228,583 |
|
|
|
228,691 |
|
| 4.03% 12/10/49 (i) |
|
|
78,331 |
|
|
|
79,406 |
|
| Citigroup Commercial Mortgage Trust 2018-C5
4.51%
06/10/51 |
|
|
64,000 |
|
|
|
66,027 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
35 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| COMM 2014-CR14 Mortgage Trust
4.53% 02/10/47 (i) |
|
|
55,000 |
|
|
|
57,289 |
|
| GS Mortgage Securities Trust 2015-GC28
1.27% 02/10/48 (i)(g) |
|
|
967,784 |
|
|
|
45,506 |
|
| GS Mortgage Securities Trust 2016-GS3
2.85%
10/10/49 |
|
|
181,000 |
|
|
|
170,162 |
|
| GS Mortgage Securities Trust 2017-GS5
3.67%
03/10/50 |
|
|
90,062 |
|
|
|
89,860 |
|
| GS Mortgage Securities Trust 2017-GS8
3.47%
11/10/50 |
|
|
184,426 |
|
|
|
180,070 |
|
| GS Mortgage Securities Trust 2018-GS9
4.14%
03/10/51 (i) |
|
|
73,000 |
|
|
|
74,281 |
|
| JPMBB Commercial Mortgage Securities Trust
2013-C12
4.17% 07/15/45 (i) |
|
|
25,000 |
|
|
|
25,414 |
|
| LB-UBS Commercial Mortgage Trust 2004-C8
0.33% 12/15/39 (b)(g)(i) |
|
|
13,064 |
|
|
|
39 |
|
| LB-UBS Commercial Mortgage Trust 2007-C6 |
|
|
|
|
|
|
|
|
| 6.11% 07/15/40 (i) |
|
|
3,091 |
|
|
|
3,124 |
|
| 6.11% 07/15/40 (b) |
|
|
7,090 |
|
|
|
7,123 |
|
| MASTR Alternative Loan Trust 2003-5
5.00% 08/25/18
(**)(g) |
|
|
246 |
|
|
|
— |
|
| Morgan Stanley Bank of America Merrill Lynch Trust
2015-C20
1.52% 02/15/48 (g)(i) |
|
|
700,209 |
|
|
|
43,710 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust
2015-C21
1.09% 03/15/48 (g)(i) |
|
|
849,159 |
|
|
|
39,738 |
|
| Morgan Stanley Capital I Trust 2006-IQ11
6.37%
10/15/42 (i) |
|
|
40,000 |
|
|
|
40,895 |
|
| Morgan Stanley Capital I Trust 2006-T21
5.27%
10/12/52 (i) |
|
|
13,663 |
|
|
|
13,783 |
|
| Morgan Stanley Capital I Trust 2016-UBS9
1.38%
03/15/49 (g)(i) |
|
|
568,873 |
|
|
|
37,997 |
|
| Wells Fargo Commercial Mortgage Trust 2015-C26
1.42%
02/15/48 (g)(i) |
|
|
934,377 |
|
|
|
49,072 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Wells Fargo Commercial Mortgage Trust 2017-RB1
3.64%
03/15/50 |
|
|
115,209 |
|
|
|
114,168 |
|
| Wells Fargo Commercial Mortgage Trust 2018-C44
4.69%
05/15/51 |
|
|
36,000 |
|
|
|
37,059 |
|
| WFRBS Commercial Mortgage Trust 2013-C17
4.26%
12/15/46 |
|
|
55,000 |
|
|
|
56,230 |
|
| WFRBS Commercial Mortgage Trust 2014-LC14
4.35% 03/15/47 (i) |
|
|
123,000 |
|
|
|
126,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,074,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sovereign Bonds - 0.3% |
|
|
|
|
|
|
|
|
| Government of Colombia
2.63% 03/15/23 |
|
|
200,000 |
|
|
|
190,000 |
|
| Government of Mexico |
|
|
|
|
|
|
|
|
| 4.00% 10/02/23 |
|
|
26,000 |
|
|
|
26,305 |
|
| 4.75% 03/08/44 |
|
|
56,000 |
|
|
|
52,828 |
|
| Government of Peru
5.63% 11/18/50 |
|
|
26,000 |
|
|
|
30,472 |
|
| Government of Uruguay
5.10% 06/18/50 |
|
|
29,803 |
|
|
|
29,534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
329,139 |
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds and Notes - 0.6% |
|
| American Municipal Power Inc.
6.27% 02/15/50 |
|
|
25,000 |
|
|
|
31,986 |
|
| Commonwealth of Massachusetts
5.00% 01/01/45 |
|
|
100,000 |
|
|
|
115,357 |
|
| Metropolitan St. Louis Sewer District
5.00% 05/01/47 |
|
|
100,000 |
|
|
|
115,590 |
|
| New Jersey Transportation Trust Fund Authority
6.88% 12/15/39 |
|
|
15,000 |
|
|
|
15,505 |
|
| New York City Water & Sewer System
5.00% 06/15/40 |
|
|
300,000 |
|
|
|
347,545 |
|
| Port Authority of New York & New Jersey
4.46% 10/01/62 |
|
|
95,000 |
|
|
|
100,997 |
|
| State of California |
|
|
|
|
|
|
|
|
| 4.60% 04/01/38 |
|
|
50,000 |
|
|
|
52,474 |
|
| 5.70% 11/01/21 |
|
|
55,000 |
|
|
|
59,883 |
|
| State of Illinois
5.10% 06/01/33 |
|
|
25,000 |
|
|
|
23,759 |
|
| The University of Texas System
3.35% 08/15/47 |
|
|
25,000 |
|
|
|
23,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
886,182 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 36 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($)
or Number
of Shares |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| FNMA (TBA) - 0.2% |
|
|
|
|
|
|
|
|
| Lehman
5.50% TBA (n)(o) |
|
|
36,429 |
|
|
|
1,787 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Bonds and Notes
(Cost $61,552,630) |
|
|
|
60,846,267 |
|
|
|
|
|
|
|
|
|
|
|
| Exchange Traded & Mutual Funds - 30.0% |
|
| SPDR Bloomberg Barclays High Yield Bond ETF (p) |
|
|
173,223 |
|
|
|
6,146,452 |
|
| State Street Global Equity ex-U.S. Index Portfolio
(p) |
|
|
5,156,754 |
|
|
|
53,733,881 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Exchange Traded & Mutual Funds
(Cost $55,826,181) |
|
|
|
59,880,333 |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchased Options - 0.2% |
|
|
|
|
|
| 10 Yr. U.S. Treasury Notes Futures Options (Strike price 120.50 USD, expiration date
08/24/2018)
(Cost $16,528) |
|
|
39,000 |
|
|
|
21,938 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $182,610,892) |
|
|
|
197,567,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($)
or Number
of Shares |
|
|
Fair
Value
$ |
|
| Short-Term Investments - 2.7% |
|
| Dreyfus Treasury Cash Management - Institutional
Shares 1.76% (d) |
|
|
999,376 |
|
|
|
999,376 |
|
| State Street Institutional Treasury Money Market Fund - Premier Class 1.74% (d)(p) |
|
|
1,504,447 |
|
|
|
1,504,447 |
|
| State Street Institutional Treasury Plus Fund - Premier Class
1.80% (d)(p) |
|
|
999,376 |
|
|
|
999,376 |
|
| State Street Institutional U.S. Government Money Market
Fund - Class G Shares
1.86% (d)(p) |
|
|
1,829,075 |
|
|
|
1,829,075 |
|
| U.S. Treasury Bills 2.13% (d) |
|
|
34,680 |
|
|
|
34,689 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(Cost $5,366,954) |
|
|
|
5,366,963 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
(Cost $187,977,846) |
|
|
|
202,934,793 |
|
|
|
Liabilities in Excess of Other Assets,
net - (0.9)% |
|
|
|
(1,907,860 |
) |
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
201,026,933 |
|
|
|
|
|
|
|
|
|
|
Other Information:
Centrally Cleared Credit Default Swaps - Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Entity |
|
Counterparty |
|
Notional
Amount
(000s omitted) |
|
|
Contract
annual
Fixed Rate/
Payment
Frequency |
|
|
Termination
Date |
|
|
Market
Value |
|
|
Unamortized
Upfront
Payments
Received |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Markit CDX North America Investment Grade Index |
|
CME Group Inc. |
|
$ |
1,516 |
|
|
|
1.00%/
Quarterly |
|
|
|
12/20/22 |
|
|
$ |
(26,074 |
) |
|
$ |
(28,577 |
) |
|
$ |
2,503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
37 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Centrally Cleared Interest Rate Swaps |
|
| Counterparty |
|
Notional
Amount
(000s omitted) |
|
|
Fund
Pays/
Receives
Fixed
Rate/
Payment
Frequency |
|
Floating
Rate |
|
Contract
annual
Fixed Rate |
|
|
Termination
Date |
|
|
Market
Value |
|
|
Unamortized
Upfront
Payments
Received |
|
|
Unrealized
Depreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CME Group, Inc. |
|
$ |
2,750 |
|
|
Receives/
Quarterly |
|
3 Month U.S. Dollar LIBOR |
|
|
3.05% |
|
|
|
11/19/21 |
|
|
$ |
(10,102 |
) |
|
$ |
— |
|
|
$ |
(10,102 |
) |
| CME Group, Inc. |
|
|
2,751 |
|
|
Receives/
Quarterly |
|
3 Month U.S. Dollar LIBOR |
|
|
3.06% |
|
|
|
11/19/21 |
|
|
|
(10,457 |
) |
|
|
— |
|
|
|
(10,457 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(20,559 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following long futures contracts open at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Value |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500 Emini Index Futures |
|
|
September 2018 |
|
|
|
3 |
|
|
|
417,607 |
|
|
$ |
408,240 |
|
|
$ |
(9,367 |
) |
| Ultra Long-Term U.S. Treasury Bond Futures |
|
|
September 2018 |
|
|
|
14 |
|
|
|
2,146,464 |
|
|
|
2,233,875 |
|
|
|
87,411 |
|
| 2 Yr. U.S. Treasury Notes Futures |
|
|
September 2018 |
|
|
|
59 |
|
|
|
12,472,737 |
|
|
|
12,497,859 |
|
|
|
25,122 |
|
| 5 Yr. U.S. Treasury Notes Futures |
|
|
September 2018 |
|
|
|
15 |
|
|
|
1,693,943 |
|
|
|
1,704,258 |
|
|
|
10,315 |
|
| 10 Yr. U.S. Treasury Ultra Futures |
|
|
September 2018 |
|
|
|
32 |
|
|
|
3,821,003 |
|
|
|
3,846,000 |
|
|
|
24,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
138,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following short futures contracts open at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Value |
|
|
Unrealized
Depreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Long Bond Futures |
|
|
September 2018 |
|
|
|
5 |
|
|
|
(713,702 |
) |
|
$ |
(725,000 |
) |
|
$ |
(11,298 |
) |
| 10 Yr. U.S. Treasury Ultra Futures |
|
|
September 2018 |
|
|
|
22 |
|
|
|
(2,797,896 |
) |
|
|
(2,821,156 |
) |
|
|
(23,260 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(34,558 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
103,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following open Purchased Options contracts at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchased Options |
|
| Description |
|
Counterparty |
|
Strike
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums
Paid
(Received)
by Fund |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10 Yr. U.S. Treasury Note Futures - September 2018 |
|
Goldman Sachs & Co. |
|
|
120.50 |
|
|
|
8/24/2018 |
|
|
|
39 |
|
|
$ |
39,000 |
|
|
$ |
21,938 |
|
|
$ |
16,528 |
|
|
$ |
5,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totalpurchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 38 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
The Fund had the following open Written Options contracts at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Written Options |
|
| Description |
|
Counterparty |
|
Strike
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums
Paid
(Received)
by Fund |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Bond Futures - September 2018 |
|
Goldman Sachs & Co. |
|
|
145 |
|
|
|
8/24/2018 |
|
|
|
(15 |
) |
|
$ |
(15,000 |
) |
|
$ |
(21,563 |
) |
|
$ |
(16,239 |
) |
|
$ |
(5,324 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totalwritten option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(5,324 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended June 30, 2018 average notional values related to derivative contracts were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchased
Call Options |
|
|
Written
Call Options |
|
|
Long
Futures Contracts |
|
|
Short
Futures Contracts |
|
|
Credit
Default Swap
Contracts |
|
|
Interest
Rate Swap
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Notional Value |
|
$ |
4,194 |
|
|
$ |
4,797 |
|
|
$ |
15,290,765 |
|
|
$ |
6,724,223 |
|
|
$ |
1,550,839 |
|
|
$ |
5,787,384 |
|
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Diversified Fund |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Domestic Equity |
|
$ |
75,139,303 |
|
|
$ |
39,596 |
|
|
$ |
— |
|
|
$ |
75,178,899 |
|
|
|
Foreign Equity |
|
|
1,640,393 |
|
|
|
— |
|
|
|
— |
|
|
|
1,640,393 |
|
|
|
U.S. Treasuries |
|
|
— |
|
|
|
21,487,640 |
|
|
|
— |
|
|
|
21,487,640 |
|
|
|
Agency Mortgage Backed |
|
|
— |
|
|
|
6,599,973 |
|
|
|
— |
|
|
|
6,599,973 |
|
|
|
Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
119,092 |
|
|
|
— |
|
|
|
119,092 |
|
|
|
Asset Backed |
|
|
— |
|
|
|
1,466,491 |
|
|
|
— |
|
|
|
1,466,491 |
|
|
|
Corporate Notes |
|
|
— |
|
|
|
27,881,757 |
|
|
|
— |
|
|
|
27,881,757 |
|
|
|
Non-Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
2,074,206 |
|
|
|
— |
|
|
|
2,074,206 |
|
|
|
Sovereign Bonds |
|
|
— |
|
|
|
329,139 |
|
|
|
— |
|
|
|
329,139 |
|
|
|
Municipal Bonds and Notes |
|
|
— |
|
|
|
886,182 |
|
|
|
— |
|
|
|
886,182 |
|
|
|
FNMA (TBA) |
|
|
— |
|
|
|
— |
|
|
|
1,787 |
|
|
|
1,787 |
|
|
|
Exchange Traded & Mutual Funds |
|
|
59,880,333 |
|
|
|
— |
|
|
|
— |
|
|
|
59,880,333 |
|
|
|
Purchased Options |
|
|
22,938 |
|
|
|
— |
|
|
|
— |
|
|
|
22,938 |
|
|
|
Short-Term Investments |
|
|
5,332,274 |
|
|
|
34,689 |
|
|
|
— |
|
|
|
5,366,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
142,015,241 |
|
|
$ |
60,918,765 |
|
|
$ |
1,787 |
|
|
$ |
202,934,793 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swap Contracts - Unrealized Appreciation |
|
$ |
— |
|
|
$ |
2,503 |
|
|
$ |
— |
|
|
$ |
2,503 |
|
|
|
Credit Default Swap Contracts - Unrealized Depreciation |
|
|
— |
|
|
|
(20,559 |
) |
|
|
— |
|
|
|
(20,559 |
) |
|
|
Written Options Contracts |
|
|
(5,324 |
) |
|
|
— |
|
|
|
|
|
|
|
(5,324 |
) |
|
|
Long Futures Contracts - Unrealized Appreciation |
|
|
147,845 |
|
|
|
— |
|
|
|
— |
|
|
|
147,845 |
|
|
|
Long Futures Contracts - Unrealized Depreciation |
|
|
(9,367 |
) |
|
|
— |
|
|
|
— |
|
|
|
(9,367 |
) |
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
39 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures Contracts - Unrealized Depreciation |
|
$
|
(34,558 |
) |
|
$
|
— |
|
|
$
|
— |
|
|
$
|
(34,558 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Financial Instruments |
|
$ |
98,596 |
|
|
$ |
(18,056 |
) |
|
$ |
— |
|
|
$ |
80,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund was invested in the following countries/territories at June 30, 2018 (unaudited):
|
|
|
|
|
| Country/Territory |
|
Percentage
(based on
Fair Value) |
|
|
|
|
|
|
| United States |
|
|
97.08% |
|
| Ireland |
|
|
0.45% |
|
| United Kingdom |
|
|
0.38% |
|
| Canada |
|
|
0.34% |
|
| Netherlands |
|
|
0.28% |
|
| France |
|
|
0.18% |
|
| Luxembourg |
|
|
0.18% |
|
| Germany |
|
|
0.17% |
|
| Mexico |
|
|
0.16% |
|
| Switzerland |
|
|
0.16% |
|
| Colombia |
|
|
0.12% |
|
| Italy |
|
|
0.10% |
|
| Japan |
|
|
0.10% |
|
|
|
|
|
|
| Country/Territory |
|
Percentage
(based on
Fair Value) |
|
|
|
|
|
|
| Supranational |
|
|
0.08% |
|
| Spain |
|
|
0.07% |
|
| Bermuda |
|
|
0.06% |
|
| Mult |
|
|
0.02% |
|
| Peru |
|
|
0.01% |
|
| Uruguay |
|
|
0.01% |
|
| Brazil |
|
|
0.01% |
|
| Cayman Islands |
|
|
0.01% |
|
| Jersey |
|
|
0.01% |
|
| China |
|
|
0.01% |
|
| Australia |
|
|
0.01% |
|
|
|
|
|
|
|
|
|
100.00% |
|
|
|
|
|
|
The Fund’s percentage share of
investment in the various categories, based on Fair Value, is as follows at June 30, 2018 (unaudited):
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industry |
|
Domestic |
|
|
Foreign |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Exchange Traded Funds |
|
|
29.51% |
|
|
|
0.00% |
|
|
|
29.51% |
|
| Internet Software & Services |
|
|
2.01% |
|
|
|
0.00% |
|
|
|
2.01% |
|
| Diversified Banks |
|
|
1.85% |
|
|
|
0.00% |
|
|
|
1.85% |
|
| Technology Hardware, Storage & Peripherals |
|
|
1.69% |
|
|
|
0.01% |
|
|
|
1.70% |
|
| Pharmaceuticals |
|
|
1.63% |
|
|
|
0.02% |
|
|
|
1.65% |
|
| Internet & Direct Marketing Retail |
|
|
1.60% |
|
|
|
0.00% |
|
|
|
1.60% |
|
| Systems Software |
|
|
1.54% |
|
|
|
0.00% |
|
|
|
1.54% |
|
| Semiconductors |
|
|
1.38% |
|
|
|
0.00% |
|
|
|
1.38% |
|
| Data Processing & Outsourced Services |
|
|
1.21% |
|
|
|
0.00% |
|
|
|
1.21% |
|
| Healthcare Equipment |
|
|
0.90% |
|
|
|
0.19% |
|
|
|
1.09% |
|
| Integrated Oil & Gas |
|
|
1.08% |
|
|
|
0.00% |
|
|
|
1.08% |
|
| Aerospace & Defense |
|
|
1.02% |
|
|
|
0.00% |
|
|
|
1.02% |
|
| Biotechnology |
|
|
0.96% |
|
|
|
0.00% |
|
|
|
0.96% |
|
| Managed Healthcare |
|
|
0.76% |
|
|
|
0.00% |
|
|
|
0.76% |
|
| Integrated Telecommunication Services |
|
|
0.72% |
|
|
|
0.00% |
|
|
|
0.72% |
|
| Electric Utilities |
|
|
0.70% |
|
|
|
0.00% |
|
|
|
0.70% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Exploration & Production |
|
|
0.62% |
|
|
|
0.00% |
|
|
|
0.62% |
|
| Industrial Conglomerates |
|
|
0.61% |
|
|
|
0.00% |
|
|
|
0.61% |
|
| Multi-Sector Holdings |
|
|
0.60% |
|
|
|
0.00% |
|
|
|
0.60% |
|
| Soft Drinks |
|
|
0.57% |
|
|
|
0.00% |
|
|
|
0.57% |
|
| Application Software |
|
|
0.56% |
|
|
|
0.00% |
|
|
|
0.56% |
|
| Household Products |
|
|
0.53% |
|
|
|
0.00% |
|
|
|
0.53% |
|
| IT Consulting & Other Services |
|
|
0.34% |
|
|
|
0.16% |
|
|
|
0.50% |
|
| Home Improvement Retail |
|
|
0.50% |
|
|
|
0.00% |
|
|
|
0.50% |
|
| Regional Banks |
|
|
0.49% |
|
|
|
0.00% |
|
|
|
0.49% |
|
| Specialized REITs |
|
|
0.44% |
|
|
|
0.00% |
|
|
|
0.44% |
|
| Asset Management & Custody Banks |
|
|
0.41% |
|
|
|
0.00% |
|
|
|
0.41% |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 40 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industry |
|
Domestic |
|
|
Foreign |
|
|
Total |
|
| Communications Equipment |
|
|
0.39% |
|
|
|
0.00% |
|
|
|
0.39% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Restaurants |
|
|
0.39% |
|
|
|
0.00% |
|
|
|
0.39% |
|
| Movies & Entertainment |
|
|
0.39% |
|
|
|
0.00% |
|
|
|
0.39% |
|
| Packaged Foods & Meats |
|
|
0.38% |
|
|
|
0.00% |
|
|
|
0.38% |
|
| Tobacco |
|
|
0.38% |
|
|
|
0.00% |
|
|
|
0.38% |
|
| Investment Banking & Brokerage |
|
|
0.38% |
|
|
|
0.00% |
|
|
|
0.38% |
|
| Multi-Utilities |
|
|
0.37% |
|
|
|
0.00% |
|
|
|
0.37% |
|
| Railroads |
|
|
0.36% |
|
|
|
0.00% |
|
|
|
0.36% |
|
| Financial Exchanges & Data |
|
|
0.35% |
|
|
|
0.00% |
|
|
|
0.35% |
|
| Hypermarkets & Super Centers |
|
|
0.35% |
|
|
|
0.00% |
|
|
|
0.35% |
|
| Cable & Satellite |
|
|
0.35% |
|
|
|
0.00% |
|
|
|
0.35% |
|
| Life Sciences Tools & Services |
|
|
0.33% |
|
|
|
0.00% |
|
|
|
0.33% |
|
| Property & Casualty Insurance |
|
|
0.18% |
|
|
|
0.12% |
|
|
|
0.30% |
|
| Oil & Gas Equipment & Services |
|
|
0.27% |
|
|
|
0.02% |
|
|
|
0.29% |
|
| Industrial Machinery |
|
|
0.27% |
|
|
|
0.02% |
|
|
|
0.29% |
|
| Diversified Chemicals |
|
|
0.28% |
|
|
|
0.00% |
|
|
|
0.28% |
|
| Life & Health Insurance |
|
|
0.27% |
|
|
|
0.00% |
|
|
|
0.27% |
|
| Consumer Finance |
|
|
0.27% |
|
|
|
0.00% |
|
|
|
0.27% |
|
| Healthcare Services |
|
|
0.26% |
|
|
|
0.00% |
|
|
|
0.26% |
|
| Oil & Gas Refining & Marketing |
|
|
0.26% |
|
|
|
0.00% |
|
|
|
0.26% |
|
| Air Freight & Logistics |
|
|
0.25% |
|
|
|
0.00% |
|
|
|
0.25% |
|
| Construction Machinery & Heavy Trucks |
|
|
0.20% |
|
|
|
0.00% |
|
|
|
0.20% |
|
| Apparel Retail |
|
|
0.19% |
|
|
|
0.00% |
|
|
|
0.19% |
|
| Specialty Chemicals |
|
|
0.19% |
|
|
|
0.00% |
|
|
|
0.19% |
|
| Home Entertainment Software |
|
|
0.19% |
|
|
|
0.00% |
|
|
|
0.19% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail REITs |
|
|
0.19% |
|
|
|
0.00% |
|
|
|
0.19% |
|
| Electrical Components & Equipment |
|
|
0.18% |
|
|
|
0.00% |
|
|
|
0.18% |
|
| Hotels, Resorts & Cruise Lines |
|
|
0.18% |
|
|
|
0.00% |
|
|
|
0.18% |
|
| Insurance Brokers |
|
|
0.09% |
|
|
|
0.09% |
|
|
|
0.18% |
|
| Footwear |
|
|
0.17% |
|
|
|
0.00% |
|
|
|
0.17% |
|
| Airlines |
|
|
0.17% |
|
|
|
0.00% |
|
|
|
0.17% |
|
| Automobile Manufacturers |
|
|
0.15% |
|
|
|
0.00% |
|
|
|
0.15% |
|
| Residential REITs |
|
|
0.15% |
|
|
|
0.00% |
|
|
|
0.15% |
|
| Semiconductor Equipment |
|
|
0.15% |
|
|
|
0.00% |
|
|
|
0.15% |
|
| General Merchandise Stores |
|
|
0.14% |
|
|
|
0.00% |
|
|
|
0.14% |
|
| Apparel, Accessories & Luxury Goods |
|
|
0.14% |
|
|
|
0.00% |
|
|
|
0.14% |
|
| Oil & Gas Storage & Transportation |
|
|
0.14% |
|
|
|
0.00% |
|
|
|
0.14% |
|
| Multi-Line Insurance |
|
|
0.14% |
|
|
|
0.00% |
|
|
|
0.14% |
|
| Industrial Gases |
|
|
0.13% |
|
|
|
0.00% |
|
|
|
0.13% |
|
| Healthcare Distributors |
|
|
0.12% |
|
|
|
0.00% |
|
|
|
0.12% |
|
| Building Products |
|
|
0.09% |
|
|
|
0.02% |
|
|
|
0.11% |
|
| Automotive Retail |
|
|
0.11% |
|
|
|
0.00% |
|
|
|
0.11% |
|
| Paper Packaging |
|
|
0.10% |
|
|
|
0.00% |
|
|
|
0.10% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Research & Consulting Services |
|
|
0.08% |
|
|
|
0.02% |
|
|
|
0.10% |
|
| Health Care REITs |
|
|
0.09% |
|
|
|
0.00% |
|
|
|
0.09% |
|
| Office REITs |
|
|
0.09% |
|
|
|
0.00% |
|
|
|
0.09% |
|
| Environmental & Facilities Services |
|
|
0.09% |
|
|
|
0.00% |
|
|
|
0.09% |
|
| Distillers & Vintners |
|
|
0.08% |
|
|
|
0.00% |
|
|
|
0.08% |
|
| Drug Retail |
|
|
0.08% |
|
|
|
0.00% |
|
|
|
0.08% |
|
| Electronic Components |
|
|
0.08% |
|
|
|
0.00% |
|
|
|
0.08% |
|
| Healthcare Supplies |
|
|
0.08% |
|
|
|
0.00% |
|
|
|
0.08% |
|
| Agricultural & Farm Machinery |
|
|
0.08% |
|
|
|
0.00% |
|
|
|
0.08% |
|
| Industrial REITs |
|
|
0.07% |
|
|
|
0.00% |
|
|
|
0.07% |
|
| Trading Companies & Distributors |
|
|
0.07% |
|
|
|
0.00% |
|
|
|
0.07% |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
41 |
|
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industry |
|
Domestic |
|
|
Foreign |
|
|
Total |
|
| Healthcare Facilities |
|
|
0.06% |
|
|
|
0.00% |
|
|
|
0.06% |
|
| Personal Products |
|
|
0.06% |
|
|
|
0.00% |
|
|
|
0.06% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electronic Manufacturing Services |
|
|
0.01% |
|
|
|
0.05% |
|
|
|
0.06% |
|
| Home Building |
|
|
0.06% |
|
|
|
0.00% |
|
|
|
0.06% |
|
| Commodity Chemicals |
|
|
0.06% |
|
|
|
0.00% |
|
|
|
0.06% |
|
| Specialty Stores |
|
|
0.06% |
|
|
|
0.00% |
|
|
|
0.06% |
|
| Food Distributors |
|
|
0.06% |
|
|
|
0.00% |
|
|
|
0.06% |
|
| Auto Parts & Equipment |
|
|
0.01% |
|
|
|
0.04% |
|
|
|
0.05% |
|
| Construction Materials |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
| Broadcasting |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
| Fertilizers & Agricultural Chemicals |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
| Department Stores |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
| Diversified Support Services |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
| Casinos & Gaming |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
| Agricultural Products |
|
|
0.04% |
|
|
|
0.00% |
|
|
|
0.04% |
|
| Advertising |
|
|
0.04% |
|
|
|
0.00% |
|
|
|
0.04% |
|
| Copper |
|
|
0.04% |
|
|
|
0.00% |
|
|
|
0.04% |
|
| Distributors |
|
|
0.04% |
|
|
|
0.00% |
|
|
|
0.04% |
|
| Food Retail |
|
|
0.04% |
|
|
|
0.00% |
|
|
|
0.04% |
|
| Construction & Engineering |
|
|
0.04% |
|
|
|
0.00% |
|
|
|
0.04% |
|
| Home Furnishings |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Steel |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Independent Power Producers & Energy Traders |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Gold |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Computer & Electronics Retail |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Technology |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Alternative Carriers |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Leisure Products |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Hotel & Resort REITs |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Water Utilities |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Real Estate Services |
|
|
0.03% |
|
|
|
0.00% |
|
|
|
0.03% |
|
| Housewares & Specialties |
|
|
0.02% |
|
|
|
0.00% |
|
|
|
0.02% |
|
| Metal & Glass Containers |
|
|
0.02% |
|
|
|
0.00% |
|
|
|
0.02% |
|
| Brewers |
|
|
0.02% |
|
|
|
0.00% |
|
|
|
0.02% |
|
| Household Appliances |
|
|
0.02% |
|
|
|
0.00% |
|
|
|
0.02% |
|
| Trucking |
|
|
0.02% |
|
|
|
0.00% |
|
|
|
0.02% |
|
| Reinsurance |
|
|
0.00% |
|
|
|
0.02% |
|
|
|
0.02% |
|
| Publishing |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
| Electronic Equipment & Instruments |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
| Oil & Gas Drilling |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
| Human Resource & Employment Services |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
| Motorcycle Manufacturers |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tires & Rubber |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
| Consumer Electronics |
|
|
0.00% |
|
|
|
0.01% |
|
|
|
0.01% |
|
| Specialized Consumer Services |
|
|
0.01% |
|
|
|
0.00% |
|
|
|
0.01% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67.37% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 42 |
|
Elfun Diversified Fund |
Elfun Diversified Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
| Sector |
|
Percentage
(based on
Fair Value) |
|
|
|
|
|
|
| Corporate Notes |
|
|
13.74% |
|
| U.S. Treasuries |
|
|
10.59% |
|
| Agency Mortgage Backed |
|
|
3.25% |
|
| Non-Agency Collateralized Mortgage Obligations |
|
|
1.03% |
|
| Asset Backed |
|
|
0.72% |
|
| Municipal Bonds and Notes |
|
|
0.44% |
|
| Sovereign Bonds |
|
|
0.16% |
|
| Agency Collateralized Mortgage Obligations |
|
|
0.06% |
|
| FNMA (TBA) |
|
|
0.00% |
*** |
|
|
|
|
|
|
|
|
29.99% |
|
|
|
|
|
|
|
|
|
|
|
| Sector |
|
Percentage
(based on
Fair Value) |
|
| Short-Term Investments |
|
|
|
|
| Short-Term Investments |
|
|
2.64% |
|
|
|
|
|
|
|
|
|
2.64% |
|
|
|
|
|
|
|
|
|
100.00% |
|
|
|
|
|
|
Affiliate Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares
Held at
12/31/17 |
|
|
Value At
12/31/17 |
|
|
Cost of
Purchases |
|
|
Proceeds
from
Shares
Sold |
|
|
Realized
Gain
(Loss) |
|
|
Change in
Unrealized
Appreciation/
Depreciation |
|
|
Number
of Shares
Held at
6/30/18 |
|
|
Value at
6/30/18 |
|
|
Dividend
Income |
|
|
Capital
Gains
Distributions |
|
| SPDR Bloomberg Barclays High Yield Bond ETF |
|
|
173,223 |
|
|
$ |
6,360,749 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(214,797 |
) |
|
|
173,223 |
|
|
$ |
6,145,952 |
|
|
$ |
139,136 |
|
|
$ |
— |
|
| State Street Corp. |
|
|
1,259 |
|
|
|
122,891 |
|
|
|
— |
|
|
|
6,517 |
|
|
|
1,539 |
|
|
|
(6,669 |
) |
|
|
1,195 |
|
|
|
111,244 |
|
|
|
1,031 |
|
|
|
— |
|
| State Street Global Equity ex-U.S. Index Portfolio |
|
|
5,392,983 |
|
|
|
58,298,151 |
|
|
|
— |
|
|
|
2,660,000 |
|
|
|
251,056 |
|
|
|
(2,155,826 |
) |
|
|
5,156,754 |
|
|
|
53,733,381 |
|
|
|
— |
|
|
|
— |
|
| State Street Institutional Treasury Money Market Fund - Premier Class |
|
|
1,588,325 |
|
|
|
1,588,325 |
|
|
|
5,453,282 |
|
|
|
5,537,160 |
|
|
|
— |
|
|
|
— |
|
|
|
1,504,447 |
|
|
|
1,504,447 |
|
|
|
10,906 |
|
|
|
— |
|
| State Street Institutional Treasury Plus Fund - Premier Class |
|
|
2,107,995 |
|
|
|
2,107,995 |
|
|
|
828,220 |
|
|
|
1,936,839 |
|
|
|
— |
|
|
|
— |
|
|
|
999,376 |
|
|
|
999,376 |
|
|
|
13,202 |
|
|
|
— |
|
| State Street Institutional U.S. Government Money Market
Fund - Class G Shares |
|
|
1,759,353 |
|
|
|
1,759,353 |
|
|
|
9,251,471 |
|
|
|
9,181,749 |
|
|
|
— |
|
|
|
— |
|
|
|
1,829,075 |
|
|
|
1,829,075 |
|
|
|
13,603 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL |
|
|
|
|
|
$ |
70,237,464 |
|
|
$ |
15,532,973 |
|
|
$ |
19,322,265 |
|
|
$ |
252,595 |
|
|
$ |
(2,377,292 |
) |
|
|
|
|
|
$ |
64,323,475 |
|
|
$ |
177,878 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Diversified Fund |
|
|
43 |
|
Elfun Tax-Exempt Income Fund
Understanding Your Fund’s Expenses — June 30, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees,
professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during
the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2018.
