N-CSR 1 d831755dncsr.htm ELFUN TRUSTS Elfun Trusts
Table of Contents

 

 

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:

Sean O’Malley, Esq.

Senior Vice President and Deputy General Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

  

Timothy W. Diggins, Esq.

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

 

 

Registrant’s telephone number, including area code: (617) 664-1465

Date of fiscal year end: December 31

Date of reporting period: December 31, 2019

 

 

 

Table of Contents

Item 1. Shareholder Report.

Table of Contents

Annual Report

December 31, 2019

 

Elfun Funds

Elfun International Equity Fund

Elfun Trusts

Elfun Diversified Fund

Elfun Tax-Exempt Income Fund

Elfun Income Fund

Elfun Government Money Market Fund

 

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.ssga.com/geam), and you will be notified by mail each time a report is posted, and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund by calling
800-242-0134.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 800-242-0134. Your election to receive reports in paper will apply to all funds held in your account, if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with a Fund.

 

LOGO

Table of Contents

Elfun Funds

Annual Report

December 31,  2019

Table of Contents

 

       Page  
Notes to Performance        1  
Management’s Discussion of Fund Performance, Understanding Your Fund’s Expenses, Performance Summary and Schedule of Investments     

Elfun International Equity Fund

        2  

Elfun Trusts

        9  

Elfun Diversified Fund

        15  

Elfun Tax-Exempt Income Fund

        50  

Elfun Income Fund

        61  

Elfun Government Money Market Fund

        84  
Financial Statements     

Financial Highlights

        91  

Statements of Assets and Liabilities

        98  

Statements of Operations

        100  

Statements of Changes in Net Assets

        102  
Notes to Financial Statements        105  
Audit Opinion Report        115  
Tax Information        116  
Other Information        117  

 

This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.

Table of Contents

Elfun Funds

Notes to Performance — December 31, 2019 (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.

The S&P 500® Index, MSCI® Europe, Australasia, Far East Index (“MSCI® EAFE® Index”), MSCI® All-Country World ex-U.S. Index (“MSCI® ACWI ex-U.S. Index”), Bloomberg Barclays U.S. Aggregate Bond Index, Bloomberg Barclays U.S. Municipal Bond Index and 90 Day U.S. T-Bill are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect the fees, expenses or taxes.

The S&P 500® Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.

The MSCI® EAFE® Index is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.

The MSCI® ACWI ex-U.S. Index is a market-capitalization weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S. based companies. The MSCI® ACWI ex-U.S. Index includes both developed and emerging markets.

The Bloomberg Barclays U.S. Aggregate Bond Index is a market value-weighted index of taxable investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first-rate bond market.

The Bloomberg Barclays U.S. Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed rate securities with maturities of at least eight years and less than twelve years.

The 90 Day U.S. T-Bill is an unmanaged measure/index of the performance of the most recently auctioned 90 Day U.S. Treasury bills (i.e. having a total maturity of 90 days) currently available in the marketplace.

The views, expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.

 

 

State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the Elfun Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.

 

Notes to Performance     1  

Table of Contents

Elfun International Equity Fund

Management’s Discussion of Fund Performance — December 31, 2019 (Unaudited)

 

 

The Elfun International Equity Fund (the “Fund”) seeks to provide long-term growth of capital and future income by investing principally in foreign securities consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the MSCI EAFE Index (the “Index”).

For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Fund was 30.14% and the Index was 22.01%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Outperformance and overweight in technology stocks, outperformance in financial stocks, and underperformance in energy stocks were primary drivers of Fund performance during the Reporting Period relative to the Index. The Fund benefitted from its largest sector overweight in information technology, which was the best performing sector in the Index during the Reporting Period. The Fund also outperformed the sector significantly driven largely by a strong rebound in semiconductor holdings that had fallen in late 2018 on fears of a cyclical downtrend and the trade war. As the trade war risk dissipated and signs of demand for semiconductors improved, these stocks surged. In financials, the Fund outperformed across a diverse range of holdings including capital markets (e.g. London Stock Exchange (UK) and Brookfield Asset Management (Canada)), banks (e.g. BNP Paribas (France) and ICICI Bank (India)), and insurance (e.g. AXA (France) and AIA Group (Hong Kong)). The Fund was helped by an underweight to the relatively weak energy sector during the Reporting Period, but the stocks the Fund did own in energy were particularly weak negatively impacting relative returns. Most notable of these was Norwegian oil and gas producer Equinor, which lagged on weak natural gas prices.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Nestle, ASML, and Hoya. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Suzuki Motor Corp, Seven Generations Energy, and Vodafone Group.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

2   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Understanding Your Fund’s Expenses (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 December 31, 2019.

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)		  

Actual Fund Return

      

Beginning Account Value

July 1, 2019

    $ 1,000.00      $ 1,000.00  

Ending Account Value

December 31, 2019

    $ 1,094.90      $ 1,023.34  

Expenses Paid During the Period*

    $ 1.95      $ 1.89  

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.37%** (for the period July 1, 2019-December 31, 2019), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

Elfun International Equity Fund     3  

Table of Contents

Elfun International Equity Fund

Performance Summary — December 31, 2019 (Unaudited)

 

 

Top Ten Largest Holdings

as of December 31, 2019 (as a % of Fair Value) (a)(b)

 

Nestle S.A.

     4.00 % 

Novartis AG

     3.48 % 

Roche Holding AG

     3.35 % 

AstraZeneca PLC

     3.31 % 

Hoya Corp.

     3.16 % 

AIA Group Ltd.

     2.93 % 

SAP SE

     2.76 % 

ASML Holding N.V.

     2.66 % 

Schneider Electric SE

     2.63 % 

Air Liquide S.A.

     2.57 % 

Sector Allocation

Portfolio Composition as a % of Fair Value of $207,214 (in thousands) as of December 31, 2019 (a)(b)

 

LOGO

Average Annual Total Return for the periods ended December 31, 2019

(Inception date: 01/01/88)

 

     One Year     Five Year     Ten Year     Ending Value
of a $10,000
Investment		  

Elfun International Equity Fund

      30.14 %      5.79 %      4.83 %    $ 16,021  

MSCI EAFE Index

      22.01 %      5.67 %      5.50 %    $ 17,085  
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in affiliated 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.

 

4   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Performance Summary, continued — December 31, 2019 (Unaudited)

 

 

LOGO

 

Elfun International Equity Fund     5  

Table of Contents

Elfun International Equity Fund

Schedule of Investments — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       
Common Stock - 96.6%†

 

Australia - 1.8%

 

BHP Group PLC

      152,283          3,584,463  
       

 

 

  

Belgium - 1.3%

 

Anheuser-Busch InBev S.A.

      30,615          2,498,703  
       

 

 

  

Brazil - 1.1%

 

Itau Unibanco Holding S.A. ADR (a)

      230,070          2,105,140  
       

 

 

  

Canada - 1.1%

 

Brookfield Asset Management Inc., Class A (a)

      36,685          2,122,595  
       

 

 

  

China - 0.5%

 

New Oriental Education & Technology Group Inc.
ADR (a)(b)

      8,169          990,491  
       

 

 

  

France - 15.7%

 

Air Liquide S.A.

      35,955          5,093,365  

Airbus SE

      27,361          4,007,394  

AXA S.A.

      136,443          3,845,777  

BNP Paribas S.A.

      74,771          4,434,044  

Safran S.A.

      31,928          4,933,261  

Schneider Electric SE

      50,822          5,219,862  

Vivendi S.A.

      129,138          3,742,798  
       

 

 

  
       31,276,501  
       

 

 

  

Germany - 4.7%

 

Fresenius SE & Company KGaA

      17,202          968,937  

HeidelbergCement AG

      40,565          2,957,901  

SAP SE

      40,514          5,471,786  
       

 

 

  
       9,398,624  
       

 

 

  

Hong Kong - 2.9%

 

AIA Group Ltd.

      554,567          5,821,964  
       

 

 

  

India - 1.2%

 

ICICI Bank Ltd.

      312,076          2,356,152  
       

 

 

  

Ireland - 2.0%

 

Kerry Group PLC, Class A

      31,424          3,918,877  
       

 

 

  

Japan - 30.1%

 

Daikin Industries Ltd.

      28,200          4,009,110  

Disco Corp.

      14,500          3,455,717  

FANUC Corp.

      13,000          2,431,930  

Fast Retailing Company Ltd.

      3,100          1,854,152  

Hoya Corp.

      65,200          6,269,519  

Kao Corp.

      43,100          3,579,273  

Keyence Corp.

      10,800          3,825,093  

Komatsu Ltd.

      123,100          2,992,686  
     Number
of Shares		        Fair
Value
$		  

Mitsubishi UFJ Financial Group Inc.

      702,500          3,834,580  

Mitsui Fudosan Company Ltd.

      131,818          3,241,019  

Murata Manufacturing Company Ltd.

      72,791          4,518,501  

Nidec Corp.

      18,200          2,512,915  

Secom Company Ltd.

      30,900          2,779,934  

Shimadzu Corp.

      96,700          3,060,943  

Shiseido Company Ltd.

      56,500          4,045,852  

SoftBank Group Corp.

      55,402          2,424,586  

Suzuki Motor Corp.

      51,200          2,151,649  

Tokio Marine Holdings Inc.

      52,798          2,972,818  
       

 

 

  
       59,960,277  
       

 

 

  

Netherlands - 4.7%

 

ASML Holding N.V.

      17,847          5,282,767  

ING Groep N.V.

      338,789          4,064,545  
       

 

 

  
       9,347,312  
       

 

 

  

Norway - 1.7%

 

Equinor ASA

      170,506          3,405,347  
       

 

 

  

Portugal - 1.6%

 

Galp Energia SGPS S.A.

      195,108          3,263,229  
       

 

 

  

Sweden - 3.0%

 

Assa Abloy AB, Class B

      181,251          4,240,333  

Hexagon AB, Class B (a)

      29,837          1,673,362  
       

 

 

  
       5,913,695  
       

 

 

  

Switzerland - 12.2%

 

Givaudan S.A.

      912          2,854,621  

Nestle S.A.

      73,337          7,935,406  

Novartis AG

      72,758          6,905,004  

Roche Holding AG

      20,534          6,658,415  
       

 

 

  
       24,353,446  
       

 

 

  

Taiwan - 1.3%

 

Taiwan Semiconductor Manufacturing Company Ltd.

      233,900          2,582,677  
       

 

 

  

United Kingdom - 9.7%

 

AstraZeneca PLC

      65,282          6,578,714  

London Stock Exchange Group PLC

      35,935          3,689,381  

Prudential PLC

      207,848          3,989,775  

Smiths Group PLC

      106,117          2,371,561  

Vodafone Group PLC

      1,428,580          2,777,451  
       

 

 

  
       19,406,882  
       

 

 

  
Total Common Stock
(Cost $137,388,023)

 

        192,306,375  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

6   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		       

Fair
Value

$

  
       
Short-Term Investments - 3.1%

 

State Street Institutional Treasury Money Market Fund - Premier Class 1.52% (c)(d)

      3,100,915          3,100,915  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.57% (a)(c)(d)

      3,096,155          3,096,155  
       

 

 

  
Total Short-Term Investments
(Cost $6,197,070)

 

        6,197,070  
       

 

 

  
Total Investments
(Cost $143,585,093)

 

        198,503,445  
Other Assets and Liabilities, net - 0.3%

 

        619,910  
       

 

 

  
NET ASSETS - 100.0%

 

        199,123,355  
       

 

 

  
 

Other Information:

The Fund had the following long futures contracts open at December 31, 2019:

 

Description    Expiration
date		      Number of
Contracts		      Notional
Amount		     
Value		      Unrealized
Appreciation		  

MSCI EAFE Mini Index Futures

      March 2020        28      $ 2,844,311      $ 2,851,100      $ 6,789  
              

 

 

  

 

During the year ended December 31, 2019, average notional value related to long futures contracts was $219,315 or 0.1% of net assets.

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 the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

At December 31, 2019, all or a portion of this security was pledged to cover collateral requirements for futures.

(b)

Non-income producing security.

(c)

Coupon amount represents effective yield.

(d)

Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

†

Percentages are based on net assets as of December 31, 2019.

Abbreviations:

ADR - American Depositary Receipt

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun International Equity Fund     7  

Table of Contents

Elfun International Equity Fund

Schedule of Investments, continued — December 31, 2019

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2019:

 

Fund    Investments    Level 1      Level 2      Level 3      Total  
Elfun International Equity Fund   

Investments in Securities

            
  

Common Stock

    $ 192,306,375      $ —      $ —      $ 192,306,375  
  

Short-Term Investments

      6,197,070        —        —        6,197,070  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Total Investments in Securities

    $ 198,503,445      $ —      $ —      $ 198,503,445  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Other Financial Instruments

            
  

Long Futures Contracts - Unrealized Appreciation

    $ 6,789      $ —      $ —      $ 6,789  
     

 

 

     

 

 

     

 

 

     

 

 

  

The Fund was invested in the following sectors at December 31, 2019 (unaudited):

 

Sector    Percentage
(based on
Fair Value)		  

Pharmaceuticals

      10.15%  

Diversified Banks

      8.46%  

Packaged Foods & Meats

      5.97%  

Life & Health Insurance

      4.94%  

Aerospace & Defense

      4.50%  

Semiconductor Equipment

      4.40%  

Electronic Equipment & Instruments

      4.31%  

Building Products

      4.16%  

Electrical Components & Equipment

      3.89%  

Personal Products

      3.84%  

Integrated Oil & Gas

      3.36%  

Healthcare Supplies

      3.16%  

Application Software

      2.76%  

Wireless Telecommunication Services

      2.62%  

Industrial Gases

      2.57%  

Electronic Components

      2.28%  

Multi-Line Insurance

      1.94%  

Movies & Entertainment

      1.89%  

Financial Exchanges & Data

      1.86%  

Diversified Metals & Mining

      1.81%  

Diversified Real Estate Activities

      1.63%  
Sector    Percentage
(based on
Fair Value)		  

Construction Machinery & Heavy Trucks

      1.51%  

Property & Casualty Insurance

      1.50%  

Construction Materials

      1.49%  

Specialty Chemicals

      1.44%  

Security & Alarm Services

      1.40%  

Semiconductors

      1.30%  

Brewers

      1.26%  

Industrial Machinery

      1.22%  

Industrial Conglomerates

      1.19%  

Automobile Manufacturers

      1.08%  

Asset Management & Custody Banks

      1.07%  

Apparel Retail

      0.93%  

Education Services

      0.50%  

Healthcare Services

      0.49%  
  

 

 

  
     96.88%  
  

 

 

  

Short-Term Investments

   

Short-Term Investments

      3.12%  
  

 

 

  
     3.12%  
  

 

 

  
     100.00%  
  

 

 

  
 

 

Affiliate Table

 

     Number
of Shares
Held at
12/31/18		     Value at
12/31/18		     Cost of
Purchases		     Proceeds
from Shares
Sold		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
Depreciation		     Number
of Shares
Held at
12/31/19		     Value at
12/31/19		     Dividend
Income		  

State Street Institutional Treasury Money Market Fund - Premier Class

     3,394,148     $ 3,394,148     $ 25,328,151     $ 25,621,384     $ —     $ —       3,100,915     $ 3,100,915     $ 48,963  

State Street Institutional U.S. Government Money Market Fund, Class G Shares

     2,740,984       2,740,984       16,046,962       15,691,791       —       —       3,096,155       3,096,155       32,859  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

TOTAL

     $ 6,135,132     $ 41,375,113     $ 41,313,175     $ —     $ —       $ 6,197,070     $ 81,822  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

8   Elfun International Equity Fund

Table of Contents

Elfun Trusts

Management’s Discussion of Fund Performance — December 31, 2019 (Unaudited)

 

 

Elfun Trusts (the “Fund”) seeks to provide long-term growth of capital and future income rather than current income. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 35.57% and the Index was 31.49%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Broad-based outperformance in the technology, communications services, industrial and real estate sectors were primary drivers of Fund performance during the Reporting Period relative to the Index. The Fund benefitted from an overweight to the information technology sector, which was the best performing sector in the Index. In addition, the Fund’s holdings in the sector outperformed with strong performance from a rebound in semiconductor stocks (e.g. Applied Materials & ASML), IT services (Visa), and software (e.g. Servicenow & Microsoft). In communication services, the Fund’s second largest average overweight during the year, Charter Communications surged as it continued to realize synergistic benefit from its 2016 acquisition of Time Warner Cable and strength in its broadband business. A negative for the Fund was its overweight in healthcare. The healthcare sector was up nearly 21% during the Reporting Period, but this was significantly behind the market which was up more than 31%. While the sector overweight in healthcare was a detractor, it was partially offset by positive stock selection within the sector.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Microsoft, Apple, and Charter Communications. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Lyft, Pfizer, and Albemarle.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

Elfun Trusts     9  

Table of Contents

Elfun Trusts

Understanding Your Fund’s Expenses (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 December 31, 2019.

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)		  

Actual Fund Return

      

Beginning Account Value

July 1, 2019

    $ 1,000.00      $ 1,000.00  

Ending Account Value

December 31, 2019

    $ 1,125.70      $ 1,024.30  

Expenses Paid During the Period*

    $ 0.96      $ 0.92  

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.18% (for the period July 1, 2019-December 31, 2019), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

 

10   Elfun Trusts

Table of Contents

Elfun Trusts

Performance Summary — December 31, 2019 (Unaudited)

 

 

Top Ten Largest Holdings

as of December 31, 2019 (as a % of Fair Value) (a)(b)

 

Visa Inc., Class A

     5.22 % 

JPMorgan Chase & Co.

     4.83 % 

Mircosoft Corp.

     4.61 % 

PepsiCo Inc.

     4.37 % 

The Walt Disnet Co.

     4.21 % 

American Tower Corp.

     3.91 % 

CME Group Inc.

     3.88 % 

Alphabet Inc., Class C

     3.54 % 

Charter Communications Inc., Class A

     3.41 % 

Apple Inc.

     3.38 % 

Sector Allocation as of December 31, 2019

Portfolio composition as a % of Fair Value of $2,425,342 (in thousands) as of December 31, 2019 (a)(b)

 

LOGO

Average Annual Total Return for the periods ended December 31, 2019

(Inception date: 5/27/35)

 

    One Year     Five Year     Ten Year     Ending Value
of a $10,000
Investment		  

Elfun Trusts

     35.57 %      12.16 %      14.18 %    $ 37,113  

S&P 500 Index

     31.49 %      11.70 %      13.56 %    $ 35,666  
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in affiliated 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.

 

Elfun Trusts     11  

Table of Contents

Elfun Trusts

Performance Summary, continued — December 31, 2019 (Unaudited)

 

 

LOGO

 

 

See Notes to Performance beginning on page 1 for further information.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

12   Elfun Trusts

Table of Contents

Elfun Trusts

Schedule of Investments — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       
Common Stock - 97.1%†

 

Application Software - 2.3%

 

salesforce.com Inc. (a)

      425,400          69,187,056  
       

 

 

  

Biotechnology - 5.4%

 

Alexion Pharmaceuticals Inc. (a)

      529,500          57,265,425  

Gilead Sciences Inc.

      691,100          44,907,678  

Vertex Pharmaceuticals Inc. (a)

      261,600          57,277,320  
       

 

 

  
          159,450,423  
       

 

 

  

Cable & Satellite - 3.2%

 

Charter Communications Inc., Class A (a)

      198,000          96,045,840  
       

 

 

  

Data Processing & Outsourced Services - 8.1%

 

Fidelity National Information Services Inc.

      407,800          56,720,902  

Mastercard Inc., Class A

      90,000          26,873,100  

Visa Inc., Class A

      840,000          157,836,000  
       

 

 

  
          241,430,002  
       

 

 

  

Diversified Banks - 5.5%

 

JPMorgan Chase & Co.

      1,170,000          163,098,000  
       

 

 

  

Electronic Components - 1.0%

 

Corning Inc.

      1,000,000          29,110,000  
       

 

 

  

Financial Exchanges & Data - 5.3%

 

CME Group Inc.

      396,800          79,645,696  

S&P Global Inc.

      287,000          78,365,350  
       

 

 

  
          158,011,046  
       

 

 

  

Healthcare Equipment - 2.0%

 

Boston Scientific Corp. (a)

      1,316,000          59,509,520  
       

 

 

  

Industrial Conglomerates - 2.1%

 

Honeywell International Inc.

      346,900          61,401,300  
       

 

 

  

Integrated Oil & Gas - 2.3%

 

Chevron Corp.

      566,600          68,280,966  
       

 

 

  

Interactive Media & Services - 7.5%

 

Alphabet Inc., Class A (a)

      38,000          50,896,820  

Alphabet Inc., Class C (a)

      83,000          110,972,660  

Facebook Inc., Class A (a)

      297,700          61,102,925  
       

 

 

  
          222,972,405  
       

 

 

  

Internet & Direct Marketing Retail - 5.5%

 

Alibaba Group Holding Ltd.
ADR (a)

      151,100          32,048,310  

Amazon.com Inc. (a)

      62,900          116,229,136  

Booking Holdings Inc. (a)

      8,000          16,429,840  
       

 

 

  
          164,707,286  
       

 

 

  
     Number
of Shares		        Fair
Value
$		  

Managed Healthcare - 2.7%

 

UnitedHealth Group Inc.

      274,100          80,579,918  
       

 

 

  

Movies & Entertainment - 4.0%

 

The Walt Disney Co.

      825,000          119,319,750  
       

 

 

  

Multi-Utilities - 0.5%

 

Sempra Energy

      99,300          15,041,964  
       

 

 

  

Oil & Gas Equipment & Services - 2.3%

 

Schlumberger Ltd.

      1,730,000          69,546,000  
       

 

 

  

Pharmaceuticals - 8.3%

 

Allergan PLC

      282,300          53,967,291  

Elanco Animal Health Inc. (a)

      1,102,500          32,468,625  

Johnson & Johnson

      541,300          78,959,431  

Merck & Company Inc.

      679,100          61,764,145  

Pfizer Inc.

      500,000          19,590,000  
       

 

 

  
          246,749,492  
       

 

 

  

Regional Banks - 2.5%

 

First Republic Bank

      640,000          75,168,000  
       

 

 

  

Semiconductor Equipment - 4.7%

 

Applied Materials Inc.

      1,681,300          102,626,552  

ASML Holding N.V.

      131,100          38,797,734  
       

 

 

  
          141,424,286  
       

 

 

  

Soft Drinks - 3.4%

 

PepsiCo Inc.

      730,000          99,769,100  
       

 

 

  

Specialized REITs - 2.6%

 

American Tower Corp.

      340,000          78,138,800  
       

 

 

  

Specialty Chemicals - 0.8%

 

Albemarle Corp.

      340,000          24,833,600  
       

 

 

  

Systems Software - 7.5%

 

Microsoft Corp.

      1,155,000          182,143,500  

ServiceNow Inc. (a)

      141,200          39,863,584  
       

 

 

  
          222,007,084  
       

 

 

  

Technology Hardware, Storage & Peripherals - 4.4%

 

Apple Inc.

      445,900          130,938,535  
       

 

 

  

Trading Companies & Distributors - 2.6%

 

United Rentals Inc. (a)

      467,000          77,881,590  
       

 

 

  

Trucking - 0.6%

 

Lyft Inc., Class A (a)

      423,700          18,227,574  
       

 

 

  
Total Common Stock
(Cost $1,565,903,159)

 

        2,892,829,537  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Trusts     13  

Table of Contents

Elfun Trusts

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       
Short-Term Investments - 2.8%

 

State Street Institutional Treasury Money Market Fund - Premier Class 1.52% (b)(c)

      42,258,371          42,258,371  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.57% (b)(c)

      40,744,978          40,744,978  
       

 

 

  
Total Short-Term Investments
(Cost $83,003,349)

 

        83,003,349  
       

 

 

  
Total Investments
(Cost $1,648,906,508)

 

        2,975,832,886  
Other Assets and Liabilities, net - 0.1%

 

        3,389,497  
       

 

 

  
NET ASSETS - 100.0%

 

        2,979,222,383  
       

 

 

  

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 the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

Non-income producing security.

(b)

Coupon amount represents effective yield.

(c)

Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

†

Percentages are based on net assets as of December 31, 2019.

Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2019:

 

Fund    Investments    Level 1      Level 2      Level 3      Total  
Elfun Trusts   

Investments in Securities

            
  

Common Stock

    $ 2,892,829,537      $ —      $ —      $ 2,892,829,537  
  

Short-Term Investments

      83,003,349        —        —        83,003,349  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Total Investments in Securities

    $ 2,975,832,886      $ —      $ —      $ 2,975,832,886  
     

 

 

     

 

 

     

 

 

     

 

 

  

 

Affiliate Table

 

     Number
of Shares
Held at
12/31/18		     Value at
12/31/18		     Cost of
Purchases		     Proceeds
from
Shares
Sold		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
Depreciation		     Number
of Shares
Held at
12/31/19		     Value at
12/31/19		     Dividend
Income		  

State Street Institutional Treasury Money Market Fund - Premier Class

     30,743,339     $ 30,743,339     $ 182,557,349     $ 171,042,317     $ —     $ —       42,258,371     $ 42,258,371     $ 677,423  

State Street Institutional U.S. Government Money Market Fund, Class G Shares

     29,975,892       29,975,892       181,811,401       171,042,315       —       —       40,744,978       40,744,978       674,499  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

TOTAL

     $ 60,719,231     $ 364,368,750     $ 342,084,632     $ —     $ —       $ 83,003,349     $ 1,351,922  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

14   Elfun Trusts

Table of Contents

Elfun Diversified Fund

Management’s Discussion of Fund Performance — December 31, 2019 (Unaudited)

 

 

The Elfun Diversified Fund (the “Fund”) seeks the highest total return consistent with prudent investment management and the preservation of capital (total return includes both income and capital appreciation). The Fund’s benchmarks are the S&P 500 Index, MSCI All Country World ex-U.S. Index and the Bloomberg Barclays U.S. Aggregate Bond Index (the “Indices”).

For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Fund was 19.58% and the returns for the S&P 500 Index, the MSCI All Country World ex U.S. and the Bloomberg Barclays U.S. Aggregate Bond Index were 31.49%, 21.51% and 8.72%, respectively. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Indices are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The biggest drivers of the Fund’s performance were its positions in the S&P 500 Index and the MSCI All Country World ex-U.S. Index both of which posted strong positive returns for the Reporting Period. Additionally, investments in fixed income securities also produced positive absolute returns.

The Fund has a given strategic target allocation weighting of 35% investment in the S&P 500 Index (U.S. equities), 25% investment in the MSCI All Country World ex U.S. Index (international equities), and 40% investment in the Bloomberg Barclays U.S. Aggregate Bond Index (fixed income). The Fund began the Reporting Period neutral to U.S. and international equities, with a modest overweight to cash offset with an underweight to fixed income. The equity rally in the first half of the Reporting Period resulted in an overweight in the Fund to both U.S. and international equities and an increased underweight to fixed income. Tactical reductions in equity exposure were implemented in March and June to position the Fund defensively. In the middle of the third quarter the Fund further reduced equity exposure, opening a modest underweight to both U.S. and international equities, while using the proceeds along with a portion of the cash holdings to further reduce the fixed income underweight. There were no allocation changes made during the 4th quarter as the equity positions were allowed to appreciate as U.S. and international equities rallied to close the Reporting Period. Due to the strong 4th quarter equity rally, the Fund finished the Reporting Period with an overweight to international and U.S. equities, as well as an overweight to cash, and an underweight to fixed income.

In the U.S., an easing monetary condition was a persistent theme throughout the Reporting Period as the Federal Reserve provided stimulus in the form of three interest rate cuts. Additional support to sustain the U.S. economic expansion came when Jerome Powell announced an end to the balance sheet reduction program and began to increase the balance sheet in the 4th quarter. The multifaceted boosts to the financial market, including an easing monetary environment provided by the Federal Reserve, a strong U.S. consumer sentiment and a constructive progress between U.S. and China on trade negotiations that culminated in an announcement of a phase one trade deal in December, resulted in strong gains for the U.S. equity markets.

International equities, while trailing the U.S. markets return, also posted strong annual performance. Deterioration in global growth, political risk related to Brexit, trade tensions and a strong U.S. dollar were headwinds throughout 2019. Global central bank stimulus along with receding recession fears helped the market climb the “wall of worry”. International equities closed the Reporting Period strong as the 4th quarter yielded a mostly constructive global backdrop, reversing all of the headwinds that were overclouding at the beginning of 1st quarter 2019.