Actual Expenses
The first section of the table provides
information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as
sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
|
|
|
|
|
|
|
|
|
| |
|
Actual
Fund Return |
|
|
Hypothetical
5% Return
(2.5% for
the period) |
|
| Account value at the beginning of the period |
|
|
|
|
|
|
|
|
| January 1, 2018 |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
| Account value at the end of the period |
|
|
|
|
|
|
|
|
| June 30, 2018 |
|
$ |
997.50 |
|
|
$ |
1,023.80 |
|
| Expenses paid during the period* |
|
$ |
0.99 |
|
|
$ |
1.00 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio of 0.20% (for the period
January 1, 2018-June 30, 2018), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
|
|
|
| 44 |
|
Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Fund Information — June 30, 2018 (Unaudited)
Sector Allocation
Portfolio Composition as a % of Fair Value of $1,421,796 (in thousands) as of June 30, 2018 (a)(b)
Quality Ratings
as
of June 30, 2018 as a % of Fair Value (a)(b)
|
|
|
|
|
| Moody’s / S&P / Rating* |
|
Percentage of
Fair Value |
|
| AAA |
|
|
13.62 |
% |
| AA |
|
|
43.85 |
% |
| A |
|
|
32.66 |
% |
| BBB |
|
|
3.79 |
% |
| BB and lower |
|
|
0.41 |
% |
| NR |
|
|
5.67 |
% |
|
|
|
|
|
|
|
|
100.00 |
% |
|
|
|
|
|
| (a) |
Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund
– Class G Shares |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples
of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to
purchase or sell a particular security. |
| * |
Moody’s Investor Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are
nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by
Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and
are not absolute standards of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying
exclusively on rating agency ratings. |
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
|
45 |
|
Elfun Tax-Exempt Income Fund
Schedule of Investments — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds and Notes - 99.6%† |
|
| Alaska - 0.2% |
|
| Alaska Housing Finance Corp. |
|
|
|
|
|
|
|
|
| 5.00% 12/01/27 (l) |
|
|
2,115,000 |
|
|
|
2,353,360 |
|
| 5.00% 12/01/27 |
|
|
385,000 |
|
|
|
420,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,774,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Arizona - 2.0% |
|
|
|
|
|
|
|
|
| Maricopa County Industrial Development Authority
4.00% 01/01/41 |
|
|
3,000,000 |
|
|
|
3,103,110 |
|
| Phoenix Civic Improvement Corp. (NPFG Insured)
5.50%
07/01/23 - 07/01/24 (m) |
|
|
7,260,000 |
|
|
|
8,524,999 |
|
| Salt River Project Agricultural Improvement & Power District
5.00%
12/01/21 -
01/01/38 |
|
|
9,500,000 |
|
|
|
10,434,045 |
|
| University Medical Center Corp.
6.50% 07/01/39 (l) |
|
|
1,000,000 |
|
|
|
1,047,840 |
|
| University of Arizona
5.00% 06/01/46 |
|
|
5,000,000 |
|
|
|
5,714,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,824,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Arkansas - 0.3% |
|
|
|
|
|
|
|
|
| University of Arkansas
5.00%
11/01/46 - 11/01/47 |
|
|
3,580,000 |
|
|
|
4,113,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,113,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| California - 10.2% |
|
|
|
|
|
|
|
|
| Bay Area Toll Authority
4.00% 04/01/47 |
|
|
5,000,000 |
|
|
|
5,228,950 |
|
| California Educational Facilities Authority |
|
|
|
|
|
|
|
|
| 5.25% 10/01/39 (l) |
|
|
5,000,000 |
|
|
|
5,048,300 |
|
| 6.13% 10/01/36 (l) |
|
|
735,000 |
|
|
|
836,217 |
|
| 6.13% 10/01/36 |
|
|
765,000 |
|
|
|
864,656 |
|
| California Health Facilities Financing Authority |
|
|
|
|
|
|
|
|
| 4.00% 11/15/41 |
|
|
1,000,000 |
|
|
|
1,035,230 |
|
| 5.50% 08/15/26 (l) |
|
|
5,000,000 |
|
|
|
5,416,150 |
|
| 6.00% 07/01/39 (l) |
|
|
5,000,000 |
|
|
|
5,227,850 |
|
| 6.50% 10/01/33 (l) |
|
|
3,500,000 |
|
|
|
3,544,415 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| California State Department of Water Resources |
|
|
|
|
|
|
|
|
| 5.00%
05/01/21 - 12/01/29 |
|
|
14,700,000 |
|
|
|
16,719,068 |
|
| 5.00% 12/01/21 (k) |
|
|
5,000 |
|
|
|
5,536 |
|
| 5.00% 12/01/29 (l) |
|
|
30,000 |
|
|
|
35,271 |
|
| California State Public Works Board |
|
|
|
|
|
|
|
|
| 5.00% 10/01/28 |
|
|
1,500,000 |
|
|
|
1,641,630 |
|
| 5.13% 10/01/31 |
|
|
2,000,000 |
|
|
|
2,190,040 |
|
| 5.25% 09/01/29 |
|
|
10,160,000 |
|
|
|
11,605,158 |
|
| 6.00% 04/01/26 (l) |
|
|
8,475,000 |
|
|
|
8,768,320 |
|
| California State University
4.00% 11/01/45 |
|
|
5,900,000 |
|
|
|
6,141,310 |
|
| Los Angeles Harbor Department
5.00% 08/01/26 |
|
|
8,000,000 |
|
|
|
8,289,360 |
|
| Marin Healthcare District
4.00% 08/01/47 |
|
|
2,500,000 |
|
|
|
2,622,250 |
|
| San Diego Community College District
5.00% 08/01/41 (l) |
|
|
10,000,000 |
|
|
|
11,010,700 |
|
| San Francisco City & County Airport
Commission-San Francisco International Airport
5.00% 05/01/48 |
|
|
7,500,000 |
|
|
|
8,692,125 |
|
| State of California |
|
|
|
|
|
|
|
|
| 5.00%
02/01/31 - 08/01/46 |
|
|
19,220,000 |
|
|
|
21,320,690 |
|
| 5.25%
04/01/35 - 11/01/40 |
|
|
12,750,000 |
|
|
|
13,798,880 |
|
| University of California
5.00% 05/15/38 |
|
|
4,000,000 |
|
|
|
4,480,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
144,522,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colorado - 2.1% |
|
|
|
|
|
|
|
|
| Colorado Health Facilities Authority
5.00% 06/01/47 |
|
|
1,750,000 |
|
|
|
1,918,525 |
|
| Metro Wastewater Reclamation District
5.00% 04/01/27 |
|
|
1,730,000 |
|
|
|
1,906,425 |
|
| Regional Transportation District |
|
|
|
|
|
|
|
|
| 4.25% 11/01/36 |
|
|
3,405,000 |
|
|
|
3,897,738 |
|
| 5.00%
11/01/27 - 11/01/34 |
|
|
16,760,000 |
|
|
|
19,675,261 |
|
| 5.38% 06/01/31 |
|
|
2,500,000 |
|
|
|
2,651,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,049,524 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 46 |
|
Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Connecticut - 6.1% |
|
|
|
|
|
|
|
|
| Connecticut State Health & Educational Facility Authority |
|
|
|
|
|
|
|
|
| 5.00% 07/01/40 (l) |
|
|
6,775,000 |
|
|
|
7,200,605 |
|
| 5.00% 07/01/46 |
|
|
6,500,000 |
|
|
|
7,227,480 |
|
| South Central Connecticut Regional Water Authority
5.00%
08/01/27 - 08/01/28 |
|
|
2,195,000 |
|
|
|
2,489,273 |
|
| State of Connecticut
5.00%
01/01/22 - 05/01/37 |
|
|
17,600,000 |
|
|
|
19,682,896 |
|
| State of Connecticut Special Tax Revenue |
|
|
|
|
|
|
|
|
| 4.00% 09/01/36 |
|
|
5,750,000 |
|
|
|
5,902,950 |
|
| 5.00%
11/01/26 - 01/01/36 |
|
|
40,250,000 |
|
|
|
43,519,380 |
|
| Town of Fairfield
5.00% 08/01/21 |
|
|
1,000,000 |
|
|
|
1,094,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87,117,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Delaware - 1.1% |
|
|
|
|
|
|
|
|
| Delaware State Health Facilities Authority
5.00% 10/01/40 |
|
|
6,300,000 |
|
|
|
6,689,718 |
|
| Delaware Transportation Authority
5.00% 06/01/45 |
|
|
6,680,000 |
|
|
|
7,415,668 |
|
| State of Delaware |
|
|
|
|
|
|
|
|
| 5.00% 07/01/28 (l) |
|
|
825,000 |
|
|
|
878,501 |
|
| 5.00% 07/01/28 |
|
|
175,000 |
|
|
|
185,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,169,846 |
|
|
|
|
|
|
|
|
|
|
|
| District of Columbia - 2.4% |
|
| District of Columbia |
|
|
|
|
|
|
|
|
| 5.00%
06/01/38 - 04/01/42 |
|
|
9,250,000 |
|
|
|
10,425,170 |
|
| 5.50% 04/01/36 (l) |
|
|
15,000,000 |
|
|
|
15,145,350 |
|
| District of Columbia Water & Sewer Authority
5.25% 10/01/29 (l) |
|
|
5,000,000 |
|
|
|
5,047,300 |
|
| Washington Metropolitan Area Transit Authority
5.00% 07/01/34 |
|
|
3,375,000 |
|
|
|
3,932,584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,550,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Florida - 0.7% |
|
|
|
|
|
|
|
|
| Brevard County Health Facilities Authority
7.00% 04/01/39 (l) |
|
|
1,000,000 |
|
|
|
1,040,000 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| City of Tampa Water & Wastewater System Revenue
5.00% 10/01/27 |
|
|
8,560,000 |
|
|
|
9,365,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,405,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Georgia - 8.9% |
|
|
|
|
|
|
|
|
| Athens-Clarke County Unified Government Water & Sewerage Revenue
5.50% 01/01/38
(l) |
|
|
7,000,000 |
|
|
|
7,139,860 |
|
| Atlanta Development Authority
5.25% 07/01/40 |
|
|
8,925,000 |
|
|
|
10,213,770 |
|
| City of Atlanta Department of Aviation
5.00%
01/01/25 - 01/01/34 |
|
|
18,500,000 |
|
|
|
20,309,990 |
|
| City of Atlanta Water & Wastewater Revenue |
|
|
|
|
|
|
|
|
| 5.00% 11/01/41 |
|
|
5,000,000 |
|
|
|
5,794,950 |
|
| 5.25% 11/01/30 |
|
|
5,690,000 |
|
|
|
6,459,743 |
|
| 6.25% 11/01/39 (l) |
|
|
10,000,000 |
|
|
|
10,611,000 |
|
| City of Atlanta Water & Wastewater Revenue (AGMC Insured)
5.75%
11/01/27 - 11/01/30
(m) |
|
|
9,500,000 |
|
|
|
12,145,235 |
|
| DeKalb Newton & Gwinnett Counties Joint Development Authority
6.00% 07/01/34
(l) |
|
|
8,500,000 |
|
|
|
8,864,905 |
|
| Gwinnett County Development Authority
5.00%
07/01/37 - 07/01/40 |
|
|
9,325,000 |
|
|
|
10,596,676 |
|
| Municipal Electric Authority of Georgia |
|
|
|
|
|
|
|
|
| 5.00% 01/01/35 |
|
|
5,500,000 |
|
|
|
6,029,100 |
|
| 5.25% 01/01/19 |
|
|
2,490,000 |
|
|
|
2,532,704 |
|
| Richmond County Hospital Authority
4.00% 01/01/36 |
|
|
2,855,000 |
|
|
|
2,949,757 |
|
| State of Georgia |
|
|
|
|
|
|
|
|
| 4.00%
07/01/35 - 07/01/36 (c) |
|
|
16,505,000 |
|
|
|
17,714,459 |
|
| 4.50% 01/01/29 (c)(l) |
|
|
3,000,000 |
|
|
|
3,040,590 |
|
| 5.00% 01/01/26 (c)(l) |
|
|
2,250,000 |
|
|
|
2,289,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
126,692,182 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
|
47 |
|
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Hawaii - 1.9% |
|
|
|
|
|
|
|
|
| City & County of Honolulu
5.00% 04/01/33 (l) |
|
|
10,000,000 |
|
|
|
10,260,200 |
|
| State of Hawaii Airports System Revenue
5.25% 07/01/24 |
|
|
15,800,000 |
|
|
|
16,872,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,133,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Idaho - 0.3% |
|
|
|
|
|
|
|
|
| Idaho Health Facilities Authority
6.75% 11/01/37 |
|
|
4,000,000 |
|
|
|
4,066,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois - 2.6% |
|
|
|
|
|
|
|
|
| City of Chicago O’Hare International Airport Revenue
5.00% 01/01/46 |
|
|
1,000,000 |
|
|
|
1,096,200 |
|
| 5.25% 01/01/42 |
|
|
8,000,000 |
|
|
|
9,153,760 |
|
| 5.63% 01/01/35 (l) |
|
|
4,035,000 |
|
|
|
4,402,588 |
|
| 5.63% 01/01/35 |
|
|
965,000 |
|
|
|
1,042,596 |
|
| 5.75% 01/01/39 (l) |
|
|
9,655,000 |
|
|
|
10,563,825 |
|
| 5.75% 01/01/39 |
|
|
1,845,000 |
|
|
|
2,000,312 |
|
| Metropolitan Pier & Exposition Authority (NPFG Insured) |
|
|
|
|
|
|
|
|
| 5.65% 06/15/22 (k)(m) |
|
|
785,000 |
|
|
|
891,250 |
|
| 5.65% 06/15/22 (m) |
|
|
3,520,000 |
|
|
|
3,898,189 |
|
| Southwestern Illinois Development Authority (NPFG Insured) |
|
|
|
|
|
|
|
|
| 5.00% 10/01/21 (k)(m) |
|
|
195,000 |
|
|
|
213,541 |
|
| 5.00% 10/01/21 (m) |
|
|
3,805,000 |
|
|
|
4,140,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,402,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Indiana - 0.7% |
|
|
|
|
|
|
|
|
| Indiana Municipal Power Agency
5.50% 01/01/27 (l) |
|
|
2,500,000 |
|
|
|
2,549,950 |
|
| Indianapolis Local Public Improvement Bond Bank |
|
|
|
|
|
|
|
|
| 5.75% 01/01/38 (l) |
|
|
1,370,000 |
|
|
|
1,399,058 |
|
| 5.75% 01/01/38 |
|
|
5,630,000 |
|
|
|
5,739,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,688,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kentucky - 2.8% |
|
|
|
|
|
|
|
|
| Kentucky State Property & Building Commission
5.00%
02/01/33 -
04/01/37 |
|
|
11,705,000 |
|
|
|
12,953,856 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Kentucky State Property & Building Commission (AGC Insured)
5.25% 02/01/27
(l)(m) |
|
|
10,665,000 |
|
|
|
10,897,816 |
|
| Louisville & Jefferson County Metropolitan Sewer District
5.00% 05/15/30 |
|
|
14,340,000 |
|
|
|
15,645,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,497,186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Louisiana - 1.0% |
|
|
|
|
|
|
|
|
| City of New Orleans Sewerage Service Revenue
5.00%
06/01/44 - 06/01/45 |
|
|
3,900,000 |
|
|
|
4,268,727 |
|
| Louisiana Public Facilities Authority
5.00% 05/15/47 (l) |
|
|
10,000 |
|
|
|
11,791 |
|
| State of Louisiana
5.00% 09/01/19 (k) |
|
|
10,050,000 |
|
|
|
10,447,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,727,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Maine - 0.3% |
|
|
|
|
|
|
|
|
| Maine Health & Higher Educational Facilities Authority |
|
|
|
|
|
|
|
|
| 5.25% 07/01/21 (l) |
|
|
315,000 |
|
|
|
336,325 |
|
| 5.25% 07/01/21 |
|
|
1,475,000 |
|
|
|
1,569,164 |
|
| Maine Turnpike Authority |
|
|
|
|
|
|
|
|
| 5.00% 07/01/42 |
|
|
1,000,000 |
|
|
|
1,087,330 |
|
| 6.00% 07/01/34 (l) |
|
|
1,250,000 |
|
|
|
1,304,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,297,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Maryland - 3.4% |
|
|
|
|
|
|
|
|
| City of Baltimore
5.00%
07/01/38 - 07/01/46 |
|
|
24,375,000 |
|
|
|
27,392,156 |
|
| County of Prince George’s |
|
|
|
|
|
|
|
|
| 5.00% 09/15/24 |
|
|
3,450,000 |
|
|
|
3,772,540 |
|
| 5.00% 09/15/25 (l) |
|
|
5,340,000 |
|
|
|
5,860,169 |
|
| Maryland Economic Development Corp.
5.75% 06/01/35 (l) |
|
|
3,000,000 |
|
|
|
3,225,690 |
|
| Maryland Health & Higher Educational Facilities Authority |
|
|
|
|
|
|
|
|
| 5.00% 07/01/34 (l) |
|
|
1,945,000 |
|
|
|
2,009,399 |
|
| 5.00%
07/01/34 - 08/15/41 |
|
|
1,355,000 |
|
|
|
1,453,495 |
|
| State of Maryland
5.00% 11/01/18 |
|
|
4,000,000 |
|
|
|
4,047,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,760,689 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 48 |
|
Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Massachusetts - 4.8% |
|
|
|
|
|
|
|
|
| Commonwealth of Massachusetts |
|
|
|
|
|
|
|
|
| 4.00% 05/01/44 |
|
|
3,045,000 |
|
|
|
3,162,872 |
|
| 5.00% 03/01/46 |
|
|
10,000,000 |
|
|
|
11,105,300 |
|
| Massachusetts Department of Transportation
5.00% 01/01/37 |
|
|
10,000,000 |
|
|
|
10,409,400 |
|
| Massachusetts Development Finance Agency |
|
|
|
|
|
|
|
|
| 4.00%
04/01/41 - 07/01/41 |
|
|
9,325,000 |
|
|
|
9,582,421 |
|
| 5.50% 11/15/36 (l) |
|
|
4,000,000 |
|
|
|
4,059,960 |
|
| 5.75% 07/01/39 (l) |
|
|
3,325,000 |
|
|
|
3,462,954 |
|
| 5.75% 07/01/39 |
|
|
1,675,000 |
|
|
|
1,725,300 |
|
| Massachusetts Health & Educational Facilities Authority
5.00% 07/01/34 (l) |
|
|
7,500,000 |
|
|
|
7,755,900 |
|
| Massachusetts School Building Authority
5.00% 08/15/28 |
|
|
5,000,000 |
|
|
|
5,539,700 |
|
| Massachusetts Water Resources Authority |
|
|
|
|
|
|
|
|
| 5.00% 08/01/32 |
|
|
4,140,000 |
|
|
|
4,643,217 |
|
| 5.00% 08/01/41 (l) |
|
|
3,000,000 |
|
|
|
3,272,940 |
|
| 6.50% 07/15/19 (k) |
|
|
3,505,000 |
|
|
|
3,553,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,273,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Michigan - 1.4% |
|
|
|
|
|
|
|
|
| Lansing Board of Water & Light
5.00% 07/01/37 |
|
|
3,500,000 |
|
|
|
3,747,800 |
|
| Michigan Finance Authority
5.00% 12/01/47 |
|
|
4,000,000 |
|
|
|
4,326,400 |
|
| State of Michigan
5.00% 03/15/27 |
|
|
4,415,000 |
|
|
|
5,201,223 |
|
| State of Michigan Trunk Line Revenue
5.50% 11/01/18 |
|
|
6,000,000 |
|
|
|
6,081,600 |
|
| University of Michigan Revenue
5.00% 04/01/46 |
|
|
1,000,000 |
|
|
|
1,143,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,500,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Minnesota - 0.4% |
|
|
|
|
|
|
|
|
| Housing & Redevelopment Authority of The City of Saint Paul Minnesota
4.00%
11/15/43 |
|
|
1,000,000 |
|
|
|
1,031,530 |
|
| University of Minnesota
5.00% 09/01/39 |
|
|
4,350,000 |
|
|
|
5,064,923 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,096,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Missouri - 1.7% |
|
|
|
|
|
|
|
|
| Bi-State Development Agency of the Missouri-Illinois
Metropolitan District
5.00% 10/01/44 |
|
|
8,010,000 |
|
|
|
8,841,919 |
|
| Health & Educational Facilities Authority of the State of Missouri
4.00%
11/15/48 |
|
|
2,200,000 |
|
|
|
2,226,796 |
|
| Kansas City Sanitary Sewer System Revenue
4.00% 01/01/40 |
|
|
1,725,000 |
|
|
|
1,788,928 |
|
| Metropolitan St. Louis Sewer District
5.00%
05/01/45 - 05/01/46 |
|
|
3,000,000 |
|
|
|
3,405,015 |
|
| Missouri Highway & Transportation Commission
5.00% 05/01/21 |
|
|
4,610,000 |
|
|
|
4,878,256 |
|
| Missouri Joint Municipal Electric Utility Commission
5.00% 01/01/34 |
|
|
1,950,000 |
|
|
|
2,160,775 |
|
| Missouri State Environmental Improvement & Energy Resources Authority
5.00%
01/01/24 |
|
|
525,000 |
|
|
|
526,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,828,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Jersey - 7.2% |
|
|
|
|
|
|
|
|
| New Jersey Economic Development Authority |
|
|
|
|
|
|
|
|
| 5.00% 06/15/41 |
|
|
7,250,000 |
|
|
|
7,743,943 |
|
| 5.25% 06/15/40 |
|
|
4,000,000 |
|
|
|
4,298,160 |
|
| 5.50% 12/15/29 (l) |
|
|
3,345,000 |
|
|
|
3,468,129 |
|
| 5.50% 12/15/29 |
|
|
1,655,000 |
|
|
|
1,701,307 |
|
| New Jersey Educational Facilities Authority
5.50%
09/01/30 - 09/01/33 |
|
|
14,700,000 |
|
|
|
16,479,765 |
|
| New Jersey Health Care Facilities Financing Authority (AGMC Insured)
4.13% 07/01/38 (m) |
|
|
6,215,000 |
|
|
|
6,419,038 |
|
| New Jersey Higher Education Student Assistance Authority
5.63% 06/01/30 |
|
|
7,500,000 |
|
|
|
7,728,225 |
|
| New Jersey State Turnpike Authority |
|
|
|
|
|
|
|
|
| 5.00%
01/01/33 - 01/01/45 |
|
|
25,870,000 |
|
|
|
29,360,970 |
|
| 5.00% 01/01/38 (l) |
|
|
4,000,000 |
|
|
|
4,468,280 |
|
| 5.25% 01/01/40 (l) |
|
|
10,000,000 |
|
|
|
10,187,500 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
|
49 |
|
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| New Jersey Transportation Trust Fund Authority |
|
|
|
|
|
|
|
|
| 5.00% 06/15/45 |
|
|
2,250,000 |
|
|
|
2,374,133 |
|
| 5.25% 06/15/36 |
|
|
7,350,000 |
|
|
|
7,655,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,884,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Mexico - 0.1% |
|
|
|
|
|
|
|
|
| New Mexico Finance Authority
5.00% 06/15/23 |
|
|
1,750,000 |
|
|
|
1,857,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| New York - 11.3% |
|
|
|
|
|
|
|
|
| City of New York
5.00%
08/01/26 - 04/01/43 |
|
|
7,500,000 |
|
|
|
8,723,715 |
|
| Hudson Yards Infrastructure Corp.
5.00%
02/15/39 - 02/15/45 |
|
|
11,000,000 |
|
|
|
12,544,310 |
|
| Long Island Power Authority
6.00% 05/01/33 (l) |
|
|
7,500,000 |
|
|
|
7,777,725 |
|
| Metropolitan Transportation Authority
5.00%
11/15/29 - 11/15/37 |
|
|
7,960,000 |
|
|
|
8,932,749 |
|
| New York City Transitional Finance Authority Building Aid Revenue
5.50% 07/15/31 |
|
|
10,000,000 |
|
|
|
10,028,600 |
|
| New York City Transitional Finance Authority Future Tax Secured Revenue
5.00%
11/01/21 -
02/01/43 |
|
|
32,500,000 |
|
|
|
35,908,100 |
|
| New York City Water & Sewer System
5.00% 06/15/40 |
|
|
10,000,000 |
|
|
|
11,581,500 |
|
| New York Liberty Development Corp. |
|
|
|
|
|
|
|
|
| 5.00% 11/15/44 |
|
|
5,000,000 |
|
|
|
5,402,750 |
|
| 5.13% 01/15/44 |
|
|
10,000,000 |
|
|
|
10,446,300 |
|
| New York State Dormitory Authority |
|
|
|
|
|
|
|
|
| 4.00% 07/01/41 |
|
|
6,155,000 |
|
|
|
6,487,062 |
|
| 5.00%
10/01/45 - 07/01/46 |
|
|
9,000,000 |
|
|
|
11,139,050 |
|
| 5.50% 05/01/37 (l) |
|
|
2,500,000 |
|
|
|
2,582,325 |
|
| 6.00% 07/01/40 (l) |
|
|
2,000,000 |
|
|
|
2,165,060 |
|
| New York State Thruway Authority
5.00% 05/01/19 |
|
|
6,000,000 |
|
|
|
6,171,480 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| New York State Urban Development Corp.
5.50% 01/01/19 |
|
|
9,000,000 |
|
|
|
9,180,270 |
|
| Port Authority of New York & New Jersey
5.00% 11/15/47 |
|
|
4,000,000 |
|
|
|
4,610,080 |
|
| Triborough Bridge & Tunnel Authority
5.00% 11/15/26 |
|
|
3,830,000 |
|
|
|
3,879,867 |
|
| Westchester County Healthcare Corp. |
|
|
|
|
|
|
|
|
| 6.13% 11/01/37 (l) |
|
|
2,220,000 |
|
|
|
2,438,936 |
|
| 6.13% 11/01/37 |
|
|
280,000 |
|
|
|
302,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160,302,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| North Carolina - 1.9% |
|
|
|
|
|
|
|
|
| City of Charlotte
5.00% 06/01/23 |
|
|
4,320,000 |
|
|
|
4,582,699 |
|
| City of Charlotte Water & Sewer System Revenue
5.00% 07/01/38 |
|
|
5,000,000 |
|
|
|
5,000,000 |
|
| North Carolina Capital Facilities Finance Agency
4.00% 10/01/44 |
|
|
2,000,000 |
|
|
|
2,100,260 |
|
| North Carolina Eastern Municipal Power Agency
5.00% 01/01/26 (l) |
|
|
5,000,000 |
|
|
|
5,086,400 |
|
| North Carolina Medical Care Commission
4.00% 06/01/42 |
|
|
1,500,000 |
|
|
|
1,561,935 |
|
| State of North Carolina
4.75% 05/01/30 (l) |
|
|
4,130,000 |
|
|
|
4,357,976 |
|
| The University of North Carolina at Charlotte
5.00% 10/01/47 |
|
|
3,545,000 |
|
|
|
4,042,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,732,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ohio - 4.5% |
|
|
|
|
|
|
|
|
| City of Cincinnati Water System Revenue
5.00% 12/01/36 (l) |
|
|
2,500,000 |
|
|
|
2,757,375 |
|
| City of Columbus
5.00%
07/01/26 - 08/15/30 (l) |
|
|
18,055,000 |
|
|
|
20,588,431 |
|
| County of Franklin
5.00% 12/01/47 |
|
|
1,125,000 |
|
|
|
1,271,801 |
|
| Cuyahoga Community College District
5.00% 08/01/26 (l) |
|
|
1,800,000 |
|
|
|
1,894,086 |
|
| Northeast Ohio Regional Sewer District
4.00% 11/15/43 |
|
|
7,550,000 |
|
|
|
7,933,238 |
|
| 5.00% 11/15/38 (l) |
|
|
12,000,000 |
|
|
|
13,613,520 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 50 |
|
Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Ohio Higher Educational Facility Commission
6.25% 05/01/38 (l) |
|
|
5,000,000 |
|
|
|
5,078,400 |
|
| Ohio State Turnpike Commission
5.25% 02/15/39 |
|
|
6,000,000 |
|
|
|
6,637,740 |
|
| University of Cincinnati
5.00% 06/01/45 |
|
|
3,500,000 |
|
|
|
3,984,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,759,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oklahoma - 0.8% |
|
|
|
|
|
|
|
|
| Oklahoma Capital Improvement Authority
5.00%
07/01/28 - 07/01/29 |
|
|
5,000,000 |
|
|
|
5,667,450 |
|
| Oklahoma Turnpike Authority
5.00%
01/01/28 - 01/01/47 |
|
|
5,000,000 |
|
|
|
5,457,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,125,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oregon - 0.1% |
|
|
|
|
|
|
|
|
| Eugene Water Revenue
4.00% 08/01/45 |
|
|
1,000,000 |
|
|
|
1,044,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pennsylvania - 4.6% |
|
|
|
|
|
|
|
|
| City of Philadelphia
5.00% 08/01/36 |
|
|
5,000,000 |
|
|
|
5,603,600 |
|
| City of Philadelphia Water & Wastewater Revenue
5.00%
01/01/36 - 10/01/47 |
|
|
13,000,000 |
|
|
|
14,129,670 |
|
| Delaware River Port Authority
5.00% 01/01/29 |
|
|
5,000,000 |
|
|
|
5,589,000 |
|
| Pennsylvania Economic Development Financing Authority
4.00% 11/15/42 |
|
|
5,000,000 |
|
|
|
5,070,150 |
|
| Pennsylvania State University
5.00% 09/01/41 |
|
|
1,200,000 |
|
|
|
1,375,344 |
|
| Pennsylvania Turnpike Commission |
|
|
|
|
|
|
|
|
| 5.00% 06/01/29 (l) |
|
|
10,000,000 |
|
|
|
10,308,000 |
|
| 5.25% 06/01/39 (l) |
|
|
9,500,000 |
|
|
|
9,813,975 |
|
| 6.00% 12/01/34 (l) |
|
|
12,000,000 |
|
|
|
13,165,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,055,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Rhode Island - 0.7% |
|
|
|
|
|
|
|
|
| Rhode Island Health & Educational Building Corp. |
|
|
|
|
|
|
|
|
| 5.00% 09/01/43 |
|
|
5,000,000 |
|
|
|
5,535,150 |
|
| 6.25% 09/15/34 (l) |
|
|
1,300,000 |
|
|
|
1,312,662 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| 6.50% 09/15/28 (l) |
|
|
1,000,000 |
|
|
|
1,010,240 |
|
| Rhode Island Infrastructure Bank Water Pollution Control Revenue
5.00% 10/01/28 |
|
|
2,200,000 |
|
|
|
2,570,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,428,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Carolina - 2.6% |
|
|
|
|
|
|
|
|
| Piedmont Municipal Power Agency
5.00% 01/01/25 |
|
|
2,315,000 |
|
|
|
2,515,595 |
|
| Piedmont Municipal Power Agency (AGC Insured)
5.75% 01/01/34 (m) |
|
|
5,500,000 |
|
|
|
6,037,680 |
|
| South Carolina State Public Service Authority |
|
|
|
|
|
|
|
|
| 5.00%
12/01/37 - 12/01/38 |
|
|
12,000,000 |
|
|
|
13,061,100 |
|
| 5.50% 01/01/38 (l) |
|
|
14,970,000 |
|
|
|
15,269,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,883,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tennessee - 0.6% |
|
|
|
|
|
|
|
|
| City of Memphis
4.00% 06/01/46 |
|
|
5,000,000 |
|
|
|
5,143,450 |
|
| County of Shelby
5.00% 03/01/21 |
|
|
3,500,000 |
|
|
|
3,686,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,829,965 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Texas - 6.9% |
|
|
|
|
|
|
|
|
| City of Austin Airport System Revenue
5.00% 11/15/46 |
|
|
3,000,000 |
|
|
|
3,398,220 |
|
| City of Austin Water & Wastewater System Revenue
5.00% 11/15/42 |
|
|
13,595,000 |
|
|
|
14,950,965 |
|
| City of Dallas Waterworks & Sewer System Revenue
5.00% 10/01/46 |
|
|
3,550,000 |
|
|
|
4,076,075 |
|
| City of Houston Utility System Revenue |
|
|
|
|
|
|
|
|
| 5.00%
05/15/28 - 11/15/33 |
|
|
10,470,000 |
|
|
|
11,541,612 |
|
| 5.25%
11/15/30 - 11/15/31 |
|
|
12,000,000 |
|
|
|
12,931,080 |
|
| County of Harris
5.00% 08/15/41 |
|
|
3,000,000 |
|
|
|
3,406,170 |
|
| Dallas/Fort Worth International Airport
5.25% 11/01/29 |
|
|
5,000,000 |
|
|
|
5,652,400 |
|
| Harris County-Houston Sports Authority
5.00% 11/15/30 |
|
|
2,000,000 |
|
|
|
2,237,560 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
|
51 |
|
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| North Texas Tollway Authority
5.00% 09/01/31 (l) |
|
|
3,500,000 |
|
|
|
3,820,005 |
|
| 5.00% 01/01/39 |
|
|
1,000,000 |
|
|
|
1,120,510 |
|
| 6.00% 01/01/38 (l) |
|
|
5,000,000 |
|
|
|
5,507,400 |
|
| North Texas Tollway Authority (AGMC Insured)
4.00% 01/01/34 (m) |
|
|
5,000,000 |
|
|
|
5,231,000 |
|
| Texas Transportation Commission State Highway Fund
5.00% 04/01/23 |
|
|
10,750,000 |
|
|
|
12,160,830 |
|
| The University of Texas System
5.00% 08/15/26 |
|
|
10,000,000 |
|
|
|
11,890,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
97,924,527 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utah - 0.9% |
|
|
|
|
|
|
|
|
| Utah State Board of Regents
5.00% 11/01/30 |
|
|
4,000,000 |
|
|
|
4,280,960 |
|
| Utah Transit Authority
5.00% 06/15/42 (l) |
|
|
3,045,000 |
|
|
|
3,397,611 |
|
| 5.00% 06/15/42 |
|
|
4,455,000 |
|
|
|
4,817,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,495,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Virginia - 2.1% |
|
|
|
|
|
|
|
|
| County of Fairfax
4.00% 10/01/35 |
|
|
6,645,000 |
|
|
|
7,202,649 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| County of Henrico Water & Sewer Revenue
5.00% 05/01/46 |
|
|
2,530,000 |
|
|
|
2,891,967 |
|
| University of Virginia
5.00% 04/01/47 |
|
|
6,000,000 |
|
|
|
6,931,680 |
|
| Virginia Resources Authority
4.00% 11/01/41 |
|
|
5,585,000 |
|
|
|
5,879,944 |
|
| 5.00% 11/01/46 |
|
|
1,720,000 |
|
|
|
1,977,226 |
|
| 5.25% 11/01/38 (l) |
|
|
2,390,000 |
|
|
|
2,420,090 |
|
| 5.25% 11/01/38 |
|
|
2,610,000 |
|
|
|
2,642,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,945,711 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds and Notes
(Cost $1,382,156,759) |
|
|
|
1,415,760,966 |
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments - 0.4% |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.86%
(Cost
$6,034,877) (d)(p) |
|
|
6,034,877 |
|
|
|
6,034,877 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
(Cost $1,388,191,636) |
|
|
|
1,421,795,843 |
|
|
|
| Other Assets and Liabilities, net - 0.0%* |
|
|
|
333,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
|
1,422,129,524 |
|
|
|
|
|
|
|
|
|
|
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30,
2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds and Notes |
|
$ |
— |
|
|
$ |
1,415,760,966 |
|
|
$ |
— |
|
|
$ |
1,415,760,966 |
|
|
|
Short-Term Investments |
|
|
6,034,877 |
|
|
|
— |
|
|
|
— |
|
|
|
6,034,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
6,034,877 |
|
|
$ |
1,415,760,966 |
|
|
$ |
— |
|
|
$ |
1,421,795,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares
Held at
12/31/17 |
|
|
Value At
12/31/17 |
|
|
Cost of
Purchases |
|
|
Proceeds
from
Shares
Sold |
|
|
Realized
Gain
(Loss) |
|
|
Change in
Unrealized
Appreciation/
Depreciation |
|
|
Number
of Shares
Held at
6/30/18 |
|
|
Value at
6/30/18 |
|
|
Dividend
Income |
|
|
Capital
Gains
Distributions |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares |
|
|
6,243,370 |
|
|
$ |
6,243,370 |
|
|
$ |
102,164,326 |
|
|
$ |
102,372,819 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
6,034,877 |
|
|
$ |
6,034,877 |
|
|
$ |
55,085 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL |
|
|
|
|
|
$ |
6,243,370 |
|
|
$ |
102,164,326 |
|
|
$ |
102,372,819 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
$ |
6,034,877 |
|
|
$ |
55,085 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 52 |
|
Elfun Tax-Exempt Income Fund |
Elfun Income Fund
Understanding Your Fund’s Expenses — June 30, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees,
professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during
the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2018.