Within fixed income, bond prices benefitted from economic data largely disappointing during the first quarter. March resulted in a particularly steep drop in the 10-year Treasury yield as the Federal Fund futures began to price a greater likelihood of a rate cut than an increase in 2019. The trend lower in yields would continue through the third quarter as the US yield curve, measured using yields on the 10-year and 2-year notes, inverted for the first time since the Global Financial Crisis. Trade and monetary policy would continue to cause interest rates to ebb and flow throughout the fourth quarter. However, reports of the US-China phase one trade deal ultimately pushed yields higher with the 10-year yield finishing the 4th quarter 24 bps higher than where it started, but down 74 bps for the Reporting Period.

The Fund used equity and treasury futures, interest rate swaps and other derivatives in order to actively manage equity exposure and duration during the Reporting Period. The Fund’s use of these derivatives contributed to Fund liquidity and exposure management versus utilizing cash instruments only.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

Elfun Diversified Fund     15  

Table of Contents

Elfun Diversified Fund

Understanding Your Fund’s Expenses (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 December 31, 2019.

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)		  

Actual Fund Return

      

Beginning Account Value

July 1, 2019

    $ 1,000.00      $ 1,000.00  

Ending Account Value

December 31, 2019

    $ 1,063.90      $ 1,023.79  

Expenses Paid During the Period*

    $ 1.46      $ 1.43  

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.28%** (for the period July 1, 2019-December 31, 2019), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

**

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

16   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Performance Summary — December 31, 2019 (Unaudited)

 

 

Top Ten Largest Equity Holdings

as of December 31, 2019 (as a % of Fair Value) (a)(b)

 

Apple Inc.

     1.51 % 

Microsoft Corp.

     1.48 % 

Dreyfus Treasury Cash Management - Institutional Shares

     1.30 % 

Amazon.com Inc.

     0.95 % 

Facebook Inc., Class A

     0.61 % 

Berkshire Hathaway Inc., Class B

     0.55 % 

JPMorgan Chase & Co.

     0.54 % 

Alphabet Inc., Class C

     0.49 % 

Alphabet Inc., Class A

     0.49 % 

Johnson & Johnson

     0.47 % 

Sector Allocation

Portfolio composition as a % of Fair Value of $213,826 (in thousands) as of December 31, 2019 (a)(b)

 

 

LOGO

Average Annual Total Return for the periods ended December 31, 2019

(Inception date: 01/01/88)

 

    One Year     Five Year     Ten Year     Ending Value
of a $10,000
Investment		  

Elfun Diversified Fund

     19.58 %      6.31 %      7.24 %    $ 20,110  

S&P 500® Index

     31.49 %      11.70 %      13.56 %    $ 35,666  

MSCI All Country World Index ex-U.S.

     21.51 %      5.51 %      4.97 %    $ 16,236  

Bloomberg Barclays U.S. Aggregate Bond Index

     8.72 %      3.05 %      3.75 %    $ 14,445  
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investments in 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 State Street Global Equity ex-U.S. Index Portfolio.

 

Elfun Diversified Fund     17  

Table of Contents

Elfun Diversified Fund

Performance Summary, continued — December 31, 2019 (Unaudited)

 

 

LOGO

 

See Notes to Performance beginning on page 1 for further information.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

18   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       
Domestic Equity - 34.6%†

 

     

Common Stock - 34.6%

        

Advertising - 0.0%*

        

Omnicom Group Inc.

      541          43,832  

The Interpublic Group of Companies Inc.

      966          22,314  
       

 

 

  
          66,146  
       

 

 

  

Aerospace & Defense - 0.9%

 

     

Arconic Inc.

      1,019          31,354  

General Dynamics Corp.

      632          111,453  

Huntington Ingalls Industries Inc.

      118          29,604  

L3Harris Technologies Inc.

      578          114,369  

Lockheed Martin Corp.

      648          252,318  

Northrop Grumman Corp.

      411          141,372  

Raytheon Co.

      724          159,092  

Textron Inc.

      598          26,671  

The Boeing Co.

      1,411          459,647  

TransDigm Group Inc.

      134          75,040  

United Technologies Corp.

      2,122          317,791  
       

 

 

  
          1,718,711  
       

 

 

  

Agricultural & Farm Machinery - 0.1%

 

     

Deere & Co.

      825          142,939  
       

 

 

  

Agricultural Products - 0.0%*

 

     

Archer-Daniels-Midland Co.

      1,475          68,366  
       

 

 

  

Air Freight & Logistics - 0.2%

 

     

CH Robinson Worldwide Inc.

      343          26,822  

Expeditors International of Washington Inc.

      439          34,251  

FedEx Corp.

      638          96,472  

United Parcel Service Inc., Class B

      1,827          213,869  
       

 

 

  
          371,414  
       

 

 

  

Airlines - 0.1%

        

Alaska Air Group Inc.

      321          21,748  

American Airlines Group Inc.

      1,094          31,376  

Delta Air Lines Inc.

      1,500          87,720  

Southwest Airlines Co.

      1,272          68,662  

United Airlines Holdings Inc. (a)

      536          47,216  
       

 

 

  
          256,722  
       

 

 

  

Alternative Carriers - 0.0%*

 

     

CenturyLink Inc.

      2,674          35,324  
       

 

 

  

Apparel Retail - 0.2%

        

L Brands Inc.

      587          10,636  

Ross Stores Inc.

      963          112,113  
     Number
of Shares		        Fair
Value
$		  

The Gap Inc.

      530          9,370  

The TJX Companies Inc.

      3,196          195,148  
       

 

 

  
       327,267  
       

 

 

  

Apparel, Accessories & Luxury Goods - 0.1%

 

Hanesbrands Inc.

      996          14,791  

PVH Corp.

      208          21,871  

Ralph Lauren Corp.

      113          13,246  

Tapestry Inc.

      636          17,153  

Under Armour Inc., Class A (a)

      479          10,346  

Under Armour Inc., Class C (a)

      482          9,245  

VF Corp.

      872          86,903  
       

 

 

  
          173,555  
       

 

 

  

Application Software - 0.6%

 

     

Adobe Inc. (a)

      1,277          421,167  

ANSYS Inc. (a)

      231          59,462  

Autodesk Inc. (a)

      586          107,507  

Cadence Design Systems Inc. (a)

      700          48,552  

Citrix Systems Inc.

      323          35,821  

Intuit Inc.

      677          177,327  

salesforce.com Inc. (a)

      2,339          380,415  

Synopsys Inc. (a)

      410          57,072  
       

 

 

  
          1,287,323  
       

 

 

  

Asset Management & Custody Banks - 0.3%

 

Ameriprise Financial Inc.

      341          56,804  

BlackRock Inc.

      311          156,340  

Franklin Resources Inc.

      792          20,576  

Invesco Ltd.

      1,109          19,940  

Northern Trust Corp.

      564          59,919  

State Street Corp. (b)

      984          77,835  

T Rowe Price Group Inc.

      619          75,419  

The Bank of New York Mellon Corp.

      2,195          110,474  
       

 

 

  
          577,307  
       

 

 

  

Auto Parts & Equipment - 0.0%*

 

     

BorgWarner Inc.

      539          23,382  
       

 

 

  

Automobile Manufacturers - 0.1%

 

     

Ford Motor Co.

      10,315          95,929  

General Motors Co.

      3,333          121,988  
       

 

 

  
          217,917  
       

 

 

  

Automotive Retail - 0.1%

        

Advance Auto Parts Inc.

      195          31,231  

AutoZone Inc. (a)

      64          76,244  

CarMax Inc. (a)

      403          35,331  

O’Reilly Automotive Inc. (a)

      202          88,529  
       

 

 

  
          231,335  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     19  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Biotechnology - 0.7%

        

AbbVie Inc.

      3,870          342,650  

Alexion Pharmaceuticals Inc. (a)

      595          64,349  

Amgen Inc.

      1,567          377,757  

Biogen Inc. (a)

      473          140,353  

Gilead Sciences Inc.

      3,276          212,875  

Incyte Corp. (a)

      475          41,477  

Regeneron Pharmaceuticals Inc. (a)

      213          79,977  

Vertex Pharmaceuticals Inc. (a)

      676          148,010  
       

 

 

  
          1,407,448  
       

 

 

  

Brewers - 0.0%*

        

Molson Coors Brewing Co., Class B

      481          25,926  
       

 

 

  

Broadcasting - 0.1%

        

Discovery Inc., Class A (a)

      361          11,819  

Discovery Inc., Class C (a)

      797          24,300  

Fox Corp., Class A

      997          36,959  

Fox Corp., Class B (a)

      483          17,581  

ViacomCBS Inc., Class B

      1,479          62,074  
       

 

 

  
          152,733  
       

 

 

  

Building Products - 0.1%

        

AO Smith Corp.

      400          19,056  

Fortune Brands Home & Security Inc.

      378          24,699  

Johnson Controls International PLC

      2,080          84,677  

Masco Corp.

      773          37,096  
       

 

 

  
          165,528  
       

 

 

  

Cable & Satellite - 0.4%

        

Charter Communications Inc., Class A (a)

      412          199,853  

Comcast Corp., Class A

      11,996          539,460  

DISH Network Corp., Class A (a)

      632          22,417  
       

 

 

  
          761,730  
       

 

 

  

Casinos & Gaming - 0.1%

        

Las Vegas Sands Corp.

      900          62,136  

MGM Resorts International

      1,420          47,243  

Wynn Resorts Ltd.

      241          33,468  
       

 

 

  
          142,847  
       

 

 

  

Commodity Chemicals - 0.1%

 

     

Dow Inc. (a)

      1,982          108,475  

LyondellBasell Industries N.V., Class A

      676          63,868  
       

 

 

  
          172,343  
       

 

 

  
     Number
of Shares		        Fair
Value
$		  

Communications Equipment - 0.3%

 

     

Arista Networks Inc. (a)

      144          29,290  

Cisco Systems Inc.

      11,160          535,234  

F5 Networks Inc. (a)

      168          23,461  

Juniper Networks Inc.

      845          20,812  

Motorola Solutions Inc.

      453          72,996  
       

 

 

  
          681,793  
       

 

 

  

Computer & Electronics Retail - 0.0%*

 

Best Buy Company Inc.

      618          54,260  
       

 

 

  

Construction & Engineering - 0.0%*

 

     

Jacobs Engineering Group Inc.

      356          31,980  

Quanta Services Inc.

      358          14,574  
       

 

 

  
          46,554  
       

 

 

  

Construction Machinery & Heavy Trucks - 0.2%

 

Caterpillar Inc.

      1,453          214,579  

Cummins Inc.

      404          72,300  

PACCAR Inc.

      925          73,168  

Westinghouse Air Brake Technologies Corp.

      499          38,822  
       

 

 

  
          398,869  
       

 

 

  

Construction Materials - 0.1%

 

Martin Marietta Materials Inc.

      167          46,700  

Vulcan Materials Co.

      348          50,108  
       

 

 

  
          96,808  
       

 

 

  

Consumer Electronics - 0.0%*

 

     

Garmin Ltd.

      390          38,048  
       

 

 

  

Consumer Finance - 0.2%

        

American Express Co.

      1,765          219,725  

Capital One Financial Corp.

      1,251          128,741  

Discover Financial Services

      827          70,146  

Synchrony Financial

      1,616          58,192  
       

 

 

  
          476,804  
       

 

 

  

Copper - 0.0%*

        

Freeport-McMoRan Inc.

      3,827          50,210  
       

 

 

  

Data Processing & Outsourced Services - 1.4%

 

Alliance Data Systems Corp.

      96          10,771  

Automatic Data Processing Inc.

      1,137          193,859  

Broadridge Financial Solutions Inc.

      304          37,556  

Fidelity National Information Services Inc.

      1,616          224,769  

Fiserv Inc. (a)

      1,514          175,064  

FleetCor Technologies Inc. (a)

      225          64,737  

Global Payments Inc.

      787          143,675  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

20   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Jack Henry & Associates Inc.

      196          28,551  

Mastercard Inc., Class A

      2,345          700,194  

Paychex Inc.

      851          72,386  

PayPal Holdings Inc. (a)

      3,072          332,298  

The Western Union Co.

      1,191          31,895  

Visa Inc., Class A

      4,496          844,798  
       

 

 

  
       2,860,553  
       

 

 

  

Department Stores - 0.0%*

 

Kohl’s Corp.

      452          23,030  

Macy’s Inc.

      919          15,623  

Nordstrom Inc.

      309          12,647  
       

 

 

  
       51,300  
       

 

 

  

Distillers & Vintners - 0.1%

 

Brown-Forman Corp., Class B

      462          31,231  

Constellation Brands Inc., Class A

      454          86,147  
       

 

 

  
       117,378  
       

 

 

  

Distributors - 0.0%*

 

Genuine Parts Co.

      370          39,305  

LKQ Corp. (a)

      836          29,845  
       

 

 

  
       69,150  
       

 

 

  

Diversified Banks - 1.6%

 

Bank of America Corp.

      21,297          750,080  

Citigroup Inc.

      5,755          459,767  

JPMorgan Chase & Co.

      8,243          1,149,074  

U.S. Bancorp

      3,741          221,804  

Wells Fargo & Co.

      10,185          547,953  
       

 

 

  
       3,128,678  
       

 

 

  

Diversified Chemicals - 0.0%*

 

Eastman Chemical Co.

      349          27,662  
       

 

 

  

Diversified Support Services - 0.1%

 

     

Cintas Corp.

      217          58,390  

Copart Inc. (a)

      560          50,927  
       

 

 

  
       109,317  
       

 

 

  

Drug Retail - 0.1%

 

Walgreens Boots Alliance Inc.

      2,001          117,979  
       

 

 

  

Electric Utilities - 0.7%

        

Alliant Energy Corp.

      590          32,285  

American Electric Power Company Inc.

      1,301          122,957  

Duke Energy Corp.

      1,896          172,934  

Edison International

      943          71,112  

Entergy Corp.

      511          61,218  
     Number
of Shares		        Fair
Value
$		  
       

Evergy Inc.

      609          39,640  

Eversource Energy

      792          67,375  

Exelon Corp.

      2,610          118,990  

FirstEnergy Corp.

      1,462          71,053  

NextEra Energy Inc.

      1,278          309,480  

Pinnacle West Capital Corp.

      290          26,080  

PPL Corp.

      1,860          66,737  

The Southern Co.

      2,760          175,812  

Xcel Energy Inc.

      1,386          87,997  
       

 

 

  
       1,423,670  
       

 

 

  

Electrical Components & Equipment - 0.2%

 

AMETEK Inc.

      613          61,140  

Eaton Corporation PLC

      1,108          104,950  

Emerson Electric Co.

      1,604          122,321  

Rockwell Automation Inc.

      307          62,220  
       

 

 

  
       350,631  
       

 

 

  

Electronic Components - 0.1%

 

Amphenol Corp., Class A

      799          86,476  

Corning Inc.

      1,923          55,978  
       

 

 

  
       142,454  
       

 

 

  

Electronic Equipment & Instruments - 0.1%

 

FLIR Systems Inc.

      373          19,422  

Keysight Technologies Inc. (a)

      500          51,315  

Zebra Technologies Corp., Class A (a)

      100          25,544  
       

 

 

  
       96,281  
       

 

 

  

Electronic Manufacturing Services - 0.0%*

 

IPG Photonics Corp. (a)

      100          14,492  
       

 

 

  

Environmental & Facilities Services - 0.1%

 

Republic Services Inc.

      542          48,580  

Rollins Inc.

      350          11,606  

Waste Management Inc.

      1,046          119,202  
       

 

 

  
          179,388  
       

 

 

  

Fertilizers & Agricultural Chemicals - 0.1%

 

CF Industries Holdings Inc.

      601          28,691  

Corteva Inc. (a)

      1,882          55,632  

FMC Corp.

      368          36,734  

The Mosaic Co.

      864          18,697  
       

 

 

  
       139,754  
       

 

 

  

Financial Exchanges & Data - 0.4%

 

Cboe Global Markets Inc.

      287          34,440  

CME Group Inc.

      942          189,078  

Intercontinental Exchange Inc.

      1,459          135,031  

MarketAxess Holdings Inc.

      100          37,911  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     21  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Moody’s Corp.

      439          104,223  

MSCI Inc.

      229          59,123  

Nasdaq Inc.

      308          32,987  

S&P Global Inc.

      642          175,298  
       

 

 

  
       768,091  
       

 

 

  

Food Distributors - 0.1%

 

Sysco Corp.

      1,328          113,597  
       

 

 

  

Food Retail - 0.0%*

        

The Kroger Co.

      2,167          62,821  
       

 

 

  

Footwear - 0.2%

        

NIKE Inc., Class B

      3,284          332,702  
       

 

 

  

Gas Utilities - 0.0%*

        

Atmos Energy Corp.

      305          34,117  
       

 

 

  

General Merchandise Stores - 0.2%

 

     

Dollar General Corp.

      665          103,727  

Dollar Tree Inc. (a)

      620          58,311  

Target Corp.

      1,355          173,724  
       

 

 

  
       335,762  
       

 

 

  

Gold - 0.0%*

 

Newmont Goldcorp Corp.

      2,200          95,590  
       

 

 

  

Health Care REITs - 0.1%

        

Healthpeak Properties Inc.

      1,327          45,742  

Ventas Inc.

      1,018          58,779  

Welltower Inc.

      1,009          82,516  
       

 

 

  
       187,037  
       

 

 

  

Healthcare Distributors - 0.1%

 

AmerisourceBergen Corp.

      358          30,437  

Cardinal Health Inc.

      762          38,542  

Henry Schein Inc. (a)

      364          24,286  

McKesson Corp.

      467          64,596  
       

 

 

  
       157,861  
       

 

 

  

Healthcare Equipment - 1.0%

 

Abbott Laboratories

      4,677          406,244  

ABIOMED Inc. (a)

      124          21,153  

Baxter International Inc.

      1,288          107,703  

Becton Dickinson and Co.

      704          191,467  

Boston Scientific Corp. (a)

      3,699          167,269  

Danaher Corp.

      1,696          260,302  

Edwards Lifesciences Corp. (a)

      556          129,709  

Hologic Inc. (a)

      686          35,816  

IDEXX Laboratories Inc. (a)

      236          61,627  

Intuitive Surgical Inc. (a)

      301          177,936  

ResMed Inc.

      369          57,184  
     Number
of Shares		        Fair
Value
$		  
       

STERIS PLC

      200          30,484  

Stryker Corp.

      845          177,399  

Teleflex Inc.

      126          47,431  

Varian Medical Systems Inc. (a)

      257          36,497  

Zimmer Biomet Holdings Inc.

      535          80,079  
       

 

 

  
       1,988,300  
       

 

 

  

Healthcare Facilities - 0.1%

 

HCA Healthcare Inc.

      702          103,763  

Universal Health Services Inc., Class B

      215          30,844  
       

 

 

  
       134,607  
       

 

 

  

Healthcare Services - 0.3%

 

Cigna Corp. (a)

      996          203,672  

CVS Health Corp.

      3,424          254,369  

DaVita Inc. (a)

      261          19,583  

Laboratory Corporation of America Holdings (a)

      269          45,507  

Quest Diagnostics Inc.

      351          37,483  
       

 

 

  
       560,614  
       

 

 

  

Healthcare Supplies - 0.1%

 

Align Technology Inc. (a)

      189          52,739  

DENTSPLY SIRONA Inc.

      553          31,294  

The Cooper Companies Inc.

      126          40,482  
       

 

 

  
       124,515  
       

 

 

  

Healthcare Technology - 0.0%*

 

Cerner Corp.

      826          60,620  
       

 

 

  

Home Building - 0.1%

        

D.R. Horton Inc.

      853          44,996  

Lennar Corp., Class A

      756          42,177  

NVR Inc. (a)

      9          34,276  

PulteGroup Inc.

      699          27,121  
       

 

 

  
       148,570  
       

 

 

  

Home Furnishings - 0.0%*

 

Leggett & Platt Inc.

      394          20,027  

Mohawk Industries Inc. (a)

      173          23,594  
       

 

 

  
       43,621  
       

 

 

  

Home Improvement Retail - 0.4%

 

Lowe’s Companies Inc.

      2,017          241,556  

The Home Depot Inc.

      2,881          629,153  
       

 

 

  
       870,709  
       

 

 

  

Hotel & Resort REITs - 0.0%*

 

Host Hotels & Resorts Inc.

      2,033          37,712  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

22   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Hotels, Resorts & Cruise Lines - 0.2%

 

     

Carnival Corp.

      1,099          55,862  

Hilton Worldwide Holdings Inc.

      760          84,291  

Marriott International Inc., Class A

      725          109,787  

Norwegian Cruise Line Holdings Ltd. (a)

      548          32,009  

Royal Caribbean Cruises Ltd.

      472          63,017  
       

 

 

  
       344,966  
       

 

 

  

Household Appliances - 0.0%*

 

Whirlpool Corp.

      166          24,490  
       

 

 

  

Household Products - 0.6%

 

     

Church & Dwight Company Inc.

      655          46,073  

Colgate-Palmolive Co.

      2,226          153,238  

Kimberly-Clark Corp.

      921          126,683  

The Clorox Co.

      344          52,818  

The Procter & Gamble Co.

      6,550          818,095  
       

 

 

  
       1,196,907  
       

 

 

  

Housewares & Specialties - 0.0%*

 

Newell Brands Inc.

      1,012          19,451  
       

 

 

  

Human Resource & Employment Services - 0.0%*

 

Robert Half International Inc.

      266          16,798  
       

 

 

  

Hypermarkets & Super Centers - 0.4%

 

Costco Wholesale Corp.

      1,172          344,474  

Walmart Inc.

      3,743          444,818  
       

 

 

  
       789,292  
       

 

 

  

Independent Power Producers & Energy Traders - 0.0%*

 

AES Corp.

      1,655          32,935  

NRG Energy Inc.

      655          26,036  
       

 

 

  
       58,971  
       

 

 

  

Industrial Conglomerates - 0.5%

 

3M Co.

      1,529          269,746  

General Electric Co.

      22,973          256,379  

Honeywell International Inc.

      1,883          333,291  

Roper Technologies Inc.

      271          95,996  
       

 

 

  
       955,412  
       

 

 

  

Industrial Gases - 0.1%

 

Air Products & Chemicals Inc.

      583          136,999  
       

 

 

  

Industrial Machinery - 0.3%

 

Dover Corp.

      379          43,683  

Flowserve Corp.

      322          16,026  

Fortive Corp.

      790          60,348  
     Number
of Shares		        Fair
Value
$		  
       

IDEX Corp.

      200          34,400  

Illinois Tool Works Inc.

      773          138,854  

Ingersoll-Rand PLC

      634          84,271  

Parker-Hannifin Corp.

      339          69,773  

Snap-on Inc.

      147          24,902  

Stanley Black & Decker Inc.

      400          66,296  

Xylem Inc.

      463          36,480  
       

 

 

  
       575,033  
       

 

 

  

Industrial REITs - 0.1%

 

Duke Realty Corp.

      980          33,977  

Prologis Inc. REIT

      1,602          142,802  
       

 

 

  
       176,779  
       

 

 

  

Insurance Brokers - 0.1%

 

Arthur J Gallagher & Co.

      467          44,472  

Marsh & McLennan Companies Inc.

      1,323          147,396  
       

 

 

  
       191,868  
       

 

 

  

Integrated Oil & Gas - 0.7%

 

Chevron Corp.

      4,992          601,586  

Exxon Mobil Corp.

      11,178          780,001  

Occidental Petroleum Corp.

      2,391          98,533  
       

 

 

  
       1,480,120  
       

 

 

  

Integrated Telecommunication Services - 0.7%

 

AT&T Inc.

      19,134          747,756  

Verizon Communications Inc.

      10,877          667,848  
       

 

 

  
       1,415,604  
       

 

 

  

Interactive Home Entertainment - 0.1%

 

Activision Blizzard Inc.

      2,025          120,326  

Electronic Arts Inc. (a)

      774          83,213  

Take-Two Interactive Software
Inc. (a)

      294          35,994  
       

 

 

  
       239,533  
       

 

 

  

Interactive Media & Services - 1.7%

 

Alphabet Inc., Class A (a)(c)

      787          1,054,100  

Alphabet Inc., Class C (a)

      785          1,049,561  

Facebook Inc., Class A (a)

      6,326          1,298,411  

Twitter Inc. (a)

      2,010          64,421  
       

 

 

  
       3,466,493  
       

 

 

  

Internet & Direct Marketing Retail - 1.2%

 

Amazon.com Inc. (a)

      1,095          2,023,385  

Booking Holdings Inc. (a)

      110          225,910  

eBay Inc.

      2,050          74,026  

Expedia Group Inc.

      365          39,471  
       

 

 

  
       2,362,792  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     23  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Internet Services & Infrastructure - 0.0%*

 

Akamai Technologies Inc. (a)

      379          32,738  

VeriSign Inc. (a)

      266          51,253  
       

 

 

  
       83,991  
       

 

 

  

Investment Banking & Brokerage - 0.3%

 

E*TRADE Financial Corp.

      574          26,042  

Morgan Stanley

      3,246          165,936  

Raymond James Financial Inc.

      347          31,043  

The Charles Schwab Corp.

      3,066          145,819  

The Goldman Sachs Group Inc.

      837          192,451  
       

 

 

  
       561,291  
       

 

 

  

IT Consulting & Other Services - 0.3%

 

Cognizant Technology Solutions Corp., Class A

      1,461          90,611  

DXC Technology Co.

      734          27,591  

Gartner Inc. (a)

      232          35,751  

International Business Machines Corp.

      2,316          310,437  

Leidos Holdings Inc.

      300          29,367  
       

 

 

  
       493,757  
       

 

 

  

Leisure Products - 0.0%*

 

Hasbro Inc.

      301          31,789  
       

 

 

  

Life & Health Insurance - 0.2%

 

Aflac Inc.

      1,914          101,251  

Globe Life Inc.

      285          29,996  

Lincoln National Corp.

      484          28,561  

MetLife Inc.

      2,020          102,959  

Principal Financial Group Inc.

      668          36,740  

Prudential Financial Inc.

      1,067          100,021  

Unum Group

      557          16,242  
       

 

 

  
       415,770  
       

 

 

  

Life Sciences Tools & Services - 0.4%

 

Agilent Technologies Inc.

      811          69,186  

Illumina Inc. (a)

      392          130,042  

IQVIA Holdings Inc. (a)

      492          76,019  

Mettler-Toledo International Inc. (a)

      63          49,977  

PerkinElmer Inc.

      282          27,382  

Thermo Fisher Scientific Inc.

      1,049          340,789  

Waters Corp. (a)

      161          37,618  
       

 

 

  
       731,013  
       

 

 

  

Managed Healthcare - 0.6%

 

Anthem Inc.

      661          199,642  

Centene Corp. (a)

      1,079          67,837  

Humana Inc.

      343          125,716  

UnitedHealth Group Inc.

      2,503          735,832  
     Number
of Shares		        Fair
Value
$		  
       

WellCare Health Plans Inc. (a)

      139          45,899  
       

 

 

  
       1,174,926  
       

 

 

  

Metal & Glass Containers - 0.0%*

 

Ball Corp.

      892          57,686  
       

 

 

  

Motorcycle Manufacturers - 0.0%*

 

     

Harley-Davidson Inc.

      453          16,847  
       

 

 

  

Movies & Entertainment - 0.5%

 

Live Nation Entertainment Inc. (a)

      400          28,588  

Netflix Inc. (a)

      1,148          371,458  

The Walt Disney Co.

      4,761          688,584  
       

 

 

  
       1,088,630  
       

 

 

  

Multi-Line Insurance - 0.1%

 

American International Group Inc.

      2,294          117,751  

Assurant Inc.

      144          18,875  

The Hartford Financial Services Group Inc.

      935          56,820  
       

 

 

  
       193,446  
       

 

 

  

Multi-Sector Holdings - 0.6%

 

Berkshire Hathaway Inc.,
Class B (a)

      5,141          1,164,436  
       

 

 

  

Multi-Utilities - 0.4%

        

Ameren Corp.

      641          49,229  

CenterPoint Energy Inc.

      1,391          37,933  

CMS Energy Corp.

      747          46,942  

Consolidated Edison Inc.

      870          78,709  

Dominion Energy Inc.

      2,184          180,879  

DTE Energy Co.

      497          64,545  

NiSource Inc.

      992          27,617  

Public Service Enterprise Group Inc.

      1,308          77,237  

Sempra Energy

      725          109,823  

WEC Energy Group Inc.