Actual Expenses
The first section of the table provides
information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as
sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
|
|
|
|
|
|
|
|
|
| |
|
Actual
Fund Return |
|
|
Hypothetical
5% Return
(2.5% for
the period) |
|
| Account value at the beginning of the period
January 1, 2018 |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
| Account value at the end of the period
June 30, 2018 |
|
$ |
979.50 |
|
|
$ |
1,023.06 |
|
| Expenses paid during the period* |
|
$ |
1.72 |
|
|
$ |
1.76 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio of 0.35% (for the period
January 1, 2018-June 30, 2018), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
Elfun Income Fund
Fund
Information — June 30, 2018 (Unaudited)
Sector Allocation
Portfolio Composition as a % of Fair Value of $246,368 (in thousands) as of June 30, 2018 (a)(b)
Quality Ratings
as
of June 30, 2018 as a % of Fair Value (a)(b)
|
|
|
|
|
| Moody’s / S&P /Rating* |
|
Percentage of
Fair Value |
|
| AAA |
|
|
9.14 |
% |
| AA |
|
|
43.99 |
% |
| A |
|
|
9.62 |
% |
| BBB |
|
|
22.20 |
% |
| BB and lower |
|
|
11.73 |
% |
| NR |
|
|
3.32 |
% |
|
|
|
|
|
|
|
|
100.00 |
% |
|
|
|
|
|
| (a) |
Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund -
Class G Shares. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples
of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to
purchase or sell a particular security. |
| * |
Moody’s Investor Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are
nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not
rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change
periodically and are not absolute standards of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than
relying exclusively on rating agency ratings. |
Elfun Income Fund
Schedule
of Investments — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Bonds and Notes - 98.3%† |
|
| U.S. Treasuries - 34.4% |
|
|
|
|
|
|
|
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
| 2.75% 11/15/42 (h) |
|
|
536,000 |
|
|
|
515,155 |
|
| 3.13% 05/15/48 (h) |
|
|
4,554,400 |
|
|
|
4,681,650 |
|
| 3.75% 11/15/43 (h) |
|
|
687,000 |
|
|
|
780,741 |
|
| 4.50% 02/15/36 (h) |
|
|
3,868,200 |
|
|
|
4,730,267 |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
| 1.38% 12/15/19 (h) |
|
|
8,355,800 |
|
|
|
8,225,366 |
|
| 1.50%
11/30/19 - 02/28/23 (h) |
|
|
29,892,400 |
|
|
|
28,914,465 |
|
| 1.88% 08/31/24 (h) |
|
|
1,357,000 |
|
|
|
1,287,440 |
|
| 2.25%
03/31/20 - 11/15/25 (h) |
|
|
27,479,900 |
|
|
|
27,064,349 |
|
| 2.88% 05/15/28 (h) |
|
|
6,624,500 |
|
|
|
6,638,941 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,838,374 |
|
|
|
|
|
|
|
|
|
|
|
|
Agency Mortgage Backed - 10.1% |
|
| Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
| 4.50%
06/01/33 - 02/01/35 (h) |
|
|
13,883 |
|
|
|
14,513 |
|
| 5.00%
07/01/35 - 06/01/41 (h) |
|
|
784,702 |
|
|
|
833,503 |
|
| 5.50%
05/01/20 - 04/01/39 (h) |
|
|
225,301 |
|
|
|
242,209 |
|
| 6.00% 07/01/19 |
|
|
836 |
|
|
|
839 |
|
| 6.00%
05/01/20 - 11/01/37 (h) |
|
|
466,083 |
|
|
|
508,857 |
|
| 6.50% 07/01/29 (h) |
|
|
1,852 |
|
|
|
2,062 |
|
| 7.00%
01/01/27 - 08/01/36 (h) |
|
|
96,811 |
|
|
|
104,681 |
|
| 7.50%
11/01/29 - 09/01/33 (h) |
|
|
7,574 |
|
|
|
7,895 |
|
| 8.00% 11/01/30 (h) |
|
|
3,862 |
|
|
|
4,237 |
|
| Federal National Mortgage Assoc. |
|
|
|
|
|
|
|
|
| 3.00%
02/01/43 - 05/01/43 (h) |
|
|
2,245,673 |
|
|
|
2,194,888 |
|
| 3.50%
11/01/42 - 08/01/45 (h) |
|
|
1,152,511 |
|
|
|
1,156,063 |
|
| 4.00%
05/01/19 - 03/01/41 (h) |
|
|
1,219,568 |
|
|
|
1,253,994 |
|
| 4.50%
05/01/19 - 01/01/41 (h) |
|
|
3,137,155 |
|
|
|
3,297,005 |
|
| 5.00%
07/01/20 - 06/01/41 (h) |
|
|
1,267,274 |
|
|
|
1,350,778 |
|
| 5.50%
06/01/20 - 01/01/39 (h) |
|
|
837,806 |
|
|
|
900,659 |
|
| 6.00%
05/01/19 - 05/01/41 (h) |
|
|
1,694,716 |
|
|
|
1,846,191 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| 6.50%
01/01/19 - 08/01/36 (h) |
|
|
101,106 |
|
|
|
111,122 |
|
| 7.00%
10/01/32 - 02/01/34 (h) |
|
|
11,461 |
|
|
|
11,976 |
|
| 7.50%
12/01/26 - 12/01/33 (h) |
|
|
50,652 |
|
|
|
54,783 |
|
| 8.00%
06/01/24 - 10/01/31 (h) |
|
|
14,708 |
|
|
|
15,718 |
|
| 8.50% 04/01/30 (h) |
|
|
2,918 |
|
|
|
3,475 |
|
| 9.00% 12/01/22 (h) |
|
|
1,592 |
|
|
|
1,679 |
|
| Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR |
|
|
|
|
|
|
|
|
| 3.97% 04/01/37 (h)(i) |
|
|
2,549 |
|
|
|
2,601 |
|
| Federal National Mortgage Assoc. TBA |
|
|
|
|
|
|
|
|
| 3.00% TBA (c) |
|
|
2,351,840 |
|
|
|
2,338,034 |
|
| 3.50% TBA (c) |
|
|
4,477,715 |
|
|
|
4,531,238 |
|
| Government National Mortgage Assoc. |
|
|
|
|
|
|
|
|
| 4.00%
01/20/41 - 04/20/43 (h) |
|
|
1,896,041 |
|
|
|
1,959,831 |
|
| 4.50%
08/15/33 - 03/20/41 (h) |
|
|
905,342 |
|
|
|
951,464 |
|
| 5.00% 08/15/33 (h) |
|
|
50,339 |
|
|
|
53,060 |
|
| 6.00%
04/15/27 - 09/15/36 (h) |
|
|
222,751 |
|
|
|
249,549 |
|
| 6.50%
04/15/19 - 09/15/36 (h) |
|
|
87,542 |
|
|
|
96,428 |
|
| 7.00%
11/15/27 - 10/15/36 (h) |
|
|
53,020 |
|
|
|
56,603 |
|
| 7.50%
03/15/23 - 11/15/31 (h) |
|
|
22,869 |
|
|
|
23,353 |
|
| 8.00%
09/15/27 - 06/15/30 (h) |
|
|
27,480 |
|
|
|
28,179 |
|
| 9.00% 12/15/21 (h) |
|
|
810 |
|
|
|
852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,208,319 |
|
|
|
|
|
|
|
|
|
|
|
| Agency Collateralized Mortgage Obligations - 0.2% |
|
| Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
| 0.08% 09/25/43 (g)(h)(i) |
|
|
1,004,799 |
|
|
|
2,335 |
|
| Federal Home Loan Mortgage Corp. REMIC |
|
|
|
|
|
|
|
|
| 3.50%
11/15/24 - 11/15/30 (g)(h) |
|
|
411,732 |
|
|
|
30,551 |
|
| 5.50% 06/15/33 (g)(h) |
|
|
43,823 |
|
|
|
8,613 |
|
| Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR
|
|
|
|
|
|
|
|
|
| 4.53% 08/15/25 (g)(h)(i) |
|
|
163,785 |
|
|
|
9,802 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. STRIPS |
|
|
|
|
|
|
|
|
| 1.47% 08/01/27 (d)(f)(h) |
|
|
874 |
|
|
|
794 |
|
| 8.00%
02/01/23 - 07/01/24 (g)(h) |
|
|
2,860 |
|
|
|
417 |
|
| Federal National Mortgage Assoc. REMIC |
|
|
|
|
|
|
|
|
| 0.51% 12/25/22 (d)(f)(h) |
|
|
746 |
|
|
|
732 |
|
| 1.16% 12/25/42 (g)(h)(i) |
|
|
229,890 |
|
|
|
8,866 |
|
| 5.00%
02/25/40 - 09/25/40 (g)(h) |
|
|
186,018 |
|
|
|
20,967 |
|
| 8.00% 05/25/22 (g)(h) |
|
|
3 |
|
|
|
35 |
|
| Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR
|
|
|
|
|
|
|
|
|
| 3.91% 07/25/38 (g)(h)(i) |
|
|
48,622 |
|
|
|
4,851 |
|
| Federal National Mortgage Assoc. REMIC 6.20% - 1 month USD LIBOR |
|
|
|
|
|
|
|
|
| 4.11% 06/25/48 (g)(i) |
|
|
2,065,285 |
|
|
|
316,955 |
|
| Federal National Mortgage Assoc. STRIPS |
|
|
|
|
|
|
|
|
| 1.87% 12/25/34 (d)(f)(h) |
|
|
46,193 |
|
|
|
38,885 |
|
| 4.50%
08/25/35 - 01/25/36 (g)(h) |
|
|
93,488 |
|
|
|
16,801 |
|
| 5.00%
03/25/38 - 05/25/38 (g)(h) |
|
|
52,154 |
|
|
|
10,580 |
|
| 5.50% 12/25/33 (g)(h) |
|
|
14,364 |
|
|
|
3,255 |
|
| 6.00% 01/25/35 (g)(h) |
|
|
51,866 |
|
|
|
10,052 |
|
| 7.50% 11/25/23 (g)(h) |
|
|
7,137 |
|
|
|
961 |
|
| 8.00%
08/25/23 - 07/25/24 (g)(h) |
|
|
5,603 |
|
|
|
963 |
|
| 8.50% 07/25/22 (g)(h) |
|
|
1,070 |
|
|
|
103 |
|
| 9.00% 05/25/22 (g)(h) |
|
|
913 |
|
|
|
82 |
|
| Government National Mortgage Assoc. REMIC |
|
|
|
|
|
|
|
|
| 4.50%
05/20/38 - 08/16/39 (g)(h) |
|
|
120,310 |
|
|
|
9,683 |
|
| 5.00% 09/20/38 (g)(h) |
|
|
36,634 |
|
|
|
1,059 |
|
| Government National Mortgage Assoc. REMIC 6.80% - 1 month USD LIBOR |
|
|
|
|
|
|
|
|
| 4.71% 01/16/40 (g)(h)(i) |
|
|
252,087 |
|
|
|
41,243 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
538,585 |
|
|
|
|
|
|
|
|
|
|
|
| Asset Backed - 2.5% |
|
| American Express Credit Account Master Trust
2017-6 |
|
|
|
|
|
|
|
|
| 2.04% 05/15/23 (h) |
|
|
1,488,065 |
|
|
|
1,458,241 |
|
| American Express Credit Account Master Trust
2018-1 |
|
|
|
|
|
|
|
|
| 2.67% 10/17/22 |
|
|
603,000 |
|
|
|
601,404 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| BA Credit Card Trust 2017-A2 |
|
|
|
|
|
|
|
|
| 1.84% 01/17/23 (h) |
|
|
888,000 |
|
|
|
868,710 |
|
| BA Credit Card Trust 2018-A1 |
|
|
|
|
|
|
|
|
| 2.70% 07/17/23 (h) |
|
|
528,000 |
|
|
|
524,585 |
|
| BMW Floorplan Master Owner Trust 2018-1 |
|
|
|
|
|
|
|
|
| 3.15% 05/15/23 (b) |
|
|
333,000 |
|
|
|
333,112 |
|
| Chase Funding Trust 2004-1 |
|
|
|
|
|
|
|
|
| 4.99% 11/25/33 (h)(j) |
|
|
191,992 |
|
|
|
198,576 |
|
| Citibank Credit Card Issuance Trust 2016-A1 |
|
|
|
|
|
|
|
|
| 1.75% 11/19/21 (h) |
|
|
1,869,000 |
|
|
|
1,841,509 |
|
| Securitized Term Auto Receivables Trust 2018-1A |
|
|
|
|
|
|
|
|
| 3.30% 11/25/22 (b) |
|
|
135,000 |
|
|
|
135,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,961,189 |
|
|
|
|
|
|
|
|
|
|
|
| Corporate Notes - 45.3% |
|
| 21st Century Fox America Inc. |
|
|
|
|
|
|
|
|
| 3.38% 11/15/26 (h) |
|
|
32,000 |
|
|
|
30,667 |
|
| 4.50% 02/15/21 (h) |
|
|
79,000 |
|
|
|
81,210 |
|
| 4.75% 11/15/46 (h) |
|
|
19,000 |
|
|
|
19,656 |
|
| 6.65% 11/15/37 (h) |
|
|
144,000 |
|
|
|
178,343 |
|
| Abbott Laboratories |
|
|
|
|
|
|
|
|
| 2.90% 11/30/21 (h) |
|
|
319,000 |
|
|
|
314,001 |
|
| 3.75% 11/30/26 (h) |
|
|
86,000 |
|
|
|
84,491 |
|
| 4.90% 11/30/46 (h) |
|
|
86,000 |
|
|
|
92,584 |
|
| AbbVie Inc. |
|
|
|
|
|
|
|
|
| 2.00% 11/06/18 (h) |
|
|
326,000 |
|
|
|
325,244 |
|
| 3.20% 05/14/26 (h) |
|
|
180,000 |
|
|
|
168,215 |
|
| 4.45% 05/14/46 (h) |
|
|
65,000 |
|
|
|
62,130 |
|
| 4.70% 05/14/45 (h) |
|
|
56,000 |
|
|
|
55,518 |
|
| Acadia Healthcare Company Inc. |
|
|
|
|
|
|
|
|
| 6.50% 03/01/24 (h) |
|
|
208,000 |
|
|
|
212,680 |
|
| Activision Blizzard Inc. |
|
|
|
|
|
|
|
|
| 2.30% 09/15/21 |
|
|
452,000 |
|
|
|
436,849 |
|
| AES Corp. |
|
|
|
|
|
|
|
|
| 4.88% 05/15/23 (h) |
|
|
365,000 |
|
|
|
364,087 |
|
| Aetna Inc. |
|
|
|
|
|
|
|
|
| 3.50% 11/15/24 (h) |
|
|
178,000 |
|
|
|
172,980 |
|
| Aflac Inc. |
|
|
|
|
|
|
|
|
| 4.00% 10/15/46 (h) |
|
|
53,000 |
|
|
|
49,810 |
|
| Alexandria Real Estate Equities Inc. |
|
|
|
|
|
|
|
|
| 4.70% 07/01/30 |
|
|
84,000 |
|
|
|
84,904 |
|
| Alibaba Group Holding Ltd. 4.00% 12/06/37 (h) |
|
|
200,000 |
|
|
|
185,278 |
|
| 4.40% 12/06/57 (h) |
|
|
200,000 |
|
|
|
184,290 |
|
| Alimentation Couche-Tard Inc. |
|
|
|
|
|
|
|
|
| 2.70% 07/26/22 (b)(h) |
|
|
175,000 |
|
|
|
168,364 |
|
| 3.55% 07/26/27 (b)(h) |
|
|
168,000 |
|
|
|
158,891 |
|
| 4.50% 07/26/47 (b)(h) |
|
|
52,000 |
|
|
|
48,929 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Allergan Finance LLC |
|
|
|
|
|
|
|
|
| 3.25% 10/01/22 |
|
|
166,000 |
|
|
|
161,327 |
|
| Allergan Funding SCS |
|
|
|
|
|
|
|
|
| 3.00% 03/12/20 (h) |
|
|
246,000 |
|
|
|
244,792 |
|
| 3.45% 03/15/22 (h) |
|
|
106,000 |
|
|
|
104,333 |
|
| 4.55% 03/15/35 (h) |
|
|
49,000 |
|
|
|
46,520 |
|
| 4.75% 03/15/45 (h) |
|
|
50,000 |
|
|
|
47,728 |
|
| Allergan Sales LLC |
|
|
|
|
|
|
|
|
| 5.00% 12/15/21 (b) |
|
|
292,000 |
|
|
|
302,117 |
|
| Altria Group Inc. |
|
|
|
|
|
|
|
|
| 2.95% 05/02/23 (h) |
|
|
136,000 |
|
|
|
132,203 |
|
| 3.88% 09/16/46 (h) |
|
|
12,000 |
|
|
|
10,566 |
|
| 4.50% 05/02/43 (h) |
|
|
72,000 |
|
|
|
69,302 |
|
| Amazon.com Inc.
|
|
|
|
|
|
|
|
|
| 2.80% 08/22/24 |
|
|
105,000 |
|
|
|
101,192 |
|
| 3.15% 08/22/27 |
|
|
95,000 |
|
|
|
91,134 |
|
| 3.88% 08/22/37 |
|
|
71,000 |
|
|
|
69,373 |
|
| 4.05% 08/22/47 |
|
|
65,000 |
|
|
|
63,381 |
|
| 4.25% 08/22/57 |
|
|
80,000 |
|
|
|
78,837 |
|
| AMC Networks Inc. |
|
|
|
|
|
|
|
|
| 4.75% 08/01/25 (h) |
|
|
10,000 |
|
|
|
9,600 |
|
| Ameren Corp. |
|
|
|
|
|
|
|
|
| 3.65% 02/15/26 |
|
|
86,000 |
|
|
|
83,521 |
|
| America Movil SAB de C.V. |
|
|
|
|
|
|
|
|
| 3.13% 07/16/22 (h) |
|
|
205,000 |
|
|
|
201,494 |
|
| 5.00% 03/30/20 (h) |
|
|
317,000 |
|
|
|
325,765 |
|
| American Axle & Manufacturing Inc. |
|
|
|
|
|
|
|
|
| 6.25% 04/01/25 (h) |
|
|
176,000 |
|
|
|
173,800 |
|
| American Campus Communities Operating Partnership LP |
|
|
|
|
|
|
|
|
| 3.35% 10/01/20 (h) |
|
|
157,000 |
|
|
|
156,527 |
|
| 4.13% 07/01/24 (h) |
|
|
94,000 |
|
|
|
93,589 |
|
| American Express Credit Corp. |
|
|
|
|
|
|
|
|
| 2.25% 05/05/21 (h) |
|
|
197,000 |
|
|
|
191,726 |
|
| American International Group Inc. |
|
|
|
|
|
|
|
|
| 4.50% 07/16/44 (h) |
|
|
172,000 |
|
|
|
160,395 |
|
| 6.40% 12/15/20 (h) |
|
|
79,000 |
|
|
|
84,667 |
|
| American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 5.75% 04/01/48 (i) |
|
|
97,000 |
|
|
|
95,160 |
|
| American Tower Corp. (REIT) |
|
|
|
|
|
|
|
|
| 3.38% 10/15/26 (h) |
|
|
73,000 |
|
|
|
67,765 |
|
| 3.40% 02/15/19 (h) |
|
|
385,000 |
|
|
|
386,136 |
|
| American Water Capital Corp. |
|
|
|
|
|
|
|
|
| 2.95% 09/01/27 (h) |
|
|
152,000 |
|
|
|
142,851 |
|
| Amgen Inc. |
|
|
|
|
|
|
|
|
| 2.20% 05/22/19 (h) |
|
|
334,000 |
|
|
|
332,159 |
|
| 2.65% 05/11/22 (h) |
|
|
190,000 |
|
|
|
184,296 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| 3.20% 11/02/27 (h) |
|
|
121,000 |
|
|
|
113,304 |
|
| 4.56% 06/15/48 (h) |
|
|
98,000 |
|
|
|
95,986 |
|
| AMN Healthcare Inc. |
|
|
|
|
|
|
|
|
| 5.13% 10/01/24 (b) |
|
|
289,000 |
|
|
|
280,330 |
|
| Anadarko Petroleum Corp. |
|
|
|
|
|
|
|
|
| 4.85% 03/15/21 (h) |
|
|
16,000 |
|
|
|
16,488 |
|
| 6.20% 03/15/40 (h) |
|
|
86,000 |
|
|
|
96,795 |
|
| 6.60% 03/15/46 (h) |
|
|
16,000 |
|
|
|
19,281 |
|
| Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
|
|
|
|
|
|
|
|
| 5.20% 12/01/47 (h) |
|
|
54,000 |
|
|
|
52,396 |
|
| 5.25% 01/15/25 (h) |
|
|
734,000 |
|
|
|
751,763 |
|
| 5.50% 10/15/19 (h) |
|
|
293,000 |
|
|
|
299,592 |
|
| 6.25% 10/15/22 |
|
|
199,000 |
|
|
|
206,089 |
|
| Anheuser-Busch InBev Finance Inc. |
|
|
|
|
|
|
|
|
| 2.65% 02/01/21 (h) |
|
|
117,000 |
|
|
|
115,335 |
|
| 3.65% 02/01/26 (h) |
|
|
41,000 |
|
|
|
40,146 |
|
| 4.70% 02/01/36 (h) |
|
|
77,000 |
|
|
|
77,924 |
|
| 4.90% 02/01/46 (h) |
|
|
141,000 |
|
|
|
145,031 |
|
| Anheuser-Busch InBev Worldwide Inc. |
|
|
|
|
|
|
|
|
| 2.50% 07/15/22 (h) |
|
|
184,000 |
|
|
|
177,759 |
|
| 4.00% 04/13/28 |
|
|
63,000 |
|
|
|
62,822 |
|
| 4.38% 04/15/38 |
|
|
86,000 |
|
|
|
83,663 |
|
| 4.60% 04/15/48 |
|
|
77,000 |
|
|
|
75,814 |
|
| 4.75% 04/15/58 |
|
|
71,000 |
|
|
|
69,758 |
|
| Anthem Inc. |
|
|
|
|
|
|
|
|
| 3.30% 01/15/23 (h) |
|
|
150,000 |
|
|
|
146,161 |
|
| ANZ New Zealand International Ltd. |
|
|
|
|
|
|
|
|
| 3.45% 01/21/28 (b)(h) |
|
|
200,000 |
|
|
|
190,982 |
|
| Apache Corp. |
|
|
|
|
|
|
|
|
| 5.10% 09/01/40 (h) |
|
|
84,000 |
|
|
|
82,667 |
|
| Apple Inc. |
|
|
|
|
|
|
|
|
| 2.50% 02/09/22 (h) |
|
|
91,000 |
|
|
|
89,246 |
|
| 2.85% 05/11/24 (h) |
|
|
177,000 |
|
|
|
171,244 |
|
| 3.35% 02/09/27 (h) |
|
|
84,000 |
|
|
|
82,083 |
|
| 3.45% 02/09/45 (h) |
|
|
88,000 |
|
|
|
78,786 |
|
| 3.85% 08/04/46 (h) |
|
|
228,000 |
|
|
|
216,876 |
|
| 4.25% 02/09/47 (h) |
|
|
26,000 |
|
|
|
26,434 |
|
| Applied Materials Inc. |
|
|
|
|
|
|
|
|
| 3.30% 04/01/27 (h) |
|
|
33,000 |
|
|
|
32,006 |
|
| 4.35% 04/01/47 (h) |
|
|
31,000 |
|
|
|
30,999 |
|
| Aptiv PLC |
|
|
|
|
|
|
|
|
| 4.40% 10/01/46 (h) |
|
|
91,000 |
|
|
|
84,885 |
|
| Aramark Services Inc. |
|
|
|
|
|
|
|
|
| 5.00% 02/01/28 (b)(h) |
|
|
100,000 |
|
|
|
95,250 |
|
| 5.13% 01/15/24 (h) |
|
|
208,000 |
|
|
|
208,000 |
|
| Archer-Daniels-Midland Co. |
|
|
|
|
|
|
|
|
| 2.50% 08/11/26 (h) |
|
|
123,000 |
|
|
|
113,143 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Arconic Inc. |
|
|
|
|
|
|
|
|
| 5.13% 10/01/24 (h) |
|
|
194,000 |
|
|
|
192,060 |
|
| 6.15% 08/15/20 (h) |
|
|
90,000 |
|
|
|
93,600 |
|
| Ascension Health |
|
|
|
|
|
|
|
|
| 4.85% 11/15/53 (h) |
|
|
84,000 |
|
|
|
94,470 |
|
| AstraZeneca PLC |
|
|
|
|
|
|
|
|
| 2.38% 11/16/20 (h) |
|
|
67,000 |
|
|
|
65,729 |
|
| 3.38% 11/16/25 (h) |
|
|
144,000 |
|
|
|
139,277 |
|
| AT&T Inc. |
|
|
|
|
|
|
|
|
| 2.45% 06/30/20 (h) |
|
|
171,000 |
|
|
|
168,324 |
|
| 3.00% 06/30/22 (h) |
|
|
106,000 |
|
|
|
102,838 |
|
| 4.10% 02/15/28 (b) |
|
|
221,000 |
|
|
|
211,093 |
|
| 4.45% 04/01/24 (h) |
|
|
131,000 |
|
|
|
132,492 |
|
| 4.50% 05/15/35 (h) |
|
|
199,000 |
|
|
|
183,872 |
|
| 4.75% 05/15/46 (h) |
|
|
88,000 |
|
|
|
78,508 |
|
| 4.80% 06/15/44 (h) |
|
|
126,000 |
|
|
|
114,097 |
|
| 5.25% 03/01/37 (h) |
|
|
136,000 |
|
|
|
134,059 |
|
| 5.45% 03/01/47 (h) |
|
|
172,000 |
|
|
|
168,557 |
|
| Athene Holding Ltd. |
|
|
|
|
|
|
|
|
| 4.13% 01/12/28 (h) |
|
|
152,000 |
|
|
|
140,065 |
|
| Avangrid Inc. |
|
|
|
|
|
|
|
|
| 3.15% 12/01/24 (h) |
|
|
238,000 |
|
|
|
228,423 |
|
| Baidu Inc. |
|
|
|
|
|
|
|
|
| 2.88% 07/06/22 (h) |
|
|
255,000 |
|
|
|
245,642 |
|
| Bank of America Corp.
2.65% 04/01/19 (h) |
|
|
255,000 |
|
|
|
254,729 |
|
| 3.25% 10/21/27 (h) |
|
|
3,000 |
|
|
|
2,795 |
|
| 3.95% 04/21/25 (h) |
|
|
177,000 |
|
|
|
173,331 |
|
| 4.25% 10/22/26 (h) |
|
|
86,000 |
|
|
|
84,906 |
|
| Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 2.37% 07/21/21 (h)(i) |
|
|
176,000 |
|
|
|
172,473 |
|
| Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 3.12% 01/20/23 (h)(i) |
|
|
156,000 |
|
|
|
153,375 |
|
| Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 3.37% 01/23/26 (h)(i) |
|
|
314,000 |
|
|
|
301,917 |
|
| Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 3.42% 12/20/28 (i) |
|
|
89,000 |
|
|
|
83,881 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 3.95% 01/23/49 (h)(i) |
|
|
173,000 |
|
|
|
156,330 |
|
| Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 4.24% 04/24/38 (h)(i) |
|
|
179,000 |
|
|
|
173,685 |
|
| Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR
thereafter) |
|
|
|
|
|
|
|
|
| 4.44% 01/20/48 (h)(i) |
|
|
79,000 |
|
|
|
77,422 |
|
| Bank of America Corp.
3.63% + 3 month USD LIBOR |
|
|
|
|
|
|
|
|
| 5.99% 12/31/49 (h)(i) |
|
|
130,000 |
|
|
|
130,533 |
|
| Barclays PLC |
|
|
|
|
|
|
|
|
| 4.34% 01/10/28 (h) |
|
|
200,000 |
|
|
|
189,522 |
|
| 4.84% 05/09/28 (h) |
|
|
200,000 |
|
|
|
189,005 |
|
| 5.25% 08/17/45 (h) |
|
|
205,000 |
|
|
|
199,820 |
|
| Barclays PLC
(4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter) |
|
|
|
|
|
|
|
|
| 4.97% 05/16/29 (i) |
|
|
200,000 |
|
|
|
198,110 |
|
| Barrick North America Finance LLC |
|
|
|
|
|
|
|
|
| 5.70% 05/30/41 (h) |
|
|
29,000 |
|
|
|
31,652 |
|
| BAT Capital Corp. |
|
|
|
|
|
|
|
|
| 2.30% 08/14/20 (b)(h) |
|
|
167,000 |
|
|
|
163,376 |
|
| 2.76% 08/15/22 (b)(h) |
|
|
146,000 |
|
|
|
139,988 |
|
| 3.56% 08/15/27 (b)(h) |
|
|
147,000 |
|
|
|
136,891 |
|
| 4.39% 08/15/37 (b)(h) |
|
|
64,000 |
|
|
|
59,894 |
|
| 4.54% 08/15/47 (b)(h) |
|
|
74,000 |
|
|
|
69,224 |
|
| Baxalta Inc. |
|
|
|
|
|
|
|
|
| 2.88% 06/23/20 (h) |
|
|
167,000 |
|
|
|
165,095 |
|
| Bayer US Finance II LLC |
|
|
|
|
|
|
|
|
| 3.50% 06/25/21 (b) |
|
|
416,000 |
|
|
|
416,827 |
|
| 3.88% 12/15/23 (b) |
|
|
216,000 |
|
|
|
216,009 |
|
| Becton Dickinson and Co. |
|
|
|
|
|
|
|
|
| 2.89% 06/06/22 (h) |
|
|
135,000 |
|
|
|
130,181 |
|
| 3.70% 06/06/27 (h) |
|
|
206,000 |
|
|
|
195,164 |
|
| 3.73% 12/15/24 (h) |
|
|
7,000 |
|
|
|
6,836 |
|
| 4.67% 06/06/47 (h) |
|
|
20,000 |
|
|
|
19,425 |
|
| 4.69% 12/15/44 (h) |
|
|
23,000 |
|
|
|
22,276 |
|
| Berkshire Hathaway Energy Co. |
|
|
|
|
|
|
|
|
| 2.40% 02/01/20 (h) |
|
|
197,000 |
|
|
|
195,288 |
|
| 3.25% 04/15/28 |
|
|
91,000 |
|
|
|
86,721 |
|
| 3.80% 07/15/48 |
|
|
63,000 |
|
|
|
57,624 |
|
| 6.13% 04/01/36 (h) |
|
|
51,000 |
|
|
|
62,965 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Berkshire Hathaway Inc. |
|
|
|
|
|
|
|
|
| 4.50% 02/11/43 (h) |
|
|
3,000 |
|
|
|
3,119 |
|
| Berry Global Inc. |
|
|
|
|
|
|
|
|
| 5.13% 07/15/23 (h) |
|
|
260,000 |
|
|
|
257,738 |
|
| BHP Billiton Finance USA Ltd. |
|
|
|
|
|
|
|
|
| 5.00% 09/30/43 (h) |
|
|
46,000 |
|
|
|
51,570 |
|
| Biogen Inc. |
|
|
|
|
|
|
|
|
| 2.90% 09/15/20 (h) |
|
|
63,000 |
|
|
|
62,665 |
|
| BNP Paribas S.A. |
|
|
|
|
|
|
|
|
| 5.00% 01/15/21 (h) |
|
|
75,000 |
|
|
|
77,939 |
|
| BNP Paribas S.A.