      839          77,381  
       

 

 

  
       750,295  
       

 

 

  

Office REITs - 0.1%

 

Alexandria Real Estate Equities Inc.

      297          47,989  

Boston Properties Inc.

      377          51,973  

SL Green Realty Corp.

      225          20,673  

Vornado Realty Trust

      427          28,396  
       

 

 

  
       149,031  
       

 

 

  

Oil & Gas Drilling - 0.0%*

 

Helmerich & Payne Inc.

      280          12,720  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

24   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Oil & Gas Equipment & Services - 0.1%

 

Baker Hughes Co.

      1,815          46,518  

Halliburton Co.

      2,363          57,823  

National Oilwell Varco Inc.

      1,105          27,680  

Schlumberger Ltd.

      3,645          146,529  
       

 

 

  
       278,550  
       

 

 

  

Oil & Gas Exploration & Production - 0.3%

 

Apache Corp.

      921          23,568  

Cabot Oil & Gas Corp.

      1,198          20,857  

Cimarex Energy Co.

      308          16,167  

Concho Resources Inc.

      539          47,200  

ConocoPhillips

      2,846          185,075  

Devon Energy Corp.

      934          24,256  

Diamondback Energy Inc.

      430          39,930  

EOG Resources Inc.

      1,552          129,996  

Hess Corp.

      635          42,424  

Marathon Oil Corp.

      2,199          29,862  

Noble Energy Inc.

      1,183          29,386  

Pioneer Natural Resources Co.

      439          66,452  
       

 

 

  
       655,173  
       

 

 

  

Oil & Gas Refining & Marketing - 0.2%

 

HollyFrontier Corp.

      360          18,255  

Marathon Petroleum Corp.

      1,689          101,762  

Phillips 66

      1,195          133,135  

Valero Energy Corp.

      1,101          103,109  
       

 

 

  
       356,261  
       

 

 

  

Oil & Gas Storage & Transportation - 0.1%

 

Kinder Morgan Inc.

      5,171          109,470  

ONEOK Inc.

      1,119          84,675  

The Williams Companies Inc.

      3,213          76,212  
       

 

 

  
       270,357  
       

 

 

  

Packaged Foods & Meats - 0.4%

 

Campbell Soup Co.

      426          21,053  

Conagra Brands Inc.

      1,326          45,402  

General Mills Inc.

      1,564          83,768  

Hormel Foods Corp.

      717          32,344  

Kellogg Co.

      613          42,395  

Lamb Weston Holdings Inc.

      400          34,412  

McCormick & Company Inc.

      320          54,314  

Mondelez International Inc., Class A

      3,774          207,872  

The Hershey Co.

      383          56,293  

The JM Smucker Co.

      324          33,738  

The Kraft Heinz Co.

      1,663          53,432  

Tyson Foods Inc., Class A

      763          69,464  
       

 

 

  
       734,487  
       

 

 

  
     Number
of Shares		        Fair
Value
$		  

Paper Packaging - 0.1%

 

Avery Dennison Corp.

      225          29,435  

International Paper Co.

      999          46,004  

Packaging Corporation of America

      259          29,005  

Sealed Air Corp.

      464          18,481  

WestRock Co.

      700          30,037  
       

 

 

  
       152,962  
       

 

 

  

Personal Products - 0.1%

 

Coty Inc., Class A

      630          7,088  

The Estee Lauder Companies Inc., Class A

      584          120,619  
       

 

 

  
       127,707  
       

 

 

  

Pharmaceuticals - 1.6%

 

Allergan PLC

      861          164,597  

Bristol-Myers Squibb Co.

      6,198          397,850  

Eli Lilly & Co.

      2,225          292,432  

Johnson & Johnson

      6,915          1,008,691  

Merck & Company Inc.

      6,643          604,181  

Mylan N.V. (a)

      1,430          28,743  

Pfizer Inc.

      14,550          570,069  

Zoetis Inc.

      1,250          165,437  
       

 

 

  
       3,232,000  
       

 

 

  

Property & Casualty Insurance - 0.3%

 

Chubb Ltd.

      1,202          187,103  

Cincinnati Financial Corp.

      426          44,794  

Loews Corp.

      711          37,321  

The Allstate Corp. (c)

      840          94,458  

The Progressive Corp.

      1,563          113,146  

The Travelers Companies Inc.

      673          92,167  

WR Berkley Corp.

      400          27,640  
       

 

 

  
       596,629  
       

 

 

  

Publishing - 0.0%*

 

News Corp., Class A

      1,011          14,296  

News Corp., Class B

      442          6,413  
       

 

 

  
       20,709  
       

 

 

  

Railroads - 0.3%

 

CSX Corp.

      1,989          143,924  

Kansas City Southern

      276          42,272  

Norfolk Southern Corp.

      683          132,591  

Union Pacific Corp.

      1,829          330,665  
       

 

 

  
       649,452  
       

 

 

  

Real Estate Services - 0.0%*

 

CBRE Group Inc., Class A (a)

      909          55,713  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     25  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Regional Banks - 0.4%

        

Citizens Financial Group Inc.

      1,201          48,773  

Comerica Inc.

      366          26,260  

Fifth Third Bancorp

      1,941          59,666  

First Republic Bank

      430          50,503  

Huntington Bancshares Inc.

      2,707          40,822  

KeyCorp

      2,572          52,057  

M&T Bank Corp.

      361          61,280  

People’s United Financial Inc.

      1,150          19,435  

Regions Financial Corp.

      2,497          42,849  

SVB Financial Group (a)

      131          32,886  

The PNC Financial Services Group Inc.

      1,151          183,734  

Truist Financial Corp.

      3,568          200,950  

Zions Bancorp NA

      452          23,468  
       

 

 

  
       842,683  
       

 

 

  

Research & Consulting Services - 0.1%

 

Equifax Inc.

      332          46,520  

Nielsen Holdings PLC

      1,001          20,320  

Verisk Analytics Inc.

      442          66,008  
       

 

 

  
       132,848  
       

 

 

  

Residential REITs - 0.2%

 

Apartment Investment & Management Co., Class A

      418          21,590  

AvalonBay Communities Inc.

      371          77,799  

Equity Residential

      941          76,146  

Essex Property Trust Inc.

      177          53,252  

Mid-America Apartment Communities Inc.

      289          38,107  

UDR Inc.

      717          33,484  
       

 

 

  
       300,378  
       

 

 

  

Restaurants - 0.4%

 

Chipotle Mexican Grill Inc. (a)

      67          56,086  

Darden Restaurants Inc.

      310          33,793  

McDonald’s Corp.

      1,972          389,687  

Starbucks Corp.

      3,125          274,750  

Yum! Brands Inc.

      806          81,189  
       

 

 

  
       835,505  
       

 

 

  

Retail REITs - 0.1%

 

Federal Realty Investment Trust

      177          22,785  

Kimco Realty Corp.

      1,110          22,988  

Realty Income Corp.

      845          62,218  

Regency Centers Corp.

      400          25,236  

Simon Property Group Inc.

      794          118,274  
       

 

 

  
       251,501  
       

 

 

  

Semiconductor Equipment - 0.2%

 

Applied Materials Inc.

      2,462          150,280  
     Number
of Shares		        Fair
Value
$		  
       

KLA Corp.

      420          74,831  

Lam Research Corp.

      384          112,282  
       

 

 

  
       337,393  
       

 

 

  

Semiconductors - 1.3%

 

Advanced Micro Devices Inc. (a)

      2,870          131,618  

Analog Devices Inc.

      977          116,107  

Broadcom Inc.

      1,045          330,241  

Intel Corp.

      11,473          686,659  

Maxim Integrated Products Inc.

      700          43,057  

Microchip Technology Inc.

      588          61,575  

Micron Technology Inc. (a)

      2,912          156,607  

NVIDIA Corp.

      1,620          381,186  

Qorvo Inc. (a)

      329          38,240  

QUALCOMM Inc.

      3,028          267,161  

Skyworks Solutions Inc.

      425          51,374  

Texas Instruments Inc.

      2,445          313,669  

Xilinx Inc.

      643          62,866  
       

 

 

  
       2,640,360  
       

 

 

  

Soft Drinks - 0.6%

 

Monster Beverage Corp. (a)

      977          62,088  

PepsiCo Inc.

      3,680          502,946  

The Coca-Cola Co.

      10,157          562,190  
       

 

 

  
       1,127,224  
       

 

 

  

Specialized Consumer Services - 0.0%*

 

H&R Block Inc.

      525          12,327  
       

 

 

  

Specialized REITs - 0.5%

        

American Tower Corp.

      1,166          267,970  

Crown Castle International Corp.

      1,080          153,522  

Digital Realty Trust Inc.

      573          68,611  

Equinix Inc.

      225          131,332  

Extra Space Storage Inc.

      359          37,918  

Iron Mountain Inc.

      805          25,655  

Public Storage

      396          84,332  

SBA Communications Corp.

      301          72,538  

Weyerhaeuser Co.

      1,983          59,887  
       

 

 

  
       901,765  
       

 

 

  

Specialty Chemicals - 0.3%

 

Albemarle Corp.

      304          22,204  

Celanese Corp.

      338          41,615  

DuPont de Nemours Inc.

      1,982          127,244  

Ecolab Inc.

      656          126,601  

International Flavors & Fragrances Inc.

      291          37,545  

PPG Industries Inc.

      625          83,431  

The Sherwin-Williams Co.

      216          126,045  
       

 

 

  
       564,685  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

26   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       

Specialty Stores - 0.1%

 

Tiffany & Co.

      293          39,160  

Tractor Supply Co.

      285          26,630  

Ulta Salon Cosmetics & Fragrance Inc. (a)

      152          38,477  
       

 

 

  
       104,267  
       

 

 

  

Steel - 0.0%*

 

Nucor Corp.

      836          47,050  
       

 

 

  

Systems Software - 1.9%

 

     

Fortinet Inc. (a)

      354          37,793  

Microsoft Corp.

      20,074          3,165,670  

Nortonlifelock Inc.

      1,423          36,315  

Oracle Corp.

      5,659          299,814  

ServiceNow Inc. (a)

      500          141,160  
       

 

 

  
       3,680,752  
       

 

 

  

Technology Distributors - 0.0%*

 

CDW Corp.

      364          51,994  
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.7%

 

Apple Inc.

      10,990          3,227,213  

Hewlett Packard Enterprise Co.

      3,563          56,509  

HP Inc.

      3,879          79,713  

NetApp Inc.

      567          35,296  

Western Digital Corp.

      744          47,222  

Xerox Holdings Corp. (a)

      496          18,288  
       

 

 

  
       3,464,241  
       

 

 

  

Tobacco - 0.3%

 

Altria Group Inc. (c)

      4,963          247,703  

Philip Morris International Inc.

      4,072          346,487  
       

 

 

  
       594,190  
       

 

 

  

Trading Companies & Distributors - 0.1%

 

Fastenal Co.

      1,556          57,494  

United Rentals Inc. (a)

      201          33,521  

WW Grainger Inc.

      119          40,284  
       

 

 

  
       131,299  
       

 

 

  

Trucking - 0.0%*

 

JB Hunt Transport Services Inc.

      217          25,341  

Old Dominion Freight Line Inc.

      157          29,796  
       

 

 

  
       55,137  
       

 

 

  

Water Utilities - 0.0%*

 

American Water Works Company Inc.

      488          59,951  
       

 

 

  
     Number
of Shares		        Fair
Value
$		  

Wireless Telecommunication Services - 0.0%*

 

T-Mobile US Inc. (a)

      800          62,736  
       

 

 

  
Total Common Stock
(Cost $49,536,674)		           68,760,564  
       

 

 

  
Preferred Stock - 0.0%*

 

Diversified Banks - 0.0%*

 

Wells Fargo & Co.
3.09% + 3 month USD LIBOR (d)

      1,469          40,236  
       

 

 

  
Total Preferred Stock
(Cost $36,725)		           40,236  
       

 

 

  
Total Domestic Equity
(Cost $49,573,399)		           68,800,800  
       

 

 

  
Foreign Equity - 0.9%        

Common Stock - 0.9%

        

Apparel, Accessories & Luxury Goods - 0.0%*

 

Capri Holdings Ltd. (a)

      377          14,383  
       

 

 

  

Auto Parts & Equipment - 0.0%*

 

Aptiv PLC

      680          64,580  
       

 

 

  

Building Products - 0.0%*

 

Allegion PLC

      238          29,640  
       

 

 

  

Electronic Manufacturing Services - 0.1%

 

TE Connectivity Ltd.

      897          85,968  
       

 

 

  

Healthcare Equipment - 0.2%

 

Medtronic PLC

      3,471          393,785  
       

 

 

  

Industrial Gases - 0.2%

 

Linde PLC

      1,415          301,253  
       

 

 

  

Industrial Machinery - 0.0%*

 

Pentair PLC

      418          19,174  
       

 

 

  

Insurance Brokers - 0.1%

 

Aon PLC

      624          129,973  

Willis Towers Watson PLC

      333          67,246  
       

 

 

  
       197,219  
       

 

 

  

IT Consulting & Other Services - 0.2%

 

Accenture PLC, Class A

      1,674          352,494  
       

 

 

  

Oil & Gas Equipment & Services - 0.0%*

 

TechnipFMC PLC

      1,206          25,857  
       

 

 

  

Paper Packaging - 0.0%*

 

Amcor PLC (a)

      4,485          48,617  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     27  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

    

Principal
Amount ($)

or Number
of Shares

        Fair
Value
$		  
       

Pharmaceuticals - 0.0%*

 

Perrigo Company PLC

      329          16,996  
       

 

 

  

Reinsurance - 0.0%*

 

Everest Re Group Ltd.

      109          30,176  
       

 

 

  

Research & Consulting Services - 0.1%

 

IHS Markit Ltd. (a)

      1,020          76,857  
       

 

 

  

Technology Hardware, Storage & Peripherals - 0.0%*

 

Seagate Technology PLC

      648          38,556  
       

 

 

  
Total Foreign Equity
(Cost $1,189,874)		           1,695,555  
       

 

 

  
Bonds and Notes - 33.5%

 

U.S. Treasuries - 7.2%

 

U.S. Treasury Bonds

        

2.25% 08/15/46 (c)

      515,000          501,803  

3.00% 08/15/48 (c)

      2,150,300          2,428,495  

U.S. Treasury Notes

        

1.63% 02/15/26 (c)

      2,992,200          2,965,551  

1.88% 06/30/20 - 12/15/20

      5,383,300          5,392,549  

2.25% 03/31/20 (c)

      1,179,100          1,180,850  

2.50% 01/31/24 (c)

      1,651,000          1,705,561  

2.63% 02/15/29 (c)

      56,000          59,386  
       

 

 

  
       14,234,195  
       

 

 

  

Agency Mortgage Backed - 13.0%

Federal Home Loan Mortgage Corp.

        

3.00% 03/01/43

      987,564          1,016,025  

4.00% 01/01/48

      1,542,453          1,622,602  

4.05% 09/25/28 (c)(d)

      71,000          79,270  

4.50%
06/01/33 - 02/01/35 (c)

      2,096          2,247  

5.00% 07/01/35 (c)

      14,300          15,849  

5.50%
05/01/20 - 04/01/39 (c)

      24,442          27,347  

6.00%
06/01/33 - 11/01/37 (c)

      64,828          73,846  

6.50%
11/01/28 - 06/01/29 (c)

      897          994  

7.00%
06/01/29 - 08/01/36 (c)

      14,087          16,255  

7.50% 09/01/33 (c)

      1,076          1,174  

8.00%
07/01/26 - 11/01/30 (c)

      1,622          1,835  

8.50% 04/01/30 (c)

      4,022          5,105  

Federal National Mortgage Assoc.

        

3.50% 06/01/44

      1,215,530          1,280,938  

3.50%
08/01/45 - 07/01/47 (c)

      929,172          978,401  
         
    
Principal
Amount ($)		        Fair
Value
$		  

4.00%
01/01/41 - 10/01/47 (c)

      1,406,231          1,482,063  

4.50%
02/01/20 - 02/01/40 (c)

      107,515          116,946  

5.00%
07/01/20 - 05/01/39 (c)

      46,163          51,008  

5.50%
06/01/20 - 01/01/39 (c)

      100,093          111,920  

6.00%
02/01/20 - 05/01/41 (c)

      315,944          359,052  

6.50%
10/01/28 - 08/01/36 (c)

      8,178          8,915  

7.00%

05/01/33 - 12/01/33 (c)

      538          574  

7.50%
12/01/26 - 03/01/33 (c)

      4,018          4,557  

8.00%
06/01/24 - 12/01/30 (c)

      4,595          4,684  

9.00% 12/01/22 (c)

      171          175  

Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR

        

4.47% 04/01/37 (c)(d)

      463          476  

Federal National Mortgage Assoc. TBA

        

2.50% TBA (e)

      3,225,000          3,254,154  

3.50% TBA (e)

      1,844,000          1,896,609  

4.00% TBA (e)

      9,589,676          9,993,553  

Government National Mortgage Assoc.

        

3.00% 12/20/42

      1,313,097          1,360,135  

3.50% 05/20/45

      1,596,818          1,666,713  

4.00%
01/20/41 - 04/20/43 (c)

      275,831          293,977  

4.50%
08/15/33 - 03/20/41 (c)

      118,688          127,607  

5.00% 08/15/33 (c)

      5,933          6,456  

6.00%
07/15/33 - 04/15/34 (c)

      6,093          6,917  

6.50%
04/15/28 - 07/15/36 (c)

      11,875          13,112  

7.00%
04/15/28 - 10/15/36 (c)

      3,432          3,727  

7.50%
07/15/23 - 04/15/28 (c)

      6,157          6,344  

8.00% 05/15/30 (c)

      167          178  

9.00% 12/15/21 (c)

      68          70  
       

 

 

  
       25,891,810  
       

 

 

  

Agency Collateralized Mortgage Obligations - 0.3%

Federal Home Loan Mortgage Corp.

        

0.08% 09/25/43 (c)(d)(f)

      122,328          414  

2.43% 08/25/29 (c)

      415,000          414,971  

2.51% 07/25/29 (c)

      224,000          225,562  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

28   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Federal Home Loan Mortgage Corp. REMIC

        

3.50% 09/15/29 - 11/15/30 (c)(f)

      37,275          1,914  

5.50% 06/15/33 (c)(f)

      4,780          860  

7.50% 07/15/27 (c)(f)

      4,705          700  

Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR

        

4.86% 08/15/25 (c)(d)(f)

      15,439          649  

Federal Home Loan Mortgage Corp. STRIPS

        

1.47% 08/01/27 (c)(g)(h)

      181          161  

8.00%
02/01/23 - 07/01/24 (c)(f)

      527          64  

Federal National Mortgage Assoc. REMIC

        

0.00% 12/25/22 (c)(g)(h)

      1          1  

1.09% 12/25/42 (c)(d)(f)

      26,376          1,043  

5.00% 09/25/40 (c)(f)

      18,532          2,013  

8.00% 05/25/22 (c)(f)

      —          2  

Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR

        

4.21% 07/25/38 (c)(d)(f)

      7,682          1,110  

Federal National Mortgage Assoc. STRIPS

        

4.50%
08/25/35 - 01/25/36 (c)(f)

      11,586          1,776  

5.00%
03/25/38 - 05/25/38 (c)(f)

      6,524          1,097  

5.50% 12/25/33 (c)(f)

      2,306          458  

6.00% 01/25/35 (c)(f)

      6,170          1,176  

7.50% 11/25/23 (c)(f)

      3,837          382  

8.00%
08/25/23 - 07/25/24 (c)(f)

      1,111          135  

8.50% 07/25/22 (c)(f)

      56          3  

8.50% 07/25/22 (c)(f)**

      2          —  

9.00% 05/25/22 (c)(f)

      58          3  

Government National Mortgage Assoc. REMIC

        

4.50% 08/16/39 (c)(f)

      9,983          304  

5.00% 09/20/38 (c)(f)

      683          2  
       

 

 

  
       654,800  
       

 

 

  

Asset Backed - 0.9%

American Express Credit Account Master Trust 0.24% + 1 month USD LIBOR

        

1.98% 04/15/24 (d)

      376,000          376,293  
     Principal
Amount ($)		        Fair
Value
$		  

American Express Credit Account Master Trust 2018-1

        

2.67% 10/17/22 (c)

      150,000          150,214  

American Express Credit Account Master Trust 2018-8

        

3.18% 04/15/24 (c)

      326,000          333,305  

BA Credit Card Trust 2018-A1

        

2.70% 07/17/23 (c)

      131,000          132,241  

BMW Floorplan Master Owner Trust 2018-1

        

3.15% 05/15/23 (c)(i)

      100,000          101,557  

Enterprise Fleet Financing 2019-1 LLC

        

3.07% 10/20/24 (c)(i)

      137,000          140,065  

GMF Floorplan Owner Revolving Trust 0.32% + 1 month USD LIBOR

        

2.06% 09/15/22 (d)(i)

      130,000          130,016  

Hyundai Auto Lease Securitization Trust 2018-A

        

2.89% 03/15/22 (i)

      242,000          243,474  

Nissan Auto Lease Trust 2019-A

        

2.76% 03/15/22 (c)

      85,000          85,790  

Securitized Term Auto Receivables Trust 2018-1A

        

3.30% 11/25/22 (c)(i)

      100,000          101,754  
       

 

 

  
       1,794,709  
       

 

 

  

Corporate Notes - 10.6%

3M Co.

        

3.13% 09/19/46 (c)

      41,000          39,036  

Abbott Laboratories

        

3.75% 11/30/26 (c)

      21,000          22,954  

4.90% 11/30/46 (c)

      17,000          22,290  

AbbVie Inc.

        

2.60% 11/21/24 (c)(i)

      45,000          45,394  

2.95% 11/21/26 (c)(i)

      60,000          61,009  

3.20% 05/14/26 (c)

      31,000          32,099  

3.20% 11/21/29 (c)(i)

      40,000          40,820  

4.05% 11/21/39 (c)(i)

      25,000          26,247  

4.25% 11/21/49 (c)(i)

      15,000          15,909  

4.45% 05/14/46 (c)

      31,000          33,439  

4.70% 05/14/45 (c)

      8,000          8,927  

4.88% 11/14/48 (c)

      9,000          10,383  

Aetna Inc.

        

3.50% 11/15/24 (c)

      27,000          28,282  

Aflac Inc.

        

4.00% 10/15/46 (c)

      6,000          6,560  

Aircastle Ltd.

        

4.25% 06/15/26 (c)

      31,000          32,726  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     29  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Albemarle Wodgina Pty Ltd.

        

3.45% 11/15/29 (c)(i)

      70,000          70,156  

Alexandria Real Estate Equities Inc.

        

4.70% 07/01/30 (c)

      16,000          18,397  

Alimentation Couche-Tard Inc.

        

2.70% 07/26/22 (c)(i)

      36,000          36,417  

Allegion PLC

        

3.50% 10/01/29 (c)

      25,000          25,561  

Allergan Finance LLC

        

3.25% 10/01/22 (c)

      26,000          26,587  

4.63% 10/01/42 (c)

      5,000          5,210  

Allergan Funding SCS

        

3.00% 03/12/20 (c)

      46,000          46,035  

3.45% 03/15/22 (c)

      16,000          16,372  

Allergan Sales LLC

        

5.00% 12/15/21 (c)(i)

      62,000          64,865  

Ally Financial Inc.

        

5.75% 11/20/25 (c)

      28,000          31,403  

Altria Group Inc.

        

2.95% 05/02/23 (c)

      17,000          17,442  

3.80% 02/14/24 (c)

      16,000          16,842  

4.25% 08/09/42 (c)

      4,000          3,958  

4.50% 05/02/43 (c)

      15,000          15,273  

4.80% 02/14/29 (c)

      33,000          36,739  

Amazon.com Inc.

        

2.80% 08/22/24 (c)

      19,000          19,670  

3.15% 08/22/27 (c)

      14,000          14,827  

3.88% 08/22/37 (c)

      11,000          12,487  

4.05% 08/22/47 (c)

      11,000          12,982  

4.25% 08/22/57 (c)

      16,000          19,399  

Ameren Corp.

        

2.50% 09/15/24 (c)

      65,000          65,237  

3.65% 02/15/26 (c)

      16,000          16,739  

American Campus Communities Operating Partnership LP

        

4.13% 07/01/24 (c)

      14,000          14,955  

American Express Co.

        

3.00% 10/30/24 (c)

      38,000          39,295  

American International Group Inc.

        

4.25% 03/15/29 (c)

      23,000          25,605  

4.50% 07/16/44 (c)

      28,000          32,292  

6.40% 12/15/20 (c)

      15,000          15,621  

American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter)

        

5.75% 04/01/48 (c)(d)

      6,000          6,588  

American Tower Corp.

        

3.70% 10/15/49 (c)

      14,000          14,010  

3.80% 08/15/29 (c)

      55,000          58,799  
     Principal
Amount ($)		        Fair
Value
$		  

American Water Capital Corp.

        

2.95% 09/01/27 (c)

      26,000          26,522  

Amgen Inc.

        

2.65% 05/11/22 (c)

      36,000          36,535  

3.20% 11/02/27 (c)

      19,000          20,000  

4.56% 06/15/48 (c)

      20,000          23,288  

4.66% 06/15/51 (c)

      9,000          10,595  

Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc.

        

3.65% 02/01/26 (c)

      63,000          67,237  

4.70% 02/01/36 (c)

      15,000          17,355  

4.90% 02/01/46 (c)

      58,000          69,001  

Anheuser-Busch InBev Worldwide Inc.

        

4.00% 04/13/28 (c)

      12,000          13,192  

4.38% 04/15/38 (c)

      68,000          76,505  

4.60% 04/15/48 (c)

      30,000          34,211  

4.75% 04/15/58 (c)

      16,000          18,690  

5.55% 01/23/49 (c)

      48,000          62,366  

Anthem Inc.

        

2.88% 09/15/29 (c)

      14,000          13,989  

3.30% 01/15/23 (c)

      23,000          23,790  

3.70% 09/15/49 (c)

      14,000          13,954  

Apache Corp.

        

4.38% 10/15/28 (c)

      9,000          9,414  

5.10% 09/01/40 (c)

      16,000          16,275  

Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter)

        

4.95% 01/14/50 (c)(d)(i)

      35,000          35,481  

Apple Inc.

        

2.20% 09/11/29 (c)

      28,000          27,517  

2.85% 05/11/24 (c)

      27,000          27,926  

2.95% 09/11/49 (c)

      20,000          19,530  

3.35% 02/09/27 (c)

      16,000          17,071  

3.45% 02/09/45 (c)

      42,000          44,461  

3.85% 08/04/46 (c)

      38,000          42,839  

Applied Materials Inc.

        

4.35% 04/01/47 (c)

      20,000          24,138  

Aptiv PLC

        

4.40% 10/01/46 (c)

      17,000          16,434  

Archer-Daniels-Midland Co.

        

2.50% 08/11/26 (c)

      19,000          19,331  

Ascension Health

        

4.85% 11/15/53 (c)

      13,000          16,409  

AstraZeneca PLC

        

3.50% 08/17/23 (c)

      17,000          17,797  

4.00% 01/17/29 (c)

      14,000          15,555  

4.38% 08/17/48 (c)

      10,000          11,873  

AT&T Inc.

        

4.35% 03/01/29 (c)

      64,000          71,086  

4.45% 04/01/24 (c)

      19,000          20,573  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

30   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

4.50% 05/15/35 (c)

      31,000          34,552  

4.55% 03/09/49 (c)

      17,000          18,879  

4.75% 05/15/46 (c)

      15,000          16,962  

4.80% 06/15/44 (c)

      20,000          22,819  

4.85% 03/01/39 (c)

      35,000          40,433  

5.15% 11/15/46 (c)

      5,000          5,973  

5.25% 03/01/37 (c)

      20,000          23,935  

5.35% 12/15/43 (c)

      30,000          35,316  

5.45% 03/01/47 (c)

      37,000          45,827  

Athene Holding Ltd.

        

4.13% 01/12/28 (c)

      22,000          22,678  

Avangrid Inc.

        

3.15% 12/01/24 (c)

      37,000          38,198  

Bank of America Corp.

        

3.25% 10/21/27 (c)

      46,000          48,022  

3.95% 04/21/25 (c)

      27,000          28,801  

4.18% 11/25/27 (c)

      39,000          42,340  

4.25% 10/22/26 (c)

      44,000          48,018  

Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter)

        

3.12% 01/20/23 (c)(d)

      257,000          262,099  

Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter)

        

3.37% 01/23/26 (c)(d)

      75,000          78,526  

Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter)

        

3.42% 12/20/28 (c)(d)

      62,000          65,118  

Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter)

        

3.56% 04/23/27 (c)(d)

      69,000          72,933  

Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter)

        

3.95% 01/23/49 (c)(d)

      17,000          19,368  

Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter)

        

4.24% 04/24/38 (c)(d)

      39,000          45,086  

Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter)

        

4.27% 07/23/29 (c)(d)

      40,000          44,466  
     Principal
Amount ($)		        Fair
Value
$		  
       

Bank of America Corp. (4.33% fixed rate until 03/15/49; 1.52% + 3 month USD LIBOR thereafter)

        

4.33% 03/15/50 (c)(d)

      14,000          16,818  

Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter)

        

4.44% 01/20/48 (c)(d)

      33,000          40,347  

Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter)

        

4.34% 10/05/28 (c)(d)

      49,000          51,712  

Barrick North America Finance LLC

        

5.70% 05/30/41 (c)

      4,000          4,944  

BAT Capital Corp.

        

2.76% 08/15/22 (c)

      24,000          24,358  

3.56% 08/15/27 (c)

      27,000          27,597  

4.39% 08/15/37 (c)

      30,000          30,460  

4.54% 08/15/47 (c)

      20,000          20,081  

Bayer US Finance II LLC

        

3.50% 06/25/21 (c)(i)

      200,000          203,686  

Becton Dickinson and Co.

        

2.89% 06/06/22 (c)

      29,000          29,479  

3.70% 06/06/27 (c)

      29,000          30,869  

3.73% 12/15/24 (c)

      3,000          3,186  

4.67% 06/06/47 (c)

      5,000          5,951  

4.69% 12/15/44 (c)

      4,000          4,654  

Berkshire Hathaway Energy Co.

        

3.25% 04/15/28 (c)

      16,000          16,914  

3.80% 07/15/48 (c)

      14,000          15,132  

Berkshire Hathaway Finance Corp.

        

4.25% 01/15/49 (c)

      42,000          49,967  

Berkshire Hathaway Inc.

        

4.50% 02/11/43 (c)

      6,000          7,313  

BHP Billiton Finance USA Ltd.

        

5.00% 09/30/43 (c)

      5,000          6,434  

Boardwalk Pipelines LP

        

4.80% 05/03/29 (c)

      26,000          27,695  

Boston Scientific Corp.

        

4.70% 03/01/49 (c)

      12,000          14,576  

BP Capital Markets America Inc.

        

3.02% 01/16/27 (c)

      78,000          80,813  

3.22% 11/28/23 (c)

      26,000          27,050  

Brighthouse Financial Inc.

        

3.70% 06/22/27 (c)

      5,000          4,986  

4.70% 06/22/47 (c)

      3,000          2,777  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     31  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Bristol-Myers Squibb Co.

        

3.20% 06/15/26 (c)(i)

      39,000          40,976  

3.40% 07/26/29 (c)(i)

      24,000          25,709  

3.45% 11/15/27 (c)(i)

      4,000          4,268  

4.13% 06/15/39 (c)(i)

      21,000          24,210  

4.25% 10/26/49 (c)(i)

      21,000          24,953  

4.35% 11/15/47 (c)(i)

      5,000          5,938  

4.55% 02/20/48 (c)(i)

      23,000          28,192  

Brixmor Operating Partnership LP

        

3.90% 03/15/27 (c)

      12,000          12,585  

Broadcom Corp./Broadcom Cayman Finance Ltd.

        

2.65% 01/15/23 (c)

      7,000          7,041  

3.00% 01/15/22 (c)

      18,000          18,269  

3.13% 01/15/25 (c)

      8,000          8,113  

3.88% 01/15/27 (c)

      16,000          16,622  

Brown-Forman Corp.

        

4.00% 04/15/38 (c)

      5,000          5,598  

Bunge Limited Finance Corp.

        

3.75% 09/25/27 (c)

      9,000          9,203  

Burlington Northern Santa Fe LLC

        

4.15% 12/15/48 (c)

      22,000          25,439  

4.55% 09/01/44 (c)

      35,000          41,756  

Cameron LNG LLC

        

3.30% 01/15/35 (c)(i)

      27,000          27,458  

3.70% 01/15/39 (c)(i)

      14,000          14,361  

Campbell Soup Co.

        

3.30% 03/15/21 (c)

      69,000          70,025  

Canadian Natural Resources Ltd.

        

3.85% 06/01/27 (c)

      23,000          24,527  

4.95% 06/01/47 (c)

      6,000          7,342  

Cantor Fitzgerald LP

        

4.88% 05/01/24 (c)(i)

      66,000          70,429  

Capital One Financial Corp.

        

3.75% 07/28/26 (c)

      41,000          43,172  

4.75% 07/15/21 (c)

      106,000          110,379  

Cardinal Health Inc.

        

2.62% 06/15/22 (c)

      10,000          10,103  

3.08% 06/15/24 (c)

      8,000          8,237  

Caterpillar Inc.

        

3.25% 09/19/49 (c)

      26,000          26,106  

3.80% 08/15/42 (c)

      6,000          6,700  

Cenovus Energy Inc.

        

4.25% 04/15/27 (c)

      11,000          11,643  

5.25% 06/15/37 (c)

      14,000          15,464  

5.40% 06/15/47 (c)

      5,000          5,802  

Centene Corp.

        

4.25% 12/15/27 (c)(i)

      68,000          70,028  

4.63% 12/15/29 (c)(i)

      21,000          22,115  
     Principal
Amount ($)		        Fair
Value
$		  

CenterPoint Energy Inc.

        

2.50% 09/01/22 (c)

      62,000          62,549  

3.60% 11/01/21 (c)

      23,000          23,611  

Charter Communications Operating LLC/Charter Communications Operating Capital

        

4.46% 07/23/22 (c)

      87,000          91,451  

4.91% 07/23/25 (c)

      26,000          28,657  

5.05% 03/30/29 (c)

      47,000          53,224  

5.75% 04/01/48 (c)

      26,000          30,399  

6.38% 10/23/35 (c)

      5,000          6,313  

6.48% 10/23/45 (c)

      7,000          8,717  

Cheniere Corpus Christi Holdings LLC

        

5.88% 03/31/25 (c)

      55,000          61,928  

Chevron Corp.

        

3.19% 06/24/23 (c)

      17,000          17,717  

Chubb INA Holdings Inc.

        

4.35% 11/03/45 (c)

      16,000          19,435  

Cigna Corp.

        

3.25% 04/15/25 (c)(i)

      19,000          19,708  

3.40% 09/17/21 (c)

      18,000          18,424  

3.40% 03/01/27 (c)(i)

      15,000          15,578  

3.75% 07/15/23 (c)

      18,000          18,896  

3.88% 10/15/47 (c)(i)

      17,000          17,395  

4.13% 11/15/25 (c)

      34,000          36,915  

4.38% 10/15/28 (c)

      14,000          15,536  

4.80% 08/15/38 (c)

      12,000          13,990  

4.90% 12/15/48 (c)

      14,000          16,738  

Cisco Systems Inc.

        

5.90% 02/15/39 (c)

      16,000          22,454  

Citigroup Inc.

        

2.70% 10/27/22 (c)

      80,000          81,323  

4.40% 06/10/25 (c)

      12,000          13,050  

4.45% 09/29/27 (c)

      27,000          29,754  

4.65% 07/23/48 (c)

      46,000          57,518  

4.75% 05/18/46 (c)

      18,000          21,570  

5.50% 09/13/25 (c)

      72,000          82,403  

Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter)

        

2.88% 07/24/23 (c)(d)

      186,000          189,102  

Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter)

        

2.98% 11/05/30 (c)(d)

      41,000          41,631  

Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter)

        

3.88% 01/24/39 (c)(d)

      15,000          16,542  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

32   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter)

        

4.28% 04/24/48 (c)(d)

      24,000          28,510  

Citigroup Inc. (5.88% fixed rate until 03/27/20; 4.06% + 3 month USD LIBOR thereafter)

        

5.88% 12/29/49 (c)(d)

      86,000          86,672  

CME Group Inc.

        

3.75% 06/15/28 (c)

      17,000          18,826  

CMS Energy Corp.

        

4.88% 03/01/44 (c)

      34,000          40,521  

CNA Financial Corp.

        

3.45% 08/15/27 (c)

      11,000          11,441  

3.90% 05/01/29 (c)

      26,000          27,954  

CNH Industrial Capital LLC

        

4.38% 11/06/20 (c)

      20,000          20,387  

4.88% 04/01/21 (c)

      20,000          20,646  

Comcast Corp.

        

3.20% 07/15/36 (c)

      23,000          23,536  

3.25% 11/01/39 (c)

      41,000          41,618  

3.38% 08/15/25 (c)

      8,000          8,487  

3.45% 02/01/50 (c)

      20,000          20,535  

3.97% 11/01/47 (c)

      62,000          68,322  

4.15% 10/15/28 (c)

      34,000          38,279  

4.60% 08/15/45 (c)

      16,000          19,196  

4.70% 10/15/48 (c)

      16,000          19,741  

CommonSpirit Health

        

4.35% 11/01/42 (c)

      24,000          24,518  

Conagra Brands Inc.

        

3.80% 10/22/21 (c)

      42,000          43,321  

5.30% 11/01/38 (c)

      15,000          17,813  

5.40% 11/01/48 (c)

      13,000          15,903  

Conagra Brands Inc.
0.75% + 3 month USD LIBOR

        

2.70% 10/22/20 (c)(d)

      36,000          36,024  

Concho Resources Inc.

        

3.75% 10/01/27 (c)

      5,000          5,262  

4.30% 08/15/28 (c)

      20,000          21,802  

4.88% 10/01/47 (c)

      8,000          9,274  

ConocoPhillips Co.

        

4.30% 11/15/44 (c)

      24,000          28,183  

Consolidated Edison Company of New York Inc.

        

2.90% 12/01/26 (c)

      29,000          29,746  

3.88% 06/15/47 (c)

      16,000          17,406  

Constellation Brands Inc.

        

3.15% 08/01/29 (c)

      58,000          58,749  

3.70% 12/06/26 (c)

      45,000          47,802  

4.50% 05/09/47 (c)

      19,000          20,833  
     Principal
Amount ($)		        Fair
Value
$		  

Continental Resources Inc.

        

4.50% 04/15/23 (c)

      96,000          100,596  

Corning Inc.

        

4.38% 11/15/57 (c)

      15,000          15,366  

Crown Castle International Corp.

        

5.20% 02/15/49 (c)

      16,000          19,766  

CSX Corp.

        

4.50%
03/15/49 - 08/01/54 (c)

      41,000          47,593  

CubeSmart LP

        

4.38% 02/15/29 (c)

      30,000          32,910  

CVS Health Corp.

        

3.00% 08/15/26 (c)

      27,000          27,560  

3.25% 08/15/29 (c)

      25,000          25,503  

3.35% 03/09/21 (c)

      15,000          15,239  

3.88% 07/20/25 (c)

      14,000          14,933  

4.10% 03/25/25 (c)

      31,000          33,339  

4.30% 03/25/28 (c)

      15,000          16,411  

4.78% 03/25/38 (c)

      29,000          32,995  

5.00% 12/01/24 (c)

      23,000          25,464  

5.05% 03/25/48 (c)

      36,000          42,705  

Dell International LLC/EMC Corp.

        

4.00% 07/15/24 (c)(i)

      32,000          33,537  

4.42% 06/15/21 (c)(i)

      37,000          38,076  

5.30% 10/01/29 (c)(i)

      21,000          23,645  

5.45% 06/15/23 (c)(i)

      17,000          18,442  

6.02% 06/15/26 (c)(i)

      7,000          8,082  

8.10% 07/15/36 (c)(i)

      4,000          5,254  

8.35% 07/15/46 (c)(i)

      5,000          6,844  

Deutsche Bank AG

        

2.70% 07/13/20 (c)

      37,000          37,029  

Deutsche Telekom International Finance BV

        

2.49% 09/19/23 (c)(i)

      150,000          151,285  

Devon Energy Corp.

        

5.00% 06/15/45 (c)

      8,000          9,343  

DH Europe Finance II Sarl

        

2.60% 11/15/29 (c)

      22,000          21,960  

3.25% 11/15/39 (c)

      14,000          14,172  

3.40% 11/15/49 (c)

      7,000          7,176  

Diamondback Energy Inc.

        

2.88% 12/01/24 (c)

      35,000          35,408  

3.25% 12/01/26 (c)

      25,000          25,289  

3.50% 12/01/29 (c)

      21,000          21,386  

5.38% 05/31/25 (c)

      83,000          87,188  

Digital Realty Trust LP

        

3.60% 07/01/29 (c)

      45,000          47,019  

Discovery Communications LLC

        

2.95% 03/20/23 (c)

      118,000          120,393  

3.95% 03/20/28 (c)

      19,000          20,312  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     33  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

4.95% 05/15/42 (c)

      6,000          6,650  

5.00% 09/20/37 (c)

      10,000          11,333  

Dollar Tree Inc.

        

4.00% 05/15/25 (c)

      50,000          53,465  

4.20% 05/15/28 (c)

      7,000          7,519  

Dominion Energy Inc.

        

2.58% 07/01/20 (c)

      25,000          25,065  

3.07% 08/15/24 (c)(j)

      25,000          25,583  

Dover Corp.

        

2.95% 11/04/29 (c)

      30,000          30,223  

DTE Energy Co.

        

2.85% 10/01/26 (c)

      39,000          39,228  

3.85% 12/01/23 (c)

      17,000          17,837  

Duke Energy Carolinas LLC

        

3.95% 03/15/48 (c)

      16,000          17,883  

Duke Energy Corp.

        

1.80% 09/01/21 (c)

      33,000          32,942  

3.55% 09/15/21 (c)

      18,000          18,409  

3.75% 09/01/46 (c)

      4,000          4,126  

Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter)

        

4.88% 12/31/99 (c)(d)

      41,000          43,001  

Duke Energy Progress LLC

        

4.15% 12/01/44 (c)

      23,000          25,955  

Duke Realty LP

        

3.25% 06/30/26 (c)

      16,000          16,576  

3.38% 12/15/27 (c)

      9,000          9,394  

DuPont de Nemours Inc.

        

5.32% 11/15/38 (c)

      13,000          15,497  

5.42% 11/15/48 (c)

      13,000          16,017  

Duquesne Light Holdings Inc.

        

3.62% 08/01/27 (c)(i)

      35,000          35,026  

Eastman Chemical Co.

        

3.50% 12/01/21 (c)

      24,000          24,576  

3.60% 08/15/22 (c)

      7,000          7,246  

4.50%
01/15/21 - 12/01/28 (c)

      69,000          71,647  

Eaton Corp.

        

3.10% 09/15/27 (c)

      16,000          16,647  

Ecolab Inc.

        

3.25% 12/01/27 (c)

      10,000          10,538  

3.95% 12/01/47 (c)

      11,000          12,332  

Edison International

        

2.40% 09/15/22 (c)

      83,000          82,608  

5.75% 06/15/27 (c)

      10,000          11,245  

Eli Lilly & Co.

        

3.95% 03/15/49 (c)

      21,000          24,276  

Emera US Finance LP

        

4.75% 06/15/46 (c)

      6,000          6,935  

Enbridge Energy Partners LP

        

5.50% 09/15/40 (c)

      6,000          7,151  
     Principal
Amount ($)		        Fair
Value
$		  

Enbridge Inc.

        

4.00% 11/15/49 (c)

      20,000          20,975  

Energy Transfer Operating LP

        

4.25% 03/15/23 (c)

      23,000          23,998  

4.50% 04/15/24 (c)

      27,000          28,739  

4.95% 06/15/28 (c)

      9,000          9,873  

6.13% 12/15/45 (c)

      7,000          8,118  

6.50% 02/01/42 (c)

      18,000          21,404  

Energy Transfer Partners LP/Regency Energy Finance Corp.

        

4.50% 11/01/23 (c)

      17,000          17,973  

Entergy Louisiana LLC

        

3.05% 06/01/31 (c)

      19,000          19,607  

4.00% 03/15/33 (c)

      14,000          15,773  

Enterprise Products Operating LLC

        

4.25% 02/15/48 (c)

      48,000          52,068  

Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter)

        

5.25% 08/16/77 (c)(d)

      11,000          11,080  

EOG Resources Inc.

        

4.15% 01/15/26 (c)

      6,000          6,607  

5.10% 01/15/36 (c)

      12,000          14,713  

EPR Properties

        

4.95% 04/15/28 (c)

      16,000          17,512  

EQM Midstream Partners LP

        

4.75% 07/15/23 (c)

      7,000          7,021  

5.50% 07/15/28 (c)

      7,000          6,876  

Equinor ASA

        

3.25% 11/18/49

      15,000          15,136  

ERP Operating LP

        

4.50% 07/01/44 (c)

      14,000          16,647  

Exelon Corp.

        

3.50% 06/01/22 (c)

      22,000          22,583  

4.45% 04/15/46 (c)

      27,000          30,347  

FedEx Corp.

        

3.10% 08/05/29 (c)

      45,000          45,011  

4.10% 02/01/45 (c)

      33,000          32,115  

Fifth Third Bancorp

        

3.65% 01/25/24 (c)

      49,000          51,695  

FirstEnergy Corp.

        

3.90% 07/15/27 (c)

      6,000          6,423  

FirstEnergy Transmission LLC

        

4.55% 04/01/49 (c)(i)

      23,000          26,411  

Fiserv Inc.

        

3.50% 07/01/29 (c)

      20,000          21,053  

4.40% 07/01/49 (c)

      10,000          11,374  

Florida Power & Light Co.

        

4.13% 02/01/42 (c)

      19,000          21,736  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

34   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Ford Motor Co.

        

4.35% 12/08/26 (c)

      38,000          39,138  

Ford Motor Credit Company LLC

        

8.13% 01/15/20 (c)

      100,000          100,179  

General Mills Inc.

        

3.70% 10/17/23 (c)

      23,000          24,221  

4.55% 04/17/38 (c)

      19,000          22,027  

4.70% 04/17/48 (c)

      14,000          16,799  

General Motors Co.

        

5.20% 04/01/45 (c)

      5,000          5,056  

5.40% 04/01/48 (c)

      12,000          12,411  

General Motors Financial Company Inc.

        

3.45%
01/14/22 - 04/10/22 (c)

      139,000          142,164  

3.55% 04/09/21 (c)

      59,000          59,982  

4.20% 11/06/21 (c)

      105,000          108,762  

5.25% 03/01/26 (c)

      47,000          52,140  

Georgia-Pacific LLC

        

3.60% 03/01/25 (c)(i)

      86,000          90,764  

Gilead Sciences Inc.

        

2.95% 03/01/27 (c)

      5,000          5,195  

3.50% 02/01/25 (c)

      14,000          14,856  

3.65% 03/01/26 (c)

      14,000          15,062  

4.15% 03/01/47 (c)

      30,000          33,380  

4.80% 04/01/44 (c)

      12,000          14,496  

GlaxoSmithKline Capital Inc.

        

3.38% 05/15/23 (c)

      29,000          30,274  

3.63% 05/15/25 (c)

      29,000          31,077  

GlaxoSmithKline Capital PLC

        

3.38% 06/01/29 (c)

      30,000          32,176  

Glencore Finance Canada Ltd.

        

4.95% 11/15/21 (c)(i)

      18,000          18,821  

Glencore Funding LLC

        

4.88% 03/12/29 (c)(i)

      23,000          25,085  

Halliburton Co.

        

3.80% 11/15/25 (c)

      17,000          18,141  

5.00% 11/15/45 (c)

      14,000          15,976  

Hasbro Inc.

        

3.00% 11/19/24 (c)

      82,000          82,420  

HCA Inc.

        

4.13% 06/15/29 (c)

      15,000          15,933  

Hess Corp.

        

5.60% 02/15/41 (c)

      5,000          5,889  

5.80% 04/01/47 (c)

      4,000          4,897  

Hewlett Packard Enterprise Co.

        

6.35% 10/15/45 (c)

      5,000          6,044  

Highwoods Realty LP

        

4.13% 03/15/28 (c)

      17,000          18,185  

4.20% 04/15/29 (c)

      36,000          38,755  
     Principal
Amount ($)		        Fair
Value
$		  

Honeywell International Inc.

        

2.70% 08/15/29 (c)

      60,000          61,526  

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 (c)(d)

      50,000          55,017  

Hyundai Capital America

        

3.10% 04/05/22 (c)(i)

      14,000          14,184  

Ingersoll-Rand Luxembourg Finance S.A.

        

3.50% 03/21/26 (c)

      34,000          35,602  

3.55% 11/01/24 (c)

      25,000          26,200  

3.80% 03/21/29 (c)

      34,000          36,637  

Intel Corp.

        

2.45% 11/15/29 (c)

      82,000          81,890  

2.60% 05/19/26 (c)

      38,000          38,843  

2.88% 05/11/24 (c)

      16,000          16,597  

International Business Machines Corp.

        

3.50% 05/15/29 (c)

      100,000          107,476  

International Paper Co.

        

4.40% 08/15/47 (c)

      20,000          21,403  

Interstate Power & Light Co.

        

3.40% 08/15/25 (c)

      125,000          128,434  

Jabil Inc.

        

3.95% 01/12/28 (c)

      20,000          20,532  

Jefferies Group LLC

        

5.13% 01/20/23 (c)

      47,000          50,823  

Johnson & Johnson

        

3.63% 03/03/37 (c)

      17,000          18,775  

Johnson Controls International PLC

        

4.50% 02/15/47 (c)

      6,000          6,491  

JPMorgan Chase & Co.

        

3.30% 04/01/26 (c)

      76,000          79,938  

3.63% 12/01/27 (c)

      14,000          14,789  

JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR thereafter)

        

3.51% 01/23/29 (c)(d)

      52,000          55,194  

JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter)

        

3.88% 07/24/38 (c)(d)

      33,000          36,522  

JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter)

        

3.90% 01/23/49 (c)(d)

      32,000          35,957  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     35  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter)

        

3.96% 01/29/27 (c)(d)

      50,000          54,244  

JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter)

        

4.01% 04/23/29 (c)(d)

      26,000          28,538  

JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter)

        

4.03% 07/24/48 (c)(d)

      20,000          22,830  

JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter)

        

6.10% 10/29/49 (c)(d)

      82,000          89,690  

JPMorgan Chase & Co. 3.47% + 3 month USD LIBOR

        

5.41% 12/29/49 (c)(d)

      20,000          20,176  

Keurig Dr Pepper Inc.

        

4.50% 11/15/45 (c)

      15,000          16,556  

4.60% 05/25/28 (c)

      11,000          12,390  

Kinder Morgan Energy Partners LP

        

3.50% 03/01/21 (c)

      67,000          67,956  

4.70% 11/01/42 (c)

      5,000          5,285  

5.00% 03/01/43 (c)

      11,000          12,050  

5.30% 09/15/20 (c)

      21,000          21,479  

6.38% 03/01/41 (c)

      13,000          16,145  

Kinder Morgan Inc.

        

5.05% 02/15/46 (c)

      13,000          14,610  

KLA Corp.

        

4.65% 11/01/24 (c)

      69,000          76,077  

Kraft Heinz Foods Co.

        

2.80% 07/02/20 (c)

      4,000          4,008  

4.38% 06/01/46 (c)

      32,000          31,536  

Kreditanstalt fuer Wiederaufbau

        

2.00% 10/04/22 (c)

      46,000          46,413  

L3Harris Technologies Inc.

        

3.85% 12/15/26 (c)(i)

      19,000          20,344  

Lam Research Corp.

        

4.00% 03/15/29 (c)

      35,000          38,530  

Las Vegas Sands Corp.

        

3.50% 08/18/26 (c)

      20,000          20,690  

Lear Corp.

        

4.25% 05/15/29 (c)

      31,000          32,074  

5.25% 05/15/49 (c)

      15,000          15,620  
     Principal
Amount ($)		        Fair
Value
$		  

Liberty Property LP

        

4.38% 02/01/29 (c)

      24,000          27,307  

Lincoln National Corp.

        

3.63% 12/12/26 (c)

      30,000          31,695  

4.35% 03/01/48 (c)

      14,000          15,414  

Lockheed Martin Corp.

        

3.55% 01/15/26 (c)

      17,000          18,245  

3.80% 03/01/45 (c)

      6,000          6,640  

4.50% 05/15/36 (c)

      23,000          27,312  

Lowe’s Companies Inc.

        

3.70% 04/15/46 (c)

      5,000          5,102  

4.05% 05/03/47 (c)

      13,000          14,045  

4.55% 04/05/49 (c)

      17,000          20,020  

LYB International Finance BV

        

4.88% 03/15/44 (c)

      5,000          5,688  

LYB International Finance II BV

        

3.50% 03/02/27 (c)

      7,000          7,347  

Marathon Oil Corp.

        

3.85% 06/01/25 (c)

      12,000          12,697  

Marsh & McLennan Companies Inc.

        

3.50% 03/10/25 (c)

      21,000          22,183  

4.90% 03/15/49 (c)

      56,000          70,995  

Masco Corp.

        

3.50% 11/15/27 (c)

      5,000          5,171  

McDonald’s Corp.

        

3.63% 09/01/49 (c)

      14,000          14,310  

3.70% 01/30/26 (c)

      25,000          26,866  

3.80% 04/01/28 (c)

      24,000          26,144  

4.88% 12/09/45 (c)

      13,000          15,738  

McKesson Corp.

        

3.65% 11/30/20 (c)

      119,000          120,727  

Medtronic Inc.

        

4.63% 03/15/45 (c)

      6,000          7,540  

Memorial Sloan-Kettering Cancer Center

        

4.13% 07/01/52 (c)

      24,000          27,311  

Merck & Company Inc.

        

2.75% 02/10/25 (c)

      44,000          45,616  

3.40% 03/07/29 (c)

      25,000          27,084  

4.00% 03/07/49 (c)

      17,000          19,899  

MetLife Inc.

        

4.05% 03/01/45 (c)

      6,000          6,954  

4.72% 12/15/44 (c)

      20,000          24,343  

Microsoft Corp.

        

2.40% 08/08/26 (c)

      23,000          23,297  

3.45% 08/08/36 (c)

      14,000          15,350  

3.50% 02/12/35 (c)

      16,000          17,660  

3.70% 08/08/46 (c)

      56,000          63,195  

3.95% 08/08/56 (c)

      20,000          23,624  

4.10% 02/06/37 (c)

      4,000          4,724  

4.50% 02/06/57 (c)

      5,000          6,481  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

36   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Molson Coors Brewing Co.

        

2.10% 07/15/21 (c)

      42,000          42,029  

4.20% 07/15/46 (c)

      7,000          6,980  

Morgan Stanley

        

2.75% 05/19/22 (c)

      70,000          71,210  

3.63% 01/20/27 (c)

      5,000          5,327  

3.70% 10/23/24 (c)

      13,000          13,807  

3.95% 04/23/27 (c)

      116,000          124,228  

4.10% 05/22/23 (c)

      239,000          252,221  

4.35% 09/08/26 (c)

      55,000          60,146  

4.38% 01/22/47 (c)

      30,000          35,929  

Morgan Stanley (2.72% fixed rate until 07/22/24; 1.15% + SOFR thereafter)

        

2.72% 07/22/25 (c)(d)

      89,000          90,256  

Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter)

        

3.97% 07/22/38 (c)(d)

      20,000          22,278  

Morgan Stanley (4.43% fixed rate until 01/23/29; 1.63% + 3 month USD LIBOR thereafter)

        

4.43% 01/23/30 (c)(d)

      61,000          68,975  

MPLX LP

        

3.38% 03/15/23 (c)

      15,000          15,405  

5.20% 12/01/47 (c)(i)

      12,000          12,904  

5.25% 01/15/25 (c)(i)

      177,000          185,825  

6.25% 10/15/22 (c)(i)

      44,000          44,664  

MPLX LP 1.10% + 3 month USD LIBOR

        

2.99% 09/09/22 (c)(d)

      55,000          55,153  

Mylan Inc.

        

5.20% 04/15/48 (c)

      15,000          16,692  

Mylan N.V.

        

3.15% 06/15/21 (c)

      16,000          16,205  

3.95% 06/15/26 (c)

      7,000          7,277  

National Oilwell Varco Inc.

        

3.60% 12/01/29 (c)

      41,000          41,178  

National Retail Properties Inc.

        

4.00% 11/15/25 (c)

      23,000          24,702  

Newfield Exploration Co.