(5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate
thereafter) |
|
|
|
|
|
|
|
|
| 5.13% 12/31/99 (b)(h)(i) |
|
|
200,000 |
|
|
|
175,976 |
|
| Boston Scientific Corp. |
|
|
|
|
|
|
|
|
| 4.00% 03/01/28 (h) |
|
|
161,000 |
|
|
|
157,474 |
|
| BP Capital Markets PLC |
|
|
|
|
|
|
|
|
| 2.52% 01/15/20 (h) |
|
|
79,000 |
|
|
|
78,497 |
|
| 3.22% 11/28/23 (h) |
|
|
141,000 |
|
|
|
138,400 |
|
| 3.28% 09/19/27 (h) |
|
|
109,000 |
|
|
|
104,874 |
|
| Brighthouse Financial Inc. |
|
|
|
|
|
|
|
|
| 3.70% 06/22/27 |
|
|
22,000 |
|
|
|
19,583 |
|
| 4.70% 06/22/47 |
|
|
10,000 |
|
|
|
8,265 |
|
| Brixmor Operating Partnership LP |
|
|
|
|
|
|
|
|
| 3.90% 03/15/27 (h) |
|
|
94,000 |
|
|
|
88,988 |
|
| Broadcom Corp./Broadcom Cayman Finance Ltd. |
|
|
|
|
|
|
|
|
| 2.20% 01/15/21 (h) |
|
|
71,000 |
|
|
|
68,760 |
|
| 2.65% 01/15/23 (h) |
|
|
46,000 |
|
|
|
43,379 |
|
| 3.13% 01/15/25 (h) |
|
|
56,000 |
|
|
|
51,929 |
|
| 3.88% 01/15/27 (h) |
|
|
86,000 |
|
|
|
81,461 |
|
| Brown-Forman Corp. |
|
|
|
|
|
|
|
|
| 4.00% 04/15/38 |
|
|
44,000 |
|
|
|
43,854 |
|
| Buckeye Partners LP |
|
|
|
|
|
|
|
|
| 5.60% 10/15/44 (h) |
|
|
56,000 |
|
|
|
50,206 |
|
| Bunge Limited Finance Corp. |
|
|
|
|
|
|
|
|
| 3.75% 09/25/27 (h) |
|
|
73,000 |
|
|
|
68,671 |
|
| Burlington Northern Santa Fe LLC |
|
|
|
|
|
|
|
|
| 3.65% 09/01/25 (h) |
|
|
106,000 |
|
|
|
105,961 |
|
| Campbell Soup Co. |
|
|
|
|
|
|
|
|
| 3.30% 03/15/21 |
|
|
231,000 |
|
|
|
230,023 |
|
| Canadian Natural Resources Ltd. |
|
|
|
|
|
|
|
|
| 3.85% 06/01/27 (h) |
|
|
47,000 |
|
|
|
45,831 |
|
| 4.95% 06/01/47 (h) |
|
|
37,000 |
|
|
|
38,525 |
|
| Capital One Financial Corp. |
|
|
|
|
|
|
|
|
| 3.75% 07/28/26 |
|
|
72,000 |
|
|
|
66,964 |
|
| 4.20% 10/29/25 (h) |
|
|
82,000 |
|
|
|
79,700 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Cardinal Health Inc. |
|
|
|
|
|
|
|
|
| 2.62% 06/15/22 (h) |
|
|
70,000 |
|
|
|
67,089 |
|
| 3.08% 06/15/24 (h) |
|
|
77,000 |
|
|
|
72,630 |
|
| 3.41% 06/15/27 (h) |
|
|
37,000 |
|
|
|
33,948 |
|
| 4.37% 06/15/47 (h) |
|
|
32,000 |
|
|
|
28,155 |
|
| Caterpillar Financial Services Corp.
|
|
|
|
|
|
|
|
|
| 2.55% 11/29/22 (h) |
|
|
201,000 |
|
|
|
194,439 |
|
| Caterpillar Inc. |
|
|
|
|
|
|
|
|
| 3.80% 08/15/42 (h) |
|
|
51,000 |
|
|
|
48,727 |
|
| Catholic Health Initiatives |
|
|
|
|
|
|
|
|
| 2.60% 08/01/18 (h) |
|
|
125,000 |
|
|
|
125,001 |
|
| 4.35% 11/01/42 (h) |
|
|
130,000 |
|
|
|
123,065 |
|
| CBL & Associates LP |
|
|
|
|
|
|
|
|
| 4.60% 10/15/24 |
|
|
193,000 |
|
|
|
158,742 |
|
| CBS Corp. |
|
|
|
|
|
|
|
|
| 2.50% 02/15/23 (h) |
|
|
145,000 |
|
|
|
136,267 |
|
| 2.90% 01/15/27 (h) |
|
|
95,000 |
|
|
|
84,588 |
|
| CCO Holdings LLC/CCO Holdings Capital Corp. |
|
|
|
|
|
|
|
|
| 5.00% 02/01/28 (b) |
|
|
289,000 |
|
|
|
264,811 |
|
| 5.88% 04/01/24 (b)(h) |
|
|
189,000 |
|
|
|
189,472 |
|
| Celgene Corp. |
|
|
|
|
|
|
|
|
| 3.45% 11/15/27 (h) |
|
|
7,000 |
|
|
|
6,445 |
|
| 4.35% 11/15/47 (h) |
|
|
8,000 |
|
|
|
7,059 |
|
| 4.55% 02/20/48 |
|
|
91,000 |
|
|
|
82,991 |
|
| 5.00% 08/15/45 (h) |
|
|
51,000 |
|
|
|
49,661 |
|
| Cenovus Energy Inc. |
|
|
|
|
|
|
|
|
| 4.25% 04/15/27 |
|
|
36,000 |
|
|
|
34,698 |
|
| 5.40% 06/15/47 (h) |
|
|
23,000 |
|
|
|
22,595 |
|
| CenterPoint Energy Inc.
2.50% 09/01/22
(h) |
|
|
155,000 |
|
|
|
148,843 |
|
| CenturyLink Inc.
5.80% 03/15/22 (h) |
|
|
278,000 |
|
|
|
275,220 |
|
| Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13% 12/15/21 (b)(h) |
|
|
306,000 |
|
|
|
304,103 |
|
| CF Industries Inc. |
|
|
|
|
|
|
|
|
| 5.15% 03/15/34 |
|
|
193,000 |
|
|
|
179,007 |
|
| 7.13% 05/01/20 (h) |
|
|
179,000 |
|
|
|
188,733 |
|
| Charles River Laboratories International Inc.
5.50% 04/01/26 (b) |
|
|
227,000 |
|
|
|
226,716 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital
3.58% 07/23/20
(h) |
|
|
214,000 |
|
|
|
213,722 |
|
| 4.91% 07/23/25 (h) |
|
|
62,000 |
|
|
|
62,607 |
|
| 5.38% 05/01/47 (h) |
|
|
89,000 |
|
|
|
81,815 |
|
| 5.75% 04/01/48 |
|
|
59,000 |
|
|
|
57,095 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| 6.38% 10/23/35 (h) |
|
|
28,000 |
|
|
|
29,309 |
|
| 6.48% 10/23/45 (h) |
|
|
55,000 |
|
|
|
58,017 |
|
| Chevron Corp. |
|
|
|
|
|
|
|
|
| 2.42% 11/17/20 (h) |
|
|
79,000 |
|
|
|
78,107 |
|
| 3.19% 06/24/23 (h) |
|
|
131,000 |
|
|
|
130,265 |
|
| Chevron Phillips Chemical Company LLC/Chevron Phillips Chemical Company LP
3.70% 06/01/28
(b)(h) |
|
|
178,000 |
|
|
|
176,081 |
|
| Church & Dwight Company Inc.
2.45% 08/01/22 (h) |
|
|
69,000 |
|
|
|
66,099 |
|
| Cigna Corp. |
|
|
|
|
|
|
|
|
| 3.25% 04/15/25 (h) |
|
|
144,000 |
|
|
|
135,485 |
|
| 3.88% 10/15/47 (h) |
|
|
87,000 |
|
|
|
74,217 |
|
| Cimarex Energy Co.
3.90% 05/15/27 (h) |
|
|
24,000 |
|
|
|
23,092 |
|
| Cinemark USA Inc.
4.88% 06/01/23 (h) |
|
|
180,000 |
|
|
|
175,968 |
|
| Cisco Systems Inc.
2.20% 02/28/21 (h) |
|
|
333,000 |
|
|
|
326,510 |
|
| Citibank NA
2.85% 02/12/21 |
|
|
255,000 |
|
|
|
252,136 |
|
| Citigroup Inc. |
|
|
|
|
|
|
|
|
| 2.05% 12/07/18 (h) |
|
|
327,000 |
|
|
|
326,202 |
|
| 2.40% 02/18/20 |
|
|
226,000 |
|
|
|
223,182 |
|
| 2.70% 10/27/22 (h) |
|
|
150,000 |
|
|
|
144,065 |
|
| 2.90% 12/08/21 (h) |
|
|
176,000 |
|
|
|
172,390 |
|
| 4.40% 06/10/25 |
|
|
71,000 |
|
|
|
70,732 |
|
| 4.45% 09/29/27 (h) |
|
|
51,000 |
|
|
|
50,121 |
|
| 4.65% 07/30/45 (h) |
|
|
50,000 |
|
|
|
49,750 |
|
| 4.75% 05/18/46 (h) |
|
|
85,000 |
|
|
|
81,269 |
|
| Citigroup Inc.
(2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter)
2.88%
07/24/23 (h)(i) |
|
|
117,000 |
|
|
|
112,825 |
|
| Citigroup Inc.
(3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter)
3.88%
01/24/39 (h)(i) |
|
|
65,000 |
|
|
|
59,209 |
|
| Citigroup Inc.
(4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter)
4.28%
04/24/48 (h)(i) |
|
|
85,000 |
|
|
|
80,708 |
|
| CME Group Inc.
3.75% 06/15/28 |
|
|
196,000 |
|
|
|
197,750 |
|
| CMS Energy Corp.
4.88% 03/01/44 (h) |
|
|
190,000 |
|
|
|
201,890 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| CNA Financial Corp. |
|
|
|
|
|
|
|
|
| 3.45% 08/15/27 (h) |
|
|
84,000 |
|
|
|
78,236 |
|
| 5.88% 08/15/20 (h) |
|
|
262,000 |
|
|
|
275,090 |
|
| CNH Industrial Capital LLC |
|
|
|
|
|
|
|
|
| 3.38% 07/15/19 (h) |
|
|
119,000 |
|
|
|
118,777 |
|
| 4.38% 11/06/20 (h) |
|
|
93,000 |
|
|
|
94,104 |
|
| 4.88% 04/01/21 (h) |
|
|
117,000 |
|
|
|
120,071 |
|
| CNH Industrial N.V.
4.50% 08/15/23 (h) |
|
|
206,000 |
|
|
|
207,112 |
|
| CNOOC Nexen Finance 2014 ULC
4.25% 04/30/24 (h) |
|
|
423,000 |
|
|
|
428,321 |
|
| Columbia Pipeline Group Inc.
3.30% 06/01/20 (h) |
|
|
110,000 |
|
|
|
109,469 |
|
| Comcast Corp. |
|
|
|
|
|
|
|
|
| 3.38% 08/15/25 (h) |
|
|
12,000 |
|
|
|
11,493 |
|
| 3.97% 11/01/47 (h) |
|
|
202,000 |
|
|
|
177,825 |
|
| 4.20% 08/15/34 (h) |
|
|
131,000 |
|
|
|
125,013 |
|
| 4.60% 08/15/45 (h) |
|
|
136,000 |
|
|
|
131,135 |
|
| Commonwealth Bank of Australia
4.32% 01/10/48 (h)(b) |
|
|
203,000 |
|
|
|
182,335 |
|
| Concho Resources Inc.
3.75% 10/01/27 (h) |
|
|
40,000 |
|
|
|
38,470 |
|
| 4.30% 08/15/28 (c) |
|
|
196,000 |
|
|
|
196,770 |
|
| 4.88% 10/01/47 (h) |
|
|
55,000 |
|
|
|
55,519 |
|
| ConocoPhillips Co.
5.95% 03/15/46 (h) |
|
|
29,000 |
|
|
|
36,170 |
|
| Consolidated Edison Company of New York Inc.
2.90% 12/01/26 (h) |
|
|
132,000 |
|
|
|
123,520 |
|
| Constellation Brands Inc.
2.70% 05/09/22 (h) |
|
|
135,000 |
|
|
|
130,605 |
|
| 4.50% 05/09/47 (h) |
|
|
38,000 |
|
|
|
36,341 |
|
| Continental Resources Inc.
4.50% 04/15/23 |
|
|
106,000 |
|
|
|
107,516 |
|
| Corning Inc.
4.38% 11/15/57 (h) |
|
|
76,000 |
|
|
|
66,837 |
|
| Corporation Andina de Fomento |
|
|
|
|
|
|
|
|
| 2.20% 07/18/20 (h) |
|
|
190,000 |
|
|
|
186,498 |
|
| 4.38% 06/15/22 (h) |
|
|
281,000 |
|
|
|
291,535 |
|
| Crane Co.
4.20% 03/15/48 (h) |
|
|
44,000 |
|
|
|
41,808 |
|
| Credit Suisse Group Funding Guernsey Ltd. |
|
|
|
|
|
|
|
|
| 3.13% 12/10/20 (h) |
|
|
250,000 |
|
|
|
248,262 |
|
| 3.80% 06/09/23 (h) |
|
|
470,000 |
|
|
|
464,764 |
|
| Crown Americas LLC/Crown Americas Capital Corp. VI
4.75% 02/01/26 (b)(h) |
|
|
65,000 |
|
|
|
61,711 |
|
| CSX Corp.
4.50% 08/01/54 (h) |
|
|
88,000 |
|
|
|
83,822 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| CVS Health Corp. |
|
|
|
|
|
|
|
|
| 2.25% 08/12/19 |
|
|
205,000 |
|
|
|
203,424 |
|
| 3.13% 03/09/20 |
|
|
615,000 |
|
|
|
614,502 |
|
| 3.35% 03/09/21 |
|
|
615,000 |
|
|
|
614,416 |
|
| 3.70% 03/09/23 |
|
|
176,000 |
|
|
|
174,715 |
|
| 3.88% 07/20/25 (h) |
|
|
90,000 |
|
|
|
87,944 |
|
| 4.10% 03/25/25 |
|
|
176,000 |
|
|
|
175,116 |
|
| 4.30% 03/25/28 |
|
|
170,000 |
|
|
|
167,664 |
|
| 4.78% 03/25/38 |
|
|
205,000 |
|
|
|
202,423 |
|
| 5.05% 03/25/48 |
|
|
103,000 |
|
|
|
104,672 |
|
| 5.13% 07/20/45 (h) |
|
|
42,000 |
|
|
|
42,869 |
|
| D.R. Horton Inc.
2.55% 12/01/20 (h) |
|
|
193,000 |
|
|
|
189,022 |
|
| Daimler Finance North America LLC
2.38% 08/01/18 (b)(h) |
|
|
378,000 |
|
|
|
377,898 |
|
| Dana Financing Luxembourg Sarl
6.50% 06/01/26 (b)(h) |
|
|
250,000 |
|
|
|
253,750 |
|
| Dell International LLC/EMC Corp. |
|
|
|
|
|
|
|
|
| 3.48% 06/01/19 (b)(h) |
|
|
218,000 |
|
|
|
218,569 |
|
| 5.45% 06/15/23 (b)(h) |
|
|
125,000 |
|
|
|
130,803 |
|
| 6.02% 06/15/26 (b)(h) |
|
|
72,000 |
|
|
|
75,659 |
|
| 8.10% 07/15/36 (b) |
|
|
21,000 |
|
|
|
24,553 |
|
| 8.35% 07/15/46 (b)(h) |
|
|
32,000 |
|
|
|
38,611 |
|
| Deutsche Bank AG |
|
|
|
|
|
|
|
|
| 2.70% 07/13/20 (h) |
|
|
155,000 |
|
|
|
150,945 |
|
| 3.30% 11/16/22 (h) |
|
|
205,000 |
|
|
|
192,187 |
|
| Deutsche Bank AG
(4.88% fixed rate until 12/01/27; 2.55% + USD 5 year Mid-Market Swap Rate thereafter)
4.88% 12/01/32 (i) |
|
|
202,000 |
|
|
|
172,811 |
|
| Devon Energy Corp.
|
|
|
|
|
|
|
|
|
| 4.00% 07/15/21 |
|
|
251,000 |
|
|
|
254,567 |
|
| 5.00% 06/15/45 (h) |
|
|
63,000 |
|
|
|
64,009 |
|
| Dexia Credit Local S.A.
2.25% 01/30/19 (b)(h) |
|
|
343,000 |
|
|
|
342,352 |
|
| Diageo Investment Corp.
2.88% 05/11/22 (h) |
|
|
146,000 |
|
|
|
143,749 |
|
| Discover Bank
3.10% 06/04/20 (h) |
|
|
291,000 |
|
|
|
289,100 |
|
| Discovery Communications LLC 2.20% 09/20/19 (h) |
|
|
178,000 |
|
|
|
176,145 |
|
| 3.95% 03/20/28 (h) |
|
|
148,000 |
|
|
|
140,234 |
|
| 5.00% 09/20/37 (h) |
|
|
58,000 |
|
|
|
56,041 |
|
| 5.20% 09/20/47 (h) |
|
|
29,000 |
|
|
|
28,037 |
|
| Dollar Tree Inc. |
|
|
|
|
|
|
|
|
| 3.70% 05/15/23 |
|
|
176,000 |
|
|
|
174,393 |
|
| 4.00% 05/15/25 |
|
|
170,000 |
|
|
|
166,240 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Dominion Energy Inc. |
|
|
|
|
|
|
|
|
| 2.50% 12/01/19 |
|
|
199,000 |
|
|
|
197,320 |
|
| 2.58% 07/01/20 (h) |
|
|
124,000 |
|
|
|
122,229 |
|
| 3.63% 12/01/24 (h) |
|
|
105,000 |
|
|
|
103,024 |
|
| DTE Energy Co. |
|
|
|
|
|
|
|
|
| 2.85% 10/01/26 (h) |
|
|
95,000 |
|
|
|
86,694 |
|
| 3.85% 12/01/23 (h) |
|
|
96,000 |
|
|
|
96,421 |
|
| Duke Energy Corp.
3.75% 09/01/46 (h) |
|
|
29,000 |
|
|
|
25,647 |
|
| Duke Energy Progress LLC
4.15% 12/01/44 (h) |
|
|
89,000 |
|
|
|
88,328 |
|
| Duke Realty LP |
|
|
|
|
|
|
|
|
| 3.25% 06/30/26 |
|
|
113,000 |
|
|
|
106,176 |
|
| 3.38% 12/15/27 (h) |
|
|
84,000 |
|
|
|
78,268 |
|
| Duquesne Light Holdings Inc.
3.62% 08/01/27 (b)(h) |
|
|
173,000 |
|
|
|
163,885 |
|
| Eastman Chemical Co.
3.60% 08/15/22 (h) |
|
|
60,000 |
|
|
|
59,864 |
|
| Eaton Corp.
3.10% 09/15/27 (h) |
|
|
124,000 |
|
|
|
115,905 |
|
| Ecolab Inc. |
|
|
|
|
|
|
|
|
| 3.25% 12/01/27 |
|
|
99,000 |
|
|
|
94,693 |
|
| 3.95% 12/01/47 |
|
|
60,000 |
|
|
|
57,355 |
|
| Ecopetrol S.A. |
|
|
|
|
|
|
|
|
| 5.88% 05/28/45 (h) |
|
|
114,000 |
|
|
|
107,766 |
|
| 7.63% 07/23/19 (h) |
|
|
79,000 |
|
|
|
82,546 |
|
| Edison International
4.13% 03/15/28 |
|
|
105,000 |
|
|
|
103,387 |
|
| EI du Pont de Nemours & Co.
0.53% + 3 month USD LIBOR
2.89% 05/01/20 (h)(i) |
|
|
172,000 |
|
|
|
172,588 |
|
| Electricite de France S.A.
2.15% 01/22/19 (b)(h) |
|
|
224,000 |
|
|
|
223,323 |
|
| Eli Lilly & Co.
3.70% 03/01/45 (h) |
|
|
25,000 |
|
|
|
23,651 |
|
| EMC Corp.
2.65% 06/01/20 (h) |
|
|
447,000 |
|
|
|
433,054 |
|
| Emera US Finance LP
4.75% 06/15/46 (h) |
|
|
32,000 |
|
|
|
31,545 |
|
| Enbridge Energy Partners LP
5.50% 09/15/40 (h) |
|
|
22,000 |
|
|
|
23,014 |
|
| Encana Corp.
3.90% 11/15/21 (h) |
|
|
168,000 |
|
|
|
169,050 |
|
| Endo Dac/Endo Finance LLC/Endo Finco Inc.
5.88% 10/15/24 (b)(h) |
|
|
264,000 |
|
|
|
257,400 |
|
| Enel Finance International N.V. 3.63% 05/25/27 (b)(h) |
|
|
273,000 |
|
|
|
249,717 |
|
| Energy Transfer Equity LP
5.88% 01/15/24 (h) |
|
|
677,000 |
|
|
|
694,771 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Energy Transfer Partners LP |
|
|
|
|
|
|
|
|
| 4.20% 09/15/23 |
|
|
98,000 |
|
|
|
98,100 |
|
| 4.95% 06/15/28 |
|
|
60,000 |
|
|
|
59,982 |
|
| 5.80% 06/15/38 |
|
|
105,000 |
|
|
|
104,136 |
|
| 6.00% 06/15/48 |
|
|
98,000 |
|
|
|
98,307 |
|
| 6.50% 02/01/42 (h) |
|
|
131,000 |
|
|
|
136,290 |
|
| Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50% 11/01/23 (h) |
|
|
114,000 |
|
|
|
115,008 |
|
| Entergy Louisiana LLC |
|
|
|
|
|
|
|
|
| 3.05% 06/01/31 (h) |
|
|
105,000 |
|
|
|
95,735 |
|
| 4.00% 03/15/33 |
|
|
63,000 |
|
|
|
63,049 |
|
| Enterprise Products Operating LLC |
|
|
|
|
|
|
|
|
| 3.95% 02/15/27 (h) |
|
|
113,000 |
|
|
|
112,217 |
|
| 4.25% 02/15/48 (h) |
|
|
117,000 |
|
|
|
108,757 |
|
| Enterprise Products Operating LLC
(5.25% fixed rate until 08/16/27; 3.03% + 3 month USD
LIBOR thereafter)
5.25% 08/16/77 (h)(i) |
|
|
62,000 |
|
|
|
57,648 |
|
| Envision Healthcare Corp.
6.25% 12/01/24 (b)(h) |
|
|
203,000 |
|
|
|
216,195 |
|
| EOG Resources Inc. |
|
|
|
|
|
|
|
|
| 4.10% 02/01/21 |
|
|
202,000 |
|
|
|
206,115 |
|
| 4.15% 01/15/26 (h) |
|
|
132,000 |
|
|
|
134,965 |
|
| EPR Properties
4.95% 04/15/28 |
|
|
115,000 |
|
|
|
112,224 |
|
| EQT Corp.
3.90% 10/01/27 (h) |
|
|
81,000 |
|
|
|
75,573 |
|
| EQT Midstream Partners LP |
|
|
|
|
|
|
|
|
| 4.75% 07/15/23 |
|
|
84,000 |
|
|
|
83,935 |
|
| 5.50% 07/15/28 |
|
|
84,000 |
|
|
|
84,226 |
|
| ERP Operating LP
4.50% 07/01/44 (h) |
|
|
58,000 |
|
|
|
58,925 |
|
| Exelon Corp. |
|
|
|
|
|
|
|
|
| 3.50% 06/01/22 (h) |
|
|
111,000 |
|
|
|
109,830 |
|
| 4.45% 04/15/46 (h) |
|
|
147,000 |
|
|
|
143,253 |
|
| Express Scripts Holding Co. |
|
|
|
|
|
|
|
|
| 3.40% 03/01/27 (h) |
|
|
143,000 |
|
|
|
130,904 |
|
| 4.80% 07/15/46 (h) |
|
|
43,000 |
|
|
|
40,949 |
|
| Exxon Mobil Corp.
2.22% 03/01/21 (h) |
|
|
38,000 |
|
|
|
37,016 |
|
| FedEx Corp.
4.10% 02/01/45 (h) |
|
|
2,000 |
|
|
|
1,823 |
|
| FirstEnergy Corp. |
|
|
|
|
|
|
|
|
| 3.90% 07/15/27 (h) |
|
|
54,000 |
|
|
|
52,448 |
|
| 4.85% 07/15/47 (h) |
|
|
67,000 |
|
|
|
68,621 |
|
| Florida Power & Light Co.
4.13% 02/01/42 (h) |
|
|
101,000 |
|
|
|
101,965 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Ford Motor Co.
4.35% 12/08/26 (h) |
|
|
141,000 |
|
|
|
138,028 |
|
| Ford Motor Credit Company LLC |
|
|
|
|
|
|
|
|
| 3.22% 01/09/22 (h) |
|
|
656,000 |
|
|
|
641,529 |
|
| 3.34% 03/28/22 |
|
|
200,000 |
|
|
|
195,662 |
|
| Frontier Communications Corp.
7.13% 03/15/19 (h) |
|
|
363,000 |
|
|
|
365,722 |
|
| GameStop Corp.
6.75% 03/15/21 (b) |
|
|
482,000 |
|
|
|
486,820 |
|
| General Dynamics Corp. |
|
|
|
|
|
|
|
|
| 2.13% 08/15/26 (h) |
|
|
47,000 |
|
|
|
42,185 |
|
| 2.88% 05/11/20 |
|
|
211,000 |
|
|
|
210,789 |
|
| 3.00% 05/11/21 |
|
|
296,000 |
|
|
|
295,011 |
|
| 3.38% 05/15/23 |
|
|
197,000 |
|
|
|
197,410 |
|
| 3.50% 05/15/25 |
|
|
190,000 |
|
|
|
189,952 |
|
| 3.75% 05/15/28 |
|
|
190,000 |
|
|
|
191,877 |
|
| General Mills Inc. |
|
|
|
|
|
|
|
|
| 3.20% 04/16/21 |
|
|
200,000 |
|
|
|
199,018 |
|
| 3.70% 10/17/23 |
|
|
170,000 |
|
|
|
168,206 |
|
| 4.55% 04/17/38 |
|
|
34,000 |
|
|
|
32,528 |
|
| 4.70% 04/17/48 |
|
|
106,000 |
|
|
|
100,891 |
|
| General Motors Co.
5.20% 04/01/45 (h) |
|
|
26,000 |
|
|
|
23,986 |
|
| General Motors Financial Company Inc. |
|
|
|
|
|
|
|
|
| 2.35% 10/04/19 |
|
|
212,000 |
|
|
|
210,211 |
|
| 3.15% 01/15/20 (h) |
|
|
206,000 |
|
|
|
205,675 |
|
| 3.20% 07/13/20 (h) |
|
|
154,000 |
|
|
|
153,164 |
|
| 3.55% 04/09/21 |
|
|
285,000 |
|
|
|
284,259 |
|
| 5.25% 03/01/26 (h) |
|
|
142,000 |
|
|
|
146,841 |
|
| Gilead Sciences Inc. |
|
|
|
|
|
|
|
|
| 2.55% 09/01/20 (h) |
|
|
75,000 |
|
|
|
74,092 |
|
| 2.95% 03/01/27 (h) |
|
|
31,000 |
|
|
|
28,983 |
|
| 3.50% 02/01/25 (h) |
|
|
91,000 |
|
|
|
89,714 |
|
| 3.65% 03/01/26 (h) |
|
|
94,000 |
|
|
|
92,804 |
|
| 4.15% 03/01/47 (h) |
|
|
116,000 |
|
|
|
110,861 |
|
| 4.80% 04/01/44 (h) |
|
|
58,000 |
|
|
|
60,224 |
|
| GlaxoSmithKline Capital Inc. |
|
|
|
|
|
|
|
|
| 3.38% 05/15/23 |
|
|
197,000 |
|
|
|
196,957 |
|
| 3.63% 05/15/25 |
|
|
190,000 |
|
|
|
189,935 |
|
| 3.88% 05/15/28 |
|
|
114,000 |
|
|
|
115,020 |
|
| GlaxoSmithKline Capital PLC
3.13% 05/14/21 |
|
|
148,000 |
|
|
|
148,130 |
|
| Glencore Funding LLC
2.50% 01/15/19 (b)(h) |
|
|
404,000 |
|
|
|
402,828 |
|
| Goldman Sachs Bank USA
3.20% 06/05/20 |
|
|
158,000 |
|
|
|
158,757 |
|
| Grupo Televisa SAB
5.00% 05/13/45 (h) |
|
|
204,000 |
|
|
|
179,930 |
|
| H&E Equipment Services Inc.
5.63% 09/01/25 |
|
|
315,000 |
|
|
|
309,487 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Halliburton Co. |
|
|
|
|
|
|
|
|
| 3.80% 11/15/25 (h) |
|
|
132,000 |
|
|
|
130,999 |
|
| 5.00% 11/15/45 (h) |
|
|
78,000 |
|
|
|
83,036 |
|
| HCA Inc.
4.75% 05/01/23 (h) |
|
|
521,000 |
|
|
|
518,395 |
|
| Hess Corp. |
|
|
|
|
|
|
|
|
| 5.60% 02/15/41 (h) |
|
|
41,000 |
|
|
|
41,466 |
|
| 5.80% 04/01/47 (h) |
|
|
26,000 |
|
|
|
26,922 |
|
| Hewlett Packard Enterprise Co.
6.35% 10/15/45 (h) |
|
|
42,000 |
|
|
|
41,702 |
|
| Highwoods Realty LP
4.13% 03/15/28 (h) |
|
|
84,000 |
|
|
|
82,470 |
|
| Hilcorp Energy I LP/Hilcorp Finance Co.
5.75% 10/01/25 (b)(h) |
|
|
291,000 |
|
|
|
291,000 |
|
| HSBC Holdings PLC
4.25% 03/14/24 (h) |
|
|
222,000 |
|
|
|
221,061 |
|
| HSBC Holdings PLC
(3.26% fixed rate until 03/13/22; 1.06% + 3 month USD LIBOR
thereafter)
3.26% 03/13/23 (h)(i) |
|
|
205,000 |
|
|
|
201,072 |
|
| HSBC Holdings PLC
(3.95% fixed rate until 05/18/23; 0.99% + 3 month USD LIBOR
thereafter)
3.95% 05/18/24 (i) |
|
|
216,000 |
|
|
|
215,276 |
|
| HSBC Holdings PLC
(6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter)
6.00% 11/22/66 (h)(i) |
|
|
465,000 |
|
|
|
431,287 |
|
| HSBC Holdings PLC
(6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter)
6.50% 12/31/99 (i) |
|
|
205,000 |
|
|
|
196,656 |
|
| Hyundai Capital America
3.10% 04/05/22 (b)(h) |
|
|
86,000 |
|
|
|
83,896 |
|
| IBM Credit LLC
2.65% 02/05/21 (h) |
|
|
615,000 |
|
|
|
608,819 |
|
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.
6.00% 08/01/20 (h) |
|
|
268,000 |
|
|
|
271,859 |
|
| ING Bank N.V.
2.70% 08/17/20 (b)(h) |
|
|
200,000 |
|
|
|
197,229 |
|
| Ingersoll-Rand Luxembourg Finance S.A.
3.55% 11/01/24 (h) |
|
|
157,000 |
|
|
|
154,515 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Intel Corp. |
|
|
|
|
|
|
|
|
| 2.60% 05/19/26 (h) |
|
|
83,000 |
|
|
|
77,446 |
|
| 2.88% 05/11/24 (h) |
|
|
63,000 |
|
|
|
61,034 |
|
| International Paper Co.
4.40% 08/15/47 (h) |
|
|
119,000 |
|
|
|
108,691 |
|
| Interstate Power & Light Co.
3.40% 08/15/25 (h) |
|
|
378,000 |
|
|
|
367,558 |
|
| j2 Cloud Services LLC/j2 Global Co-Obligor Inc.
6.00%
07/15/25 (b)(h) |
|
|
159,000 |
|
|
|
160,987 |
|
| Jabil Inc.
3.95% 01/12/28 (h) |
|
|
157,000 |
|
|
|
149,927 |
|
| JBS USA LUX S.A./JBS USA Finance Inc.
6.75% 02/15/28 (b) |
|
|
193,000 |
|
|
|
181,661 |
|
| Jefferies Group LLC |
|
|
|
|
|
|
|
|
| 5.13% 01/20/23 (h) |
|
|
117,000 |
|
|
|
121,705 |
|
| 6.50% 01/20/43 (h) |
|
|
91,000 |
|
|
|
94,309 |
|
| Johnson & Johnson |
|
|
|
|
|
|
|
|
| 2.63% 01/15/25 (h) |
|
|
292,000 |
|
|
|
279,862 |
|
| 3.63% 03/03/37 (h) |
|
|
99,000 |
|
|
|
96,828 |
|
| Johnson Controls International PLC
4.50% 02/15/47 (h) |
|
|
47,000 |
|
|
|
45,321 |
|
| JPMorgan Chase & Co. |
|
|
|
|
|
|
|
|
| 2.30% 08/15/21 (h) |
|
|
196,000 |
|
|
|
189,689 |
|
| 2.55% 10/29/20 (h) |
|
|
197,000 |
|
|
|
193,667 |
|
| 3.30% 04/01/26 (h) |
|
|
152,000 |
|
|
|
145,148 |
|
| 3.63% 12/01/27 (h) |
|
|
89,000 |
|
|
|
83,761 |
|
| JPMorgan Chase & Co.
(3.51% fixed rate until
01/23/28; 0.95% + 3 month
USD LIBOR
thereafter)
3.51% 01/23/29 (h)(i) |
|
|
100,000 |
|
|
|
94,630 |
|
| JPMorgan Chase & Co.
(3.88% fixed rate until
07/24/37; 1.36% + 3 month
USD LIBOR
thereafter)
3.88% 07/24/38 (h)(i) |
|
|
181,000 |
|
|
|
166,938 |
|
| JPMorgan Chase & Co.
(3.90% fixed rate until
01/23/48; 1.22% + 3 month
USD LIBOR
thereafter)
3.90% 01/23/49 (h)(i) |
|
|
50,000 |
|
|
|
45,011 |
|
| JPMorgan Chase & Co.
(4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR
thereafter)
4.01% 04/23/29 (i) |
|
|
356,000 |
|
|
|
351,443 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase & Co.
(4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR
thereafter)
4.03% 07/24/48 (h)(i) |
|
|
89,000 |
|
|
|
81,158 |
|
| JPMorgan Chase & Co.
(4.63% fixed rate until 11/01/22; 2.58% + 3 month USD LIBOR
thereafter)
4.63% 12/31/99 (h)(i) |
|
|
139,000 |
|
|
|
128,511 |
|
| JPMorgan Chase & Co.
(6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR
thereafter)
6.10% 10/29/49 (h)(i) |
|
|
327,000 |
|
|
|
337,660 |
|
| JPMorgan Chase & Co.