        

5.63% 07/01/24 (c)

      137,000          151,107  

Newmont Goldcorp Corp.

        

4.88% 03/15/42 (c)

      20,000          23,387  

Nexen Inc.

        

6.40% 05/15/37 (c)

      8,000          10,950  

NextEra Energy Capital Holdings Inc.

        

3.25% 04/01/26 (c)

      34,000          35,417  
     Principal
Amount ($)		        Fair
Value
$		  

NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter)

        

5.65% 05/01/79 (c)(d)

      23,000          25,539  

Noble Energy Inc.

        

3.85% 01/15/28 (c)

      48,000          50,640  

3.90% 11/15/24 (c)

      17,000          17,994  

4.20% 10/15/49 (c)

      27,000          27,419  

5.05% 11/15/44 (c)

      6,000          6,639  

Nordstrom Inc.

        

4.38% 04/01/30 (c)

      15,000          15,290  

5.00% 01/15/44 (c)

      2,000          1,960  

Norfolk Southern Corp.

        

3.95% 10/01/42 (c)

      18,000          19,353  

Northrop Grumman Corp.

        

2.55% 10/15/22 (c)

      10,000          10,150  

3.85% 04/15/45 (c)

      5,000          5,377  

4.03% 10/15/47 (c)

      4,000          4,465  

Novartis Capital Corp.

        

3.00% 11/20/25 (c)

      4,000          4,209  

Nucor Corp.

        

3.95% 05/01/28 (c)

      25,000          27,195  

Nutrien Ltd.

        

4.00% 12/15/26 (c)

      9,000          9,604  

4.90% 06/01/43 (c)

      14,000          15,756  

Occidental Petroleum Corp.

        

2.70% 08/15/22 (c)

      35,000          35,382  

2.90% 08/15/24 (c)

      18,000          18,285  

3.50% 08/15/29 (c)

      30,000          30,595  

4.10% 02/15/47 (c)

      11,000          10,685  

4.85% 03/15/21 (c)

      4,000          4,119  

6.20% 03/15/40 (c)

      10,000          11,946  

Omnicom Group Inc./Omnicom Capital Inc.

        

3.63% 05/01/22 (c)

      17,000          17,603  

Oncor Electric Delivery Company LLC

        

3.80% 09/30/47 (c)

      8,000          8,801  

ONEOK Inc.

        

4.35% 03/15/29 (c)

      26,000          28,234  

5.20% 07/15/48 (c)

      35,000          39,909  

Oracle Corp.

        

2.40% 09/15/23 (c)

      14,000          14,225  

2.65% 07/15/26 (c)

      26,000          26,613  

3.80% 11/15/37 (c)

      8,000          8,731  

4.00%
07/15/46 - 11/15/47 (c)

      43,000          47,909  

Oshkosh Corp.

        

5.38% 03/01/25 (c)

      17,000          17,593  

Owens Corning

        

4.40% 01/30/48 (c)

      10,000          9,659  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     37  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

PacifiCorp

        

6.25% 10/15/37 (c)

      33,000          46,175  

Packaging Corp. of America

        

3.00% 12/15/29 (c)

      40,000          40,332  

Parker-Hannifin Corp.

        

3.25% 06/14/29 (c)

      25,000          26,075  

Patterson-UTI Energy Inc.

        

5.15% 11/15/29 (c)

      20,000          20,434  

PayPal Holdings Inc.

        

2.65% 10/01/26 (c)

      35,000          35,472  

2.85% 10/01/29 (c)

      15,000          15,120  

PepsiCo Inc.

        

2.63% 07/29/29 (c)

      35,000          35,779  

3.38% 07/29/49 (c)

      10,000          10,488  

3.45% 10/06/46 (c)

      7,000          7,419  

Petroleos Mexicanos

        

5.35% 02/12/28 (c)

      15,000          14,924  

5.63% 01/23/46 (c)

      19,000          17,125  

6.35% 02/12/48 (c)

      15,000          14,482  

6.49% 01/23/27 (i)

      15,000          16,003  

6.50% 03/13/27 (c)

      40,000          42,372  

7.69% 01/23/50 (i)

      22,000          24,055  

Pfizer Inc.

        

3.45% 03/15/29 (c)

      11,000          11,838  

3.60% 09/15/28 (c)

      34,000          37,219  

3.90% 03/15/39 (c)

      17,000          19,165  

4.13% 12/15/46 (c)

      11,000          12,801  

4.40% 05/15/44 (c)

      6,000          7,167  

Philip Morris International Inc.

        

3.38% 08/15/29 (c)

      64,000          67,114  

4.13% 03/04/43 (c)

      20,000          21,587  

Phillips 66

        

3.90% 03/15/28 (c)

      23,000          25,103  

Phillips 66 Partners LP

        

3.75% 03/01/28 (c)

      19,000          19,823  

4.68% 02/15/45 (c)

      17,000          18,349  

Plains All American Pipeline LP/PAA Finance Corp.

        

3.55% 12/15/29 (c)

      69,000          67,999  

3.65% 06/01/22 (c)

      37,000          37,989  

4.70% 06/15/44 (c)

      8,000          7,782  

PPL Capital Funding Inc.

        

3.10% 05/15/26 (c)

      29,000          29,537  

Precision Castparts Corp.

        

4.38% 06/15/45 (c)

      11,000          12,831  

Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter)

        

5.70% 09/15/48 (c)(d)

      33,000          37,786  

Public Service Company of Colorado

        

3.70% 06/15/28 (c)

      31,000          33,799  
     Principal
Amount ($)		        Fair
Value
$		  
       

Public Service Electric & Gas Co.

        

2.38% 05/15/23 (c)

      46,000          46,602  

QUALCOMM Inc.

        

2.90% 05/20/24 (c)

      8,000          8,257  

3.00% 05/20/22 (c)

      7,000          7,175  

3.25% 05/20/27 (c)

      4,000          4,208  

4.30% 05/20/47 (c)

      5,000          5,729  

Quest Diagnostics Inc.

        

2.95% 06/30/30 (c)

      10,000          10,020  

Realty Income Corp.

        

3.00% 01/15/27 (c)

      9,000          9,268  

Reynolds American Inc.

        

4.45% 06/12/25 (c)

      5,000          5,384  

Rio Tinto Finance USA PLC

        

4.13% 08/21/42 (c)

      11,000          12,611  

Rockwell Automation Inc.

        

4.20% 03/01/49 (c)

      18,000          20,960  

Rockwell Collins Inc.

        

3.50% 03/15/27 (c)

      22,000          23,395  

Rogers Communications Inc.

        

5.00% 03/15/44 (c)

      5,000          6,075  

Roper Technologies Inc.

        

2.95% 09/15/29 (c)

      28,000          28,284  

RPM International Inc.

        

3.75% 03/15/27 (c)

      16,000          16,539  

Ryder System Inc.

        

2.50% 09/01/24 (c)

      55,000          55,378  

2.90% 12/01/26 (c)

      75,000          75,796  

3.65% 03/18/24 (c)

      29,000          30,460  

Sabine Pass Liquefaction LLC

        

4.20% 03/15/28 (c)

      18,000          19,099  

5.00% 03/15/27 (c)

      6,000          6,615  

Santander Holdings USA Inc.

        

3.70% 03/28/22 (c)

      57,000          58,602  

4.40% 07/13/27 (c)

      15,000          16,216  

Schlumberger Holdings Corp.

        

3.90% 05/17/28 (c)(i)

      36,000          38,307  

Selective Insurance Group Inc.

        

5.38% 03/01/49 (c)

      21,000          24,697  

Sempra Energy

        

3.80% 02/01/38 (c)

      10,000          10,444  

4.00% 02/01/48 (c)

      12,000          12,566  

Shell International Finance BV

        

2.38% 08/21/22 (c)

      38,000          38,534  

3.13% 11/07/49 (c)

      55,000          54,242  

3.75% 09/12/46 (c)

      12,000          13,156  

4.13% 05/11/35 (c)

      15,000          17,478  

Shire Acquisitions Investments Ireland DAC

        

2.40% 09/23/21 (c)

      24,000          24,139  

2.88% 09/23/23 (c)

      21,000          21,417  

3.20% 09/23/26 (c)

      6,000          6,184  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

38   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Simon Property Group LP

        

3.38% 06/15/27 (c)

      20,000          21,180  

Southern California Edison Co.

        

2.40% 02/01/22 (c)

      28,000          28,152  

2.90% 03/01/21 (c)

      46,000          46,400  

4.00% 04/01/47 (c)

      51,000          53,643  

4.20% 03/01/29 (c)

      38,000          41,862  

Southern Company Gas Capital Corp.

        

4.40% 05/30/47 (c)

      4,000          4,418  

Southern Copper Corp.

        

5.88% 04/23/45 (c)

      12,000          15,001  

Southwestern Electric Power Co.

        

2.75% 10/01/26 (c)

      19,000          18,951  

Spectra Energy Partners LP

        

3.38% 10/15/26 (c)

      5,000          5,174  

4.50% 03/15/45 (c)

      4,000          4,388  

Spirit Realty LP

        

4.00% 07/15/29 (c)

      30,000          31,556  

Starbucks Corp.

        

4.00% 11/15/28 (c)

      16,000          17,748  

Steel Dynamics Inc.

        

2.80% 12/15/24 (c)

      20,000          20,172  

3.45% 04/15/30 (c)

      20,000          20,277  

4.13% 09/15/25 (c)

      117,000          120,336  

Sumitomo Mitsui Financial Group Inc.

        

2.78% 07/12/22 (c)

      46,000          46,802  

Suncor Energy Inc.

        

4.00% 11/15/47 (c)

      5,000          5,459  

Sunoco Logistics Partners Operations LP

        

5.30% 04/01/44 (c)

      19,000          20,110  

Sysco Corp.

        

3.25% 07/15/27 (c)

      17,000          17,796  

Takeda Pharmaceutical Company Ltd.

        

4.00% 11/26/21 (c)

      200,000          206,942  

Tampa Electric Co.

        

4.35% 05/15/44 (c)

      32,000          36,532  

Target Corp.

        

2.50% 04/15/26 (c)

      18,000          18,415  

Teck Resources Ltd.

        

5.40% 02/01/43 (c)

      22,000          23,245  

Telefonica Emisiones S.A.

        

4.10% 03/08/27 (c)

      150,000          162,408  

Texas Instruments Inc.

        

3.88% 03/15/39 (c)

      19,000          21,586  

The Allstate Corp.

        

4.20% 12/15/46 (c)

      10,000          11,670  
     Principal
Amount ($)		        Fair
Value
$		  

The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter)

        

5.75% 08/15/53 (c)(d)

      39,000          41,985  

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 (c)(d)

      71,000          74,754  

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 (c)(d)

      42,000          42,630  

The Boeing Co.

        

2.70% 02/01/27 (c)

      50,000          50,612  

2.95% 02/01/30 (c)

      29,000          29,596  

3.25% 03/01/28 (c)

      14,000          14,592  

3.55% 03/01/38 (c)

      10,000          10,407  

3.75% 02/01/50 (c)

      15,000          15,950  

The Cleveland Electric Illuminating Co.

        

4.55% 11/15/30 (c)(i)

      64,000          71,844  

The Dow Chemical Co.

        

4.25% 10/01/34 (c)

      20,000          22,079  

5.55% 11/30/48 (c)

      17,000          21,333  

The Estee Lauder Companies Inc.

        

2.38% 12/01/29 (c)

      20,000          19,994  

3.13% 12/01/49 (c)

      15,000          15,024  

The George Washington University

        

4.13% 09/15/48 (c)

      25,000          28,791  

The Goldman Sachs Group Inc.

        

3.50% 11/16/26 (c)

      57,000          59,992  

3.85% 01/26/27 (c)

      35,000          37,259  

4.25% 10/21/25 (c)

      14,000          15,221  

5.15% 05/22/45 (c)

      25,000          30,794  

The Goldman Sachs Group Inc. (2.88% fixed rate until 10/31/21; 0.82% + 3 month USD LIBOR thereafter)

        

2.88% 10/31/22 (c)(d)

      86,000          87,143  

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 (c)(d)

      171,000          173,779  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     39  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

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 (c)(d)

      26,000          27,870  

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 (c)(d)

      16,000          17,396  

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 (c)(d)

      53,000          58,429  

The Hartford Financial Services Group Inc.

        

2.80% 08/19/29 (c)

      60,000          60,784  

The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR

        

4.03% 02/12/47 (c)(d)(i)

      30,000          27,985  

The Home Depot Inc.

        

3.50% 09/15/56 (c)

      12,000          12,612  

3.90%
12/06/28 - 06/15/47 (c)

      28,000          31,515  

4.50% 12/06/48 (c)

      15,000          18,533  

The Interpublic Group of Companies Inc.

        

3.75% 10/01/21 (c)

      46,000          47,264  

The Kroger Co.

        

2.95% 11/01/21 (c)

      40,000          40,674  

4.65% 01/15/48 (c)

      9,000          9,840  

The Mosaic Co.

        

5.63% 11/15/43 (c)

      4,000          4,733  

The Sherwin-Williams Co.

        

2.75% 06/01/22 (c)

      5,000          5,086  

3.45% 06/01/27 (c)

      6,000          6,346  

4.50% 06/01/47 (c)

      17,000          19,401  

The Southern Co.

        

3.25% 07/01/26 (c)

      9,000          9,344  

4.40% 07/01/46 (c)

      4,000          4,440  

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 (c)(d)

      60,000          62,933  

The Walt Disney Co.

        

3.38% 11/15/26 (c)

      4,000          4,284  

4.00% 10/01/23 (c)

      61,000          65,183  

4.75% 11/15/46 (c)

      6,000          7,693  

6.65% 11/15/37 (c)

      35,000          51,992  
     Principal
Amount ($)		        Fair
Value
$		  

The Williams Companies Inc.

        

3.75% 06/15/27 (c)

      4,000          4,173  

3.90% 01/15/25 (c)

      14,000          14,718  

4.85% 03/01/48 (c)

      17,000          18,641  

4.90% 01/15/45 (c)

      5,000          5,404  

5.40% 03/04/44 (c)

      5,000          5,627  

Time Warner Cable LLC

        

4.50% 09/15/42 (c)

      5,000          5,119  

6.55% 05/01/37 (c)

      16,000          19,800  

Total Capital International S.A.

        

3.46% 02/19/29 (c)

      54,000          58,516  

TransCanada PipeLines Ltd.

        

4.25% 05/15/28 (c)

      47,000          52,221  

4.88% 01/15/26 (c)

      9,000          10,096  

Transcontinental Gas Pipe Line Company LLC

        

4.00% 03/15/28 (c)

      19,000          20,174  

Trinity Health Corp.

        

3.43% 12/01/48 (c)

      11,000          10,946  

Truist Bank (3.50% fixed rate until 08/02/21; 0.59% + 3 month USD LIBOR thereafter)

        

3.50% 08/02/22 (c)(d)

      28,000          28,601  

Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter)

        

4.80% 12/31/99 (c)(d)

      73,000          75,149  

TWDC Enterprises 18 Corp.

        

4.13% 06/01/44 (c)

      8,000          9,486  

Tyco Electronics Group S.A.

        

3.13% 08/15/27 (c)

      19,000          19,577  

Tyson Foods Inc.

        

4.00% 03/01/26 (c)

      53,000          57,385  

4.55% 06/02/47 (c)

      4,000          4,584  

U.S. Bancorp

        

3.15% 04/27/27 (c)

      30,000          31,517  

U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter)

        

5.13% 12/29/49 (c)(d)

      64,000          65,756  

UDR Inc.

        

3.00% 08/15/31 (c)

      20,000          19,992  

Union Pacific Corp.

        

3.50% 06/08/23 (c)

      37,000          38,760  

3.60% 09/15/37 (c)

      8,000          8,311  

4.10% 09/15/67 (c)

      14,000          14,450  

4.30% 03/01/49 (c)

      16,000          18,500  

United Technologies Corp.

        

3.13% 05/04/27 (c)

      66,000          69,160  

3.65% 08/16/23 (c)

      34,000          35,856  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

40   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

3.95% 08/16/25 (c)

      14,000          15,277  

4.13% 11/16/28 (c)

      6,000          6,755  

4.15% 05/15/45 (c)

      17,000          19,478  

4.45% 11/16/38 (c)

      16,000          18,911  

4.50% 06/01/42 (c)

      12,000          14,403  

UnitedHealth Group Inc.

        

4.45% 12/15/48 (c)

      31,000          37,043  

4.75% 07/15/45 (c)

      28,000          34,440  

Vale S.A.

        

5.63% 09/11/42 (c)

      8,000          9,391  

Valero Energy Corp.

        

4.00% 04/01/29 (c)

      61,000          65,781  

Valero Energy Partners LP

        

4.38% 12/15/26 (c)

      35,000          38,196  

Ventas Realty LP

        

3.25% 10/15/26 (c)

      29,000          29,792  

Verizon Communications Inc.

        

3.88% 02/08/29 (c)

      35,000          38,610  

4.33% 09/21/28 (c)

      24,000          27,249  

4.40% 11/01/34 (c)

      43,000          50,014  

4.52% 09/15/48 (c)

      17,000          20,359  

4.67% 03/15/55 (c)

      16,000          19,751  

4.86% 08/21/46 (c)

      91,000          112,998  

5.25% 03/16/37 (c)

      16,000          20,081  

ViacomCBS Inc.

        

2.90% 01/15/27 (c)

      11,000          11,011  

3.45% 10/04/26 (c)

      11,000          11,235  

3.70% 06/01/28 (c)

      14,000          14,674  

5.25% 04/01/44 (c)

      5,000          5,815  

Virginia Electric & Power Co.

        

4.00% 11/15/46 (c)

      31,000          34,296  

Visa Inc.

        

3.15% 12/14/25 (c)

      18,000          19,042  

4.30% 12/14/45 (c)

      14,000          17,252  

Vistra Operations Company LLC

        

3.55% 07/15/24 (c)(i)

      68,000          69,166  

Vodafone Group PLC

        

4.38% 05/30/28 (c)

      25,000          27,710  

5.25% 05/30/48 (c)

      12,000          14,435  

Vornado Realty LP

        

3.50% 01/15/25 (c)

      14,000          14,609  

Vulcan Materials Co.

        

3.90% 04/01/27 (c)

      6,000          6,343  

Walmart Inc.

        

3.63% 12/15/47 (c)

      14,000          15,512  

3.70% 06/26/28 (c)

      29,000          31,965  

3.95% 06/28/38 (c)

      14,000          16,271  

4.05% 06/29/48 (c)

      16,000          19,006  

WEC Energy Group Inc.

        

3.55% 06/15/25 (c)

      45,000          47,772  
     Principal
Amount ($)		        Fair
Value
$		  

Wells Fargo & Co.

        

3.90% 05/01/45 (c)

      5,000          5,675  

4.15% 01/24/29 (c)

      57,000          63,676  

4.75% 12/07/46 (c)

      77,000          92,706  

Wells Fargo & Co. (2.88% fixed rate until 10/30/29; 1.17% + 3 month USD LIBOR thereafter)

        

2.88% 10/30/30 (c)(d)

      14,000          14,107  

Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter)

        

3.20% 06/17/27 (c)(d)

      75,000          77,792  

Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter)

        

5.88% 12/29/49 (c)(d)

      41,000          45,922  

Wells Fargo & Co. 3.77% + 3 month USD LIBOR

        

5.66% 03/29/49 (c)(d)

      24,000          24,328  

Western Midstream Operating LP

        

4.00% 07/01/22 (c)

      49,000          50,354  

5.38% 06/01/21 (c)

      46,000          47,345  

Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter)

        

4.11% 07/24/34 (c)(d)

      31,000          32,575  

Willis North America Inc.

        

3.60% 05/15/24 (c)

      22,000          23,019  

WPP Finance 2010

        

3.75% 09/19/24 (c)

      24,000          25,299  

WRKCo Inc.

        

3.00% 09/15/24 (c)

      17,000          17,353  

Xilinx Inc.

        

2.95% 06/01/24 (c)

      14,000          14,399  

Zoetis Inc.

        

3.00% 09/12/27 (c)

      7,000          7,187  

3.90% 08/20/28 (c)

      17,000          18,439  
       

 

 

  
       21,154,431  
       

 

 

  

Non-Agency Collateralized Mortgage Obligations -1.2%

Banc of America Commercial Mortgage Trust 2016-UBS10

        

4.91% 07/15/49 (c)(d)

      82,000          87,829  

BANK 2018-BNK11

        

4.36% 03/15/61 (c)(d)

      35,000          38,236  

BANK 2019-BNK17

        

4.52% 04/15/52 (c)(d)

      34,000          36,421  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     41  

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Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

BX Commercial Mortgage Trust 2018-IND 0.75% + 1 month USD LIBOR

        

2.49% 11/15/35 (c)(d)(i)

      91,295          91,216  

Cantor Commercial Real Estate Lending 2019-CF3

        

3.01% 01/15/53 (c)

      277,000          284,213  

CD 2019-CD8 Mortgage Trust

        

2.91% 08/15/57 (c)

      246,000          250,938  

Citigroup Commercial Mortgage Trust 2015-GC33

        

3.78% 09/10/58 (c)

      100,000          106,881  

Citigroup Commercial Mortgage Trust 2016-P5

        

2.94% 10/10/49 (c)

      90,682          92,942  

Citigroup Commercial Mortgage Trust 2016-P6

        

3.72% 12/10/49 (c)(d)

      119,583          128,512  

4.03% 12/10/49 (c)(d)

      78,331          84,024  

Citigroup Commercial Mortgage Trust 2018-C5

        

4.51% 06/10/51 (c)(d)

      64,000          69,960  

COMM 2014-CR14 Mortgage Trust

        

4.53% 02/10/47 (c)(d)

      55,000          58,947  

GS Mortgage Securities Trust 2016-GS3

        

2.85% 10/10/49 (c)

      72,000          73,694  

GS Mortgage Securities Trust 2017-GS5

        

3.67% 03/10/50 (c)

      240,062          257,183  

GS Mortgage Securities Trust 2017-GS8

        

3.47% 11/10/50 (c)

      184,426          194,835  

GS Mortgage Securities Trust 2018-GS9

        

4.14% 03/10/51 (c)(d)

      73,000          78,735  

JPMBB Commercial Mortgage Securities Trust 2013-C12

        

4.04% 07/15/45 (c)(d)

      25,000          26,268  

JPMBB Commercial Mortgage Securities Trust 2015-C32

        

4.67% 11/15/48 (c)(d)

      71,000          74,621  

MASTR Alternative Loan Trust 2003-5

        

5.00% 08/25/18 (c)(f)

      232          8  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21

        

0.90% 03/15/48 (c)(d)(f)

      822,326          29,660  

Morgan Stanley Capital I Trust 2006-IQ11

        

6.07% 10/15/42 (c)(d)

      32,270          32,903  
     Principal
Amount ($)		        Fair
Value
$		  

UBS Commercial Mortgage Trust 2018-C12

        

4.79% 08/15/51 (c)(d)

      54,000          59,680  

Wells Fargo Commercial Mortgage Trust 2015-C26

        

1.21% 02/15/48 (c)(d)(f)

      837,291          42,271  

Wells Fargo Commercial Mortgage Trust 2019-C50

        

4.35% 05/15/52 (c)

      45,000          47,140  

WFRBS Commercial Mortgage Trust 2013-C17

        

4.26% 12/15/46 (c)

      55,000          58,308  

WFRBS Commercial Mortgage Trust 2014-LC14

        

4.35% 03/15/47 (c)(d)

      123,000          131,574  
       

 

 

  
       2,436,999  
       

 

 

  

Sovereign Bonds - 0.2%

Government of Colombia

        

2.63% 03/15/23 (c)

      200,000          201,240  

Government of Mexico

        

4.00% 10/02/23 (c)

      24,000          25,292  

4.75% 03/08/44 (c)

      56,000          61,932  

Government of Peru

        

5.63% 11/18/50 (c)

      26,000          38,019  

Government of Uruguay

        

5.10% 06/18/50

      29,803          35,842  
       

 

 

  
       362,325  
       

 

 

  

Municipal Bonds and Notes - 0.1%

American Municipal Power Inc.

        

6.27% 02/15/50 (c)

      25,000          33,397  

Commonwealth of Massachusetts

        

2.90% 09/01/49

      20,000          18,877  

New Jersey Transportation Trust Fund Authority

        

6.88% 12/15/39 (c)

      15,000          15,040  

Port Authority of New York & New Jersey

        

4.46% 10/01/62 (c)

      30,000          36,768  

State of California

        

4.60% 04/01/38

      50,000          55,400  

State of Illinois

        

5.10% 06/01/33

      25,000          26,951  

The University of Texas System

        

3.35% 08/15/47 (c)

      25,000          26,039  
       

 

 

  
          212,472  
       

 

 

  
Total Bonds and Notes
(Cost $64,450,999)

 

        66,741,741  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

42   Elfun Diversified Fund

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Schedule of Investments, continued — December 31, 2019

 

     Number
of Shares		        Fair
Value
$		  
       
Exchange Traded & Mutual Funds - 26.6%

State Street Global Equity ex-U.S. Index Portfolio
(Cost $47,921,772) (k)

      4,975,074          53,034,284  
       

 

 

  
Total Investments in Securities
(Cost $163,136,044)

 

        190,272,380  
       

 

 

  
Short-Term Investments - 11.8%

Dreyfus Treasury Cash Management - Institutional Shares 1.51% (c)(h)

      2,789,006          2,789,006  

State Street Institutional Treasury Money Market Fund - Premier Class
1.52% (c)(h)(k)

      8,797,356          8,797,356  

State Street Institutional Treasury Plus Fund - Premier Class 1.54% (c)(h)(k)

      2,789,007          2,789,007  
     Number
of Shares		        Fair
Value
$		  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.57% (c)(h)(k)

      9,178,722          9,178,722  
       

 

 

  
Total Short-Term Investments
(Cost $23,554,091)

 

        23,554,091  
       

 

 

  
Total Investments
(Cost $186,690,135)

 

        213,826,471  
Liabilities in Excess of Other Assets,
net - (7.4)%

       (14,815,923 ) 
       

 

 

  
NET ASSETS - 100.0%

       199,010,548  
       

 

 

  
 

Other Information:

Centrally Cleared Credit Default Swaps

 

Reference
Entity		   Counterparty   Notional
Amount
(000s omitted)		     Contract
Annual
Fixed Rate/
Payment
Frequency		     Termination
Date		     Market
Value		     Unamortized
Upfront
Payments
Received
(Paid)		     Unrealized
Appreciation
(Depreciation)		  

Buy Protection

              

Markit CDX North America Investment Grade Index

   Intercontinental Exchange   $ 273      
 1.00%/
Quarterly
 		     06/20/24     $ (7,120 )    $ (4,756 )    $ (2,364 ) 

Sell Protection

              

Markit CDX North America High Yield Index

   Intercontinental Exchange   $ 2,386      
 5.00%/
Quarterly
 		     06/20/24     $ 235,726     $ 135,724     $ 100,002  
             

 

 

  
  $ 97,638  
 

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     43  

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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     Pays/Quarterly   3 Month U.S. Dollar LIBOR     3.05%       11/19/21     $ (69,141 )    $ —     $ (69,141 ) 

CME Group, Inc.

     2,751     Pays/Quarterly   3 Month U.S. Dollar LIBOR     3.06%       11/19/21       (69,387 )      —       (69,387 ) 
               

 

 

  
  $ (138,528 ) 
               

 

 

  

The Fund had the following long futures contracts open at December 31, 2019:

 

Description    Expiration
date		      Number of
Contracts		      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

S&P 500 Emini Index Futures

      March 2020        3      $ 477,019      $ 484,665      $ 7,646  

Ultra Long-Term U.S. Treasury Bond Futures

      March 2020        5        943,908        908,281        (35,627 ) 

2 Yr. U.S. Treasury Notes Futures

      March 2020        48        10,341,399        10,344,000        2,601  

5 Yr. U.S. Treasury Notes Futures

      March 2020        1        118,353        118,609        256  

10 Yr. U.S. Treasury Notes Futures

      March 2020        1        128,455        128,422        (33 ) 
              

 

 

  
               $ (25,157 ) 
              

 

 

  

The Fund had the following short futures contracts open at December 31, 2019:

 

Description    Expiration
date		      Number of
Contracts		      Notional
Amount		      Value      Unrealized
Appreciation		  

U.S. Long Bond Futures

      March 2020        1      $ (159,078 )     $ (155,906 )     $ 3,172  

10 Yr. U.S. Treasury Ultra Futures

      March 2020        10        (1,421,388 )       (1,407,031 )       14,357  
              

 

 

  
               $ 17,529  
              

 

 

  

During the fiscal year ended December 31, 2019 average notional values related to derivative contracts were as follows:

 

     

Purchased

Put

Options

     

Written

Put

Options

     

Long

Futures

Contracts

     

Short

Futures

Contracts

     

Credit

Default

Swap

Contracts

     

Interest

Rate

Swap

Contracts

  

Average Notional Value

    $ 986      $ 99      $ 15,063,387      $ 1,975,530      $ 2,274,408      $ 5,500,423  

 

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 the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

Non-income producing security.