3.47% + 3 month USD LIBOR
5.83% 12/29/49 (h)(i) |
|
|
162,000 |
|
|
|
163,468 |
|
| Kinder Morgan Energy Partners LP |
|
|
|
|
|
|
|
|
| 3.50% 03/01/21 (h) |
|
|
79,000 |
|
|
|
78,839 |
|
| 5.30% 09/15/20 |
|
|
101,000 |
|
|
|
104,975 |
|
| 6.38% 03/01/41 (h) |
|
|
57,000 |
|
|
|
60,988 |
|
| Kinder Morgan Inc. |
|
|
|
|
|
|
|
|
| 3.05% 12/01/19 (h) |
|
|
67,000 |
|
|
|
66,871 |
|
| 4.30% 03/01/28 (h) |
|
|
227,000 |
|
|
|
220,798 |
|
| 5.05% 02/15/46 (h) |
|
|
57,000 |
|
|
|
53,893 |
|
| 5.55% 06/01/45 (h) |
|
|
94,000 |
|
|
|
94,725 |
|
| Kraft Heinz Foods Co.
4.38% 06/01/46 (h) |
|
|
109,000 |
|
|
|
94,423 |
|
| Kreditanstalt fuer Wiederaufbau
4.50% 07/16/18 (h) |
|
|
217,000 |
|
|
|
217,189 |
|
| L Brands Inc.
5.25% 02/01/28 |
|
|
193,000 |
|
|
|
171,056 |
|
| Lamb Weston Holdings Inc. 4.63% 11/01/24 (b)(h) |
|
|
292,000 |
|
|
|
284,335 |
|
| Lee Enterprises Inc.
9.50% 03/15/22 (b)(h) |
|
|
251,000 |
|
|
|
262,138 |
|
| Lennar Corp. |
|
|
|
|
|
|
|
|
| 4.75% 05/30/25 (h) |
|
|
174,000 |
|
|
|
168,562 |
|
| 4.75% 11/29/27 |
|
|
278,000 |
|
|
|
260,291 |
|
| Levi Strauss & Co.
5.00% 05/01/25 (h) |
|
|
259,000 |
|
|
|
258,042 |
|
| Lincoln National Corp. |
|
|
|
|
|
|
|
|
| 3.63% 12/12/26 (h) |
|
|
90,000 |
|
|
|
85,659 |
|
| 3.80% 03/01/28 (h) |
|
|
107,000 |
|
|
|
102,081 |
|
| 4.35% 03/01/48 (h) |
|
|
86,000 |
|
|
|
79,610 |
|
| Lithia Motors Inc.
5.25% 08/01/25 (b)(h) |
|
|
251,000 |
|
|
|
244,725 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% +
3 month USD LIBOR
thereafter)
2.91% 11/07/23 (h)(i) |
|
|
203,000 |
|
|
|
193,323 |
|
| Lockheed Martin Corp.
3.55% 01/15/26 (h) |
|
|
99,000 |
|
|
|
97,426 |
|
| Lowe’s Companies Inc.
3.70% 04/15/46 (h) |
|
|
36,000 |
|
|
|
32,298 |
|
| LYB International Finance BV
4.88% 03/15/44 (h) |
|
|
42,000 |
|
|
|
41,765 |
|
| LYB International Finance II BV
3.50% 03/02/27 (h) |
|
|
61,000 |
|
|
|
57,341 |
|
| Macy’s Retail Holdings Inc.
4.30% 02/15/43 (h) |
|
|
34,000 |
|
|
|
26,455 |
|
| Maple Escrow Subsidiary Inc. |
|
|
|
|
|
|
|
|
| 3.55% 05/25/21 (b) |
|
|
633,000 |
|
|
|
633,323 |
|
| 4.06% 05/25/23 (b) |
|
|
197,000 |
|
|
|
197,693 |
|
| 4.60% 05/25/28 (b) |
|
|
190,000 |
|
|
|
190,692 |
|
| 5.09% 05/25/48 (b) |
|
|
190,000 |
|
|
|
191,442 |
|
| Marathon Oil Corp. |
|
|
|
|
|
|
|
|
| 2.70% 06/01/20 |
|
|
231,000 |
|
|
|
227,988 |
|
| 3.85% 06/01/25 (h) |
|
|
71,000 |
|
|
|
69,917 |
|
| Marathon Petroleum Corp.
3.63% 09/15/24 (h) |
|
|
120,000 |
|
|
|
117,342 |
|
| Marsh & McLennan Companies Inc.
3.50% 03/10/25 (h) |
|
|
139,000 |
|
|
|
136,203 |
|
| Masco Corp.
3.50% 11/15/27 (h) |
|
|
55,000 |
|
|
|
50,727 |
|
| McDonald’s Corp. |
|
|
|
|
|
|
|
|
| 3.70% 01/30/26 (h) |
|
|
34,000 |
|
|
|
33,775 |
|
| 4.88% 12/09/45 (h) |
|
|
56,000 |
|
|
|
58,713 |
|
| Medtronic Inc. |
|
|
|
|
|
|
|
|
| 2.50% 03/15/20 (h) |
|
|
223,000 |
|
|
|
221,379 |
|
| 4.63% 03/15/45 (h) |
|
|
138,000 |
|
|
|
146,350 |
|
| Memorial Sloan-Kettering Cancer Center
4.13% 07/01/52 (h) |
|
|
128,000 |
|
|
|
129,097 |
|
| Merck & Company Inc.
2.75% 02/10/25 (h) |
|
|
136,000 |
|
|
|
130,006 |
|
| MetLife Inc. |
|
|
|
|
|
|
|
|
| 4.05% 03/01/45 (h) |
|
|
31,000 |
|
|
|
28,835 |
|
| 4.72% 12/15/44 (h) |
|
|
96,000 |
|
|
|
98,558 |
|
| Mexichem SAB de C.V.
5.50% 01/15/48 (h)(b) |
|
|
200,000 |
|
|
|
174,128 |
|
| MGM Resorts International |
|
|
|
|
|
|
|
|
| 4.63% 09/01/26 (h) |
|
|
167,000 |
|
|
|
154,692 |
|
| 5.75% 06/15/25 |
|
|
140,000 |
|
|
|
139,482 |
|
| 6.63% 12/15/21 (h) |
|
|
238,000 |
|
|
|
250,792 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Microsoft Corp. |
|
|
|
|
|
|
|
|
| 1.55% 08/08/21 (h) |
|
|
167,000 |
|
|
|
160,195 |
|
| 2.40% 08/08/26 (h) |
|
|
167,000 |
|
|
|
154,388 |
|
| 3.45% 08/08/36 (h) |
|
|
86,000 |
|
|
|
82,550 |
|
| 3.70% 08/08/46 (h) |
|
|
86,000 |
|
|
|
83,438 |
|
| 4.00% 02/12/55 (h) |
|
|
107,000 |
|
|
|
106,733 |
|
| 4.10% 02/06/37 (h) |
|
|
49,000 |
|
|
|
50,926 |
|
| 4.25% 02/06/47 (h) |
|
|
34,000 |
|
|
|
36,006 |
|
| 4.50% 02/06/57 (h) |
|
|
41,000 |
|
|
|
44,465 |
|
| Mizuho Bank Ltd.
2.45% 04/16/19 (b)(h) |
|
|
508,000 |
|
|
|
506,422 |
|
| Mizuho Financial Group Inc.
2.63% 04/12/21 (b)(h) |
|
|
205,000 |
|
|
|
200,160 |
|
| Molina Healthcare Inc.
4.88% 06/15/25 (b)(h) |
|
|
373,000 |
|
|
|
361,344 |
|
| Molson Coors Brewing Co. |
|
|
|
|
|
|
|
|
| 2.10% 07/15/21 (h) |
|
|
214,000 |
|
|
|
205,200 |
|
| 4.20% 07/15/46 (h) |
|
|
58,000 |
|
|
|
51,931 |
|
| Monsanto Co.
4.70% 07/15/64 (h) |
|
|
36,000 |
|
|
|
31,595 |
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
| 2.45% 02/01/19 (h) |
|
|
560,000 |
|
|
|
559,026 |
|
| 2.63% 11/17/21 (h) |
|
|
203,000 |
|
|
|
197,446 |
|
| 2.65% 01/27/20 (h) |
|
|
188,000 |
|
|
|
186,648 |
|
| 2.75% 05/19/22 (h) |
|
|
153,000 |
|
|
|
148,350 |
|
| 3.70% 10/23/24 (h) |
|
|
68,000 |
|
|
|
67,139 |
|
| 3.95% 04/23/27 (h) |
|
|
146,000 |
|
|
|
139,388 |
|
| 4.10% 05/22/23 (h) |
|
|
255,000 |
|
|
|
256,318 |
|
| 4.38% 01/22/47 (h) |
|
|
127,000 |
|
|
|
121,068 |
|
| 5.00% 11/24/25 |
|
|
201,000 |
|
|
|
208,113 |
|
| Morgan Stanley
(3.77% fixed rate until 01/24/28; 1.14% + 3 month USD LIBOR thereafter)
3.77%
01/24/29 (h)(i) |
|
|
100,000 |
|
|
|
96,424 |
|
| Morgan Stanley
(3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter)
3.97%
07/22/38 (h)(i) |
|
|
82,000 |
|
|
|
75,588 |
|
| MPLX LP |
|
|
|
|
|
|
|
|
| 3.38% 03/15/23 (h) |
|
|
95,000 |
|
|
|
92,894 |
|
| 4.50% 04/15/38 (h) |
|
|
93,000 |
|
|
|
86,058 |
|
| 4.70% 04/15/48 (h) |
|
|
76,000 |
|
|
|
70,558 |
|
| 5.20% 03/01/47 (h) |
|
|
30,000 |
|
|
|
29,545 |
|
| MUFG Bank Ltd.
2.30% 03/10/19 (b)(h) |
|
|
600,000 |
|
|
|
597,835 |
|
| MUFG Bank Ltd.
2.30% 03/05/20 (b) |
|
|
216,000 |
|
|
|
212,615 |
|
| Murphy Oil Corp.
5.75% 08/15/25 (h) |
|
|
651,000 |
|
|
|
647,745 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Mylan Inc. |
|
|
|
|
|
|
|
|
| 4.55% 04/15/28 (b) |
|
|
184,000 |
|
|
|
179,740 |
|
| 5.20% 04/15/48 (b) |
|
|
73,000 |
|
|
|
70,546 |
|
| Mylan N.V. |
|
|
|
|
|
|
|
|
| 3.15% 06/15/21 (h) |
|
|
90,000 |
|
|
|
89,024 |
|
| 3.95% 06/15/26 (h) |
|
|
75,000 |
|
|
|
71,674 |
|
| National Retail Properties Inc.
4.00% 11/15/25 (h) |
|
|
153,000 |
|
|
|
149,975 |
|
| Navient Corp. |
|
|
|
|
|
|
|
|
| 6.75% 06/15/26 |
|
|
180,000 |
|
|
|
175,896 |
|
| 8.00% 03/25/20 (h) |
|
|
358,000 |
|
|
|
377,690 |
|
| Newell Brands Inc. |
|
|
|
|
|
|
|
|
| 3.85% 04/01/23 (h) |
|
|
58,000 |
|
|
|
57,139 |
|
| 4.20% 04/01/26 (h) |
|
|
55,000 |
|
|
|
53,162 |
|
| 5.50% 04/01/46 (h) |
|
|
86,000 |
|
|
|
84,203 |
|
| Newfield Exploration Co.
5.38% 01/01/26 |
|
|
289,000 |
|
|
|
295,502 |
|
| Newmont Mining Corp.
4.88% 03/15/42 (h) |
|
|
104,000 |
|
|
|
104,005 |
|
| Nexen Energy ULC
6.40% 05/15/37 (h) |
|
|
73,000 |
|
|
|
89,378 |
|
| NGPL PipeCo LLC
4.88% 08/15/27 (b)(h) |
|
|
51,000 |
|
|
|
50,363 |
|
| Noble Energy Inc. |
|
|
|
|
|
|
|
|
| 3.90% 11/15/24 (h) |
|
|
144,000 |
|
|
|
141,977 |
|
| 5.05% 11/15/44 (h) |
|
|
31,000 |
|
|
|
30,983 |
|
| Nordstrom Inc.
5.00% 01/15/44 (h) |
|
|
6,000 |
|
|
|
5,521 |
|
| Northern States Power Co.
2.20% 08/15/20 (h) |
|
|
355,000 |
|
|
|
349,540 |
|
| Northrop Grumman Corp.
2.08% 10/15/20 (h) |
|
|
67,000 |
|
|
|
65,476 |
|
| 2.55% 10/15/22 (h) |
|
|
72,000 |
|
|
|
69,413 |
|
| 2.93% 01/15/25 (h) |
|
|
131,000 |
|
|
|
124,358 |
|
| 3.25% 01/15/28 (h) |
|
|
98,000 |
|
|
|
92,258 |
|
| 3.85% 04/15/45 (h) |
|
|
29,000 |
|
|
|
26,369 |
|
| 4.03% 10/15/47 (h) |
|
|
77,000 |
|
|
|
72,076 |
|
| Novartis Capital Corp.
3.00% 11/20/25 (h) |
|
|
20,000 |
|
|
|
19,281 |
|
| NRG Energy Inc.
6.25% 07/15/22 (h) |
|
|
257,000 |
|
|
|
264,479 |
|
| Nucor Corp. |
|
|
|
|
|
|
|
|
| 3.95% 05/01/28 |
|
|
182,000 |
|
|
|
181,743 |
|
| 4.13% 09/15/22 (h) |
|
|
77,000 |
|
|
|
79,081 |
|
| Nutrien Ltd. |
|
|
|
|
|
|
|
|
| 4.00% 12/15/26 |
|
|
87,000 |
|
|
|
84,046 |
|
| 4.90% 06/01/43 |
|
|
79,000 |
|
|
|
78,575 |
|
| NXP BV/NXP Funding LLC
4.63% 06/01/23 (b) |
|
|
203,000 |
|
|
|
204,142 |
|
| Occidental Petroleum Corp. |
|
|
|
|
|
|
|
|
| 4.10% 02/15/47 (h) |
|
|
40,000 |
|
|
|
39,214 |
|
| 4.20% 03/15/48 (h) |
|
|
66,000 |
|
|
|
65,719 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Olin Corp.
5.00% 02/01/30 |
|
|
289,000 |
|
|
|
273,105 |
|
| Omnicom Group Inc./Omnicom Capital Inc.
3.63% 05/01/22 (h) |
|
|
118,000 |
|
|
|
117,402 |
|
| Oncor Electric Delivery Company LLC
3.80% 09/30/47 |
|
|
28,000 |
|
|
|
26,755 |
|
| Oracle Corp. |
|
|
|
|
|
|
|
|
| 1.90% 09/15/21 (h) |
|
|
111,000 |
|
|
|
106,749 |
|
| 2.40% 09/15/23 (h) |
|
|
93,000 |
|
|
|
88,234 |
|
| 3.25% 11/15/27 (h) |
|
|
139,000 |
|
|
|
133,101 |
|
| 3.80% 11/15/37 (h) |
|
|
54,000 |
|
|
|
51,071 |
|
| 4.00%
07/15/46 - 11/15/47 (h) |
|
|
140,000 |
|
|
|
132,162 |
|
| 4.13% 05/15/45 (h) |
|
|
55,000 |
|
|
|
53,065 |
|
| Oshkosh Corp.
5.38% 03/01/25 |
|
|
127,000 |
|
|
|
130,175 |
|
| Owens Corning
4.40% 01/30/48 (h) |
|
|
58,000 |
|
|
|
48,360 |
|
| Owens-Brockway Glass Container Inc.
6.38% 08/15/25 (b)(h) |
|
|
100,000 |
|
|
|
102,500 |
|
| Pacific Gas & Electric Co.
3.40% 08/15/24 (h) |
|
|
562,000 |
|
|
|
527,988 |
|
| PacifiCorp
6.25% 10/15/37 (h) |
|
|
6,000 |
|
|
|
7,683 |
|
| Packaging Corporation of America
3.40% 12/15/27 (h) |
|
|
62,000 |
|
|
|
58,530 |
|
| Parker-Hannifin Corp.
3.25% 03/01/27 (h) |
|
|
248,000 |
|
|
|
239,246 |
|
| Party City Holdings Inc.
6.13% 08/15/23 (b)(h) |
|
|
97,000 |
|
|
|
97,485 |
|
| Penske Automotive Group Inc.
5.38% 12/01/24 (h) |
|
|
243,000 |
|
|
|
240,570 |
|
| PepsiCo Inc.
3.45% 10/06/46 (h) |
|
|
54,000 |
|
|
|
48,227 |
|
| Perrigo Finance Unlimited Co. 3.90% 12/15/24 (h) |
|
|
223,000 |
|
|
|
217,017 |
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
| 4.50% 01/23/26 (h) |
|
|
71,000 |
|
|
|
66,276 |
|
| 5.35% 02/12/28 (b)(h) |
|
|
60,000 |
|
|
|
56,701 |
|
| 5.63% 01/23/46 (h) |
|
|
61,000 |
|
|
|
51,872 |
|
| 6.35% 02/12/48 (b)(h) |
|
|
60,000 |
|
|
|
54,062 |
|
| 6.38% 01/23/45 (h) |
|
|
79,000 |
|
|
|
72,520 |
|
| 6.50% 03/13/27 (h) |
|
|
136,000 |
|
|
|
139,204 |
|
| 6.75% 09/21/47 (h) |
|
|
141,000 |
|
|
|
133,039 |
|
| Pfizer Inc. |
|
|
|
|
|
|
|
|
| 3.00% 12/15/26 (h) |
|
|
82,000 |
|
|
|
78,836 |
|
| 4.13% 12/15/46 (h) |
|
|
72,000 |
|
|
|
72,582 |
|
| 4.40% 05/15/44 (h) |
|
|
41,000 |
|
|
|
42,713 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Philip Morris International Inc.
4.13% 03/04/43 (h) |
|
|
132,000 |
|
|
|
122,409 |
|
| Phillips 66
3.90% 03/15/28 (h) |
|
|
171,000 |
|
|
|
167,648 |
|
| Phillips 66 Partners LP |
|
|
|
|
|
|
|
|
| 3.75% 03/01/28 (h) |
|
|
76,000 |
|
|
|
71,120 |
|
| 4.68% 02/15/45 (h) |
|
|
84,000 |
|
|
|
78,467 |
|
| Pilgrim’s Pride Corp.
5.88% 09/30/27 (b) |
|
|
193,000 |
|
|
|
179,490 |
|
| Plains All American Pipeline LP/PAA Finance Corp. |
|
|
|
|
|
|
|
|
| 4.70% 06/15/44 (h) |
|
|
58,000 |
|
|
|
51,043 |
|
| 5.75% 01/15/20 (h) |
|
|
120,000 |
|
|
|
123,900 |
|
| PPL Capital Funding Inc.
3.10% 05/15/26 (h) |
|
|
185,000 |
|
|
|
172,246 |
|
| Precision Castparts Corp.
4.38% 06/15/45 (h) |
|
|
105,000 |
|
|
|
109,001 |
|
| Prudential Financial Inc.
(4.50% fixed rate until 09/15/27; 2.38% + 3 month USD LIBOR
thereafter)
4.50% 09/15/47 (h)(i) |
|
|
70,000 |
|
|
|
64,263 |
|
| Prudential Financial Inc.
(5.38% fixed rate until 05/15/25; 3.03% + 3 month USD LIBOR
thereafter)
5.38% 05/15/45 (h)(i) |
|
|
156,000 |
|
|
|
155,044 |
|
| Public Service Company of Colorado
3.70% 06/15/28 |
|
|
196,000 |
|
|
|
197,135 |
|
| Public Service Electric & Gas Co.
2.38% 05/15/23 (h) |
|
|
318,000 |
|
|
|
303,572 |
|
| PulteGroup Inc.
5.50% 03/01/26 (h) |
|
|
200,000 |
|
|
|
199,000 |
|
| QUALCOMM Inc. |
|
|
|
|
|
|
|
|
| 2.90% 05/20/24 (h) |
|
|
13,000 |
|
|
|
12,280 |
|
| 3.00% 05/20/22 (h) |
|
|
50,000 |
|
|
|
49,228 |
|
| 3.25% 05/20/27 (h) |
|
|
12,000 |
|
|
|
11,186 |
|
| 4.30% 05/20/47 (h) |
|
|
31,000 |
|
|
|
28,907 |
|
| Range Resources Corp.
5.00% 08/15/22 |
|
|
289,000 |
|
|
|
285,749 |
|
| Realty Income Corp.
3.00% 01/15/27 (h) |
|
|
79,000 |
|
|
|
72,363 |
|
| Republic Services Inc.
3.38% 11/15/27 (h) |
|
|
56,000 |
|
|
|
53,073 |
|
| Reynolds American Inc.
4.45% 06/12/25 (h) |
|
|
10,000 |
|
|
|
10,059 |
|
| Rio Tinto Finance USA PLC
4.13% 08/21/42 (h) |
|
|
67,000 |
|
|
|
65,976 |
|
| Rockwell Collins Inc.
3.50% 03/15/27 (h) |
|
|
132,000 |
|
|
|
125,667 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Rogers Communications Inc. 5.00% 03/15/44 (h) |
|
|
49,000 |
|
|
|
50,942 |
|
| Royal Bank of Scotland Group PLC
(3.50% fixed rate until 05/15/22; 1.48% + 3 month USD
LIBOR thereafter)
3.50% 05/15/23 (h)(i) |
|
|
200,000 |
|
|
|
193,870 |
|
| RPM International Inc.
3.75% 03/15/27 (h) |
|
|
141,000 |
|
|
|
134,700 |
|
| RSP Permian Inc.
5.25% 01/15/25 |
|
|
221,000 |
|
|
|
236,404 |
|
| Ryder System Inc.
2.45% 09/03/19 (h) |
|
|
410,000 |
|
|
|
407,384 |
|
| Sabine Pass Liquefaction LLC |
|
|
|
|
|
|
|
|
| 4.20% 03/15/28 (h) |
|
|
115,000 |
|
|
|
110,896 |
|
| 5.00% 03/15/27 (h) |
|
|
59,000 |
|
|
|
60,211 |
|
| salesforce.com Inc. |
|
|
|
|
|
|
|
|
| 3.25% 04/11/23 |
|
|
176,000 |
|
|
|
175,027 |
|
| 3.70% 04/11/28 |
|
|
240,000 |
|
|
|
238,090 |
|
| Santander Holdings USA Inc. |
|
|
|
|
|
|
|
|
| 2.65% 04/17/20 (h) |
|
|
316,000 |
|
|
|
313,083 |
|
| 3.70% 03/28/22 |
|
|
283,000 |
|
|
|
278,990 |
|
| 4.40% 07/13/27 |
|
|
102,000 |
|
|
|
97,600 |
|
| Santander UK Group Holdings PLC |
|
|
|
|
|
|
|
|
| 4.75% 09/15/25 (b)(h) |
|
|
200,000 |
|
|
|
195,303 |
|
| Schlumberger Holdings Corp.
3.00% 12/21/20 (b)(h) |
|
|
128,000 |
|
|
|
127,232 |
|
| Select Income REIT
4.25% 05/15/24 (h) |
|
|
152,000 |
|
|
|
145,247 |
|
| Sempra Energy |
|
|
|
|
|
|
|
|
| 3.80% 02/01/38 (h) |
|
|
61,000 |
|
|
|
55,371 |
|
| 4.00% 02/01/48 (h) |
|
|
61,000 |
|
|
|
54,896 |
|
| Shell International Finance BV |
|
|
|
|
|
|
|
|
| 3.25% 05/11/25 (h) |
|
|
95,000 |
|
|
|
93,078 |
|
| 3.40% 08/12/23 (h) |
|
|
108,000 |
|
|
|
108,168 |
|
| 3.75% 09/12/46 (h) |
|
|
49,000 |
|
|
|
45,693 |
|
| 4.13% 05/11/35 (h) |
|
|
74,000 |
|
|
|
75,074 |
|
| Shire Acquisitions Investments Ireland DAC |
|
|
|
|
|
|
|
|
| 2.88% 09/23/23 (h) |
|
|
35,000 |
|
|
|
32,949 |
|
| 3.20% 09/23/26 (h) |
|
|
67,000 |
|
|
|
61,283 |
|
| Simon Property Group LP
3.38% 06/15/27 (h) |
|
|
139,000 |
|
|
|
133,500 |
|
| Sinclair Television Group Inc.
5.38% 04/01/21 (h) |
|
|
259,000 |
|
|
|
260,942 |
|
| Smithfield Foods Inc. |
|
|
|
|
|
|
|
|
| 2.70% 01/31/20 (b)(h) |
|
|
81,000 |
|
|
|
79,838 |
|
| 4.25% 02/01/27 (b)(h) |
|
|
115,000 |
|
|
|
110,658 |
|
| South Carolina Electric & Gas Co.
4.10% 06/15/46 (h) |
|
|
24,000 |
|
|
|
21,829 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Southern California Edison Co.
2.40% 02/01/22 (h) |
|
|
150,000 |
|
|
|
144,921 |
|
| Southern Copper Corp.
5.88% 04/23/45 (h) |
|
|
70,000 |
|
|
|
74,606 |
|
| Southwestern Electric Power Co.
2.75% 10/01/26 (h) |
|
|
147,000 |
|
|
|
134,795 |
|
| Spectra Energy Partners LP
3.38% 10/15/26 (h) |
|
|
50,000 |
|
|
|
46,349 |
|
| 4.50% 03/15/45 (h) |
|
|
28,000 |
|
|
|
25,933 |
|
| Sprint Corp.
7.63% 02/15/25 (h) |
|
|
569,000 |
|
|
|
583,225 |
|
| Standard Industries Inc.
5.38% 11/15/24 (b)(h) |
|
|
516,000 |
|
|
|
509,550 |
|
| Sumitomo Mitsui Banking Corp.
2.25% 07/11/19 (h) |
|
|
272,000 |
|
|
|
270,025 |
|
| Suncor Energy Inc.
4.00% 11/15/47 (h) |
|
|
36,000 |
|
|
|
33,881 |
|
| Syngenta Finance N.V.
3.70% 04/24/20 (b) |
|
|
225,000 |
|
|
|
224,183 |
|
| 3.93% 04/23/21 (b) |
|
|
330,000 |
|
|
|
329,163 |
|
| 4.44% 04/24/23 (b) |
|
|
200,000 |
|
|
|
198,880 |
|
| 4.89% 04/24/25 (b) |
|
|
200,000 |
|
|
|
196,096 |
|
| 5.18% 04/24/28 (b) |
|
|
200,000 |
|
|
|
193,165 |
|
| Sysco Corp.
3.25% 07/15/27 (h) |
|
|
120,000 |
|
|
|
112,506 |
|
| T-Mobile USA Inc.
4.50% 02/01/26 (h) |
|
|
366,000 |
|
|
|
341,771 |
|
| Tampa Electric Co.
4.35% 05/15/44 (h) |
|
|
140,000 |
|
|
|
142,474 |
|
| Target Corp.
2.50% 04/15/26 (h) |
|
|
142,000 |
|
|
|
130,573 |
|
| Teachers Insurance & Annuity
Association of America
4.90% 09/15/44 (b)(h) |
|
|
126,000 |
|
|
|
132,638 |
|
| Teck Resources Ltd.
4.75% 01/15/22 (h) |
|
|
163,000 |
|
|
|
163,342 |
|
| Telecom Italia S.p.A.
5.30% 05/30/24 (b) |
|
|
477,000 |
|
|
|
472,230 |
|
| Telefonica Emisiones SAU
4.10% 03/08/27 (h) |
|
|
300,000 |
|
|
|
290,334 |
|
| Tencent Holdings Ltd. |
|
|
|
|
|
|
|
|
| 2.99% 01/19/23 (b)(h) |
|
|
266,000 |
|
|
|
258,701 |
|
| 3.60% 01/19/28 (b)(h) |
|
|
200,000 |
|
|
|
189,060 |
|
| 3.93% 01/19/38 (b)(h) |
|
|
200,000 |
|
|
|
183,410 |
|
| Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
| 4.75% 06/01/20 (h) |
|
|
426,000 |
|
|
|
427,065 |
|
| 6.00% 10/01/20 (h) |
|
|
416,000 |
|
|
|
427,440 |
|
| Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
|
|
|
|
|
| 1.70% 07/19/19 (h) |
|
|
517,000 |
|
|
|
505,109 |
|
| 2.20% 07/21/21 (h) |
|
|
80,000 |
|
|
|
74,198 |
|
| 2.80% 07/21/23 |
|
|
385,000 |
|
|
|
331,934 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Texas Instruments Inc.
4.15% 05/15/48 |
|
|
76,000 |
|
|
|
77,145 |
|
| The Allstate Corp.
4.20% 12/15/46 (h) |
|
|
63,000 |
|
|
|
61,870 |
|
| The Allstate Corp.
(5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter)
5.75% 08/15/53 (h)(i) |
|
|
205,000 |
|
|
|
210,902 |
|
| The Bank of New York Mellon Corp.
(2.66% fixed rate until 05/16/22; 0.63% + 3 month USD
LIBOR thereafter)
2.66% 05/16/23 (h)(i) |
|
|
146,000 |
|
|
|
141,654 |
|
| The Bank of New York Mellon Corp.
(4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR
thereafter)
4.63% 12/29/49 (h)(i) |
|
|
175,000 |
|
|
|
165,594 |
|
| The Bank of Nova Scotia
(4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR
thereafter)
4.65% 12/31/99 (h)(i) |
|
|
196,000 |
|
|
|
177,456 |
|
| The Boeing Co. |
|
|
|
|
|
|
|
|
| 3.25% 03/01/28 (h) |
|
|
147,000 |
|
|
|
143,409 |
|
| 3.55% 03/01/38 (h) |
|
|
157,000 |
|
|
|
151,227 |
|
| The Dow Chemical Co.
4.25% 10/01/34 (h) |
|
|
135,000 |
|
|
|
130,409 |
|
| The George Washington University
4.13% 09/15/48 |
|
|
100,000 |
|
|
|
101,561 |
|
| The Goldman Sachs Group Inc. |
|
|
|
|
|
|
|
|
| 2.30% 12/13/19 (h) |
|
|
605,000 |
|
|
|
598,297 |
|
| 2.35% 11/15/21 (h) |
|
|
211,000 |
|
|
|
203,130 |
|
| 2.63% 04/25/21 (h) |
|
|
270,000 |
|
|
|
263,987 |
|
| 2.90% 07/19/18 (h) |
|
|
169,000 |
|
|
|
169,034 |
|
| 3.85% 01/26/27 (h) |
|
|
81,000 |
|
|
|
77,817 |
|
| 4.25% 10/21/25 (h) |
|
|
15,000 |
|
|
|
14,767 |
|
| 4.80% 07/08/44 (h) |
|
|
91,000 |
|
|
|
90,742 |
|
| 5.15% 05/22/45 (h) |
|
|
142,000 |
|
|
|
140,810 |
|
| The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR
thereafter)
2.91% 06/05/23 (h)(i) |
|
|
276,000 |
|
|
|
266,409 |
|
| The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR
thereafter)
3.81% 04/23/29 (h)(i) |
|
|
100,000 |
|
|
|
95,094 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR
thereafter)
4.02% 10/31/38 (h)(i) |
|
|
92,000 |
|
|
|
83,695 |
|
| The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR
thereafter)
4.22% 05/01/29 (i) |
|
|
182,000 |
|
|
|
179,399 |
|
| The Hartford Financial Services Group Inc.
2.13% + 3 month USD LIBOR
4.47% 02/12/47
(b)(h)(i) |
|
|
120,000 |
|
|
|
113,855 |
|
| The Home Depot Inc. |
|
|
|
|
|
|
|
|
| 3.35% 09/15/25 (h) |
|
|
76,000 |
|
|
|
74,778 |
|
| 3.50% 09/15/56 (h) |
|
|
100,000 |
|
|
|
85,532 |
|
| 3.90% 06/15/47 (h) |
|
|
76,000 |
|
|
|
72,832 |
|
| The Korea Development Bank
3.38% 09/16/25 (h) |
|
|
205,000 |
|
|
|
199,262 |
|
| The Kroger Co. |
|
|
|
|
|
|
|
|
| 2.95% 11/01/21 (h) |
|
|
225,000 |
|
|
|
221,740 |
|
| 4.65% 01/15/48 (h) |
|
|
61,000 |
|
|
|
57,616 |
|
| The Men’s Wearhouse Inc.
7.00% 07/01/22 |
|
|
143,000 |
|
|
|
147,469 |
|
| The Mosaic Co.
5.63% 11/15/43 (h) |
|
|
29,000 |
|
|
|
29,177 |
|
| The Nielsen Company Luxembourg Sarl
5.00% 02/01/25 (b)(h) |
|
|
168,000 |
|
|
|
160,020 |
|
| The Sherwin-Williams Co. |
|
|
|
|
|
|
|
|
| 2.25% 05/15/20 (h) |
|
|
146,000 |
|
|
|
143,747 |
|
| 2.75% 06/01/22 (h) |
|
|
55,000 |
|
|
|
53,276 |
|
| 3.45% 06/01/27 (h) |
|
|
6,000 |
|
|
|
5,680 |
|
| 4.50% 06/01/47 (h) |
|
|
19,000 |
|
|
|
18,171 |
|
| The Southern Co. |
|
|
|
|
|
|
|
|
| 1.85% 07/01/19 |
|
|
534,000 |
|
|
|
528,938 |
|
| 3.25% 07/01/26 (h) |
|
|
76,000 |
|
|
|
71,374 |
|
| 4.40% 07/01/46 (h) |
|
|
55,000 |
|
|
|
53,730 |
|
| The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate
thereafter)
3.63% 09/15/31 (h)(i) |
|
|
241,000 |
|
|
|
226,533 |
|
| The Walt Disney Co.
4.13% 06/01/44 (h) |
|
|
40,000 |
|
|
|
38,566 |
|
| Time Warner Cable LLC |
|
|
|
|
|
|
|
|
| 4.50% 09/15/42 (h) |
|
|
26,000 |
|
|
|
21,508 |
|
| 6.55% 05/01/37 (h) |
|
|
88,000 |
|
|
|
93,037 |
|
| Transcontinental Gas Pipe Line Company LLC
4.00% 03/15/28 (b) |
|
|
104,000 |
|
|
|
101,822 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Tyco Electronics Group S.A. |
|
|
|
|
|
|
|
|
| 2.35% 08/01/19 (h) |
|
|
308,000 |
|
|
|
306,409 |
|
| 3.13% 08/15/27 (h) |
|
|
136,000 |
|
|
|
127,299 |
|
| Tyson Foods Inc. |
|
|
|
|
|
|
|
|
| 2.65% 08/15/19 (h) |
|
|
63,000 |
|
|
|
62,751 |
|
| 4.55% 06/02/47 (h) |
|
|
31,000 |
|
|
|
29,678 |
|
| U.S. Bancorp
(5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR
thereafter)
5.13% 12/29/49 (h)(i) |
|
|
355,000 |
|
|
|
364,319 |
|
| UBS Group Funding Switzerland AG
2.95% 09/24/20 (b)(h) |
|
|
401,000 |
|
|
|
396,774 |
|
| Union Pacific Corp. |
|
|
|
|
|
|
|
|
| 3.20% 06/08/21 |
|
|
212,000 |
|
|
|
212,471 |
|
| 3.50% 06/08/23 |
|
|
198,000 |
|
|
|
198,255 |
|
| 3.60% 09/15/37 (h) |
|
|
34,000 |
|
|
|
31,081 |
|
| 4.10% 09/15/67 (h) |
|
|
55,000 |
|
|
|
48,262 |
|
| United Rentals North America Inc.