(b)

State Street Corporation is the parent company of SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

(c)

At December 31, 2019, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs.

(d)

Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.

(e)

Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future.

(f)

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.

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

44   Elfun Diversified Fund

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(g)

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.

(h)

Coupon amount represents effective yield.

(i)

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 December 31, 2019, these securities amounted to $2,825,937 or 1.42% of the net assets of the Elfun Diversified Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Trustees .

(j)

Step coupon bond.

(k)

Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

†

Percentages are based on net assets as of December 31, 2019.

*

Less than 0.05%.

**

Amount is less than $0.50.

Abbreviations:

CMT - Constant Maturity Treasury

LIBOR - London Interbank Offered Rate

REIT - Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

SOFR - Secured Overnight Financing Rate

STRIPS - Separate Trading of Registered Interest and Principal of Security

TBA - To Be Announced

 

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2019:

 

Fund    Investments    Level 1     Level 2     Level 3      Total  
Elfun Diversified Fund   

Investments in Securities

          
  

Domestic Equity

    $ 68,800,800     $ —     $ —      $ 68,800,800  
  

Foreign Equity

      1,695,555       —       —        1,695,555  
  

U.S. Treasuries

      —       14,234,195       —        14,234,195  
  

Agency Mortgage Backed

      —       25,891,810       —        25,891,810  
  

Agency Collateralized Mortgage Obligations

      —       654,800       —        654,800  
  

Asset Backed

      —       1,794,709       —        1,794,709  
  

Corporate Notes

      —       21,154,431       —        21,154,431  
  

Non-Agency Collateralized Mortgage Obligations

      —       2,436,999       —        2,436,999  
  

Sovereign Bonds

      —       362,325       —        362,325  
  

Municipal Bonds and Notes

      —       212,472       —        212,472  
  

Exchange Traded & Mutual Funds

      53,034,284       —       —        53,034,284  
  

Short-Term Investments

      23,554,091       —       —        23,554,091  
     

 

 

    

 

 

    

 

 

     

 

 

  
  

Total Investments in Securities

    $ 147,084,730     $ 66,741,741     $ —      $ 213,826,471  
     

 

 

    

 

 

    

 

 

     

 

 

  
  

Other Financial Instruments

          
  

Credit Default Swap Contracts - Unrealized Appreciation

    $ —     $ 100,002     $ —      $ 100,002  
  

Credit Default Swap Contracts - Unrealized Depreciation

      —       (2,364 )      —        (2,364 ) 
  

Interest Rate Swap Contracts - Unrealized Depreciation

      —       (138,528 )      —        (138,528 ) 
  

Long Futures Contracts - Unrealized Appreciation

      10,503       —       —        10,503  
  

Long Futures Contracts - Unrealized Depreciation

      (35,660 )      —       —        (35,660 ) 
  

Short Futures Contracts - Unrealized Appreciation

      17,529       —       —        17,529  
     

 

 

    

 

 

    

 

 

     

 

 

  
  

Total Other Financial Instruments

    $ (7,628 )    $ (40,890 )    $ —      $ (48,518 ) 
     

 

 

    

 

 

    

 

 

     

 

 

  

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     45  

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Schedule of Investments, continued — December 31, 2019

 

The Fund was invested in the following countries/territories at December 31, 2019 (unaudited):

 

Country/Territory    Percentage
(based on
Fair Value)		  

United States

      97.87%  

United Kingdom

      0.43%  

Ireland

      0.42%  

Canada

      0.24%  

Netherlands

      0.14%  

Switzerland

      0.15%  

Japan

      0.12%  

Luxembourg

      0.10%  

Mexico

      0.10%  

Colombia

      0.09%  

Spain

      0.08%  

Australia

      0.05%  

Bermuda

      0.04%  
Country/Territory    Percentage
(based on
Fair Value)		  

Germany

      0.04%  

Jersey

      0.03%  

France

      0.03%  

Peru

      0.02%  

Uruguay

      0.02%  

India

      0.01%  

Norway

      0.01%  

China

      0.01%  

Brazil

      0.00%  
  

 

 

  
     100.00%  
  

 

 

  
 

 

The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2019 (unaudited):

 

Industry    Domestic      Foreign      Total  

Exchange Traded Funds

      24.80%        0.00%        24.80%  

Systems Software

      1.72%        0.00%        1.72%  

Technology Hardware, Storage & Peripherals

      1.63%        0.01%        1.64%  

Interactive Media & Services

      1.62%        0.00%        1.62%  

Pharmaceuticals

      1.52%        0.00%        1.52%  

Diversified Banks

      1.48%        0.00%        1.48%  

Data Processing & Outsourced Services

      1.34%        0.00%        1.34%  

Semiconductors

      1.23%        0.00%        1.23%  

Healthcare Equipment

      0.93%        0.18%        1.11%  

Internet & Direct Marketing Retail

      1.10%        0.00%        1.10%  

Aerospace & Defense

      0.80%        0.00%        0.80%  

Integrated Oil & Gas

      0.69%        0.00%        0.69%  

Electric Utilities

      0.67%        0.00%        0.67%  

Integrated Telecommunication Services

      0.66%        0.00%        0.66%  

Biotechnology

      0.66%        0.00%        0.66%  

Application Software

      0.60%        0.00%        0.60%  

Household Products

      0.56%        0.00%        0.56%  

Managed Healthcare

      0.55%        0.00%        0.55%  

Multi-Sector Holdings

      0.54%        0.00%        0.54%  

Soft Drinks

      0.53%        0.00%        0.53%  

Movies & Entertainment

      0.51%        0.00%        0.51%  

Industrial Conglomerates

      0.45%        0.00%        0.45%  

Specialized REITs

      0.42%        0.00%        0.42%  

Home Improvement Retail

      0.41%        0.00%        0.41%  

IT Consulting & Other Services

      0.23%        0.17%        0.40%  

Regional Banks

      0.39%        0.00%        0.39%  

Restaurants

      0.39%        0.00%        0.39%  

Hypermarkets & Super Centers

      0.37%        0.00%        0.37%  

Financial Exchanges & Data

      0.36%        0.00%        0.36%  

Cable & Satellite

      0.36%        0.00%        0.36%  

Multi-Utilities

      0.35%        0.00%        0.35%  

Packaged Foods & Meats

      0.34%        0.00%        0.34%  

Life Sciences Tools & Services

      0.34%        0.00%        0.34%  

Communications Equipment

      0.32%        0.00%        0.32%  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

46   Elfun Diversified Fund

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Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

Industry    Domestic      Foreign      Total  

Oil & Gas Exploration & Production

      0.31%        0.00%        0.31%  

Railroads

      0.30%        0.00%        0.30%  

Property & Casualty Insurance

      0.28%        0.00%        0.28%  

Industrial Machinery

      0.27%        0.01%        0.28%  

Tobacco

      0.28%        0.00%        0.28%  

Asset Management & Custody Banks

      0.27%        0.00%        0.27%  

Specialty Chemicals

      0.26%        0.00%        0.26%  

Investment Banking & Brokerage

      0.26%        0.00%        0.26%  

Healthcare Services

      0.26%        0.00%        0.26%  

Consumer Finance

      0.22%        0.00%        0.22%  

Industrial Gases

      0.06%        0.15%        0.21%  

Life & Health Insurance

      0.19%        0.00%        0.19%  

Construction Machinery & Heavy Trucks

      0.19%        0.00%        0.19%  

Insurance Brokers

      0.09%        0.09%        0.18%  

Air Freight & Logistics

      0.17%        0.00%        0.17%  

Oil & Gas Refining & Marketing

      0.17%        0.00%        0.17%  

Electrical Components & Equipment

      0.16%        0.00%        0.16%  

Hotels, Resorts & Cruise Lines

      0.16%        0.00%        0.16%  

Semiconductor Equipment

      0.16%        0.00%        0.16%  

General Merchandise Stores

      0.16%        0.00%        0.16%  

Footwear

      0.16%        0.00%        0.16%  

Apparel Retail

      0.15%        0.00%        0.15%  

Oil & Gas Equipment & Services

      0.13%        0.01%        0.14%  

Residential REITs

      0.14%        0.00%        0.14%  

Oil & Gas Storage & Transportation

      0.13%        0.00%        0.13%  

Airlines

      0.12%        0.00%        0.12%  

Retail REITs

      0.12%        0.00%        0.12%  

Interactive Home Entertainment

      0.11%        0.00%        0.11%  

Automotive Retail

      0.11%        0.00%        0.11%  

Automobile Manufacturers

      0.10%        0.00%        0.10%  

Research & Consulting Services

      0.06%        0.04%        0.10%  

Paper Packaging

      0.06%        0.03%        0.09%  

Building Products

      0.08%        0.01%        0.09%  

Multi-Line Insurance

      0.09%        0.00%        0.09%  

Apparel, Accessories & Luxury Goods

      0.08%        0.01%        0.09%  

Health Care REITs

      0.09%        0.00%        0.09%  

Environmental & Facilities Services

      0.08%        0.00%        0.08%  

Industrial REITs

      0.08%        0.00%        0.08%  

Commodity Chemicals

      0.08%        0.00%        0.08%  

Healthcare Distributors

      0.07%        0.00%        0.07%  

Broadcasting

      0.07%        0.00%        0.07%  

Office REITs

      0.07%        0.00%        0.07%  

Home Building

      0.07%        0.00%        0.07%  

Agricultural & Farm Machinery

      0.07%        0.00%        0.07%  

Casinos & Gaming

      0.07%        0.00%        0.07%  

Electronic Components

      0.07%        0.00%        0.07%  

Fertilizers & Agricultural Chemicals

      0.07%        0.00%        0.07%  

Healthcare Facilities

      0.06%        0.00%        0.06%  

Trading Companies & Distributors

      0.06%        0.00%        0.06%  

Personal Products

      0.06%        0.00%        0.06%  

Healthcare Supplies

      0.06%        0.00%        0.06%  

Drug Retail

      0.06%        0.00%        0.06%  

Distillers & Vintners

      0.05%        0.00%        0.05%  

Food Distributors

      0.05%        0.00%        0.05%  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     47  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

Industry    Domestic      Foreign      Total  

Diversified Support Services

      0.05%        0.00%        0.05%  

Specialty Stores

      0.05%        0.00%        0.05%  

Electronic Manufacturing Services

      0.01%        0.04%        0.05%  

Construction Materials

      0.05%        0.00%        0.05%  

Electronic Equipment & Instruments

      0.05%        0.00%        0.05%  

Gold

      0.04%        0.00%        0.04%  

Auto Parts & Equipment

      0.01%        0.03%        0.04%  

Internet Services & Infrastructure

      0.04%        0.00%        0.04%  

Distributors

      0.03%        0.00%        0.03%  

Agricultural Products

      0.03%        0.00%        0.03%  

Advertising

      0.03%        0.00%        0.03%  

Food Retail

      0.03%        0.00%        0.03%  

Wireless Telecommunication Services

      0.03%        0.00%        0.03%  

Healthcare Technology

      0.03%        0.00%        0.03%  

Water Utilities

      0.03%        0.00%        0.03%  

Independent Power Producers & Energy Traders

      0.03%        0.00%        0.03%  

Metal & Glass Containers

      0.03%        0.00%        0.03%  

Real Estate Services

      0.03%        0.00%        0.03%  

Trucking

      0.03%        0.00%        0.03%  

Computer & Electronics Retail

      0.03%        0.00%        0.03%  

Technology Distributors

      0.02%        0.00%        0.02%  

Department Stores

      0.02%        0.00%        0.02%  

Copper

      0.02%        0.00%        0.02%  

Steel

      0.02%        0.00%        0.02%  

Construction & Engineering

      0.02%        0.00%        0.02%  

Home Furnishings

      0.02%        0.00%        0.02%  

Consumer Electronics

      0.02%        0.00%        0.02%  

Hotel & Resort REITs

      0.02%        0.00%        0.02%  

Alternative Carriers

      0.02%        0.00%        0.02%  

Gas Utilities

      0.02%        0.00%        0.02%  

Leisure Products

      0.01%        0.00%        0.01%  

Reinsurance

      0.00%        0.01%        0.01%  

Diversified Chemicals

      0.01%        0.00%        0.01%  

Brewers

      0.01%        0.00%        0.01%  

Household Appliances

      0.01%        0.00%        0.01%  

Publishing

      0.01%        0.00%        0.01%  

Housewares & Specialties

      0.01%        0.00%        0.01%  

Motorcycle Manufacturers

      0.01%        0.00%        0.01%  

Human Resource & Employment Services

      0.01%        0.00%        0.01%  

Oil & Gas Drilling

      0.01%        0.00%        0.01%  

Specialized Consumer Services

      0.01%        0.00%        0.01%  
        

 

 

  
           57.77%  
        

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

48   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2019

 

Sector    Percentage
(based on
Fair Value)		  

Agency Mortgage Backed

      12.11%  

Corporate Notes

      9.89%  

U.S. Treasuries

      6.66%  

Non-Agency Collateralized Mortgage Obligations

      1.14%  

Asset Backed

      0.84%  

Agency Collateralized Mortgage Obligations

      0.30%  

Sovereign Bonds

      0.17%  

Municipal Bonds and Notes

      0.10%  
  

 

 

  
     31.21%  
  

 

 

  
Sector    Percentage
(based on
Fair Value)		  

Short-Term Investments

   

Short-Term Investments

      11.02%  
  

 

 

  
     11.02%  
  

 

 

  
     100.00%  
  

 

 

  
 

 

 

Affiliate Table

 

     Number
of Shares
Held at
12/31/18		     Value at
12/31/18		     Cost of
Purchases		     Proceeds
from
Shares
Sold		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
Depreciation		     Number
of Shares
Held at
12/31/19		     Value at
12/31/19		     Dividend
Income		  

State Street Corp.

     1,195     $ 75,369     $ —     $ 12,938     $ (3,478 )    $ 18,882       984     $ 77,835     $ 2,063  

State Street Global Equity ex-U.S. Index Portfolio

     5,315,594       47,946,658       1,924,695       5,300,000       231,801       8,231,130       4,975,074       53,034,284       1,524,695  

State Street Institutional Treasury Money Market Fund - Premier Class

     5,935,188       5,935,188       20,322,557       17,460,389       —       —       8,797,356       8,797,356       178,199  

State Street Institutional Treasury Plus Fund - Premier Class

     2,640,921       2,640,921       4,124,391       3,976,305       —       —       2,789,007       2,789,007       70,836  

State Street Institutional U.S. Government Money Market Fund - Class G Shares

     5,945,053       5,945,053       29,007,935       25,774,266       —       —       9,178,722       9,178,722       190,388  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

TOTAL

     $ 62,543,189     $ 55,379,578     $ 52,523,898     $ 228,323     $ 8,250,012       $ 73,877,204     $ 1,966,181  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Diversified Fund     49  

Table of Contents

Elfun Tax-Exempt Income Fund

Management’s Discussion of Fund Performance — December 31, 2019 (Unaudited)

 

 

The Elfun Tax-Exempt Income Fund (the “Fund”) seeks to provide as high a level of current interest income exempt from federal income taxation as is available from a concentration of investments in municipal bonds consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg Barclays U.S. Municipal Bond Index (the “Index”).

For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Fund was 7.13% and the Index was 7.54%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The tax-exempt market outperformed Treasuries in 2019 as a result of a strong rally in rates coupled with record inflows and slow issuance in the beginning of the year. The tax-exempt market started the year cheap to treasuries but as we moved into the spring, tax-exempt municipals outperformed Treasuries. Ratios reached multi-year lows by the middle of the summer making the tax-exempt market rich.

During the past year, performance of the Fund was influenced by both its defensive credit profile and the Fund’s curve positioning which resulted in shorter duration than the Index for the first half of the year. The Fund was positioned for a narrowing between short and long-term yields using a barbell approach with significant overweight in the front-end of the curve and an overweight in the long-end to help maintain maximum tax-exempt income. Although these factors were constructive for the beginning of the year, the strong performance in the 10 year portion of the yield curve combined with significant curve flattening, with short duration yields rising, diminished the Fund’s performance relative to the Index.

We extended the Fund’s duration during the latter half of the year and repositioned portfolio holdings to realign curve positioning by reducing the short duration overweight.

The Fund did not invest in derivatives during the Reporting Period.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

50   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Understanding Your Fund’s Expenses (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 December 31, 2019.

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)		  

Actual Fund Return

    $ 1,000.00      $ 1,000.00  

Beginning Account Value

July 1, 2019

    $ 1,021.40      $ 1,024.20  

Ending Account Value

December 31, 2019

    $ 1.02      $ 1.02  

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.20% (for the period July 1, 2019-December 31, 2019), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

 

Elfun Tax-Exempt Income Fund     51  

Table of Contents

Elfun Tax-Exempt Income Fund

Performance Summary — December 31, 2019 (Unaudited)

 

 

Quality Ratings

as of December 31, 2019 as a % of Fair Value (a)(b)

 

Moody’s / S&P / Rating*

    Percentage of
Fair Value		  

Aaa / AAA

      18.02 % 

Aa / AA

      48.01 % 

A / A

      24.06 % 

Baa / BBB

      6.58 % 

NR / Other

      3.33 % 
  

 

 

  
     100.00 % 
  

 

 

  

Sector Allocation

Portfolio Composition as a % of Fair Value of $1,370,530 (in thousands) as of December 31, 2019 (a)(b)

 

 

LOGO

Average Annual Total Return for the Periods Ended December 31, 2019

(Inception date: 01/01/80)

 

    One Year     Five Year     Ten Year     Ending Value
of a $10,000
Investment		  

Elfun Tax-Exempt Income Fund

     7.13 %      3.24 %      4.11 %    $ 14,958  

Bloomberg Barclays U.S. Municipal Bond Index

     7.54 %      3.53 %      4.34 %    $ 15,295  
 

 

 

 

 

(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 Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings.

 

52   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Performance Summary, continued — December 31, 2019 (Unaudited)

 

 

LOGO

 

Elfun Tax-Exempt Income Fund     53  

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value

$

  
       
Municipal Bonds and Notes - 98.2%†

 

Alaska - 0.2%

 

Alaska Housing Finance Corp.

        

5.00% 12/01/27 (a)

      2,115,000          2,310,722  

5.00% 12/01/27

      385,000          417,536  
       

 

 

  
       2,728,258  
       

 

 

  

Arizona - 2.1%

Maricopa County Industrial Development Authority
4.00% 01/01/41

      3,000,000          3,316,410  

Phoenix Civic Improvement Corp.
5.00% 07/01/33

      3,100,000          3,850,200  

Phoenix Civic Improvement Corp. (NPFG Insured)
5.50% 07/01/23 - 07/01/24 (b)

      7,260,000          8,495,668  

Salt River Project Agricultural Improvement & Power District 5.00% 12/01/21

      7,500,000          7,769,250  

University of Arizona 5.00% 06/01/46

      5,000,000          5,859,950  
       

 

 

  
       29,291,478  
       

 

 

  

Arkansas - 0.3%

University of Arkansas
5.00% 11/01/46 - 11/01/47

      3,580,000          4,252,741  
       

 

 

  
       4,252,741  
       

 

 

  

California - 11.1%

California Educational Facilities Authority
6.13% 10/01/36 (a)

      1,500,000          1,634,654  

California Health Facilities Financing Authority

        

5.00% 11/15/39 - 11/15/49

      6,315,000          7,430,236  

5.50% 08/15/26 (a)

      5,000,000          5,141,700  

California State Department of Water Resources

        

5.00% 05/01/21 - 12/01/29

      14,700,000          16,597,955  

5.00% 12/01/21 (c)

      5,000          5,384  

5.00% 12/01/29 (a)

      30,000          35,753  

California State Public Works Board

        

5.00% 10/01/28

      1,500,000          1,599,390  

5.13% 10/01/31

      2,000,000          2,136,820  

5.25% 09/01/29

      10,160,000          11,597,843  

California State University
4.00% 11/01/45

      5,900,000          6,446,340  

City of Los Angeles Wastewater System Revenue 5.00% 06/01/43

      10,000,000          12,269,800  
     Principal
Amount ($)		       

Fair
Value

$

  

Fresno Unified School District
4.00% 08/01/47

      5,000,000          5,346,200  

Los Angeles Department of Water & Power Power System Revenue
5.00% 07/01/48

      5,500,000          6,719,350  

Mount San Antonio Community College District
4.00% 08/01/49

      3,000,000          3,420,390  

San Diego Community College District
5.00% 08/01/41 (a)

      10,000,000          10,650,600  

San Francisco City & County Airport Commission-San Francisco International Airport
5.00% 05/01/49

      10,000,000          12,317,300  

State of California

        

4.00% 04/01/49

      700,000          794,654  

5.00% 02/01/31 - 08/01/46

      21,720,000          24,627,607  

5.25% 04/01/35 - 11/01/40

      12,750,000          13,344,283  

University of California
5.00% 05/15/38 - 05/15/48

      9,000,000          10,549,660  
       

 

 

  
       152,665,919  
       

 

 

  

Colorado - 2.4%

Colorado Health Facilities Authority

        

4.00% 08/01/49

      5,100,000          5,422,524  

5.00% 06/01/47 (a)

      1,750,000          2,200,415  

Metro Wastewater Reclamation District
5.00% 04/01/27 (a)

      1,730,000          1,881,167  

Regional Transportation District

        

4.25% 11/01/36

      3,405,000          4,383,325  

5.00% 11/01/27 - 11/01/29

      13,760,000          16,823,609  

5.38% 06/01/31

      2,500,000          2,540,650  
       

 

 

  
       33,251,690  
       

 

 

  

Connecticut - 4.7%

 

Connecticut State Health & Educational Facility Authority

        

5.00% 07/01/40 (a)

      6,775,000          6,905,961  

5.00% 07/01/46

      6,500,000          7,498,530  

South Central Connecticut Regional Water Authority 5.00% 08/01/27 - 08/01/28

      2,195,000          2,476,078  

State of Connecticut

        

4.00% 08/01/33

      1,000,000          1,096,250  

5.00% 01/01/22 - 05/01/37

      15,600,000          17,486,352  

5.00% 01/15/27 (d)

      1,000,000          1,223,760  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

54   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

State of Connecticut Special Tax Revenue
5.00% 10/01/27 - 10/01/36

      23,325,000          26,589,606  

Town of Fairfield
5.00% 08/01/21

      1,000,000          1,063,100  
       

 

 

  
       64,339,637  
       

 

 

  

Delaware - 1.1%

 

Delaware State Health Facilities Authority
5.00% 10/01/40

      6,300,000          6,461,532  

Delaware Transportation Authority
5.00% 06/01/45

      6,680,000          7,609,455  

State of Delaware

        

5.00% 07/01/28 (a)

      825,000          840,947  

5.00% 07/01/28

      175,000          178,348  
       

 

 

  
       15,090,282  
       

 

 

  

District of Columbia - 2.8%

 

District of Columbia

        

4.00% 10/15/39 - 10/15/44

      9,485,000          10,739,231  

5.00% 06/01/38 - 04/01/42

      7,430,000          8,669,701  

5.00% 04/01/42 (a)

      1,820,000          2,267,010  

District of Columbia Water & Sewer Authority Rev., Series 2019 B,
5.00% 10/01/27

      1,000,000          1,261,350  

Metropolitan Washington Airports Authority Dulles Toll Road Revenue
5.00% 10/01/44

      5,000,000          6,037,400  

Washington Metropolitan Area Transit Authority 5.00%
07/01/34 - 07/01/43

      8,375,000          10,117,063  
       

 

 

  
       39,091,755  
       

 

 

  

Florida - 1.6%

 

City of Tampa Water & Wastewater System Revenue
5.00% 10/01/27

      8,560,000          9,117,941  

County of Broward FL Airport System Revenue Rev., Series 2019 A,
5.00% 10/01/28

      800,000          1,002,368  

County of Miami-Dade FL Water & Sewer System Revenue
5.00% 10/01/43

      5,000,000          6,091,250  

Martin County Health Facilities Authority
4.00% 01/01/46 (d)

      5,000,000          5,534,300  
       

 

 

  
       21,745,859  
       

 

 

  
     Principal
Amount ($)		       

Fair
Value

$

  

Georgia - 6.2%

 

Atlanta Development Authority
5.25% 07/01/40

      8,925,000          10,469,382  

City of Atlanta Department of Aviation
5.00% 01/01/25 - 01/01/34

      18,500,000          19,999,755  

City of Atlanta Water & Wastewater Revenue

        

5.00% 11/01/41

      5,000,000          6,076,100  

5.25% 11/01/30

      5,690,000          6,509,303  

City of Atlanta Water & Wastewater Revenue (AGMC Insured)
5.75% 11/01/27 - 11/01/30 (b)

      9,500,000          12,922,215  

Gwinnett County Development Authority
5.00% 07/01/37 - 07/01/40

      9,325,000          11,178,219  

Municipal Electric Authority of Georgia
5.00% 01/01/35

      5,500,000          6,192,450  

State of Georgia
4.00% 07/01/36

      10,000,000          11,491,800  
       

 

 

  
       84,839,224  
       

 

 

  

Hawaii - 1.8%

 

City & County Honolulu HI Wastewater System Revenue, Rev., Series 2019 A, 4.00% 07/01/25 - 07/01/26

      2,615,000          3,011,591  

State of Hawaii
5.00% 01/01/36

      4,850,000          6,084,713  

State of Hawaii Airports System Revenue
5.25% 07/01/24

      15,800,000          16,124,058  
       

 

 

  
       25,220,362  
       

 

 

  

Illinois - 5.2%

 

City of Chicago O’Hare International Airport Revenue

        

5.00% 01/01/46 - 01/01/48

      7,000,000          8,348,980  

5.25% 01/01/42

      8,000,000          9,545,280  

5.63% 01/01/35 (a)

      4,035,000          4,215,082  

5.63% 01/01/35

      965,000          1,005,414  

5.75% 01/01/39 (a)

      9,655,000          10,097,778  

5.75% 01/01/39

      1,845,000          1,923,616  

Metropolitan Pier & Exposition Authority (NPFG Insured)

        

5.65% 06/15/22 (b)(c)

      785,000          869,610  

5.65% 06/15/22 (b)

      3,520,000          3,833,456  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Tax-Exempt Income Fund     55  

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Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Southwestern Illinois Development Authority (NPFG Insured)

        

5.00% 10/01/21 (b)(c)

      195,000          207,927  

5.00% 10/01/21 (b)

      3,805,000          4,042,204  

State of Illinois

        

4.00% 09/01/27

      170,000          170,180  

5.00% 11/01/23 - 03/01/31

      24,690,000          27,285,207  
       

 

 

  
       71,544,734  
       

 

 

  

Indiana - 0.5%

 

Indianapolis Local Public Improvement Bond Bank
4.00% 02/01/44

      6,500,000          7,255,820  
       

 

 

  

Kentucky - 2.1%

 

Kentucky State Property & Building Commission
5.00% 02/01/33 - 04/01/37

      11,705,000          13,676,018  

Louisville & Jefferson County Metropolitan Sewer District
5.00% 05/15/30

      14,340,000          15,320,283  
       

 

 

  
       28,996,301  
       

 

 

  

Louisiana - 0.0%*

 

Louisiana Public Facilities Authority
5.00% 05/15/47 (a)

      10,000          12,138  
       

 

 

  

Maine - 0.2%

 

Maine Health & Higher Educational Facilities Authority

        

5.25% 07/01/21 (a)

      315,000          321,237  

5.25% 07/01/21

      1,475,000          1,504,294  

Maine Turnpike Authority
5.00% 07/01/42

      1,000,000          1,087,900  
       

 

 

  
       2,913,431  
       

 

 

  

Maryland - 3.0%

 

City of Baltimore 5.00%
07/01/38 - 07/01/46

      23,375,000          26,935,114  

County of Prince George’s

        

5.00% 09/15/24

      3,450,000          3,674,664  

5.00% 09/15/25 (a)

      5,340,000          5,694,416  

Maryland Economic Development Corp.
5.75% 06/01/35 (a)

      3,000,000          3,057,390  

Maryland Health & Higher Educational Facilities Authority
5.00% 07/01/34 - 08/15/41

      1,355,000          1,418,482  
       

 

 

  
       40,780,066  
       

 

 

  
     Principal
Amount ($)		       

Fair
Value

$

  

Massachusetts - 4.2%

 

Commonwealth of Massachusetts

        

4.00% 05/01/44

      3,045,000          3,398,190  

5.00% 03/01/46

      7,000,000          7,890,820  

5.25% 09/01/43 - 01/01/44

      17,825,000          22,305,516  

Massachusetts Department of Transportation
5.00% 01/01/37

      10,000,000          10,000,000  

Massachusetts Development Finance Agency
4.00% 06/01/49

      1,000,000          1,060,800  

Massachusetts School Building Authority
5.00% 08/15/28

      5,000,000          5,493,150  

Massachusetts Water Resources Authority

        

5.00% 08/01/32

      4,140,000          4,678,738  

5.00% 08/01/41 (a)

      3,000,000          3,180,060  
       

 

 

  
       58,007,274  
       

 

 

  

Michigan - 1.4%

 

Lansing Board of Water & Light
5.00% 07/01/37 (a)

      3,500,000          3,696,420  

Michigan Finance Authority

        

4.00% 02/15/39

      500,000          569,280  

5.00% 12/01/47 (a)

      4,000,000          4,439,600  

5.00% 11/15/48

      3,500,000          4,218,375  

State of Michigan
5.00% 03/15/27

      4,415,000          5,507,624  

University of Michigan Revenue
5.00% 04/01/46

      1,000,000          1,173,800  
       

 

 

  
       19,605,099  
       

 

 

  

Minnesota - 1.2%

 

City of Minneapolis
4.00% 11/15/48

      1,000,000          1,102,050  

City of Rochester
4.00% 11/15/48

      5,330,000          5,948,014  

City of St. Cloud
5.00% 05/01/48

      2,000,000          2,413,560  

Housing & Redevelopment Authority of The City of Saint Paul Minnesota
4.00% 11/15/43

      1,000,000          1,099,650  

University of Minnesota
5.00% 09/01/39

      4,350,000          5,300,910  
       

 

 

  
       15,864,184  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

56   Elfun Tax-Exempt Income Fund

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Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Missouri - 1.6%

 

Bi-State Development Agency of the Missouri-Illinois Metropolitan District
5.00% 10/01/44

      8,010,000          8,758,214  

Health & Educational Facilities Authority of the State of Missouri
4.00% 11/15/48

      2,200,000          2,399,430  

Kansas City Sanitary Sewer System Revenue
4.00% 01/01/40

      1,725,000          1,864,363  

Metropolitan St. Louis Sewer District
5.00% 05/01/45 - 05/01/46

      3,000,000          3,490,365  

Missouri Highway & Transportation Commission
5.00% 05/01/21

      4,610,000          4,669,792  

Missouri State Environmental Improvement & Energy Resources Authority
5.00% 01/01/24

      525,000          526,596  
       

 

 

  
       21,708,760  
       

 

 

  

Nevada - 0.5%

 

Clark County School District (AGMC Insured) GO, Series 2019 B, (AGM Insured)
5.00% 06/15/27 (b)

      5,000,000          6,179,850  
       

 

 

  

New Jersey - 6.2%

 

New Jersey Economic Development Authority

        

5.00% 06/15/41 - 06/15/43

      11,750,000          13,331,042  

5.25% 06/15/40 (a)

      220,000          266,092  

5.25% 06/15/40

      3,780,000          4,268,414  

New Jersey Educational Facilities Authority
5.50% 09/01/30 - 09/01/33

      14,700,000          17,299,789  

New Jersey Health Care Facilities Financing Authority (AGMC Insured)
4.13% 07/01/38 (b)

      6,215,000          6,655,395  

New Jersey State Turnpike Authority

        

5.00% 01/01/33 - 01/01/45

      15,400,000          17,870,241  

5.00% 01/01/38 (a)

      4,000,000          4,388,000  

New Jersey Transportation Trust Fund Authority

        

5.00% 12/15/34 - 06/15/45

      7,250,000          8,337,573  

5.25% 06/15/36

      7,350,000          7,705,446  
     Principal
Amount ($)		       

Fair
Value

$

  

New Jersey Turnpike Authority 4.00% 01/01/48

      5,000,000          5,624,050  
       

 

 

  
       85,746,042  
       

 

 

  

New Mexico - 0.1%

 

New Mexico Finance Authority
5.00% 06/15/23

      1,750,000          1,780,380  
       

 

 

  

New York - 11.0%

 

City of New York
5.00% 08/01/26 - 04/01/43

      7,500,000          9,085,545  

Hudson Yards Infrastructure Corp.

        

4.00% 02/15/44

      5,830,000          6,429,849  

5.00% 02/15/39 - 02/15/45

      11,000,000          13,088,980  

Metropolitan Transportation Authority
5.00% 11/15/29 - 11/15/37

      7,960,000          9,047,100  

Metropolitan Transportation Authority (AGMC Insured) Class B
4.00% 11/15/49 (b)

      5,000,000          5,556,300  

New York City Transitional Finance Authority Building Aid Revenue
5.00% 07/15/36

      6,000,000          7,396,620  

New York City Transitional Finance Authority Future Tax Secured Revenue

        

4.00% 11/01/42 - 11/01/45

      7,000,000          7,859,610  

5.00% 11/01/21 - 02/01/43

      32,500,000          36,093,025  

New York City Water & Sewer System

        

4.00% 06/15/49

      1,000,000          1,127,140  

5.00% 06/15/49

      6,460,000          7,806,070  

New York Liberty Development Corp.
5.00% 11/15/44

      5,000,000          5,301,600  

New York State Dormitory Authority

        

4.00% 08/01/38 - 07/01/41

      6,655,000          7,493,848  

4.00% 02/15/47 (d)

      3,000,000          3,368,130  

5.00% 03/15/45 - 07/01/46

      16,500,000          19,886,040  

6.00% 07/01/40 (a)

      2,000,000          2,048,700  

Port Authority of New York & New Jersey
5.00% 11/15/47 - 09/01/48

      6,500,000          7,843,540  

Westchester County Healthcare Corp.

        

6.13% 11/01/37 (a)

      2,220,000          2,312,951  

6.13% 11/01/37

      280,000          290,699  
       

 

 

  
       152,035,747  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Tax-Exempt Income Fund     57  

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

North Carolina - 1.3%

 

City of Charlotte
5.00% 06/01/23

      4,320,000          4,389,595  

City of Charlotte NC Airport Revenue
4.00% 07/01/44

      2,500,000          2,823,150  

North Carolina Capital Facilities Finance Agency
4.00% 10/01/44

      2,000,000          2,198,160  

State of North Carolina
4.75% 05/01/30 (a)

      4,130,000          4,180,221  

The University of North Carolina at Charlotte
5.00% 10/01/47

      3,545,000          4,255,241  
       

 

 

  
       17,846,367  
       

 

 

  

Ohio - 5.2%

 

City of Columbus
5.00% 07/01/26 - 08/15/30 (a)

      18,055,000          20,502,508  

County of Franklin
5.00% 12/01/47

      1,125,000          1,332,338  

Cuyahoga Community College District
5.00% 08/01/26 (a)

      1,800,000          1,805,544  

Northeast Ohio Regional Sewer District

        

4.00% 11/15/43

      7,550,000          8,429,499  

5.00%11/15/38 (a)

      12,000,000          13,559,520  

Ohio State Turnpike Commission
5.25% 02/15/39

      18,250,000          20,252,025  

Ohio Water Development Authority Rev., Series 2006 A,
5.25% 12/01/34

      1,400,000          1,932,868  

University of Cincinnati
5.00% 06/01/45

      3,500,000          4,157,860  
       

 

 

  
       71,972,162  
       

 

 

  

Oklahoma - 0.7%

 

Oklahoma Capital Improvement Authority

        

5.00% 07/01/28 - 07/01/29

      5,000,000          5,757,350  

Oklahoma Turnpike Authority
5.00% 01/01/28

      3,500,000          3,630,025  
       

 

 

  
       9,387,375  
       

 

 

  

Oregon - 1.2%

 

Eugene Water Revenue
4.00% 08/01/45

      1,000,000          1,088,080  

Salem-Keizer School District No 24J
5.00% 06/15/37

      10,000,000          12,400,700  
     Principal
Amount ($)		       

Fair
Value

$

  

State of Oregon GO, Series 2019 N,
5.00% 05/01/26

      2,775,000          3,406,756  
       

 

 

  
       16,895,536  
       

 

 

  

Pennsylvania - 5.4%

 

Allegheny County Hospital Development Authority
4.00% 07/15/39

      1,500,000          1,669,125  

City of Philadelphia
5.00% 02/01/24 - 08/01/36

      8,605,000          10,244,967  

City of Philadelphia Water & Wastewater Revenue
5.00% 01/01/36 - 10/01/47

      23,000,000          26,294,840  

Delaware River Joint Toll Bridge Commission
5.00% 07/01/26

      1,000,000          1,231,220  

Delaware River Port Authority
5.00% 01/01/29 - 01/01/40

      8,600,000          10,169,108  

General Authority of Southcentral Pennsylvania 4.00% 06/01/49

      3,015,000          3,329,585  

Montgomery County Higher Education & Health Authority
4.00% 09/01/49

      3,000,000          3,263,580  

Pennsylvania Economic Development Financing Authority
4.00% 11/15/42

      5,000,000          5,449,200  

Pennsylvania Turnpike Commission
6.00% 12/01/34 (a)

      12,000,000          12,534,254  
       

 

 

  
       74,185,879  
       

 

 

  

Rhode Island - 0.6%

 

Rhode Island Health & Educational Building Corp.
5.00% 09/01/43

      5,000,000          5,562,400  

Rhode Island Infrastructure Bank Water Pollution Control Revenue
5.00% 10/01/28

      2,200,000          2,662,858  
       

 

 

  
       8,225,258  
       

 

 

  

South Carolina - 1.6%

 

Piedmont Municipal Power Agency
5.00% 01/01/25

      2,315,000          2,477,212  

Piedmont Municipal Power Agency (AGC Insured) 5.75% 01/01/34 (b)

      5,500,000          5,841,495  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

58   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

South Carolina State Public Service Authority
5.00% 12/01/37 - 12/01/38

      12,000,000          13,980,180  
       

 

 

  
       22,298,887  
       

 

 

  

Tennessee - 0.8%

 

City of Memphis
4.00% 06/01/46

      5,000,000          5,424,150  

County of Shelby
5.00% 03/01/21

      3,500,000          3,521,840  

The Metropolitan Nashville Airport Authority Rev., Series 2019 B,
5.00% 07/01/30

      1,310,000          1,674,730  
       

 

 

  
       10,620,720  
       

 

 

  

Texas - 7.3%

 

City of Austin Airport System Revenue
5.00% 11/15/46

      3,000,000          3,528,780  

City of Austin Water & Wastewater System Revenue
5.00% 11/15/42

      13,595,000          14,895,634  

City of Dallas Waterworks & Sewer System Revenue
5.00% 10/01/46

      3,550,000          4,236,038  

City of Houston Utility System Revenue

        

5.00% 05/15/28 -11/15/33

      10,470,000          11,416,309  

5.25% 11/15/30 -11/15/31 (a)

      12,000,000          12,433,560  

Dallas/Fort Worth International Airport
5.25% 11/01/29

      5,000,000          5,726,000  

Harris County-Houston Sports Authority
5.00% 11/15/30

      2,000,000          2,289,120  

Lower Colorado River Authority
5.00% 05/15/44

      2,000,000          2,362,140  

North Texas Tollway Authority

        

5.00% 01/01/26 - 01/01/48

      9,000,000          10,759,200  

5.00% 09/01/31 (a)

      3,500,000          3,721,025  

6.00% 01/01/38 (a)

      5,000,000          5,241,150  

Texas Transportation Commission State Highway Fund
5.00% 04/01/23

      10,750,000          12,075,582  

The University of Texas System
5.00% 08/15/26

      10,000,000          12,333,300  
       

 

 

  
       101,017,838  
       

 

 

  
     Principal
Amount ($)		       

Fair
Value

$

  

Utah - 0.9%

 

Utah State Board of Regents
5.00% 11/01/30

      4,000,000          4,126,640  

Utah Transit Authority
5.00% 06/15/42 (a)

      7,500,000          8,201,208  
       

 

 

  
       12,327,848  
       

 

 

  

Virginia - 1.7%

 

County of Fairfax
4.00% 10/01/35

      6,645,000          7,723,550  

University of Virginia
5.00% 04/01/47

      6,000,000          7,220,640  

Virginia Resources Authority

        

4.00% 11/01/41

      5,585,000          6,232,525  

5.00% 11/01/46

      1,720,000          2,043,274  
       

 

 

  
       23,219,989  
       

 

 

  
Total Municipal Bonds and Notes
(Cost $1,268,837,699)

 

        1,352,944,890  
       

 

 

  
Short-Term Investments - 1.3%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.57%
(Cost $17,584,856) (e)(f)

      17,584,856          17,584,856  
       

 

 

  
Total Investments
(Cost $1,286,422,555)

 

        1,370,529,746  
Other Assets and Liabilities, net - 0.5%

 

        7,290,823  
       

 

 

  
NET ASSETS – 100.0%

 

        1,377,820,569  
       

 

 

  

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 the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

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.

(b)

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 December 31, 2019 (as a percentage of net assets).

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Tax-Exempt Income Fund     59  

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2019

 

(c)

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.

(d)

Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future.

(e)

Coupon amount represents effective yield.

(f)

Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

†

Percentages are based on net assets as of December 31, 2019.

*

Less than 0.05%.

Abbreviations:

AGC - Assured Guaranty Corporation

AGMC - Assured Guaranty Municipal Company

AMBAC - American Municipal Bond Assurance Corporation

FGIC - Financial Guaranty Insurance Corporations

NPFG - National Public Finance Guaranty Corporation

 

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2019:

 

Fund    Investments    Level 1      Level 2      Level 3      Total  
Elfun Tax-Exempt Income Fund   

Investments in Securities

            
  

Municipal Bonds and Notes

    $ —      $ 1,352,944,890      $ —      $ 1,352,944,890  
  

Short-Term Investments

      17,584,856        —        —        17,584,856  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Total Investments in Securities

    $ 17,584,856      $ 1,352,944,890      $ —      $ 1,370,529,746  
     

 

 

     

 

 

     

 

 

     

 

 

  

 

Affiliate Table

 

     Number of
Shares Held
at 12/31/18		     Value At
12/31/18		     Cost of
Purchases		     Proceeds
from
Shares
Sold		     Realized
Gain
(Loss)		    

Change in
Unrealized
Appreciation/

Depreciation

     Number
of Shares
Held at
12/31/19		     Value at
12/31/19		     Dividend
Income		  

State Street Institutional U.S. Government Money Market Fund, Class G Shares

     12,476,076     $ 12,476,076     $ 279,474,140     $ 274,365,360     $ —     $ —       17,584,856     $ 17,584,856     $ 291,684  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

60   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Income Fund

Management’s Discussion of Fund Performance — December 31, 2019 (Unaudited)

 

 

The Elfun Income Fund (the “Fund”) seeks to provide a high level of income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).

For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Fund was 9.50% and the Index was 8.72%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Asset allocation and duration, which each had a positive impact, and security selection, which had a negative impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index.

Reflecting our view that the credit and economic cycle would persist, which was bolstered by a new round of monetary stimulus, the Fund maintained an over-weight asset allocation to credit sectors during the Reporting Period. Largely in response to renewed monetary policy stimulus, credit spreads tightened over the Reporting Period. Credit performance versus duration-equivalent treasuries was positive over the Reporting Period, with investment-grade credit and high-yield strongly out-performing risk-free assets. As such, the Fund’s allocation to credit generated positive excess returns relative to the Index.

Over the course of the Reporting Period, the ten-year government interest rate decreased from 2.69% to 1.92%. During the third quarter of 2019, we felt that long-term rates were nearing a cyclical low, which turned out to be the case, as the ten-year government interest rate hit a low of 1.46%. During that period, we established a short duration position relative to the Index, positively impacting the Fund’s performance relative to the Index.

Security selection in the investment-grade credit allocation generated positive excess returns relative to the Index, which was offset by security selection in the agency MBS and treasury allocations, with each generating negative excess returns relative to the Index.

The Fund used treasury futures, interest rate swaps, options on treasury futures and index credit default swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of treasury futures contributed to Fund performance relative to the Index, while its use of interest rate swaps, options on treasury futures and index credit default swaps detracted from Fund performance relative to the Index.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

Elfun Income Fund     61  

Table of Contents

Elfun Income Fund

Understanding Your Fund’s Expenses (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 December 31, 2019.

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)		  

Actual Fund Return

    $ 1,000.00      $ 1,000.00  

Beginning Account Value

July 1, 2019

    $ 1,025.00      $ 1,023.84  

Ending Account Value

December 31, 2019

    $ 1.38      $ 1.38  

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.27%** (for the period July 1, 2019-December 31, 2019), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

**

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

62   Elfun Income Fund

Table of Contents

Elfun Income Fund

Performance Summary — December 31, 2019 (Unaudited)

 

 

Quality Ratings

as of December 31, 2019 as a % of Fair Value (a)(b)

 

Moody’s / S&P /Rating*

    Percentage of
Fair Value		  

Aaa / AAA

      18.3 % 

Aa / AA

      55.3 % 

A / A

      6.3 % 

Baa / BBB

      17.2 % 

Ba / BB and lower

      2.3 % 

NR / Other

      0.6 % 
  

 

 

  
     100.0 % 
  

 

 

  

Sector Allocation

Portfolio composition as a % of Fair Value of $270,808 (in thousands) as of December 31, 2019 (a)(b)

 

LOGO

Average Annual Total Return For the Periods Ended December 31, 2019

(Inception date: 12/31/84)

 

    One Year     Five Year     Ten Year     Ending Value
of a $10,000
Investment		  

Elfun Income Fund

     9.50 %      3.21 %      4.26 %    $ 15,182  

Bloomberg Barclays U.S. Aggregate Bond Index

     8.72 %      3.05 %      3.75 %    $ 14,445  
 

 

 

 

 

 

(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 Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute 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     63  

Table of Contents

Elfun Income Fund

Performance Summary, continued — December 31, 2019 (Unaudited)

 

 

LOGO

 

 

 

See Notes to Performance beginning on page 1 for further information.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

64   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       
Bonds and Notes - 97.1%†

 

U.S. Treasuries - 23.7%

U.S. Treasury Bonds

        

2.25% 08/15/46 (a)

      1,602,000          1,560,949  

3.00% 08/15/48 (a)

      9,157,700          10,342,477  

U.S. Treasury Notes

        

1.63% 02/15/26 (a)

      11,376,000          11,274,683  

1.88% 06/30/20 - 12/15/20

      17,957,900          17,988,758  

2.25% 03/31/20 (a)

      4,600,000          4,606,828  

2.50% 01/31/24 (a)

      6,934,600          7,163,767  

2.63% 02/15/29 (a)

      2,334,000          2,475,134  
       

 

 

  
          55,412,596  
       

 

 

  

Agency Mortgage Backed - 35.1%

Federal Home Loan Mortgage Corp.

        

3.00% 03/01/43 (a)

      3,256,622          3,350,475  

4.00% 01/01/48

      5,133,570          5,400,320  

4.05% 09/25/28 (a)(b)

      300,000          334,945  

4.50% 06/01/33 - 02/01/35 (a)

      11,995          12,857  

5.00% 07/01/35 (a)

      96,864          107,360  

5.50% 05/01/20 - 04/01/39 (a)

      152,643          170,725  

6.00% 07/01/29 - 11/01/37 (a)

      353,628          401,376  

7.00% 01/01/27 - 08/01/36 (a)

      75,059          85,392  

7.50% 11/01/29 - 09/01/33 (a)

      7,013          7,648  

8.00% 11/01/30 (a)

      3,270          3,693  

Federal National Mortgage Assoc.

        

3.50% 06/01/44

      3,283,442          3,460,125  

3.50% 08/01/45 - 07/01/47 (a)

      8,871,088          9,345,846  

4.00% 01/01/41 - 10/01/47 (a)

      5,065,642          5,344,987  

4.50% 02/01/20 - 02/01/40 (a)

      771,805          840,016  

5.00% 07/01/20 - 05/01/39 (a)

      232,802          257,113  

5.50% 06/01/20 - 01/01/39 (a)

      596,533          666,902  

6.00% 02/01/20 - 05/01/41 (a)

      1,305,264          1,480,389  

6.50% 05/01/21 - 08/01/36 (a)

      62,792          68,478  

7.00% 10/01/32 - 02/01/34 (a)

      8,841          9,511  

7.50% 12/01/26 - 03/01/33 (a)

      38,959          43,455  

8.00% 06/01/24 - 10/01/31 (a)

      10,801          11,740  

8.50% 04/01/30 (a)

      2,219          2,658  

9.00% 12/01/22 (a)

      684          700  

Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR 4.47% 04/01/37 (a)(b)

      2,415          2,482  

Federal National Mortgage Assoc. TBA

        

2.50% TBA (c)

      11,012,000          11,111,548  

4.00% TBA (c)

      25,833,502          26,917,524  

Government National Mortgage Assoc.

        

3.00% 12/20/42 (a)

      4,646,484          4,812,929  

3.50% 05/20/45

      4,927,650          5,143,338  
     Principal
Amount ($)		        Fair
Value
$		  

4.00% 01/20/41 - 04/20/43 (a)

      1,487,217          1,585,088  

4.50% 08/15/33 - 03/20/41 (a)

      690,267          741,987  

5.00% 08/15/33 (a)

      37,143          40,420  

6.00% 04/15/27 - 09/15/36 (a)

      186,390          209,335  

6.50% 03/15/24 - 09/15/36 (a)

      67,494          73,294  

7.00% 11/15/27 - 10/15/36 (a)

      39,335          43,244  

7.50% 03/15/23 - 11/15/31 (a)

      13,963          14,521  

8.00% 09/15/27 - 06/15/30 (a)

      24,240          25,494  

9.00% 12/15/21 (a)

      283          291  
       

 

 

  
          82,128,206  
       

 

 

  

Agency Collateralized Mortgage Obligations - 1.0%

Federal Home Loan Mortgage Corp.

        

0.08% 09/25/43 (a)(b)(d)

      835,591          2,830  

2.43% 08/25/29

      1,392,000          1,391,902  

2.51% 07/25/29

      745,000          750,196  

Federal Home Loan Mortgage Corp. REMIC

        

3.50% 09/15/29 - 11/15/30 (a)(d)

      196,913          10,113  

5.50% 06/15/33 (a)(d)

      33,991          6,115  

Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR
4.86% 08/15/25 (a)(b)(d)

      72,833          3,059  

Federal Home Loan Mortgage Corp. STRIPS

        

1.47% 08/01/27 (a)(e)(f)

      652          580  

8.00%
02/01/23 - 07/01/24 (a)(d)

      1,987          236  

Federal National Mortgage Assoc. REMIC

        

1.09% 12/25/42 (a)(b)(d)

      181,389          7,175  

5.00%
02/25/40 - 09/25/40 (a)(d)

      107,819          11,950  

8.00% 05/25/22 (a)(d)

      1          9  

Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR
4.21% 07/25/38 (a)(b)(d)

      36,673          5,300  

Federal National Mortgage Assoc. STRIPS

        

1.87% 12/25/34 (a)(e)(f)

      34,954          30,141  

4.50% 08/25/35 - 01/25/36 (a)(d)

      71,507          10,973  

5.00% 03/25/38 - 05/25/38 (a)(d)

      38,662          6,496  

5.50% 12/25/33 (a)(d)

      11,110          2,207  

6.00% 01/25/35 (a)(d)

      41,958          8,008  

7.50% 11/25/23 (a)(d)

      3,937          392  

8.00%
08/25/23 - 07/25/24 (a)(d)

      3,670          445  

8.50% 07/25/22 (a)(d)

      441          27  

9.00% 05/25/22 (a)(d)

      338          18  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     65  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Government National Mortgage Assoc. REMIC

        

4.50% 05/20/38 - 08/16/39 (a)(d)

      51,485          1,520  

5.00% 09/20/38 (a,d)

      4,696          16  
       

 

 

  
          2,249,708  
       

 

 

  

Asset Backed - 2.7%

        

American Express Credit Account Master Trust 0.24% + 1 month USD LIBOR 1.98% 04/15/24 (b)

      1,254,000          1,254,978  

American Express Credit Account Master Trust 2018-1 2.67% 10/17/22 (a)

      603,000          603,860  

American Express Credit Account Master Trust 2018-8 3.18% 04/15/24 (a)

      1,264,000          1,292,322  

BA Credit Card Trust 2018-A1 2.70% 07/17/23 (a)

      528,000          533,002  

BMW Floorplan Master Owner Trust 2018-1
3.15% 05/15/23 (a)(g)

      333,000          338,185  

Chase Funding Trust 2004-1 4.99% 11/25/33 (a)(h)

      141,494          141,494  

Enterprise Fleet Financing 2019-1 LLC 3.07% 10/20/24 (a)(g)

      487,000          497,897  

GMF Floorplan Owner Revolving Trust 0.32% + 1 month USD LIBOR
2.06% 09/15/22 (b)(g)

      460,000          460,057  

Hyundai Auto Lease Securitization Trust 2018-A
2.89% 03/15/22 (g)

      663,000          667,039  

Nissan Auto Lease Trust 2019-A 2.76% 03/15/22 (a)

      385,000          388,577  

Securitized Term Auto Receivables Trust 2018-1A 3.30% 11/25/22 (a)(g)

      135,000          137,368  
       

 

 

  
          6,314,779  
       

 

 

  

Corporate Notes - 29.7%

        

3M Co.
3.13% 09/19/46

      39,000          37,132  

Abbott Laboratories

        

3.75% 11/30/26 (a)

      28,000          30,606  

4.90% 11/30/46 (a)

      68,000          89,162  

AbbVie Inc.

        

2.60% 11/21/24 (g)

      145,000          146,269  

2.95% 11/21/26 (g)

      200,000          203,362  

3.20% 05/14/26 (a)

      70,000          72,481  

3.20% 11/21/29 (g)

      130,000          132,665  

4.05% 11/21/39 (g)

      85,000          89,242  
     Principal
Amount ($)		        Fair
Value
$		  

4.25% 11/21/49 (g)

      55,000          58,332  

4.45% 05/14/46 (a)

      80,000          86,294  

4.70% 05/14/45 (a)

      31,000          34,592  

4.88% 11/14/48 (a)

      23,000          26,533  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust
4.50% 05/15/21 (a)

      150,000          154,881  

Aetna Inc.
3.50% 11/15/24 (a)

      68,000          71,228  

Aflac Inc.
4.00% 10/15/46 (a)

      30,000          32,798  

Aircastle Ltd. 4.25% 06/15/26 (a)

      112,000          118,235  

Albemarle Wodgina Pty Ltd. 3.45% 11/15/29 (g)

      235,000          235,524  

Alcon Finance Corp. 3.80% 09/23/49 (g)

      207,000          217,660  

Alexandria Real Estate Equities Inc.
4.70% 07/01/30 (a)

      43,000          49,443  

Alibaba Group Holding Ltd. 4.00% 12/06/37 (a)

      200,000          214,352  

Alimentation Couche-Tard Inc. 2.70% 07/26/22 (a)(g)

      116,000          117,344  

Allegion PLC
3.50% 10/01/29

      90,000          92,021  

Allergan Finance LLC

        

3.25% 10/01/22 (a)

      84,000          85,897  

4.63% 10/01/42 (a)

      13,000          13,547  

Allergan Funding SCS

        

3.00% 03/12/20 (a)

      179,000          179,136  

3.45% 03/15/22 (a)

      68,000          69,582  

Allergan Sales LLC 5.00% 12/15/21 (a)(g)

      194,000          202,965  

Ally Financial Inc. 5.75% 11/20/25

      95,000          106,545  

Altria Group Inc.

        

2.95% 05/02/23 (a)

      54,000          55,404  

3.80% 02/14/24 (a)

      45,000          47,367  

4.25% 08/09/42 (a)

      10,000          9,895  

4.50% 05/02/43 (a)

      44,000          44,801  

4.80% 02/14/29 (a)

      107,000          119,123  

Amazon.com Inc.