4.88% 01/15/28 |
|
|
193,000 |
|
|
|
178,467 |
|
| United Technologies Corp.
4.50% 06/01/42 |
|
|
43,000 |
|
|
|
42,340 |
|
| UnitedHealth Group Inc.
4.75% 07/15/45 (h) |
|
|
21,000 |
|
|
|
22,513 |
|
| Vale Overseas Ltd. |
|
|
|
|
|
|
|
|
| 4.38% 01/11/22 (h) |
|
|
33,000 |
|
|
|
33,495 |
|
| 6.25% 08/10/26 (h) |
|
|
56,000 |
|
|
|
60,763 |
|
| 6.88% 11/10/39 (h) |
|
|
51,000 |
|
|
|
57,614 |
|
| Vale S.A.
5.63% 09/11/42 (h) |
|
|
31,000 |
|
|
|
31,437 |
|
| Valeant Pharmaceuticals International Inc.
7.00% 03/15/24 (b)(h) |
|
|
534,000 |
|
|
|
559,899 |
|
| Ventas Realty LP
3.25% 10/15/26 (h) |
|
|
155,000 |
|
|
|
143,783 |
|
| Verizon Communications Inc. |
|
|
|
|
|
|
|
|
| 3.38% 02/15/25 (h) |
|
|
68,000 |
|
|
|
65,233 |
|
| 4.33% 09/21/28 (b) |
|
|
167,000 |
|
|
|
165,806 |
|
| 4.40% 11/01/34 (h) |
|
|
131,000 |
|
|
|
123,481 |
|
| 4.67% 03/15/55 (h) |
|
|
91,000 |
|
|
|
80,710 |
|
| 4.86% 08/21/46 (h) |
|
|
272,000 |
|
|
|
254,704 |
|
| 5.01% 04/15/49 |
|
|
56,000 |
|
|
|
54,531 |
|
| 5.25% 03/16/37 (h) |
|
|
89,000 |
|
|
|
91,474 |
|
| Viacom Inc. |
|
|
|
|
|
|
|
|
| 3.45% 10/04/26 (h) |
|
|
88,000 |
|
|
|
80,333 |
|
| 5.25% 04/01/44 (h) |
|
|
24,000 |
|
|
|
22,714 |
|
| Virgin Media Finance PLC
5.75% 01/15/25 (b)(h) |
|
|
435,000 |
|
|
|
407,812 |
|
| Virginia Electric & Power Co.
4.00% 11/15/46 (h) |
|
|
160,000 |
|
|
|
153,298 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| Visa Inc. |
|
|
|
|
|
|
|
|
| 3.15% 12/14/25 (h) |
|
|
59,000 |
|
|
|
57,064 |
|
| 4.30% 12/14/45 (h) |
|
|
77,000 |
|
|
|
79,910 |
|
| Vodafone Group PLC |
|
|
|
|
|
|
|
|
| 4.38% 05/30/28 |
|
|
207,000 |
|
|
|
204,530 |
|
| 5.25% 05/30/48 |
|
|
58,000 |
|
|
|
57,748 |
|
| Vornado Realty LP
3.50% 01/15/25 (h) |
|
|
90,000 |
|
|
|
86,386 |
|
| Vulcan Materials Co.
3.90% 04/01/27 (h) |
|
|
61,000 |
|
|
|
58,388 |
|
| Wabtec Corp.
3.45% 11/15/26 (h) |
|
|
57,000 |
|
|
|
52,303 |
|
| Walgreens Boots Alliance Inc. 4.65% 06/01/46 (h) |
|
|
43,000 |
|
|
|
39,674 |
|
| Walmart Inc. |
|
|
|
|
|
|
|
|
| 3.63% 12/15/47 (h) |
|
|
74,000 |
|
|
|
68,985 |
|
| 3.70% 06/26/28 |
|
|
197,000 |
|
|
|
198,873 |
|
| 3.95% 06/28/38 |
|
|
78,000 |
|
|
|
78,315 |
|
| 4.05% 06/29/48 |
|
|
78,000 |
|
|
|
78,601 |
|
| Warner Media LLC
5.35% 12/15/43 (h) |
|
|
79,000 |
|
|
|
77,122 |
|
| WEC Energy Group Inc.
3.55% 06/15/25 (h) |
|
|
136,000 |
|
|
|
133,808 |
|
| WellCare Health Plans Inc.
5.25% 04/01/25 (h) |
|
|
212,000 |
|
|
|
210,940 |
|
| Wells Fargo & Co. |
|
|
|
|
|
|
|
|
| 2.63% 07/22/22 (h) |
|
|
299,000 |
|
|
|
287,560 |
|
| 3.90% 05/01/45 (h) |
|
|
9,000 |
|
|
|
8,172 |
|
| 4.75% 12/07/46 (h) |
|
|
144,000 |
|
|
|
138,990 |
|
| Wells Fargo & Co.
(5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR
thereafter)
5.88% 12/29/49 (h)(i) |
|
|
206,000 |
|
|
|
212,437 |
|
| Wells Fargo & Co.
(5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR
thereafter)
5.90% 12/29/49 (h)(i) |
|
|
194,000 |
|
|
|
194,727 |
|
| Wells Fargo & Co.
3.77% + 3 month USD LIBOR
6.11% 03/29/49 (h)(i) |
|
|
190,000 |
|
|
|
192,428 |
|
| Wells Fargo Bank NA
2.60% 01/15/21 (h) |
|
|
989,000 |
|
|
|
973,314 |
|
| Western Digital Corp.
4.75% 02/15/26 (h) |
|
|
120,000 |
|
|
|
116,598 |
|
| Western Gas Partners LP |
|
|
|
|
|
|
|
|
| 4.00% 07/01/22 (h) |
|
|
359,000 |
|
|
|
355,826 |
|
| 5.38% 06/01/21 (h) |
|
|
180,000 |
|
|
|
186,673 |
|
| Westlake Chemical Corp. |
|
|
|
|
|
|
|
|
| 3.60% 08/15/26 (h) |
|
|
40,000 |
|
|
|
37,982 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| 4.38% 11/15/47 (h) |
|
|
17,000 |
|
|
|
15,683 |
|
| 5.00% 08/15/46 (h) |
|
|
43,000 |
|
|
|
43,496 |
|
| WestRock Co.
3.00% 09/15/24 (b)(h) |
|
|
109,000 |
|
|
|
103,291 |
|
| William Lyon Homes Inc. |
|
|
|
|
|
|
|
|
| 5.88% 01/31/25 |
|
|
95,000 |
|
|
|
89,063 |
|
| Williams Partners LP |
|
|
|
|
|
|
|
|
| 3.75% 06/15/27 (h) |
|
|
49,000 |
|
|
|
46,301 |
|
| 3.90% 01/15/25 (h) |
|
|
85,000 |
|
|
|
82,872 |
|
| 4.85% 03/01/48 (h) |
|
|
81,000 |
|
|
|
77,597 |
|
| 4.90% 01/15/45 (h) |
|
|
43,000 |
|
|
|
41,243 |
|
| 5.40% 03/04/44 (h) |
|
|
26,000 |
|
|
|
26,722 |
|
| Willis North America Inc.
3.60% 05/15/24 (h) |
|
|
151,000 |
|
|
|
146,212 |
|
| WPP Finance 2010
3.75% 09/19/24 (h) |
|
|
100,000 |
|
|
|
96,774 |
|
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.25% 05/15/27 (b)(h) |
|
|
212,000 |
|
|
|
198,220 |
|
| Xilinx Inc.
2.95% 06/01/24 (h) |
|
|
101,000 |
|
|
|
95,968 |
|
| XPO Logistics Inc.
6.50% 06/15/22 (b)(h) |
|
|
161,000 |
|
|
|
164,832 |
|
| Yamana Gold Inc.
4.63% 12/15/27 |
|
|
110,000 |
|
|
|
105,679 |
|
| Zoetis Inc.
3.00% 09/12/27 (h) |
|
|
60,000 |
|
|
|
55,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,127,819 |
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Collateralized Mortgage Obligations -
3.6% |
|
| BANK 2018-BNK10
4.16% 02/15/61 (h)(i) |
|
|
195,734 |
|
|
|
191,600 |
|
| BANK 2018-BNK11
4.50% 03/15/61 (i) |
|
|
139,000 |
|
|
|
142,434 |
|
| BANK 2018-BNK12
4.55% 05/15/61 (i) |
|
|
207,333 |
|
|
|
206,118 |
|
| BXP Trust 2017-GM
3.38% 06/13/39 (b)(h) |
|
|
714,000 |
|
|
|
693,515 |
|
| Citigroup Commercial Mortgage Trust 2016-P5
2.94%
10/10/49 (h) |
|
|
399,397 |
|
|
|
377,940 |
|
| Citigroup Commercial Mortgage Trust 2016-P6
3.72%
12/10/49 (h)(i) |
|
|
985,118 |
|
|
|
985,434 |
|
| 4.03% 12/10/49 (h)(i) |
|
|
336,823 |
|
|
|
341,296 |
|
| Citigroup Commercial Mortgage Trust 2018-C5
4.51%
06/10/51 |
|
|
250,000 |
|
|
|
257,781 |
|
| COMM 2013-LC13 Mortgage Trust
4.56% 08/10/46 (b)(h)(i) |
|
|
170,000 |
|
|
|
176,827 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
| COMM 2014-CR14 Mortgage Trust
4.53% 02/10/47 (h)(i) |
|
|
240,000 |
|
|
|
249,836 |
|
| GS Mortgage Securities Trust 2015-GC28
1.27% 02/10/48 (g)(h)(i) |
|
|
2,666,076 |
|
|
|
125,267 |
|
| GS Mortgage Securities Trust 2016-GS3
2.85% 10/10/49
(h) |
|
|
758,000 |
|
|
|
712,468 |
|
| GS Mortgage Securities Trust 2017-GS5
3.67% 03/10/50
(h) |
|
|
406,216 |
|
|
|
405,148 |
|
| GS Mortgage Securities Trust 2017-GS8
3.47% 11/10/50
(h) |
|
|
767,075 |
|
|
|
748,815 |
|
| GS Mortgage Securities Trust 2018-GS9
4.14% 03/10/51
(i) |
|
|
291,000 |
|
|
|
295,971 |
|
| GS Mortgage Securities Trust II 2012-GCJ9
2.13% 11/10/45 (g)(h)(i) |
|
|
735,890 |
|
|
|
51,546 |
|
| Impac CMB Trust
2004-5 0.72% + 1 month USD
LIBOR
2.81% 10/25/34 (h)(i) |
|
|
73,744 |
|
|
|
73,775 |
|
| JP Morgan Chase Commercial Mortgage Securities Corp.
2012-LC9
1.70% 12/15/47 (g)(h)(i) |
|
|
920,575 |
|
|
|
46,228 |
|
| JPMBB Commercial Mortgage Securities Trust
2013-C12
4.17% 07/15/45 (h)(i) |
|
|
125,000 |
|
|
|
126,899 |
|
| LB-UBS Commercial Mortgage Trust 2004-C8
0.33% 12/15/39 (b)(h)(g)(i) |
|
|
82,939 |
|
|
|
31 |
|
| LB-UBS Commercial Mortgage Trust 2007-C6 |
|
|
|
|
|
|
|
|
| 6.11% 07/15/40 (h)(i) |
|
|
14,363 |
|
|
|
14,359 |
|
| 6.11% 07/15/40 (b)(h) |
|
|
30,725 |
|
|
|
30,719 |
|
| MASTR Alternative Loan Trust 2003-5
5.00% 08/25/18
(g)(h)** |
|
|
1,675 |
|
|
|
— |
|
| Morgan Stanley Bank of America Merrill Lynch Trust
2015-C20
1.52% 02/15/48 (g)(h)(i) |
|
|
3,016,257 |
|
|
|
188,139 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust
2015-C21
1.09% 03/15/48 (g)(h)(i) |
|
|
3,655,806 |
|
|
|
170,930 |
|
| Morgan Stanley Capital I Trust 2006-IQ11
6.37% 10/15/42 (h)(i) |
|
|
250,000 |
|
|
|
255,375 |
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
| Morgan Stanley Capital I Trust 2006-T21
5.27% 10/12/52
(h)(i) |
|
|
79,493 |
|
|
|
79,989 |
|
| Morgan Stanley Capital I Trust 2016-UBS9
1.38% 03/15/49 (g)(h)(i) |
|
|
2,919,872 |
|
|
|
194,853 |
|
| Wells Fargo Commercial Mortgage Trust 2015-C26
1.42%
02/15/48 (g)(h)(i) |
|
|
3,005,697 |
|
|
|
186,702 |
|
| Wells Fargo Commercial Mortgage Trust 2017-RB1
3.64%
03/15/50 (h) |
|
|
481,332 |
|
|
|
476,837 |
|
| Wells Fargo Commercial Mortgage Trust 2018-C44
4.69%
05/15/51 |
|
|
138,000 |
|
|
|
141,927 |
|
| WFRBS Commercial Mortgage Trust 2013-C17
4.26% 12/15/46
(h) |
|
|
235,000 |
|
|
|
240,110 |
|
| WFRBS Commercial Mortgage Trust 2014-LC14
4.35% 03/15/47 (h)(i) |
|
|
533,000 |
|
|
|
548,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,737,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sovereign Bonds - 0.6% |
|
|
|
|
|
|
|
|
| Government of Chile
3.86% 06/21/47 (h) |
|
|
200,000 |
|
|
|
190,464 |
|
| Government of Colombia
5.00% 06/15/45 (h) |
|
|
200,000 |
|
|
|
196,148 |
|
| Government of Mexico |
|
|
|
|
|
|
|
|
| 4.00% 10/02/23 (h) |
|
|
108,000 |
|
|
|
108,437 |
|
| 4.75% 03/08/44 (h) |
|
|
200,000 |
|
|
|
187,958 |
|
| Government of Oman
4.13% 01/17/23 (b)(h) |
|
|
220,000 |
|
|
|
209,018 |
|
| Government of Panama
4.00% 09/22/24 (h) |
|
|
200,000 |
|
|
|
202,074 |
|
| Government of Peru
5.63% 11/18/50 (h) |
|
|
105,000 |
|
|
|
122,250 |
|
| Government of Philippines
3.95% 01/20/40 (h) |
|
|
200,000 |
|
|
|
191,862 |
|
| Government of Uruguay
5.10% 06/18/50 (h) |
|
|
105,744 |
|
|
|
104,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,512,291 |
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds and Notes - 1.6% |
|
| American Municipal Power Inc.
6.27% 02/15/50 (h) |
|
|
135,000 |
|
|
|
172,185 |
|
| Commonwealth of Massachusetts
5.00% 01/01/45 |
|
|
400,000 |
|
|
|
461,028 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($)
or Number
of Shares |
|
|
Fair
Value
$ |
|
| Metropolitan St. Louis Sewer District
5.00% 05/01/47 |
|
|
400,000 |
|
|
|
461,960 |
|
| New Jersey Transportation Trust Fund Authority
6.88% 12/15/39 (h) |
|
|
165,000 |
|
|
|
169,455 |
|
| New York City Water & Sewer System
5.00% 06/15/40 |
|
|
1,200,000 |
|
|
|
1,389,780 |
|
| Port Authority of New York & New Jersey
4.46% 10/01/62 (h) |
|
|
470,000 |
|
|
|
499,173 |
|
| State of California |
|
|
|
|
|
|
|
|
| 4.60% 04/01/38 |
|
|
200,000 |
|
|
|
209,496 |
|
| 5.70% 11/01/21 (h) |
|
|
280,000 |
|
|
|
304,349 |
|
| State of Illinois
5.10% 06/01/33 (h) |
|
|
95,000 |
|
|
|
89,904 |
|
| The University of Texas System
3.35% 08/15/47 (h) |
|
|
115,000 |
|
|
|
105,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,863,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| FNMA (TBA) - 0.0%* |
|
|
|
|
|
|
|
|
| Lehman
5.50% TBA (n)(o) |
|
|
145,983 |
|
|
|
3,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Bonds and Notes
(Cost $239,269,076) |
|
|
|
|
|
|
236,790,503 |
|
|
|
|
|
|
|
|
|
|
|
| Domestic Equity - 0.1% |
|
| Preferred Stock - 0.1% |
|
|
|
|
|
|
|
|
| Wells Fargo & Co.
3.09% + 3 month USD LIBOR
(Cost $186,475)
(h)(i) |
|
|
7,459 |
|
|
|
193,188 |
|
|
|
|
|
|
|
|
|
|
|
| Purchased Options - 0.0%* |
|
| 10 Yr. U.S. Treasury Notes Futures Options (Strike price 120.50 USD, expiration date
08/24/2018)
120.50% 08/24/18
(Cost $64,415) |
|
|
152,000 |
|
|
|
85,500 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $239,519,966) |
|
|
|
237,069,191 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Fair
Value
$ |
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments - 3.9% |
|
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.86%
(Cost
$9,299,036) (d)(h)(p) |
|
|
9,299,036 |
|
|
|
9,299,036 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
(Cost $248,819,002) |
|
|
|
246,368,227 |
|
|
|
| Liabilities in Excess of Other Assets, net - (2.3)% |
|
|
|
(5,497,494 |
) |
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
240,870,733 |
|
|
|
|
|
|
|
|
|
|
Other Information:
Centrally Cleared Credit Default Swaps - Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Entity |
|
Counterparty |
|
Notional
Amount (000s omitted) |
|
|
Contract
annual Fixed Rate/
Payment
Frequency |
|
|
Termination
Date |
|
|
Market
Value |
|
|
Unamortized
Upfront Payments
Received |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Markit CDX North America Investment Grade Index |
|
CME Group, Inc. |
|
$ |
6,342 |
|
|
|
1.00%/
Quarterly |
|
|
|
12/20/22 |
|
|
|
$(109,050) |
|
|
$ |
(119,516 |
) |
|
$ |
10,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Centrally Cleared Interest Rate Swaps |
|
| Counterparty |
|
Notional
Amount (000s omitted) |
|
|
Fund Pays/
Receives
Fixed
Rate/
Payment
Frequency |
|
Floating
Rate |
|
Contract
annual Fixed Rate |
|
|
Termination
Date |
|
|
Market
Value |
|
|
Unamortized
Upfront Payments
Received |
|
|
Unrealized
Depreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CME Group, Inc. |
|
$ |
10,655 |
|
|
Receives/
Quarterly |
|
3 Month U.S. Dollar LIBOR |
|
|
3.05% |
|
|
|
11/19/21 |
|
|
$ |
(39,141 |
) |
|
$ |
— |
|
|
$ |
(39,141 |
) |
| CME Group, Inc. |
|
$ |
10,657 |
|
|
Receives/
Quarterly |
|
3 Month U.S. Dollar LIBOR |
|
|
3.06% |
|
|
|
11/19/21 |
|
|
$ |
(40,517 |
) |
|
$ |
— |
|
|
$ |
(40,517 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(79,658 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following long futures contracts open at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
|
Number
of
Contracts |
|
|
Notional
Amount |
|
|
Value |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra Long-Term U.S. Treasury Bond Futures |
|
|
September 2018 |
|
|
|
51 |
|
|
|
7,819,702 |
|
|
$ |
8,137,687 |
|
|
$ |
317,985 |
|
| 2 Yr. U.S. Treasury Notes Futures |
|
|
September 2018 |
|
|
|
240 |
|
|
|
50,736,552 |
|
|
|
50,838,750 |
|
|
|
102,198 |
|
| 5 Yr. U.S. Treasury Notes Futures |
|
|
September 2018 |
|
|
|
31 |
|
|
|
3,509,041 |
|
|
|
3,522,133 |
|
|
|
13,092 |
|
| 10 Yr. U.S. Treasury Ultra Futures |
|
|
September 2018 |
|
|
|
198 |
|
|
|
23,541,112 |
|
|
|
23,797,125 |
|
|
|
256,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
689,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
The Fund had the
following short futures contracts open at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
|
Number
of Contracts |
|
|
Notional
Amount |
|
|
Value |
|
|
Unrealized
Depreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Long Bond Futures |
|
|
September 2018 |
|
|
|
55 |
|
|
|
(7,850,717 |
) |
|
$ |
(7,975,000 |
) |
|
$ |
(124,283 |
) |
| 10 Yr. U.S. Treasury Ultra Futures |
|
|
September 2018 |
|
|
|
96 |
|
|
|
(12,209,117 |
) |
|
|
(12,310,500 |
) |
|
|
(101,383 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(225,666 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
463,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following open Purchased Options contracts at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchased Options |
|
| Description |
|
Counterparty |
|
Strike
Price |
|
|
Expiration
Date |
|
|
Number
of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums
Paid
(Received)
by Fund |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10 Yr. U.S. Treasury Note Futures - September 2018 |
|
Goldman Sachs & Co. |
|
|
120.50 |
|
|
|
8/24/2018 |
|
|
|
152 |
|
|
$ |
152,000 |
|
|
$ |
85,500 |
|
|
$ |
64,415 |
|
|
$ |
21,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
21,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following open Written Options contracts at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Written Options |
|
| Description |
|
Counterparty |
|
Strike
Price |
|
|
Expiration
Date |
|
|
Number
of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums
Paid
(Received)
by Fund |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Bond Futures - September 2018 |
|
Goldman Sachs & Co. |
|
|
145 |
|
|
|
8/24/2018 |
|
|
|
(60 |
) |
|
$ |
(60,000 |
) |
|
$ |
(86,250 |
) |
|
$ |
(64,957 |
) |
|
$ |
(21,293 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total written option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(21,293 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended June 30, 2018 average notional values related to derivative contracts were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchased
Call Options |
|
|
Written
Call Options |
|
|
Long
Futures Contracts |
|
|
Short
Futures Contracts |
|
|
Credit
Default Swap
Contracts |
|
|
Interest
Rate Swap
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Notional Value |
|
$ |
16,538 |
|
|
$ |
19,085 |
|
|
$ |
64,679,981 |
|
|
$ |
31,784,607 |
|
|
$ |
6,842,420 |
|
|
$ |
21,585,090 |
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule
of Investments, continued — June 30, 2018 (Unaudited)
The following table
presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Income Fund |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasuries |
|
$ |
— |
|
|
$ |
82,838,374 |
|
|
$ |
— |
|
|
$ |
82,838,374 |
|
|
|
Agency Mortgage Backed |
|
|
— |
|
|
|
24,208,319 |
|
|
|
— |
|
|
|
24,208,319 |
|
|
|
Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
538,585 |
|
|
|
— |
|
|
|
538,585 |
|
|
|
Asset Backed |
|
|
— |
|
|
|
5,961,189 |
|
|
|
— |
|
|
|
5,961,189 |
|
|
|
Corporate Notes |
|
|
— |
|
|
|
109,127,819 |
|
|
|
— |
|
|
|
109,127,819 |
|
|
|
Non-Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
8,737,706 |
|
|
|
— |
|
|
|
8,737,706 |
|
|
|
Sovereign Bonds |
|
|
— |
|
|
|
1,512,291 |
|
|
|
— |
|
|
|
1,512,291 |
|
|
|
Municipal Bonds and Notes |
|
|
— |
|
|
|
3,863,067 |
|
|
|
— |
|
|
|
3,863,067 |
|
|
|
FNMA (TBA) |
|
|
— |
|
|
|
— |
|
|
|
3,153 |
|
|
|
3,153 |
|
|
|
Preferred Stock |
|
|
193,188 |
|
|
|
— |
|
|
|
— |
|
|
|
193,188 |
|
|
|
Purchased Options |
|
|
85,500 |
|
|
|
— |
|
|
|
— |
|
|
|
85,500 |
|
|
|
Short-Term Investments |
|
|
9,299,036 |
|
|
|
— |
|
|
|
— |
|
|
|
9,299,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
9,577,724 |
|
|
$ |
236,787,350 |
|
|
$ |
3,153 |
|
|
$ |
246,368,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swap Contracts - Unrealized Appreciation |
|
$ |
— |
|
|
$ |
10,466 |
|
|
$ |
— |
|
|
$ |
10,466 |
|
|
|
Credit Default Swap Contracts - Unrealized Depreciation |
|
|
— |
|
|
|
(79,658 |
) |
|
|
— |
|
|
|
(79,658 |
) |
|
|
Written Option Contracts |
|
|
(21,293 |
) |
|
|
— |
|
|
|
|
|
|
|
(21,293 |
) |
|
|
Long Futures Contracts - Unrealized Appreciation |
|
|
689,288 |
|
|
|
— |
|
|
|
— |
|
|
|
689,288 |
|
|
|
Short Futures Contracts - Unrealized Depreciation |
|
|
(225,666 |
) |
|
|
— |
|
|
|
— |
|
|
|
(225,666 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Financial Instruments |
|
$ |
442,329 |
|
|
$ |
(69,192 |
) |
|
$ |
— |
|
|
$ |
373,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate Table
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares
Held at
12/31/17 |
|
|
Value At
12/31/17 |
|
|
Cost of
Purchases |
|
|
Proceeds
from
Shares
Sold |
|
|
Realized
Gain
(Loss) |
|
|
Change in
Unrealized
Appreciation/
Depreciation |
|
|
Number
of Shares
Held at
6/30/18 |
|
|
Value at
6/30/18 |
|
|
Dividend
Income |
|
|
Capital
Gains
Distributions |
|
| State Street Institutional U.S. Government Money Market Fund - Class G
Shares |
|
|
8,419,038 |
|
|
$ |
8,419,038 |
|
|
$ |
46,792,538 |
|
|
$ |
45,912,540 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
9,299,036 |
|
|
$ |
9,299,036 |
|
|
$ |
70,641 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL |
|
|
|
|
|
$ |
8,419,038 |
|
|
$ |
46,792,538 |
|
|
$ |
45,912,540 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
$ |
9,299,036 |
|
|
$ |
70,641 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
Elfun Government Money Market Fund
Understanding Your Fund’s Expenses — June 30, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees,
professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during
the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2018.
Actual Expenses
The first section of the table provides
information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as
sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
|
|
|
|
|
|
|
|
|
| |
|
Actual
Fund Return |
|
|
Hypothetical
5% Return
(2.5% for
the period) |
|
| Account value at the beginning of the period |
|
|
|
|
|
|
|
|
| January 1, 2018 |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
| Account value at the end of the period |
|
|
|
|
|
|
|
|
| June 30, 2018 |
|
$ |
1,006.40 |
|
|
$ |
1,023.16 |
|
| Expenses paid during the period* |
|
$ |
1.64 |
|
|
$ |
1.66 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio of 0.33% (for the period January 1,
2018-June 30, 2018), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
|
|
|
|
|
| Elfun Government Money Market Fund |
|
|
75 |
|
Elfun Government Money Market Fund
Fund Information — June 30, 2018 (Unaudited)
Sector Allocation
Portfolio Composition as a % of Fair Value of $101,267 (in thousands) as of June 30, 2018 (a)
| (a) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples
of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to
purchase or sell a particular security. |
|
|
|
| 76 |
|
Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Schedule of Investments — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Amortized
Cost
$ |
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments - 100.3%† |
|
| U.S. Treasuries - 31.6% |
|
| U.S. Treasury Bills
1.77% 07/05/18 (d) |
|
|
3,000,000 |
|
|
|
2,999,421 |
|
| 1.79% 07/19/18 (d) |
|
|
3,000,000 |
|
|
|
2,997,360 |
|
| 1.83% 08/16/18 (d) |
|
|
1,000,000 |
|
|
|
997,719 |
|
| 1.87% 08/09/18 - 09/06/18 (d) |
|
|
4,000,000 |
|
|
|
3,989,557 |
|
| 1.93% 08/16/18 - 08/23/18 (d) |
|
|
7,000,000 |
|
|
|
6,982,340 |
|
| 1.94% 09/20/18 - 09/27/18 (d) |
|
|
6,000,000 |
|
|
|
5,973,213 |
|
| 1.95% 09/06/18 (d) |
|
|
2,750,000 |
|
|
|
2,740,225 |
|
| 1.96% 09/06/18 (d) |
|
|
2,250,000 |
|
|
|
2,241,960 |
|
| 2.12% 12/06/18 (d) |
|
|
750,000 |
|
|
|
743,186 |
|
| 2.13% 12/06/18 - 12/13/18 (d) |
|
|
2,250,000 |
|
|
|
2,228,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,893,683 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government Agency Obligations - 47.3% |
|
| Fannie Mae Discount Notes
1.93% 09/26/18 (d) |
|
|
750,000 |
|
|
|
746,565 |
|
| 1.94% 09/19/18 (d) |
|
|
300,000 |
|
|
|
298,733 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.03% 2.07% 06/24/19 (i) |
|
|
1,250,000 |
|
|
|
1,251,350 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.11% 1.96% 01/15/19 (i) |
|
|
200,000 |
|
|
|
200,000 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.12% 1.94% 11/14/18 (i) |
|
|
1,250,000 |
|
|
|
1,250,000 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.13% 1.96% 08/30/18 (i) |
|
|
500,000 |
|
|
|
499,999 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.14% 1.95% 07/02/19 (i) |
|
|
350,000 |
|
|
|
349,983 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.15% 1.95% 01/29/19 (i) |
|
|
400,000 |
|
|
|
399,997 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.16% 1.89% 11/13/18 (i) |
|
|
750,000 |
|
|
|
749,986 |
|
| Federal Farm Credit Banks 1 month USD LIBOR - 0.17% 1.86% 11/07/18 (i) |
|
|
1,000,000 |
|
|
|
999,989 |
|
| 1.88% 10/09/18 (i) |
|
|
400,000 |
|
|
|
399,994 |
|
| Federal Home Loan Bank Discount Notes
1.88% 07/11/18 (d) |
|
|
1,500,000 |
|
|
|
1,499,230 |
|
| 1.89% 07/13/18 (d) |
|
|
2,000,000 |
|
|
|
1,998,764 |
|
| 1.92% 07/20/18 (d) |
|
|
2,000,000 |
|
|
|
1,998,005 |
|
| 1.93% 07/19/18 - 08/14/18 (d) |
|
|
3,500,000 |
|
|
|
3,496,004 |
|
| 1.96% 09/14/18 (d) |
|
|
3,000,000 |
|
|
|
2,987,950 |
|
| 1.97% 09/19/18 - 09/21/18 (d) |
|
|
3,000,000 |
|
|
|
2,986,921 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Amortized
Cost
$ |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.06% 2.02% 12/21/18 (i) |
|
|
750,000 |
|
|
|
750,000 |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.08% 2.00% 03/20/19 (i) |
|
|
1,500,000 |
|
|
|
1,499,763 |
|
| 2.01% 09/21/18 (i) |
|
|
500,000 |
|
|
|
500,000 |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.09% 1.92% 04/05/19 (i) |
|
|
2,000,000 |
|
|
|
2,000,000 |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.12% 1.97% 08/01/18 - 08/17/18 (i) |
|
|
1,600,000 |
|
|
|
1,600,011 |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.13% 1.96%
07/25/18 - 03/01/19 (i) |
|
|
2,950,000 |
|
|
|
2,950,002 |
|
| 1.97% 01/24/19 - 07/26/19 (i) |
|
|
1,100,000 |
|
|
|
1,100,000 |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.14% 1.91% 10/12/18 (i) |
|
|
1,000,000 |
|
|
|
1,000,000 |
|
| 1.95% 02/01/19 (i) |
|
|
2,000,000 |
|
|
|
1,999,909 |
|
| Federal Home Loan Banks 1 month USD LIBOR - 0.33% 2.01% 01/04/19 (i) |
|
|
1,000,000 |
|
|
|
1,000,000 |
|
| Federal Home Loan Banks 3 month USD LIBOR - 0.24% 2.10% 09/26/18 (i) |
|
|
2,000,000 |
|
|
|
2,000,000 |
|
| Federal Home Loan Mortgage Corp. 1 month USD LIBOR - 0.15% 1.88% 02/08/19 (i) |
|
|
500,000 |
|
|
|
500,000 |
|
| Federal Home Loan Mortgage Corp. 1 month USD LIBOR - 0.14% 1.95% 11/21/18 (i) |
|
|
2,000,000 |
|
|
|
2,000,000 |
|
| Federal Home Loan Mortgage Corp. 1 month USD LIBOR - 0.15% 1.93% 08/22/18 (i) |
|
|
2,000,000 |
|
|
|
2,000,000 |
|
| Federal Home Loan Mortgage Corp. 3 month USD LIBOR - 0.23% 2.12% 07/17/18 (i) |
|
|
2,000,000 |
|
|
|
1,999,987 |
|
| Freddie Mac Discount Notes 1.92% 08/20/18 (d) |
|
|
1,000,000 |
|
|
|
997,375 |
|
| 1.93% 08/10/18 (d) |
|
|
1,000,000 |
|
|
|
997,895 |
|
| 1.95% 09/19/18 (d) |
|
|
800,000 |
|
|
|
796,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,805,008 |
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of
Investments and Notes to Financial Statements.
|
|
|
|
|
| Elfun Government Money Market Fund |
|
|
77 |
|
Elfun Government Money Market Fund
Schedule of Investments, continued — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Amortized
Cost
$ |
|
|
|
|
|
|
|
|
|
|
| Repurchase Agreements - 21.4% |
|
| BNP Paribas S.A. U.S. Treasury Repo 2.10% dated 06/29/18, to be repurchased at $1,568,183 on
07/02/18 collateralized by $397 U.S. Treasury Bill, 0.00%, maturing on 10/25/18, collateralized by $376,679 U.S. Treasury Bond, 4.75% to 8.00%, maturing on 11/15/21 to 02/15/37, collateralized by $795,953 U.S. Treasury Note, 1.50%, maturing on
08/15/20, collateralized by $426,345 U.S. Treasury Bond Principal Strip, 0.00%, maturing on 11/15/27 respectively. 07/02/18 |
|
|
1,568,000 |
|
|
|
1,568,000 |
|
| Citigroup Global Markets, Inc. U.S. Treasury Repo 2.10% dated 06/29/18, to be repurchased at
$10,001,167 on 07/02/18 collateralized by $10,200,090 U.S. Treasury Note, 2.13%, maturing on 01/31/21.
07/02/18 |
|
|
10,000,000 |
|
|
|
10,000,000 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Amortized
Cost
$ |
|
| Merrill Lynch, Pierce, Fenner & Smith, Inc. U.S. Treasury Repo 2.10% dated 06/29/18, to be
repurchased at $10,001,167 on 07/02/18 collateralized by $10,200,063 U.S. Treasury Note, 4.00% maturing on 08/15/18.
07/02/18 |
|
|
10,000,000 |
|
|
|
10,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,568,000 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(Cost $101,266,691) |
|
|
|
101,266,691 |
|
|
|
Liabilities in Excess of Other Assets,
net - (0.3)% |
|
|
|
(254,931 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
|
101,011,760 |
|
|
|
|
|
|
|
|
|
|
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30,
2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Government Money Market Fund |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasuries |
|
$ |
— |
|
|
$ |
31,893,683 |
|
|
$ |
— |
|
|
$ |
31,893,683 |
|
|
|
U.S. Government Agency Obligations |
|
|
— |
|
|
|
47,805,008 |
|
|
|
— |
|
|
|
47,805,008 |
|
|
|
Repurchase Agreements |
|
|
— |
|
|
|
21,568,000 |
|
|
|
— |
|
|
|
21,568,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
— |
|
|
$ |
101,266,691 |
|
|
$ |
— |
|
|
$ |
101,266,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments
and Notes to Financial Statements.
|
|
|
| 78 |
|
Elfun Government Money Market Fund |
Elfun Funds
Notes to Schedules of Investments — June 30, 2018 (Unaudited)
The views expressed in this document reflect our judgment as of the publication date and are subject to change
at any time without notice. The securities cited may not be representative of a Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the
Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) |
Non-income producing security. |
| (b) |
Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At June 30, 2018, these securities amounted to $4,474,940 or 2.23% and $21,019,099 or 8.73% of the net assets of the Elfun Diversified Fund and Elfun Income Fund,
respectively. These securities have been determined to be liquid using procedures established by each Fund’s Board of Trustees. |
| (c) |
Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”)
in the future. |
| (d) |
Coupon amount represents effective yield. |
| (e) |
State Street Corporation is the parent company of State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent. |
| (f) |
Principal only security. These securities represent the right to receive the monthly principal payments on an
underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder. |
| (g) |
Interest only security. These securities represent the right to receive the monthly interest payments on an
underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
| (h) |
At June 30, 2018, all or a portion of this security was pledged to cover collateral requirements for
futures, options, swaps and/or TBAs. |
| (i) |
Variable Rate Security - Interest rate shown is rate in effect at June 30, 2018. For securities based on a
published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (k) |
Escrowed to maturity Bonds are collateralized by U.S. Treasury securities which are held in escrow by a trustee
and are used to pay principal and interest on such bonds. |
| (l) |
Pre-refunded Bonds are collateralized by U.S. Treasury securities,
which are held in escrow by a trustee and are used to pay principal and interest on the tax-exempt issue to retire the bonds at the earliest refunding date.
|
| (m) |
The security is insured by AGC, AGMC, AMBAC, FGIC or NPFG. The Elfun
Tax-Exempt Income Fund had no insurance concentrations of 5% or greater as of June 30, 2018 (as a percentage of net assets). |
| (n) |
Security is fair valued by the Oversight Committee, in accordance with the procedures approved by each
Fund’s Board of Trustees. |
| (o) |
Security is in default. |
| (p) |
Sponsored by SSGA Funds Management, Inc., the Funds’ investment advisor and administrator, and an
affiliate of State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent. |
| † |
Percentages are based on net assets as of June 30, 2018. |
Abbreviations:
ADR - American Depositary Receipt
AGC - Assured Guaranty Corporation
AGMC - Assured Guaranty
Municipal Company
AMBAC - AMBAC Indemnity Corporation
FGIC
- Financial Guaranty Insurance Corporation
LIBOR - London Interbank Offered Rate
NPFG - National Public Finance Guaranty Corporation
REIT - Real
Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
SPDR - Standard and Poor’s Depositary Receipt
STRIPS -
Separate Trading of Registered Interest and Principal of Security
TBA - To Be Announced
|
|
|
|
|
| Notes to Schedules of Investments |
|
|
79 |
|
Elfun International Equity Fund
Financial Highlights
Selected data based
on a share outstanding throughout the periods indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
6/30/18† |
|
|
12/31/17 |
|
|
12/31/16 |
|
|
12/31/15* |
|
|
12/31/14* |
|
|
12/31/13* |
|
| Inception date |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1/1/88 |
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
22.68 |
|
|
$ |
18.73 |
|
|
$ |
19.31 |
|
|
$ |
19.70 |
|
|
$ |
21.93 |
|
|
$ |
18.31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income/(loss) from investment operations: |
|
| Net investment income |
|
|
0.35 |
(a) |
|
|
0.34 |
(a) |
|
|
0.41 |
|
|
|
0.34 |
|
|
|
0.58 |
|
|
|
0.37 |
|
| Net realized and unrealized gains/(losses) on investments |
|
|
(1.11 |
) |
|
|
3.96 |
|
|
|
(0.58 |
) |
|
|
(0.37 |
) |
|
|
(2.24 |
) |
|
|
3.62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total income/(loss) from investment operations |
|
|
(0.76 |
) |
|
|
4.30 |
|
|
|
(0.17 |
) |
|
|
(0.03 |
) |
|
|
(1.66 |
) |
|
|
3.99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less distributions from: |
|
| Net investment income |
|
|
— |
|
|
|
0.35 |
|
|
|
0.41 |
|
|
|
0.36 |
|
|
|
0.57 |
|
|
|
0.37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
— |
|
|
|
0.35 |
|
|
|
0.41 |
|
|
|
0.36 |
|
|
|
0.57 |
|
|
|
0.37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
21.92 |
|
|
$ |
22.68 |
|
|
$ |
18.73 |
|
|
$ |
19.31 |
|
|
$ |
19.70 |
|
|
$ |
21.93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total return(b) |
|
|
(3.35 |
)% |
|
|
22.99 |
% |
|
|
(0.86 |
)% |
|
|
(0.18 |
)% |
|
|
(7.62 |
)% |
|
|
21.81 |
% |
|
| Ratios/Supplemental Data: |
|
| Net assets, end of period (in thousands) |
|
$ |
224,618 |
|
|
$ |
237,769 |
|
|
$ |
208,044 |
|
|
$ |
234,448 |
|
|
$ |
254,310 |
|
|
$ |
306,922 |
|
|
| Ratios to average net assets: |
|
| Net expenses |
|
|
0.35 |
%** |
|
|
0.36 |
% |
|
|
0.37 |
%(c)(d) |
|
|
0.35 |
% |
|
|
0.33 |
%(d)(e) |
|
|
0.31 |
%(d)(e) |
| Gross expenses |
|
|
0.35 |
%** |
|
|
0.36 |
% |
|
|
0.43 |
%(d)(e) |
|
|
0.35 |
% |
|
|
0.33 |
% |
|
|
0.31 |
% |
| Net investment income |
|
|
3.06 |
%** |
|
|
1.64 |
% |
|
|
2.11 |
% |
|
|
1.59 |
% |
|
|
2.54 |
% |
|
|
1.83 |
% |
| Portfolio turnover rate |
|
|
13 |
% |
|
|
30 |
% |
|
|
33 |
% |
|
|
24 |
% |
|
|
36 |
% |
|
|
49 |
% |
Notes to Financial Highlights
| (a) |
|
Per share values have been calculated using the average share 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 net and gross expense ratios include the refunded custody expense. Without the effect of the refunded custody expense, the net and gross ratio would have been 0.40% and 0.47%, respectively. |
| (d) |
|
Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective
June 30, 2014 with the closure of the Money Market Fund. |
| (d) |
|
Reflects a voluntary reimbursement of other operating expenses by GE Asset Management, Inc., the Fund’s investment adviser and administrator prior to July 1, 2016. |
| * |
|
Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| ** |
|
Annualized for periods less than one year. |
The accompanying Notes are an integral
part of these financial statements.
Elfun Trusts
Financial
Highlights
Selected data based on a share outstanding throughout the periods indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
6/30/18† |
|
|
12/31/17 |
|
|
12/31/16 |
|
|
12/31/15* |
|
|
12/31/14* |
|
|
12/31/13* |
|
| Inception date |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5/27/35 |
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
60.36 |
|
|
$ |
53.23 |
|
|
$ |
54.59 |
|
|
$ |
58.02 |
|
|
$ |
56.07 |
|
|
$ |
44.06 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.34 |
(a) |
|
|
0.76 |
(a) |
|
|
0.81 |
|
|
|
0.80 |
|
|
|
0.75 |
|
|
|
0.71 |
|
| Net realized and unrealized gains/(losses) on investments |
|
|
2.16 |
|
|
|
12.89 |
|
|
|
2.54 |
|
|
|
0.25 |
|
|
|
6.67 |
|
|
|
14.68 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total income from investment operations |
|
|
2.50 |
|
|
|
13.65 |
|
|
|
3.35 |
|
|
|
1.05 |
|
|
|
7.42 |
|
|
|
15.39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less distributions from: |
|
| Net investment income |
|
|
— |
|
|
|
0.78 |
|
|
|
0.79 |
|
|
|
0.80 |
|
|
|
0.75 |
|
|
|
0.72 |
|
| Net realized gains |
|
|
— |
|
|
|
5.74 |
|
|
|
3.92 |
|
|
|
3.68 |
|
|
|
4.72 |
|
|
|
2.66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
— |
|
|
|
6.52 |
|
|
|
4.71 |
|
|
|
4.48 |
|
|
|
5.47 |
|
|
|
3.38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
62.86 |
|
|
$ |
60.36 |
|
|
$ |
53.23 |
|
|
$ |
54.59 |
|
|
$ |
58.02 |
|
|
$ |
56.07 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total return(b) |
|
|
4.14 |
% |
|
|
25.61 |
% |
|
|
6.08 |
% |
|
|
1.70 |
% |
|
|
13.13 |
% |
|
|
34.98 |
% |
|
| Ratios/Supplemental Data: |
|
| Net assets, end of period (in thousands) |
|
$ |
2,777,386 |
|
|
$ |
2,737,919 |
|
|
$ |
2,331,966 |
|
|
$ |
2,364,319 |
|
|
$ |
2,476,637 |
|
|
$ |
2,326,948 |
|
|
| Ratios to average net assets: |
|
| Net expenses |
|
|
0.18 |
%** |
|
|
0.18 |
% |
|
|
0.18 |
% |
|
|
0.16 |
% |
|
|
0.18 |
%(c) |
|
|
0.15 |
%(c) |
| Gross expenses |
|
|
0.18 |
%** |
|
|
0.18 |
% |
|
|
0.18 |
% |
|
|
0.16 |
% |
|
|
0.18 |
% |
|
|
0.15 |
% |
| Net investment income |
|
|
1.09 |
%** |
|
|
1.25 |
% |
|
|
1.43 |
% |
|
|
1.32 |
% |
|
|
1.26 |
% |
|
|
1.36 |
% |
| Portfolio turnover rate |
|
|
8 |
% |
|
|
16 |
% |
|
|
15 |
% |
|
|
11 |
% |
|
|
13 |
% |
|
|
12 |
% |
Notes to Financial Highlights
| (a) |
|
Per share values have been calculated using the average share 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) |
|
Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective
June 30, 2014 with the closure of the Money Market Fund. |
| * |
|
Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| ** |
|
Annualized for periods less than one year. |
The accompanying Notes are
an integral part of these financial statements.
Elfun Diversified Fund
Financial Highlights
Selected data based on a share outstanding
throughout the periods indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
6/30/18† |
|
|
12/31/17 |
|
|
12/31/16 |
|
|
12/31/15* |
|
|
12/31/14* |
|
|
12/31/13* |
|
| Inception date |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1/1/88 |
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
18.60 |
|
|
$ |
17.91 |
|
|
$ |
17.50 |
|
|
$ |
18.78 |
|
|
$ |
19.84 |
|
|
$ |
18.30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.13 |
(a) |
|
|
0.43 |
(a) |
|
|
0.38 |
|
|
|
0.34 |
|
|
|
0.37 |
|
|
|
0.36 |
|
| Net realized and unrealized gains/(losses) on investments |
|
|
(0.26 |
) |
|
|
2.32 |
|
|
|
0.58 |
|
|
|
(0.57 |
) |
|
|
0.62 |
|
|
|
2.70 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total income/(loss) from investment operations |
|
|
(0.13 |
) |
|
|
2.75 |
|
|
|
0.96 |
|
|
|
(0.23 |
) |
|
|
0.99 |
|
|
|
3.06 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less distributions from: |
|
| Net investment income |
|
|
— |
|
|
|
0.46 |
|
|
|
0.36 |
|
|
|
0.34 |
|
|
|
0.37 |
|
|
|
0.35 |
|
| Net realized gains |
|
|
— |
|
|
|
1.60 |
|
|
|
0.19 |
|
|
|
0.71 |
|
|
|
1.65 |
|
|
|
1.17 |
|
| Return of capital |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.03 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
— |
|
|
|
2.06 |
|
|
|
0.55 |
|
|
|
1.05 |
|
|
|
2.05 |
|
|
|
1.52 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
18.47 |
|
|
$ |
18.60 |
|
|
$ |
17.91 |
|
|
$ |
17.50 |
|
|
$ |
18.78 |
|
|
$ |
19.84 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total return(b) |
|
|
(0.70 |
)% |
|
|
15.40 |
% |
|
|
5.48 |
% |
|
|
(1.25 |
)% |
|
|
4.95 |
% |
|
|
16.79 |
% |
|
| Ratios/Supplemental Data: |
|
| Net assets, end of period (in thousands) |
|
$ |
201,027 |
|
|
$ |
209,939 |
|
|
$ |
198,938 |
|
|
$ |
209,688 |
|
|
$ |
230,123 |
|
|
$ |
235,903 |
|
|
| Ratios to average net assets: |
|
| Net expenses |
|
|
0.39 |
%** |
|
|
0.40 |
% |
|
|
0.39 |
%(c) |
|
|
0.37 |
% |
|
|
0.39 |
%(c)(d) |
|
|
0.33 |
%(d) |
| Gross expenses |
|
|
0.39 |
%** |
|
|
0.40 |
% |
|
|
0.39 |
%(c) |
|
|
0.37 |
% |
|
|
0.39 |
% |
|
|
0.34 |
% |
| Net investment income |
|
|
1.42 |
%** |
|
|
2.22 |
% |
|
|
1.98 |
% |
|
|
1.69 |
% |
|
|
1.79 |
% |
|
|
1.78 |
% |
| Portfolio turnover rate |
|
|
32 |
% |
|
|
189 |
% |
|
|
116 |
% |
|
|
123 |
% |
|
|
176 |
% |
|
|
144 |
% |
Notes to Financial Highlights
| (a) |
|
Per share values have been calculated using the average share 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 net and gross expense ratios include the refunded custody expense. Without the effect of the refunded custody expense, the ratios would have been 0.45%. |
| (d) |
|
Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective
June 30, 2014 with the closure of the Money Market Fund. |
| * |
|
Beginning with the year ended December 31, 2016, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| ** |
|
Annualized for periods less than one year. |
The accompanying Notes are an integral
part of these financial statements.
Elfun Tax-Exempt Income Fund
Financial Highlights
Selected data based on a share outstanding
throughout the periods indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
6/30/18† |
|
|
12/31/17 |
|
|
12/31/16 |
|
|
12/31/15* |
|
|
12/31/14* |
|
|
12/31/13* |
|
| Inception date |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1/1/80 |
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
11.55 |
|
|
$ |
11.48 |
|
|
$ |
11.88 |
|
|
$ |
11.97 |
|
|
$ |
11.34 |
|
|
$ |
12.32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.23 |
(a) |
|
|
0.46 |
(a) |
|
|
0.46 |
|
|
|
0.46 |
|
|
|
0.47 |
|
|
|
0.49 |
|
| Net realized and unrealized gains/(losses) on investments |
|
|
(0.26 |
) |
|
|
0.07 |
|
|
|
(0.40 |
) |
|
|
(0.09 |
) |
|
|
0.63 |
|
|
|
(0.98 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total income/(loss) from investment operations |
|
|
(0.03 |
) |
|
|
0.53 |
|
|
|
0.06 |
|
|
|
0.37 |
|
|
|
1.10 |
|
|
|
(0.49 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less distributions from: |
|
| Net investment income |
|
|
0.23 |
|
|
|
0.46 |
|
|
|
0.46 |
|
|
|
0.46 |
|
|
|
0.47 |
|
|
|
0.49 |
|
| Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.00 |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
0.23 |
|
|
|
0.46 |
|
|
|
0.46 |
|
|
|
0.46 |
|
|
|
0.47 |
|
|
|
0.49 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
11.29 |
|
|
$ |
11.55 |
|
|
$ |
11.48 |
|
|
$ |
11.88 |
|
|
$ |
11.97 |
|
|
$ |
11.34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total return(c) |
|
|
(0.25 |
)% |
|
|
4.71 |
% |
|
|
0.42 |
% |
|
|
3.21 |
% |
|
|
9.85 |
% |
|
|
(4.06 |
)% |
|
| Ratios/Supplemental Data: |
|
| Net assets, end of period (in thousands) |
|
$ |
1,422,130 |
|
|
$ |
1,471,350 |
|
|
$ |
1,495,248 |
|
|
$ |
1,588,272 |
|
|
$ |
1,624,266 |
|
|
$ |
1,568,533 |
|
|
| Ratios to average net assets: |
|
| Net expenses |
|
|
0.20 |
%** |
|
|
0.20 |
% |
|
|
0.20 |
% |
|
|
0.18 |
% |
|
|
0.21 |
% |
|
|
0.23 |
% |
| Gross expenses |
|
|
0.20 |
%** |
|
|
0.20 |
% |
|
|
0.20 |
% |
|
|
0.18 |
% |
|
|
0.21 |
% |
|
|
0.23 |
% |
| Net investment income |
|
|
4.09 |
%** |
|
|
4.00 |
% |
|
|
3.84 |
% |
|
|
3.92 |
% |
|
|
4.01 |
% |
|
|
4.14 |
% |
| Portfolio turnover rate |
|
|
8 |
% |
|
|
26 |
% |
|
|
31 |
% |
|
|
22 |
% |
|
|
34 |
% |
|
|
28 |
% |
Notes to Financial Highlights
| (a) |
|
Per share values have been calculated using the average share 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.
|
| * |
|
Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| ** |
|
Annualized for periods less than one year. |
The accompanying Notes are
an integral part of these financial statements.
Elfun Income Fund
Financial
Highlights
Selected data based on a share outstanding throughout the periods indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
6/30/18† |
|
|
12/31/17 |
|
|
12/31/16 |
|
|
12/31/15* |
|
|
12/31/14* |
|
|
12/31/13* |
|
| Inception date |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12/31/84 |
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
11.44 |
|
|
$ |
11.28 |
|
|
$ |
11.26 |
|
|
$ |
11.57 |
|
|
$ |
11.22 |
|
|
$ |
11.65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.15 |
(a) |
|
|
0.29 |
(a) |
|
|
0.30 |
|
|
|
0.32 |
|
|
|
0.29 |
|
|
|
0.29 |
|
| Net realized and unrealized gains/(losses) on investments |
|
|
(0.38 |
) |
|
|
0.15 |
|
|
|
0.09 |
|
|
|
(0.29 |
) |
|
|
0.35 |
|
|
|
(0.40 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total income/(loss) from investment operations |
|
|
(0.23 |
) |
|
|
0.44 |
|
|
|
0.39 |
|
|
|
0.03 |
|
|
|
0.64 |
|
|
|
(0.11 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less distributions from: |
|
| Net investment income |
|
|
0.16 |
|
|
|
0.28 |
|
|
|
0.28 |
|
|
|
0.32 |
|
|
|
0.29 |
|
|
|
0.29 |
|
| Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
0.09 |
|
|
|
0.02 |
|
|
|
0.00 |
(b) |
|
|
0.03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
0.16 |
|
|
|
0.28 |
|
|
|
0.37 |
|
|
|
0.34 |
|
|
|
0.29 |
|
|
|
0.32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
11.05 |
|
|
$ |
11.44 |
|
|
$ |
11.28 |
|
|
$ |
11.26 |
|
|
$ |
11.57 |
|
|
$ |
11.22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total return(c) |
|
|
(2.05 |
)% |
|
|
3.90 |
% |
|
|
3.52 |
% |
|
|
0.22 |
% |
|
|
5.75 |
% |
|
|
(0.95 |
)% |
|
| Ratios/Supplemental Data: |
|
| Net assets, end of period (in thousands) |
|
$ |
240,871 |
|
|
$ |
261,189 |
|
|
$ |
276,142 |
|
|
$ |
289,872 |
|
|
$ |
312,756 |
|
|
$ |
319,994 |
|
|
| Ratios to average net assets: |
|
| Net expenses |
|
|
0.35 |
%** |
|
|
0.33 |
% |
|
|
0.31 |
% |
|
|
0.28 |
% |
|
|
0.29 |
%(d) |
|
|
0.28 |
%(d) |
| Gross expenses |
|
|
0.35 |
%** |
|
|
0.33 |
% |
|
|
0.31 |
% |
|
|
0.28 |
% |
|
|
0.29 |
% |
|
|
0.29 |
% |
| Net investment income |
|
|
2.67 |
%** |
|
|
2.54 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
|
2.50 |
% |
|
|
2.53 |
% |
| Portfolio turnover rate |
|
|
98 |
% |
|
|
299 |
% |
|
|
238 |
% |
|
|
278 |
% |
|
|
326 |
% |
|
|
330 |
% |
Notes to Financial Highlights
| (a) |
|
Per share values have been calculated using the average share 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 do not include the effect of insurance contract charges. Past performance does not guarantee
future results. |
| (d) |
|
Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective
June 30, 2014 with the closure of the Money Market Fund. |
| * |
|
Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| ** |
|
Annualized for periods less than one year. |
The accompanying Notes are an integral
part of these financial statements.
Elfun Government Money Market Fund
Financial Highlights
Selected data based on a share outstanding
throughout the periods indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
6/30/18† |
|
|
12/31/17 |
|
|
12/31/16 |
|
|
12/31/15* |
|
|
12/31/14* |
|
|
12/31/13* |
|
| Inception date |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6/13/90 |
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.01 |
(a) |
|
|
0.01 |
(a) |
|
|
0.00 |
(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total income from investment operations |
|
|
0.01 |
|
|
|
0.01 |
|
|
|
0.00 |
(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less distributions from: |
|
| Net investment income |
|
|
0.01 |
|
|
|
0.01 |
|
|
|
0.00 |
(b) |
|
|
0.00 |
(b) |
|
|
0.00 |
(b) |
|
|
— |
|
| Net realized gains |
|
|
— |
|
|
|
0.00 |
(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.00 |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
0.01 |
|
|
|
0.01 |
|
|
|
0.00 |
(b) |
|
|
0.00 |
(b) |
|
|
0.00 |
(b) |
|
|
0.00 |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total return(c) |
|
|
0.64 |
% |
|
|
0.58 |
% |
|
|
0.06 |
% |
|
|
0.08 |
% |
|
|
0.05 |
% |
|
|
0.04 |
% |
|
| Ratios/Supplemental Data: |
|
| Net assets, end of period (in thousands) |
|
$ |
101,012 |
|
|
$ |
109,828 |
|
|
$ |
111,339 |
|
|
$ |
129,039 |
|
|
$ |
139,218 |
|
|
$ |
166,530 |
|
|
| Ratios to average net assets: |
|
| Net expenses |
|
|
0.33 |
%** |
|
|
0.34 |
% |
|
|
0.49 |
%(d) |
|
|
0.09 |
%(e) |
|
|
0.05 |
%(e) |
|
|
0.11 |
%(e) |
| Gross expenses |
|
|
0.33 |
%** |
|
|
0.34 |
% |
|
|
0.49 |
%(d) |
|
|
0.25 |
% |
|
|
0.36 |
% |
|
|
0.34 |
% |
| Net investment income (loss) |
|
|
1.28 |
%** |
|
|
0.56 |
% |
|
|
(0.11 |
)%(d) |
|
|
— |
% |
|
|
— |
% |
|
|
— |
% |
Notes to Financial Highlights
| (a) |
|
Per share values have been calculated using the average share 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.
|
| (d) |
|
Ratio includes income tax expense. Without this expense, the net and gross expense ratios would have been 0.33% and the net investment income ratio would have been 0.05%. |
| (e) |
|
Reflects a voluntary waiver of management fees and/or subsidy of certain expenses by GEAM, the adviser and administrator of the Fund prior to July 1, 2016. |
| * |
|
Beginning with the year ended December 31, 2016, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| ** |
|
Annualized for periods less than one year. |
The accompanying Notes are
an integral part of these financial statements.
Elfun Funds
Statements of Assets and Liabilities — June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Elfun
International
Equity Fund |
|
|
Elfun
Trusts |
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
| Investments in securities, at fair value (cost
$182,332,695; $1,513,919,604; $126,692,740; $1,382,156,759; $239,519,966 and $0, respectively) |
|
$ |
217,052,354 |
|
|
$ |
2,667,305,770 |
|
| Investments in affiliated securities, at fair value (cost
$0; $0; $55,918,152; $0; $0; $0 and $0, respectively) |
|
|
— |
|
|
|
— |
|
| Short-term investments, at fair value |
|
|
— |
|
|
|
— |
|
| Short-term affiliated investments, at fair value |
|
|
6,421,112 |
|
|
|
109,248,854 |
|
| Repurchase agreements |
|
|
— |
|
|
|
— |
|
| Cash |
|
|
— |
|
|
|
— |
|
| Cash collateral on deposit with broker for future contracts |
|
|
53,968 |
|
|
|
— |
|
| Cash collateral on deposit with broker for Swap Contracts |
|
|
— |
|
|
|
— |
|
| Foreign currency (cost $324,590; $0; $0; $0; $0 and $0, respectively) |
|
|
323,984 |
|
|
|
— |
|
| Receivable for investments sold |
|
|
689,876 |
|
|
|
— |
|
| Income receivables |
|
|
785,958 |
|
|
|
1,368,150 |
|
| Receivable for fund shares sold |
|
|
5,040 |
|
|
|
26,871 |
|
| Income receivable from affiliated investments |
|
|
9,836 |
|
|
|
154,511 |
|
| Receivable for accumulated variation margin on futures |
|
|
4,242 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total assets |
|
|
225,346,370 |
|
|
|
2,778,104,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
| Distribution payable to shareholders |
|
|
— |
|
|
|
— |
|
| Due to custodian |
|
|
2,130 |
|
|
|
— |
|
| Net cash collateral on futures contracts due to broker |
|
|
— |
|
|
|
— |
|
| Payable for investments purchased |
|
|
592,463 |
|
|
|
— |
|
| Payable for fund shares redeemed |
|
|
25,779 |
|
|
|
205,109 |
|
| Payable for accumulated variation margin on Swaps |
|
|
— |
|
|
|
— |
|
| Payable to the Adviser |
|
|
39,579 |
|
|
|
324,125 |
|
| Payable to the Custodian |
|
|
21,234 |
|
|
|
10,197 |
|
| Accrued other expenses |
|
|
47,140 |
|
|
|
178,442 |
|
| Written options (premiums received $0, $0, $16,239, $0, $64,957, and $0, respectively) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total liabilities |
|
|
728,325 |
|
|
|
717,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
224,618,045 |
|
|
$ |
2,777,386,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets Consist of: |
|
|
|
|
|
|
|
|
| Capital paid in |
|
$ |
206,880,038 |
|
|
$ |
1,466,349,841 |
|
| Undistributed (distributions in excess of) net investment income |
|
|
3,602,397 |
|
|
|
15,080,239 |
|
| Accumulated net realized gain (loss) |
|
|
(20,580,658 |
) |
|
|
142,570,037 |
|
| Net unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
| Unaffiliated Investments |
|
|
34,719,659 |
|
|
|
1,153,386,166 |
|
| Affiliated investments |
|
|
— |
|
|
|
— |
|
| Futures |
|
|
4,265 |
|
|
|
— |
|
| Options written |
|
|
— |
|
|
|
— |
|
| Swap contracts |
|
|
— |
|
|
|
— |
|
| Foreign currency related transactions |
|
|
(7,656 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
224,618,045 |
|
|
$ |
2,777,386,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares
authorized) |
|
|
10,247,817 |
|
|
|
44,180,652 |
|
| Net asset value, offering and redemption price per
share |
|
$ |
21.92 |
|
|
$ |
62.86 |
|
The accompanying Notes are an integral
part of these financial statements.
|
|
|
| 86 |
|
Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Elfun
Diversified
Fund |
|
|
Elfun
Tax-Exempt
Income Fund |
|
|
Elfun
Income Fund |
|
|
Elfun
Government
Money Market
Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
137,577,255 |
|
|
$ |
1,415,760,966 |
|
|
$ |
227,690,498 |
|
|
$ |
— |
|
| |
59,990,575 |
|
|
|
— |
|
|
|
237,069,191 |
|
|
|
— |
|
| |
1,034,065 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
4,332,898 |
|
|
|
6,034,877 |
|
|
|
9,299,036 |
|
|
|
79,698,691 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
21,568,000 |
|
| |
3,075 |
|
|
|
— |
|
|
|
— |
|
|
|
718 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
79,777 |
|
|
|
— |
|
|
|
329,146 |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
96,735 |
|
|
|
— |
|
|
|
99,859 |
|
|
|
— |
|
| |
550,645 |
|
|
|
19,760,101 |
|
|
|
1,722,438 |
|
|
|
4,256 |
|
| |
2,066 |
|
|
|
42,592 |
|
|
|
55,019 |
|
|
|
173,012 |
|
| |
4,752 |
|
|
|
6,870 |
|
|
|
26,039 |
|
|
|
33,141 |
|
| |
104,200 |
|
|
|
— |
|
|
|
465,010 |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
203,776,043 |
|
|
|
1,441,605,406 |
|
|
|
248,986,081 |
|
|
|
101,477,818 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
1,466,868 |
|
|
|
140,272 |
|
|
|
9,547 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
106,875 |
|
|
|
— |
|
|
|
477,394 |
|
|
|
— |
|
| |
2,395,146 |
|
|
|
17,676,381 |
|
|
|
7,139,057 |
|
|
|
349,982 |
|
| |
33,000 |
|
|
|
15,000 |
|
|
|
42,972 |
|
|
|
38,980 |
|
| |
47,095 |
|
|
|
— |
|
|
|
110,988 |
|
|
|
— |
|
| |
28,457 |
|
|
|
186,934 |
|
|
|
33,705 |
|
|
|
8,382 |
|
| |
72,099 |
|
|
|
14,454 |
|
|
|
40,827 |
|
|
|
14,823 |
|
| |
44,875 |
|
|
|
116,245 |
|
|
|
43,883 |
|
|
|
44,344 |
|
| |
21,563 |
|
|
|
— |
|
|
|
86,250 |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
2,749,110 |
|
|
|
19,475,882 |
|
|
|
8,115,348 |
|
|
|
466,058 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
201,026,933 |
|
|
$ |
1,422,129,524 |
|
|
$ |
240,870,733 |
|
|
$ |
101,011,760 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
184,714,380 |
|
|
$ |
1,405,988,080 |
|
|
$ |
248,412,873 |
|
|
$ |
101,011,760 |
|
| |
1,455,216 |
|
|
|
62,805 |
|
|
|
184,845 |
|
|
|
— |
|
| |
(178,647 |
) |
|
|
(17,525,568 |
) |
|
|
(5,649,347 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
10,884,532 |
|
|
|
33,604,207 |
|
|
|
(2,530,433 |
) |
|
|
— |
|
| |
4,072,423 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
103,920 |
|
|
|
— |
|
|
|
463,622 |
|
|
|
— |
|
| |
(5,324 |
) |
|
|
— |
|
|
|
(21,293 |
) |
|
|
— |
|
| |
(18,056 |
) |
|
|
— |
|
|
|
10,466 |
|
|
|
— |
|
| |
(1,511 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
201,026,933 |
|
|
$ |
1,422,129,524 |
|
|
$ |
240,870,733 |
|
|
$ |
101,011,760 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
10,883,492 |
|
|
|
125,915,821 |
|
|
|
21,791,012 |
|
|
|
101,011,760 |
|
| $ |
18.47 |
|
|
$ |
11.29 |
|
|
$ |
11.05 |
|
|
$ |
1.00 |
|
The accompanying Notes are
an integral part of these financial statements.
|
|
|
|
|
| Statements of Assets and Liabilities |
|
|
87 |
|
Elfun Funds
Statements of Operations — For the period ended June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Elfun
International
Equity Fund |
|
|
Elfun
Trusts |
|
|
|
|
|
|
|
|
|
|
| Investment Income |
|
| Income |
|
| Dividend |
|
$ |
4,437,765 |
|
|
$ |
16,808,020 |
|
| Interest |
|
|
— |
|
|
|
— |
|
| Income from affiliated investments |
|
|
62,326 |
|
|
|
754,493 |
|
| Less: Foreign taxes withheld |
|
|
(494,063 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total income |
|
|
4,006,028 |
|
|
|
17,562,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses |
|
|
|
|
|
|
|
|
| Advisory and administration fees |
|
|
251,413 |
|
|
|
1,997,957 |
|
| Blue Sky fees |
|
|
20,171 |
|
|
|
22,916 |
|
| Transfer agent fees |
|
|
63,597 |
|
|
|
257,572 |
|
| Trustees’ fees |
|
|
8,202 |
|
|
|
27,729 |
|
| Custody and accounting expenses |
|
|
36,333 |
|
|
|
27,316 |
|
| Professional fees |
|
|
19,430 |
|
|
|
49,168 |
|
| Other expenses |
|
|
14,161 |
|
|
|
99,616 |
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
413,307 |
|
|
|
2,482,274 |
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
$ |
3,592,721 |
|
|
$ |
15,080,239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Realized and Unrealized Gain (Loss) on Investments |
|
|
|
|
|
|
|
|
| Realized gain (loss) on: |
|
|
|
|
|
|
|
|
| Unaffiliated investments |
|
$ |
3,602,518 |
|
|
$ |
141,891,179 |
|
| Futures |
|
|
23,510 |
|
|
|
— |
|
| Written options |
|
|
— |
|
|
|
— |
|
| Swap contracts |
|
|
— |
|
|
|
— |
|
| Foreign currency transactions |
|
|
(82,131 |
) |
|
|
— |
|
| Increase (decrease) in unrealized appreciation/depreciation on: |
|
| Unaffiliated investments |
|
|
(14,917,187 |
) |
|
|
(43,812,665 |
) |
| Affiliated investments |
|
|
— |
|
|
|
— |
|
| Futures |
|
|
(23,888 |
) |
|
|
— |
|
| Written option contracts |
|
|
— |
|
|
|
— |
|
| Swap contracts |
|
|
— |
|
|
|
— |
|
| Foreign currency translations |
|
|
(13,856 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized and unrealized gain (loss) on investments |
|
|
(11,411,034 |
) |
|
|
98,078,514 |
|
|
|
|
|
|
|
|
|
|
| Net Increase (Decrease) in Net Assets Resulting from Operations |
|
$ |
(7,818,313 |
) |
|
$ |
113,158,753 |
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are an integral
part of these financial statements.
|
|
|
| 88 |
|
Statements of Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Elfun
Diversified
Fund |
|
|
Elfun
Tax-Exempt
Income Fund |
|
|
Elfun
Income Fund |
|
|
Elfun
Government
Money Market
Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
915,649 |
|
|
$ |
— |
|
|
$ |
4,798 |
|
|
$ |
— |
|
| |
763,462 |
|
|
|
30,608,916 |
|
|
|
3,630,524 |
|
|
|
849,154 |
|
| |
177,878 |
|
|
|
55,085 |
|
|
|
70,641 |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1,856,989 |
|
|
|
30,664,001 |
|
|
|
3,705,963 |
|
|
|
849,154 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
178,882 |
|
|
|
1,170,978 |
|
|
|
213,262 |
|
|
|
54,750 |
|
| |
19,331 |
|
|
|
20,731 |
|
|
|
18,881 |
|
|
|
18,580 |
|
| |
51,831 |
|
|
|
113,562 |
|
|
|
61,780 |
|
|
|
37,975 |
|
| |
7,987 |
|
|
|
17,905 |
|
|
|
8,358 |
|
|
|
7,187 |
|
| |
89,870 |
|
|
|
31,785 |
|
|
|
85,390 |
|
|
|
31,392 |
|
| |
25,063 |
|
|
|
35,476 |
|
|
|
22,324 |
|
|
|
14,329 |
|
| |
28,809 |
|
|
|
66,418 |
|
|
|
19,654 |
|
|
|
11,963 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
401,773 |
|
|
|
1,456,855 |
|
|
|
429,649 |
|
|
|
176,176 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
1,455,216 |
|
|
$ |
29,207,146 |
|
|
$ |
3,276,314 |
|
|
$ |
672,978 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
79,510 |
|
|
$ |
(1,106,124 |
) |
|
$ |
(3,225,083 |
) |
|
$ |
— |
|
| |
(331,794 |
) |
|
|
— |
|
|
|
(1,268,185 |
) |
|
|
— |
|
| |
20,111 |
|
|
|
— |
|
|
|
78,524 |
|
|
|
— |
|
| |
74,826 |
|
|
|
— |
|
|
|
335,716 |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(420,293 |
) |
|
|
(31,945,013 |
) |
|
|
(4,856,663 |
) |
|
|
— |
|
| |
(2,377,291 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
89,313 |
|
|
|
— |
|
|
|
411,074 |
|
|
|
— |
|
| |
(5,324 |
) |
|
|
— |
|
|
|
(21,293 |
) |
|
|
— |
|
| |
37 |
|
|
|
— |
|
|
|
85,812 |
|
|
|
— |
|
| |
(760 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(2,871,665 |
) |
|
|
(33,051,137 |
) |
|
|
(8,460,098 |
) |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
(1,416,449 |
) |
|
$ |
(3,843,991 |
) |
|
$ |
(5,183,784 |
) |
|
$ |
672,978 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are
an integral part of these financial statements.
|
|
|
|
|
| Statements of Operations |
|
|
89 |
|
Elfun Funds
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Elfun International Equity Fund |
|
|
Elfun Trusts |
|
| |
|
Six Months
Ended
June 30,
2018(a) |
|
|
Year Ended
December 31,
2017 |
|
|
Six Months
Ended
June 30,
2018(a) |
|
|
Year Ended
December 31,
2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Increase (Decrease) in Net Assets |
|
|
| Operations: |
|
| Net investment income |
|
$ |
3,592,721 |
|
|
$ |
3,662,791 |
|
|
$ |
15,080,239 |
|
|
$ |
32,563,837 |
|
| Net realized gain (loss) on investments, futures, options contracts, swap contracts and foreign
currency transactions |
|
|
3,543,897 |
|
|
|
(1,119,223 |
) |
|
|
141,891,179 |
|
|
|
239,503,606 |
|
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap
contracts and foreign currency translations |
|
|
(14,954,931 |
) |
|
|
43,347,073 |
|
|
|
(43,812,665 |
) |
|
|
313,411,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from operations |
|
|
(7,818,313 |
) |
|
|
45,890,641 |
|
|
|
113,158,753 |
|
|
|
585,479,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
— |
|
|
|
(3,655,776 |
) |
|
|
— |
|
|
|
(32,575,926 |
) |
| Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(239,625,286 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
— |
|
|
|
(3,655,776 |
) |
|
|
— |
|
|
|
(272,201,212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Increase (decrease) in assets from operations and distributions |
|
|
(7,818,313 |
) |
|
|
42,234,865 |
|
|
|
113,158,753 |
|
|
|
313,277,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Share transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from sale of shares |
|
|
2,169,286 |
|
|
|
4,172,093 |
|
|
|
24,424,029 |
|
|
|
50,712,147 |
|
| Value of distributions reinvested |
|
|
— |
|
|
|
3,163,834 |
|
|
|
— |
|
|
|
217,798,384 |
|
| Cost of shares redeemed |
|
|
(7,501,744 |
) |
|
|
(19,846,304 |
) |
|
|
(98,115,811 |
) |
|
|
(175,834,878 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from share transactions |
|
|
(5,332,458 |
) |
|
|
(12,510,377 |
) |
|
|
(73,691,782 |
) |
|
|
92,675,653 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total increase (decrease) in net assets |
|
|
(13,150,771 |
) |
|
|
29,724,488 |
|
|
|
39,466,971 |
|
|
|
405,953,551 |
|
|
|
|
|
|
| Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
237,768,816 |
|
|
|
208,044,328 |
|
|
|
2,737,919,312 |
|
|
|
2,331,965,761 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
224,618,045 |
|
|
$ |
237,768,816 |
|
|
$ |
2,777,386,283 |
|
|
$ |
2,737,919,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed (distributions in excess of) net investment income, end of period |
|
$ |
3,602,397 |
|
|
$ |
9,676 |
|
|
$ |
15,080,239 |
|
|
$ |
— |
|
|
|
|
|
|
| Changes in Fund Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
93,891 |
|
|
|
196,928 |
|
|
|
390,053 |
|
|
|
842,367 |
|
| Issued for distributions reinvested |
|
|
— |
|
|
|
140,117 |
|
|
|
— |
|
|
|
3,601,757 |
|
| Shares redeemed |
|
|
(329,474 |
) |
|
|
(961,741 |
) |
|
|
(1,568,598 |
) |
|
|
(2,890,514 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in fund shares |
|
|
(235,583 |
) |
|
|
(624,696 |
) |
|
|
(1,178,545 |
) |
|
|
1,553,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are an integral
part of these financial statements.
|
|
|
| 90 |
|
Statements of Changes in Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Diversified Fund |
|
|
Elfun Tax-Exempt Income Fund |
|
| Six Months
Ended
June 30,
2018(a) |
|
|
Year Ended
December 31,
2017 |
|
|
Six Months
Ended
June 30,
2018(a) |
|
|
Year Ended
December 31,
2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
1,455,216 |
|
|
$ |
4,574,028 |
|
|
$ |
29,207,146 |
|
|
$ |
59,636,606 |
|
| |
(157,347 |
) |
|
|
18,476,598 |
|
|
|
(1,106,124 |
) |
|
|
(2,447,208 |
) |
| |
(2,714,318 |
) |
|
|
6,456,534 |
|
|
|
(31,945,013 |
) |
|
|
12,274,701 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(1,416,449 |
) |
|
|
29,507,160 |
|
|
|
(3,843,991 |
) |
|
|
69,464,099 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
(4,765,419 |
) |
|
|
(29,207,167 |
) |
|
|
(59,636,585 |
) |
| |
— |
|
|
|
(16,372,546 |
) |
|
|
— |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
(21,137,965 |
) |
|
|
(29,207,167 |
) |
|
|
(59,636,585 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(1,416,449 |
) |
|
|
8,369,195 |
|
|
|
(33,051,158 |
) |
|
|
9,827,514 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
3,229,214 |
|
|
|
5,048,518 |
|
|
|
28,312,284 |
|
|
|
35,753,804 |
|
| |
— |
|
|
|
18,727,487 |
|
|
|
20,201,970 |
|
|
|
41,248,494 |
|
| |
(10,725,166 |
) |
|
|
(21,143,587 |
) |
|
|
(64,683,917 |
) |
|
|
(110,727,469 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(7,495,952 |
) |
|
|
2,632,418 |
|
|
|
(16,169,663 |
) |
|
|
(33,725,171 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(8,912,401 |
) |
|
|
11,001,613 |
|
|
|
(49,220,821 |
) |
|
|
(23,897,657 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
209,939,334 |
|
|
|
198,937,721 |
|
|
|
1,471,350,345 |
|
|
|
1,495,248,002 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
201,026,933 |
|
|
$ |
209,939,334 |
|
|
$ |
1,422,129,524 |
|
|
$ |
1,471,350,345 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,455,216 |
|
|
$ |
— |
|
|
$ |
62,805 |
|
|
$ |
62,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
172,664 |
|
|
|
264,253 |
|
|
|
2,480,118 |
|
|
|
3,093,499 |
|
| |
— |
|
|
|
1,010,111 |
|
|
|
1,784,616 |
|
|
|
3,565,302 |
|
| |
(574,535 |
) |
|
|
(1,098,217 |
) |
|
|
(5,703,635 |
) |
|
|
(9,567,674 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(401,871 |
) |
|
|
176,147 |
|
|
|
(1,438,901 |
) |
|
|
(2,908,873 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are
an integral part of these financial statements.
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
91 |
|
Elfun Funds
Statements of
Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Elfun Income Fund |
|
|
Elfun Government Money
Market Fund |
|
| |
|
Six Months
Ended
June 30,
2018(a) |
|
|
Year Ended
December 31,
2017 |
|
|
Six Months
Ended
June 30,
2018(a) |
|
|
Year Ended
December 31,
2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
$ |
3,276,314 |
|
|
$ |
6,878,857 |
|
|
$ |
672,978 |
|
|
$ |
604,201 |
|
| Net realized gain (loss) on investments, futures, options contracts and swap contracts |
|
|
(4,079,028 |
) |
|
|
490,317 |
|
|
|
— |
|
|
|
— |
|
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap
contracts |
|
|
(4,381,070 |
) |
|
|
3,041,432 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from operations |
|
|
(5,183,784 |
) |
|
|
10,410,606 |
|
|
|
672,978 |
|
|
|
604,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
(3,438,816 |
) |
|
|
(6,577,379 |
) |
|
|
(672,978 |
) |
|
|
(604,201 |
) |
| Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(10,630 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
(3,438,816 |
) |
|
|
(6,577,379 |
) |
|
|
(672,978 |
) |
|
|
(614,831 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Increase (decrease) in assets from operations and distributions |
|
|
(8,622,600 |
) |
|
|
3,833,227 |
|
|
|
— |
|
|
|
(10,630 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Share transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from sale of shares |
|
|
4,532,927 |
|
|
|
10,184,726 |
|
|
|
19,911,827 |
|
|
|
45,174,015 |
|
| Value of distributions reinvested |
|
|
2,610,311 |
|
|
|
5,003,427 |
|
|
|
618,964 |
|
|
|
562,402 |
|
| Cost of shares redeemed |
|
|
(18,838,982 |
) |
|
|
(33,974,499 |
) |
|
|
(29,347,206 |
) |
|
|
(47,236,144 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from share transactions |
|
|
(11,695,744 |
) |
|
|
(18,786,346 |
) |
|
|
(8,816,415 |
) |
|
|
(1,499,727 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total increase (decrease) in net assets |
|
|
(20,318,344 |
) |
|
|
(14,953,119 |
) |
|
|
(8,816,415 |
) |
|
|
(1,510,357 |
) |
|
|
|
|
|
| Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
261,189,077 |
|
|
|
276,142,196 |
|
|
|
109,828,175 |
|
|
|
111,338,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
240,870,733 |
|
|
$ |
261,189,077 |
|
|
$ |
101,011,760 |
|
|
$ |
109,828,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed (distributions in excess of) net investment income, end of period |
|
$ |
184,845 |
|
|
$ |
347,347 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
| Changes in Fund Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
404,209 |
|
|
|
893,694 |
|
|
|
19,911,827 |
|
|
|
45,174,014 |
|
| Issued for distributions reinvested |
|
|
234,212 |
|
|
|
437,971 |
|
|
|
618,964 |
|
|
|
562,402 |
|
| Shares redeemed |
|
|
(1,680,885 |
) |
|
|
(2,976,318 |
) |
|
|
(29,347,206 |
) |
|
|
(47,236,144 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net decrease in fund shares |
|
|
(1,042,464 |
) |
|
|
(1,644,653 |
) |
|
|
(8,816,415 |
) |
|
|
(1,499,728 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are an integral
part of these financial statements.
|
|
|
| 92 |
|
Statements of Changes in Net Assets |
Elfun Funds
Notes to Financial Statements — June 30, 2018 (Unaudited)
| 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. Prior to July 1, 2016, the Funds operated as Employees’ Securities Companies (as
defined in the 1940 Act) and, as such, were exempt from certain provisions of the 1940 Act. 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 of each Fund (each, a “Board”). The Committee provides
oversight of the valuation of investments for the Funds. Each Board has responsibility for determining 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 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 ) are valued using quotations from independent pricing
services or brokers or are generally valued at the last reported evaluated prices. |
| |
• |
|
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. |
|
|
|
|
|
| Notes to Financial Statements |
|
|
93 |
|
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
| |
• |
|
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
Boards. |
| |
• |
|
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 Boards.
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 net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved
by the Boards. 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 June 30, 2018 is disclosed in each Fund’s Schedule of Investments.
Changes in valuation techniques may result in
transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the beginning of the reporting period.
The Funds had no material transfers between levels for the six-month period ended June 30, 2018.
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.
|
|
|
| 94 |
|
Notes to Financial Statements |
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
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 Fund and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2018, if any, are
disclosed in the Funds’ Statements of Assets and Liabilities.
| 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 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.
|
|
|
|
|
| Notes to Financial Statements |
|
|
95 |
|
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
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 June 30, 2018, the Elfun Government Money Market Fund had invested in repurchase agreements with the gross values of $21,568,000 and
associated collateral equal to $21,999,527.
| 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. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and 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 the movement of the
assets underlying such contracts.
During the six-month period ended June 30, 2018, the
following Funds entered into futures contracts for strategies listed below:
|
|
|
| Funds |
|
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 six-month
period ended June 30, 2018, 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
|
|
|
| 96 |
|
Notes to Financial Statements |
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
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.
Interest Rate Swaps Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to
pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.
During the
six-month period ended June 30, 2018, the Elfun Diversified Fund and Elfun Income Fund entered into interest rate swaps in order to manage exposure to interest rates.
Options on Exchanged Traded Futures Contracts Certain Funds may purchase and write options, including options on exchanged
traded futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase a Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease a Fund’s exposure to the
underlying instrument. A Fund will not enter into a transaction involving options for speculative purposes. A Fund’s risks in using these contracts include changes in the value of the underlying instruments,
non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.
When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair
value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a
closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale
of the underlying instrument or the cost basis of the securities purchased is adjusted by the original premium received or paid. In return for a premium paid, call and put options on futures contracts give the holder the right, but not the
obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price.
During the
period ended June 30, 2018, the Elfun Diversified Fund and the Elfun Income Fund purchased and wrote options in order to manage interest rate risk.
The following tables summarize the value of the Funds’ derivative instruments as of June 30, 2018 and the related location in the
accompanying Statements of Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Interest
Rate
Contracts
Risk |
|
|
Foreign
Exchange
Contracts
Risk |
|
|
Credit
Contracts
Risk |
|
|
Equity
Contracts
Risk |
|
|
Commodity
Contracts
Risk |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
| Futures Contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,265 |
|
|
$ |
— |
|
|
$ |
4,265 |
|
| Elfun Diversified Fund |
|
| Futures Contracts |
|
|
147,845 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
147,845 |
|
| Swap Contracts(a) |
|
|
— |
|
|
|
— |
|
|
|
2,503 |
|
|
|
— |
|
|
|
— |
|
|
|
2,503 |
|
| Purchased Options Contracts(b) |
|
|
5,410 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,410 |
|
| Elfun Income Fund |
|
| Futures Contracts |
|
|
689,288 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
689,288 |
|
| Swap Contracts(a) |
|
|
— |
|
|
|
— |
|
|
|
10,466 |
|
|
|
— |
|
|
|
— |
|
|
|
10,466 |
|
| Purchased Options Contracts(b) |
|
|
21,085 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
21,085 |
|
| |
(a) |
Unrealized appreciation on swap contracts. |
| |
(b) |
Unrealized appreciation on purchased options contracts is included in Net unrealized appreciation (depreciation)
on investments. |
|
|
|
|
|
| Notes to Financial Statements |
|
|
97 |
|
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Interest
Rate
Contracts
Risk |
|
|
Foreign
Exchange
Contracts
Risk |
|
|
Credit
Contracts
Risk |
|
|
Equity
Contracts
Risk |
|
|
Commodity
Contracts
Risk |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Diversified Fund |
|
| Futures Contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(9,367 |
) |
|
$ |
— |
|
|
$ |
(9,367 |
) |
| Swap Contracts(a) |
|
|
(20,559 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(20,559 |
) |
| Written Option Contracts(b) |
|
|
(5,324 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(5,324 |
) |
| Elfun Income Fund |
|
| Futures Contracts |
|
|
(225,666 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(225,666 |
) |
| Swap Contracts(a) |
|
|
(79,658 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(79,658 |
) |
| Written Option Contracts(b) |
|
|
(21,293 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(21,293 |
) |
| |
(a) |
Unrealized depreciation on swap contracts. |
| |
(a) |
Unrealized depreciation on written option contracts. |
Net Realized Gain (Loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Interest
Rate
Contracts
Risk |
|
|
Foreign
Exchange
Contracts
Risk |
|
|
Credit
Contracts
Risk |
|
|
Equity
Contracts
Risk |
|
|
Commodity
Contracts
Risk |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
| Futures Contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
23,510 |
|
|
$ |
— |
|
|
$ |
23,510 |
|
| Elfun Diversified Fund |
|
| Futures Contracts |
|
|
(349,678 |
) |
|
|
— |
|
|
|
— |
|
|
|
17,884 |
|
|
|
— |
|
|
|
(331,794 |
) |
| Swap Contracts |
|
|
74,512 |
|
|
|
— |
|
|
|
314 |
|
|
|
— |
|
|
|
— |
|
|
|
74,826 |
|
| Purchased Option Contracts(a) |
|
|
(24,478 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(24,478 |
) |
| Written Option Contracts |
|
|
20,111 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
20,111 |
|
| Elfun Income Fund |
|
| Futures Contracts |
|
|
(1,268,185 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,268,185 |
) |
| Swap Contracts |
|
|
334,395 |
|
|
|
|
|
|
|
1,321 |
|
|
|
— |
|
|
|
— |
|
|
|
335,716 |
|
| Purchased Option Contracts(a) |
|
|
(100,022 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(100,022 |
) |
| Written Option Contracts |
|
|
78,524 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
78,524 |
|
| |
(a) |
Purchased options amounts are included in net realized gain (loss) from investments. |
Net Change in Unrealized Appreciation (Depreciation)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Interest
Rate
Contracts
Risk |
|
|
Foreign
Exchange
Contracts
Risk |
|
|
Credit
Contracts
Risk |
|
|
Equity
Contracts
Risk |
|
|
Commodity
Contracts
Risk |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
| Futures Contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(23,888 |
) |
|
$ |
— |
|
|
$ |
(23,888 |
) |
| Elfun Diversified Fund |
|
| Futures Contracts |
|
|
102,028 |
|
|
|
— |
|
|
|
— |
|
|
|
(12,718 |
) |
|
|
— |
|
|
|
89,313 |
|
| Swap Contracts |
|
|
(6,526 |
) |
|
|
— |
|
|
|
6,563 |
|
|
|
— |
|
|
|
— |
|
|
|
37 |
|
| Purchased Option Contracts(a) |
|
|
5,410 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,410 |
|
| Written Option Contracts |
|
|
(5,324 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(5,324 |
) |
| Elfun Income Fund |
|
| Futures Contracts |
|
|
411,074 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
411,074 |
|
| Swap Contracts |
|
|
58,399 |
|
|
|
|
|
|
|
27,413 |
|
|
|
— |
|
|
|
— |
|
|
|
85,812 |
|
| Purchased Option Contracts(a) |
|
|
21,085 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
21,085 |
|
| Written Option Contracts |
|
|
(21,293 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(21,293 |
) |
| |
(b) |
Purchased options amounts are included in net unrealized appreciation (depreciation) from investments.
|
|
|
|
| 98 |
|
Notes to Financial Statements |
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
| 5. |
|
Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a
registered investment adviser, was retained by each 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 may voluntarily reduce all or a portion of its fees and / or reimburse expenses of the Elfun
Government Money Market Fund, to the extent necessary to avoid a negative yield (the “Voluntary Reduction”), or a yield below a specified level, which may vary from time to time in SSGA FM’s sole discretion. The Elfun Government Money
Market Fund has agreed, subject to certain limitations, to reimburse the Adviser for the full dollar amount of any Voluntary Reduction for up to three years from the date reduced, provided that the total operating expense ratio for the Elfun
Government Money Market Fund, after giving effect to the recoupment, would not exceed 0.60% for the fiscal year in which the recoupment is made. SSGA FM may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due
from the Elfun Government Money Market Fund. Any future reimbursement by the Elfun Government Money Market Fund of the Voluntary Reduction would increase the expenses and reduce the yield of the Elfun Government Money Market Fund. 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. SSGA FM did not waive or reimburse any expenses during the six-month period ended June 30, 2018 or during any prior periods.
Sub-Administrator and Custodian State Street Bank and Trust Company (“State
Street”) serves as the sub-administrator and custodian to the Funds. Amounts paid by the Funds to State Street for performing such services are included in advisory and administration and custody and
accounting expenses, respectively.
Other Transactions with affiliates The Funds may invest in affiliated entities,
including securities issued by State Street, 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 six-month period ended June 30, 2018 are disclosed in the Schedules of Investments.
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 Securities The cost of
purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2018, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
U.S. Government
Obligations |
|
|
Other
Securities |
|
| Fund |
|
Purchases |
|
|
Sales |
|
|
Purchases |
|
|
Sales |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
31,017,422 |
|
|
$ |
28,967,633 |
|
| Elfun Trusts |
|
|
— |
|
|
|
— |
|
|
|
201,982,350 |
|
|
|
288,250,928 |
|
| Elfun Diversified Fund |
|
|
50,925,761 |
|
|
|
50,988,011 |
|
|
|
10,601,914 |
|
|
|
13,081,268 |
|
| Elfun Tax-Exempt Income Fund |
|
|
— |
|
|
|
— |
|
|
|
118,065,150 |
|
|
|
119,806,669 |
|
| Elfun Income Fund |
|
|
181,992,502 |
|
|
|
207,727,402 |
|
|
|
50,530,770 |
|
|
|
34,718,703 |
|
|
|
|
|
|
| Notes to Financial Statements |
|
|
99 |
|
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
| 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 they distribute their taxable income, including any net realized capital
gains, for each fiscal year. Therefore, no provisions 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.
As of
June 30, 2018, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Tax
Cost |
|
|
Gross
Unrealized
Appreciation |
|
|
Gross
Unrealized
Depreciation |
|
|
Net Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
$ |
186,856,370 |
|
|
$ |
43,098,229 |
|
|
$ |
6,476,868 |
|
|
$ |
36,621,361 |
|
| Elfun Trusts |
|
|
1,623,806,043 |
|
|
|
1,196,496,120 |
|
|
|
43,747,539 |
|
|
|
1,152,748,581 |
|
| Elfun Diversified Fund |
|
|
187,959,416 |
|
|
|
18,975,707 |
|
|
|
3,919,790 |
|
|
|
15,055,917 |
|
| Elfun Tax-Exempt Income Fund |
|
|
1,388,158,616 |
|
|
|
41,959,128 |
|
|
|
8,321,901 |
|
|
|
33,637,227 |
|
| Elfun Income Fund |
|
|
248,705,771 |
|
|
|
1,885,350 |
|
|
|
3,849,757 |
|
|
|
(1,964,407 |
) |
| Elfun Government Money Market Fund |
|
|
101,266,691 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
The Funds (excluding the Elfun Government Money Market Fund) and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund
shareholder redemptions. This agreement expires October 12, 2018 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 operation 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% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Funds had no outstanding loans as of June 30, 2018.
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.
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.
Market and Credit Risk In the normal course of business, a Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the
|
|
|
| 100 |
|
Notes to Financial Statements |
Elfun Funds
Notes to
Financial Statements, continued — June 30, 2018 (Unaudited)
market (market risk). Additionally, a Fund may also 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.
| 11. |
|
Recent Accounting Pronouncement |
In March 2017, the Financial Accounting Standards Board
issued Accounting Standards Update (“ASU”) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on
Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for
securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if
any, of applying this provision.
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 |
|
|
101 |
|
Elfun Funds1
Trustee Considerations in Approving Continuation of Investment Advisory Agreements2
Overview of the Contract Review Process
Under
the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least
annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at
a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the
Elfun Funds, met in person on April 12, 2018 and May 17, 2018, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each Fund, the continuation of the investment advisory agreement
(the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the
Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who
are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 12, 2018 meeting, the Independent Trustees submitted questions and requests for additional information to management,
and considered management’s responses thereto prior to and at the May 17, 2018 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
| • |
|
A report prepared by an independent third-party provider of investment company data, which includes for each
Fund: |
| |
• |
|
Comparisons of the Fund’s performance over the past one-, three-,
five- and ten-year periods ended December 31, 2017, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
| |
• |
|
Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group
of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
| |
• |
|
A chart showing the Fund’s historical average net assets relative to its total expenses, management fees,
and non-management expenses over the past five calendar years; and |
| |
• |
|
Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual
funds at different asset levels. |
| 1 |
The “Elfun Funds” include the Elfun Trusts, Elfun International Equity Fund, Elfun Diversified
Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, Elfun Government Money Market Fund (each, a “Fund” and collectively, the “Funds”). |
| 2 |
The Independent Trustees have identified numerous relevant issues, factors and concerns (“issues,
factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service
agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and
provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees
schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent
Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and
concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the
agreements and plans. |
|
|
|
| 102 |
|
Investment Advisory Agreements |
Elfun Funds
| • |
|
Comparative information concerning fees charged by the Adviser for managing institutional accounts using
investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
| • |
|
Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser
that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
| • |
|
Descriptions of the investment management services provided by the Adviser, including its investment strategies
and processes; |
| • |
|
Information concerning the allocation of brokerage; and |
| • |
|
Information regarding the procedures and processes used to value the assets of the Funds. |
Information about the Adviser
| • |
|
Reports detailing the financial results and condition of the Adviser and its affiliates; |
| • |
|
Descriptions of the qualifications, education and experience of the individual investment professionals
responsible for managing the portfolios of the Funds; |
| • |
|
Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;
|
| • |
|
A copy of the Adviser’s proxy voting policies and procedures; |
| • |
|
Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their
service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; |
| • |
|
A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to
investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
| • |
|
A description of the business continuity and disaster recovery plans of the Adviser; and |
| • |
|
Information regarding the Adviser’s risk management processes. |
Other Relevant Information
| • |
|
Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its
capacity as the Fund’s administrator (the “Administrator”); |
| • |
|
Information concerning the nature, extent, quality and cost of various
non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending
agent of the Funds, as applicable, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
| • |
|
Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
| • |
|
Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along
with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
| |
• |
|
SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to
the Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2017; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit
margins from such relevant operations for the calendar year ended December 31, 2017; |
| |
• |
|
State Street Bank and Trust Company (“State Street”), the
sub-administrator, custodian, securities lending agent, and shareholder servicer for the Funds, with respect to its operations relating to the Funds; and |
| |
• |
|
State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of
the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act;
|
|
|
|
|
|
| Investment Advisory Agreements |
|
|
103 |
|
Elfun Funds
| • |
|
Information from SSGA FM, State Street and the Distributor with respect to the Funds providing any material
changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive session of the Board on May 17, 2018; |
| • |
|
Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and
|
| • |
|
A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the
Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance
of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the
contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the
weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying
emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 17,
2018 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2018, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering
whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board
considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide
portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of
securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities or money
market instruments. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of a portfolio’s quality distribution and
sector and interest rate exposure. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model
risk. The Trustees also considered the significant risks assumed by the Adviser in connection with the services provided to the Funds, including operational, enterprise, regulatory, litigation and compliance risks. The Board also took into account
the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed
the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings,
late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending
activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high
quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various
time periods ended December 31, 2017. For purposes of these comparisons the Independent
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Trustees relied
extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of each
Fund:
Elfun Trusts. The Board considered that the Fund’s performance was below the median of its Performance Group, Performance Universe and
its Lipper Index for the 1-, 3- and 5- year periods and above the median of its Performance Group, Performance Universe and its Lipper Index for the 10-year period. The Board took into account
management’s discussion of the Fund’s performance.
Elfun International Equity Fund. The Board considered that the Fund’s performance
was below the median of its Performance Group for the 1- and 10-year periods, equal to the median of its Performance Group for the
3-year period, and above the median of its Performance Group for the 5-year period. The Board also considered that the Fund’s performance was below the median of
its Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods.
Elfun Diversified Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance
Universe for the 1-, 3- and 5-year periods and below the medians of its Performance Group and Performance Universe for the 10-year period. The Board also considered that
the Fund’s performance was below its Lipper Index for the 1-, 3- and 10-year periods and above its Lipper Index for the 5-year period. The Board took into account management’s discussion of the Fund’s performance.
Elfun
Government Money Market Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10- year periods.
Elfun
Income Fund. The Board considered that the Fund’s performance was above the median of its Performance Group for the 1-, 3- and
5-year periods, above the median of its Performance Universe for the 1-, 3-, 5- and 10-year periods, and above its Lipper Index for the 5-year period. The Board also considered that the Fund’s performance was below the median of its Performance Group for
the 10-year period and below its Lipper Index for the 1-, 3- and 10-year periods.
Elfun Tax-Exempt Income Fund. The Board considered that the Fund’s performance was below the median of its
Performance Group and its Lipper Index for the 1-, 3-, 5- and 10-year periods. The Board
also considered that the Fund’s performance was below the median of its Performance Universe for the 1-, 3- and 5-year
periods and above the median of its Performance Universe for the 10-year period.
On the basis of the foregoing and
other relevant information, the Board concluded that the performance of each Fund is satisfactory (a) by comparison to the performance of its Performance Group, Performance Universe or Lipper Index or (b) after considering steps
taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review,
the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense
Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees
charged and services provided to other clients of the Adviser, including institutional accounts, as applicable. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses
of various Funds to limit the total expenses borne by shareholders of such Funds. Among other information, the Board considered the following expense information in its evaluation of each Fund:
Elfun Trusts. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board
also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
Elfun International Equity
Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and
Expense Universe.
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Elfun
Diversified Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its
Expense Group and Expense Universe.
Elfun Government Money Market Fund. The Board considered that the Fund’s actual management fee was below
the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
Elfun Income Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The
Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
Elfun Tax-Exempt Income Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total
expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of
the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in
relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all
funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Funds, including, where applicable, soft dollar commission
benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and/or fund complex. The Board also considered the various
risks borne by SSGA FM and State Street in connection with their various roles in servicing the Funds, including enterprise, litigation, business, operational and entrepreneurial risk.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service
Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund
and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale
with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with
respect to each Fund and all Funds as a group over various time periods, and the comparative management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from
economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the
Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the
materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the
duties required of it under the Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the
considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the
rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Shareholder
Services
Online
Service
Your Elfun Mutual Fund accounts can now be accessed on the Internet at www.ssga.com/geam
Here are some of the online services:
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View account balance and transaction history |
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View and order tax forms |
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View quarterly statements |
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Re-order money market checks |
Telephone Service
Our Shareholder Service Associates are available
Monday to Friday from 9:00 AM to 8:00 PM Eastern Standard Time. Call toll-free, 1-800-242-0134, for assistance.
Automated Voice Response System
You can also access your account anytime during the day, 7 days a week by dialing 1-800-242-0134. Simply follow the menu to obtain information or make certain
transactions.
Contact Us By Mail
If you’d like to write
to us, address your inquiries regarding your account(s) to:
Elfun Mutual Funds
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
Elfun Funds
c/o U.S. Bancorp Fund Services, LLC
PO Box 701
Milwaukee, WI 53201-0701
Distributor
State Street Global Advisors Funds Distributors, LLC
Member FINRA and SIPC
One Iron Street
Boston, MA 02210
www.ssga.com/geam
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for
the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to
determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling
1-800-242-0134; (ii) on the Funds’ website at http://www.ssga.com/geam; and (iii) on the Commission’s website
at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC — information on the operation of the Public Reference Room may
be obtained by calling 1-800-SEC-0330.
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed
12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.ssga.com/geam; and (ii) on the Commission’s website at http://www.sec.gov.
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit
Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit
Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
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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 Registrant’s last fiscal quarter of the period covered by this Form N-CSR filing 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.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable; this Form N-CSR is a Semi-Annual Report.
(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto.
(a)(3) Not applicable to the Registrant.
(a)(4) Not applicable.
(b) Certifications of principal
executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached
hereto.
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.
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| Registrant: |
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ELFUN TRUSTS |
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| By: |
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/s/ Ellen M. Needham |
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Ellen M. Needham |
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President |
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| Date: |
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September 5, 2018 |
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.
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| By: |
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/s/ Ellen M. Needham |
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Ellen M. Needham |
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President (Principal Executive Officer) |
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| Date: |
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September 5, 2018 |
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| By: |
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/s/ Bruce S. Rosenberg |
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Bruce S. Rosenberg |
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Treasurer (Principal Financial and Accounting Officer) |
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September 5, 2018 |