        

2.80% 08/22/24 (a)

      39,000          40,376  

3.15% 08/22/27 (a)

      34,000          36,008  

3.88% 08/22/37 (a)

      32,000          36,327  

4.05% 08/22/47 (a)

      35,000          41,305  

4.25% 08/22/57 (a)

      46,000          55,772  

Ameren Corp.

        

2.50% 09/15/24

      210,000          210,764  

3.65% 02/15/26 (a)

      47,000          49,170  

America Movil SAB de C.V.

        

3.13% 07/16/22 (a)

      205,000          209,994  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

66   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

4.38% 04/22/49 (a)

      200,000          228,570  

5.00% 03/30/20 (a)

      100,000          100,665  

American Campus Communities Operating Partnership LP 4.13% 07/01/24 (a)

      36,000          38,455  

American Express Co. 3.00% 10/30/24 (a)

      106,000          109,614  

American International Group Inc.

        

4.25% 03/15/29 (a)

      82,000          91,287  

4.50% 07/16/44 (a)

      88,000          101,488  

6.40% 12/15/20 (a)

      57,000          59,362  

American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter)
5.75% 04/01/48 (a)(b)

      23,000          25,252  

American Tower Corp.

        

3.70% 10/15/49

      48,000          48,035  

3.80% 08/15/29 (a)

      101,000          107,976  

American Water Capital Corp. 2.95% 09/01/27 (a)

      67,000          68,346  

Amgen Inc.

        

2.65% 05/11/22 (a)

      125,000          126,856  

3.20% 11/02/27 (a)

      47,000          49,474  

4.56% 06/15/48 (a)

      74,000          86,165  

4.66% 06/15/51 (a)

      23,000          27,077  

Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc.

        

3.65% 02/01/26 (a)

      132,000          140,878  

4.70% 02/01/36 (a)

      39,000          45,124  

4.90% 02/01/46 (a)

      89,000          105,881  

Anheuser-Busch InBev Worldwide Inc.

        

4.00% 04/13/28 (a)

      23,000          25,285  

4.38% 04/15/38 (a)

      133,000          149,636  

4.60% 04/15/48 (a)

      58,000          66,142  

4.75% 04/15/58 (a)

      43,000          50,228  

5.55% 01/23/49 (a)

      141,000          183,200  

Anthem Inc.

        

2.88% 09/15/29

      47,000          46,963  

3.30% 01/15/23 (a)

      67,000          69,301  

3.70% 09/15/49

      47,000          46,844  

Apache Corp.

        

4.38% 10/15/28 (a)

      24,000          25,105  

5.10% 09/01/40 (a)

      50,000          50,858  

Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter)
4.95% 01/14/50 (b)(g)

      115,000          116,579  
     Principal
Amount ($)		        Fair
Value
$		  

Apple Inc.

        

2.20% 09/11/29

      93,000          91,397  

2.85% 05/11/24 (a)

      68,000          70,332  

2.95% 09/11/49

      60,000          58,591  

3.35% 02/09/27 (a)

      35,000          37,342  

3.45% 02/09/45 (a)

      129,000          136,558  

3.85% 08/04/46 (a)

      92,000          103,715  

Applied Materials Inc. 4.35% 04/01/47 (a)

      53,000          63,965  

Aptiv PLC
4.40% 10/01/46 (a)

      69,000          66,701  

Archer-Daniels-Midland Co. 2.50% 08/11/26 (a)

      48,000          48,836  

Ascension Health
4.85% 11/15/53 (a)

      84,000          106,029  

AstraZeneca PLC

        

3.50% 08/17/23 (a)

      53,000          55,484  

4.00% 01/17/29 (a)

      34,000          37,776  

4.38% 08/17/48 (a)

      19,000          22,558  

AT&T Inc.

        

4.35% 03/01/29 (a)

      128,000          142,172  

4.45% 04/01/24 (a)

      52,000          56,306  

4.50% 05/15/35 (a)

      96,000          107,000  

4.55% 03/09/49 (a)

      49,000          54,415  

4.75% 05/15/46 (a)

      33,000          37,316  

4.80% 06/15/44 (a)

      76,000          86,711  

4.85% 03/01/39 (a)

      78,000          90,108  

5.15% 11/15/46 (a)

      13,000          15,530  

5.25% 03/01/37 (a)

      67,000          80,182  

5.35% 12/15/43 (a)

      52,000          61,214  

5.45% 03/01/47 (a)

      128,000          158,536  

Athene Holding Ltd. 4.13% 01/12/28 (a)

      62,000          63,910  

Avangrid Inc.
3.15% 12/01/24 (a)

      102,000          105,302  

Baidu Inc.
2.88% 07/06/22 (a)

      255,000          257,440  

Bank of America Corp.

        

3.25% 10/21/27 (a)

      3,000          3,132  

3.95% 04/21/25 (a)

      73,000          77,869  

4.18% 11/25/27 (a)

      137,000          148,733  

4.25% 10/22/26 (a)

      133,000          145,146  

Bank of America Corp.
(3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter)
3.12% 01/20/23 (a)(b)

      84,000          85,667  

Bank of America Corp.
(3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter)
3.37% 01/23/26 (a)(b)

      42,000          43,975  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     67  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) 3.42% 12/20/28 (a)(b)

      92,000          96,627  

Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) 3.56% 04/23/27 (b)

      233,000          246,281  

Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) 3.95% 01/23/49 (a)(b)

      44,000          50,130  

Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) 4.24% 04/24/38 (a)(b)

      91,000          105,200  

Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) 4.27% 07/23/29 (a)(b)

      31,000          34,461  

Bank of America Corp. (4.33% fixed rate until 03/15/49; 1.52% + 3 month USD LIBOR thereafter) 4.33% 03/15/50 (a)(b)

      54,000          64,871  

Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) 4.44% 01/20/48 (a)(b)

      85,000          103,924  

Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter)
4.34% 10/05/28 (a)(b)

      150,000          158,301  

Barclays PLC
4.84% 05/09/28 (a)

      200,000          215,974  

Barrick North America Finance LLC
5.70% 05/30/41 (a)

      14,000          17,303  

BAT Capital Corp.

        

2.76% 08/15/22 (a)

      93,000          94,388  

3.56% 08/15/27 (a)

      47,000          48,039  

4.39% 08/15/37 (a)

      96,000          97,473  

4.54% 08/15/47 (a)

      43,000          43,174  

Bayer US Finance II LLC 3.50% 06/25/21 (a)(g)

      416,000          423,667  
     Principal
Amount ($)		        Fair
Value
$		  

Becton Dickinson and Co.

        

2.89% 06/06/22 (a)

      89,000          90,471  

3.70% 06/06/27 (a)

      55,000          58,544  

3.73% 12/15/24 (a)

      3,000          3,186  

4.67% 06/06/47 (a)

      13,000          15,473  

4.69% 12/15/44 (a)

      11,000          12,800  

Berkshire Hathaway Energy Co.

        

3.25% 04/15/28 (a)

      36,000          38,057  

3.80% 07/15/48 (a)

      39,000          42,154  

6.13% 04/01/36 (a)

      23,000          31,599  

Berkshire Hathaway Finance Corp.
4.25% 01/15/49 (a)

      56,000          66,623  

Berkshire Hathaway Inc. 4.50% 02/11/43 (a)

      3,000          3,657  

BHP Billiton Finance USA Ltd. 5.00% 09/30/43 (a)

      23,000          29,596  

BNP Paribas S.A.
(2.82% fixed rate until 11/19/24; 1.11% + 3 month USD LIBOR thereafter) 2.82% 11/19/25 (b)(g)

      289,000          292,514  

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 (a)(b)(g)

      200,000          204,290  

Boardwalk Pipelines LP 4.80% 05/03/29 (a)

      91,000          96,933  

Boston Scientific Corp. 4.70% 03/01/49 (a)

      35,000          42,514  

BP Capital Markets America Inc.

        

3.02% 01/16/27 (a)

      164,000          169,915  

3.22% 11/28/23 (a)

      55,000          57,222  

Brighthouse Financial Inc.

        

3.70% 06/22/27 (a)

      8,000          7,977  

4.70% 06/22/47 (a)

      4,000          3,703  

Bristol-Myers Squibb Co.

        

3.20% 06/15/26 (a)(g)

      136,000          142,891  

3.40% 07/26/29 (a)(g)

      91,000          97,481  

3.45% 11/15/27 (g)

      3,000          3,201  

4.13% 06/15/39 (a)(g)

      72,000          83,007  

4.25% 10/26/49 (a)(g)

      72,000          85,553  

4.35% 11/15/47 (g)

      4,000          4,750  

4.55% 02/20/48 (g)

      78,000          95,609  

5.00% 08/15/45 (g)

      32,000          41,024  

Brixmor Operating Partnership LP
3.90% 03/15/27 (a)

      36,000          37,754  

Broadcom Corp./Broadcom Cayman Finance Ltd.

        

2.65% 01/15/23 (a)

      16,000          16,093  

3.00% 01/15/22 (a)

      67,000          68,000  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

68   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

3.13% 01/15/25 (a)

      16,000          16,227  

3.88% 01/15/27 (a)

      31,000          32,206  

Brown-Forman Corp. 4.00% 04/15/38 (a)

      15,000          16,794  

Bunge Limited Finance Corp. 3.75% 09/25/27 (a)

      25,000          25,564  

Burlington Northern Santa Fe LLC

        

4.15% 12/15/48 (a)

      85,000          98,287  

4.55% 09/01/44 (a)

      124,000          147,934  

Cameron LNG LLC

        

3.30% 01/15/35 (g)

      93,000          94,577  

3.70% 01/15/39 (g)

      47,000          48,211  

Campbell Soup Co. 3.30% 03/15/21 (a)

      158,000          160,346  

Canadian Natural Resources Ltd.

        

3.85% 06/01/27 (a)

      77,000          82,111  

4.95% 06/01/47 (a)

      16,000          19,579  

Cantor Fitzgerald LP 4.88% 05/01/24 (a)(g)

      227,000          242,232  

Capital One Financial Corp.

        

3.75% 07/28/26 (a)

      124,000          130,568  

4.75% 07/15/21 (a)

      181,000          188,477  

Cardinal Health Inc.

        

2.62% 06/15/22 (a)

      45,000          45,463  

3.08% 06/15/24 (a)

      26,000          26,771  

Caterpillar Inc.

        

3.25% 09/19/49

      88,000          88,358  

3.80% 08/15/42 (a)

      26,000          29,032  

Celulosa Arauco y Constitucion S.A.
4.20% 01/29/30 (g)

      209,000          209,936  

Cenovus Energy Inc.

        

4.25% 04/15/27 (a)

      30,000          31,754  

5.25% 06/15/37 (a)

      47,000          51,915  

5.40% 06/15/47 (a)

      13,000          15,086  

Centene Corp.

        

4.25% 12/15/27 (g)

      227,000          233,769  

4.63% 12/15/29 (g)

      70,000          73,716  

CenterPoint Energy Inc.

        

2.50% 09/01/22 (a)

      181,000          182,602  

3.60% 11/01/21 (a)

      85,000          87,259  

Charter Communications Operating LLC/Charter Communications Operating Capital

        

4.46% 07/23/22 (a)

      132,000          138,753  

4.91% 07/23/25 (a)

      18,000          19,839  

5.05% 03/30/29 (a)

      51,000          57,753  

5.75% 04/01/48 (a)

      101,000          118,089  

6.38% 10/23/35 (a)

      13,000          16,415  

6.48% 10/23/45 (a)

      30,000          37,357  
     Principal
Amount ($)		        Fair
Value
$		  

Cheniere Corpus Christi Holdings LLC
5.88% 03/31/25

      185,000          208,303  

Chevron Corp. 3.19% 06/24/23 (a)

      50,000          52,108  

Chubb INA Holdings Inc. 4.35% 11/03/45 (a)

      67,000          81,385  

Cigna Corp.

        

3.25% 04/15/25 (g)

      55,000          57,049  

3.40% 09/17/21

      69,000          70,624  

3.40% 03/01/27 (g)

      54,000          56,079  

3.75% 07/15/23

      53,000          55,637  

3.88% 10/15/47 (g)

      50,000          51,162  

4.13% 11/15/25

      93,000          100,975  

4.38% 10/15/28

      34,000          37,729  

4.80% 08/15/38

      32,000          37,307  

4.90% 12/15/48

      41,000          49,019  

Cisco Systems Inc. 5.90% 02/15/39 (a)

      49,000          68,767  

Citigroup Inc. 2.70% 10/27/22 (a)

      84,000          85,389  

4.40% 06/10/25 (a)

      31,000          33,711  

4.45% 09/29/27 (a)

      23,000          25,346  

4.65% 07/30/45 - 07/23/48 (a)

      164,000          204,585  

4.75% 05/18/46 (a)

      54,000          64,710  

5.50% 09/13/25

      241,000          275,820  

Citigroup Inc.
(2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) 2.88% 07/24/23 (a)(b)

      56,000          56,934  

Citigroup Inc.
(2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter)
2.98% 11/05/30 (b)

      140,000          142,155  

Citigroup Inc.
(3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) 3.88% 01/24/39 (a)(b)

      41,000          45,214  

Citigroup Inc.
(4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter) 4.28% 04/24/48 (a)(b)

      29,000          34,450  

Citigroup Inc.
(5.88% fixed rate until 03/27/20; 4.06% + 3 month USD LIBOR thereafter) 5.88% 12/29/49 (a)(b)

      317,000          319,476  

CME Group Inc. 3.75% 06/15/28 (a)

      42,000          46,512  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     69  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

CMS Energy Corp. 4.88% 03/01/44 (a)

      154,000          183,536  

CNA Financial Corp.

        

3.45% 08/15/27 (a)

      33,000          34,323  

3.90% 05/01/29 (a)

      89,000          95,687  

CNH Industrial Capital LLC

        

4.38% 11/06/20 (a)

      68,000          69,316  

4.88% 04/01/21 (a)

      84,000          86,712  

CNOOC Nexen Finance 2014 ULC
4.25% 04/30/24 (a)

      423,000          453,452  

Comcast Corp.

        

3.20% 07/15/36 (a)

      85,000          86,981  

3.25% 11/01/39

      140,000          142,110  

3.38% 08/15/25 (a)

      4,000          4,244  

3.45% 02/01/50

      70,000          71,873  

3.97% 11/01/47 (a)

      150,000          165,294  

4.15% 10/15/28 (a)

      80,000          90,068  

4.60% 08/15/45 (a)

      53,000          63,586  

4.70% 10/15/48 (a)

      44,000          54,289  

CommonSpirit Health 4.35% 11/01/42 (a)

      130,000          132,804  

Conagra Brands Inc.

        

3.80% 10/22/21 (a)

      157,000          161,938  

5.30% 11/01/38 (a)

      40,000          47,500  

5.40% 11/01/48 (a)

      31,000          37,923  

Conagra Brands Inc.
0.75% + 3 month USD LIBOR 2.70% 10/22/20 (a)(b)

      118,000          118,079  

Concho Resources Inc.

        

3.75% 10/01/27 (a)

      14,000          14,734  

4.30% 08/15/28 (a)

      50,000          54,506  

4.88% 10/01/47 (a)

      32,000          37,096  

ConocoPhillips Co. 4.30% 11/15/44 (a)

      84,000          98,642  

Consolidated Edison Company of New York Inc.

        

2.90% 12/01/26 (a)

      83,000          85,135  

3.88% 06/15/47 (a)

      48,000          52,219  

Constellation Brands Inc.

        

3.15% 08/01/29

      194,000          196,505  

3.70% 12/06/26 (a)

      73,000          77,545  

4.50% 05/09/47 (a)

      68,000          74,561  

Continental Resources Inc. 4.50% 04/15/23 (a)

      304,000          318,552  

Corning Inc.
4.38% 11/15/57 (a)

      46,000          47,123  

Credit Suisse Group Funding Guernsey Ltd. 3.13% 12/10/20 (a)

      250,000          252,240  

Crown Castle International Corp. 5.20% 02/15/49 (a)

      61,000          75,358  
     Principal
Amount ($)		        Fair
Value
$		  

CSX Corp.
4.50% 03/15/49 - 08/01/54 (a)

      143,000          166,264  

CubeSmart LP 4.38% 02/15/29 (a)

      97,000          106,410  

CVS Health Corp.

        

3.00% 08/15/26

      94,000          95,950  

3.25% 08/15/29

      75,000          76,511  

3.35% 03/09/21 (a)

      59,000          59,939  

3.88% 07/20/25 (a)

      34,000          36,266  

4.10% 03/25/25 (a)

      90,000          96,790  

4.30% 03/25/28 (a)

      26,000          28,446  

4.78% 03/25/38 (a)

      50,000          56,889  

5.00% 12/01/24 (a)

      75,000          83,034  

5.05% 03/25/48 (a)

      84,000          99,645  

5.13% 07/20/45 (a)

      20,000          23,698  

Dell International LLC/EMC Corp.

        

4.00% 07/15/24 (a)(g)

      109,000          114,234  

4.42% 06/15/21 (a)(g)

      132,000          135,837  

5.30% 10/01/29 (a)(g)

      86,000          96,833  

5.45% 06/15/23 (a)(g)

      50,000          54,241  

6.02% 06/15/26 (a)(g)

      24,000          27,709  

8.10% 07/15/36 (a)(g)

      11,000          14,449  

8.35% 07/15/46 (a)(g)

      17,000          23,271  

Deutsche Bank AG

        

2.70% 07/13/20 (a)

      117,000          117,092  

3.30% 11/16/22 (a)

      205,000          207,116  

Devon Energy Corp. 5.00% 06/15/45 (a)

      34,000          39,707  

DH Europe Finance II Sarl

        

2.60% 11/15/29

      82,000          81,852  

3.25% 11/15/39

      47,000          47,579  

3.40% 11/15/49

      23,000          23,579  

Diamondback Energy Inc.

        

2.88% 12/01/24

      115,000          116,341  

3.25% 12/01/26

      80,000          80,926  

3.50% 12/01/29

      69,000          70,268  

5.38% 05/31/25

      278,000          292,028  

Digital Realty Trust LP 3.60% 07/01/29 (a)

      149,000          155,684  

Discover Bank 3.10% 06/04/20 (a)

      291,000          292,216  

Discovery Communications LLC

        

2.95% 03/20/23 (a)

      234,000          238,746  

3.95% 03/20/28 (a)

      57,000          60,935  

4.95% 05/15/42 (a)

      17,000          18,843  

5.00% 09/20/37 (a)

      23,000          26,065  

Dollar Tree Inc.

        

4.00% 05/15/25 (a)

      67,000          71,643  

4.20% 05/15/28 (a)

      25,000          26,854  

Dominion Energy Inc.

        

2.58% 07/01/20 (a)

      88,000          88,230  

3.07% 08/15/24 (h)

      87,000          89,031  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

70   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Dover Corp.
2.95% 11/04/29

      95,000          95,706  

DTE Energy Co.

        

2.85% 10/01/26 (a)

      41,000          41,240  

3.85% 12/01/23 (a)

      41,000          43,018  

Duke Energy Carolinas LLC 3.95% 03/15/48 (a)

      54,000          60,356  

Duke Energy Corp.

        

1.80% 09/01/21 (a)

      114,000          113,798  

3.55% 09/15/21 (a)

      68,000          69,547  

3.75% 09/01/46 (a)

      16,000          16,503  

Duke Energy Corp.
(4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter)

        

4.88% 12/31/99 (b)

      140,000          146,833  

Duke Energy Progress LLC
4.15% 12/01/44 (a)

      58,000          65,451  

Duke Realty LP

        

3.25% 06/30/26 (a)

      44,000          45,584  

3.38% 12/15/27 (a)

      37,000          38,621  

DuPont de Nemours Inc.

        

5.32% 11/15/38 (a)

      28,000          33,378  

5.42% 11/15/48 (a)

      28,000          34,499  

Duquesne Light Holdings Inc. 3.62% 08/01/27 (a)(g)

      123,000          123,092  

Eastman Chemical Co.

        

3.50% 12/01/21 (a)

      89,000          91,135  

3.60% 08/15/22 (a)

      35,000          36,231  

4.50% 01/15/21 - 12/01/28 (a)

      239,000          248,409  

Eaton Corp.
3.10% 09/15/27 (a)

      48,000          49,941  

Ecolab Inc.

        

3.25% 12/01/27 (a)

      28,000          29,507  

3.95% 12/01/47 (a)

      35,000          39,237  

Edison International

        

2.40% 09/15/22

      280,000          278,678  

5.75% 06/15/27 (a)

      30,000          33,735  

Eli Lilly & Co. 3.95% 03/15/49 (a)

      86,000          99,418  

Emera US Finance LP 4.75% 06/15/46 (a)

      16,000          18,494  

Enbridge Energy Partners LP 5.50% 09/15/40 (a)

      12,000          14,302  

Enbridge Inc.
4.00% 11/15/49

      70,000          73,411  

Enel Finance International N.V. 3.63% 05/25/27 (a)(g)

      273,000          283,207  

Energy Transfer Operating LP

        

4.25% 03/15/23 (a)

      89,000          92,860  

4.50% 04/15/24 (a)

      58,000          61,735  

4.95% 06/15/28 (a)

      28,000          30,715  

6.13% 12/15/45 (a)

      21,000          24,355  

6.50% 02/01/42 (a)

      79,000          93,938  
     Principal
Amount ($)		        Fair
Value
$		  

Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50% 11/01/23 (a)

      43,000          45,462  

Entergy Louisiana LLC

        

3.05% 06/01/31 (a)

      65,000          67,078  

4.00% 03/15/33 (a)

      34,000          38,305  

Enterprise Products Operating LLC
4.25% 02/15/48 (a)

      137,000          148,609  

Enterprise Products Operating LLC
(5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter)

        

5.25% 08/16/77 (a)(b)

      44,000          44,320  

EOG Resources Inc.

        

4.15% 01/15/26 (a)

      7,000          7,708  

5.10% 01/15/36 (a)

      34,000          41,688  

EPR Properties 4.95% 04/15/28 (a)

      46,000          50,347  

EQM Midstream Partners LP

        

4.75% 07/15/23 (a)

      14,000          14,043  

5.50% 07/15/28 (a)

      14,000          13,753  

Equinor ASA
3.25% 11/18/49

      50,000          50,452  

ERP Operating LP 4.50% 07/01/44 (a)

      37,000          43,996  

Exelon Corp.

        

3.50% 06/01/22 (a)

      73,000          74,935  

4.45% 04/15/46 (a)

      96,000          107,901  

FedEx Corp.

        

3.10% 08/05/29

      150,000          150,038  

4.10% 02/01/45 (a)

      116,000          112,888  

Fifth Third Bancorp 3.65% 01/25/24 (a)

      158,000          166,688  

FirstEnergy Corp. 3.90% 07/15/27 (a)

      16,000          17,127  

FirstEnergy Transmission LLC 4.55% 04/01/49 (a)(g)

      86,000          98,756  

Fiserv Inc.

        

3.50% 07/01/29 (a)

      63,000          66,318  

4.40% 07/01/49 (a)

      38,000          43,220  

Florida Power & Light Co. 4.13% 02/01/42 (a)

      67,000          76,649  

Ford Motor Co. 4.35% 12/08/26 (a)

      54,000          55,618  

Ford Motor Credit Company LLC

        

3.10% 05/04/23 (a)

      237,000          236,419  

3.22% 01/09/22 (a)

      215,000          216,483  

3.34% 03/28/22 (a)

      200,000          201,724  

8.13% 01/15/20 (a)

      243,000          243,435  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     71  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

General Mills Inc.

        

3.70% 10/17/23 (a)

      67,000          70,556  

4.55% 04/17/38 (a)

      34,000          39,416  

4.70% 04/17/48 (a)

      13,000          15,599  

General Motors Co.

        

5.20% 04/01/45 (a)

      12,000          12,134  

5.40% 04/01/48 (a)

      30,000          31,028  

General Motors Financial Company Inc.

        

3.45% 01/14/22 - 04/10/22 (a)

      300,000          306,764  

3.55% 04/09/21 (a)

      196,000          199,263  

4.20% 11/06/21 (a)

      359,000          371,863  

5.25% 03/01/26 (a)

      55,000          61,015  

Georgia-Pacific LLC 3.60% 03/01/25 (a)(g)

      272,000          287,069  

Gilead Sciences Inc.

        

2.95% 03/01/27 (a)

      12,000          12,468  

3.50% 02/01/25 (a)

      33,000          35,017  

3.65% 03/01/26 (a)

      34,000          36,580  

4.15% 03/01/47 (a)

      78,000          86,789  

4.80% 04/01/44 (a)

      32,000          38,655  

GlaxoSmithKline Capital Inc.

        

3.38% 05/15/23 (a)

      80,000          83,514  

3.63% 05/15/25 (a)

      75,000          80,372  

GlaxoSmithKline Capital PLC 3.38% 06/01/29 (a)

      105,000          112,616  

Glencore Finance Canada Ltd. 4.95% 11/15/21 (a)(g)

      69,000          72,148  

Glencore Funding LLC 4.88% 03/12/29 (a)(g)

      88,000          95,979  

Grupo Televisa SAB 5.00% 05/13/45 (a)

      204,000          212,947  

Halliburton Co.

        

3.80% 11/15/25 (a)

      50,000          53,355  

5.00% 11/15/45 (a)

      45,000          51,350  

Hasbro Inc.
3.00% 11/19/24

      280,000          281,434  

HCA Inc.
4.13% 06/15/29 (a)

      48,000          50,986  

Hess Corp.

        

5.60% 02/15/41 (a)

      19,000          22,378  

5.80% 04/01/47 (a)

      12,000          14,691  

Hewlett Packard Enterprise Co. 6.35% 10/15/45 (a)

      20,000          24,174  

Highwoods Realty LP

        

4.13% 03/15/28 (a)

      52,000          55,625  

4.20% 04/15/29 (a)

      132,000          142,103  

Honeywell International Inc. 2.70% 08/15/29

      98,000          100,493  

HSBC Holdings PLC 4.25% 03/14/24 (a)

      222,000          235,868  
     Principal
Amount ($)		        Fair
Value
$		  

HSBC Holdings PLC (3.80% fixed rate until 03/11/24; 1.21% + 3 month USD LIBOR thereafter) 3.80% 03/11/25 (a)(b)

      258,000          270,903  

HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter) 4.29% 09/12/26 (a)(b)

      423,000          457,893  

HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter)
6.00% 12/31/99 (a)(b)

      465,000          497,336  

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 (a)(b)

      205,000          225,572  

Hyundai Capital America 3.10% 04/05/22 (a)(g)

      59,000          59,775  

Imperial Brands Finance PLC

        

3.13% 07/26/24 (g)

      264,000          266,534  

3.50% 07/26/26 (g)

      200,000          201,382  

ING Groep N.V.
4.10% 10/02/23

      287,000          305,463  

Ingersoll-Rand Luxembourg Finance S.A.

        

3.50% 03/21/26 (a)

      126,000          131,936  

3.55% 11/01/24 (a)

      63,000          66,025  

3.80% 03/21/29 (a)

      26,000          28,016  

Intel Corp.

        

2.45% 11/15/29

      280,000          279,625  

2.60% 05/19/26 (a)

      30,000          30,665  

2.88% 05/11/24 (a)

      18,000          18,672  

International Business Machines Corp.

        

3.45% 02/19/26 (a)

      254,000          270,241  

3.50% 05/15/29 (a)

      205,000          220,326  

4.15% 05/15/39 (a)

      150,000          168,995  

4.25% 05/15/49 (a)

      150,000          171,593  

International Paper Co. 4.40% 08/15/47 (a)

      69,000          73,842  

Interstate Power & Light Co. 3.40% 08/15/25 (a)

      241,000          247,620  

Jabil Inc.
3.95% 01/12/28 (a)

      63,000          64,676  

Jefferies Group LLC 5.13% 01/20/23 (a)

      53,000          57,311  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

72   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Johnson & Johnson 3.63% 03/03/37 (a)

      46,000          50,804  

Johnson Controls International PLC
4.50% 02/15/47 (a)

      26,000          28,128  

JPMorgan Chase & Co.

        

3.30% 04/01/26 (a)

      174,000          183,015  

3.63% 12/01/27 (a)

      35,000          36,972  

JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR thereafter) 3.51% 01/23/29 (a)(b)

      42,000          44,580  

JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) 3.88% 07/24/38 (a)(b)

      57,000          63,083  

JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) 3.90% 01/23/49 (a)(b)

      105,000          117,983  

JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) 3.96% 01/29/27 (a)(b)

      158,000          171,411  

JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) 4.01% 04/23/29 (a)(b)

      61,000          66,955  

JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) 4.03% 07/24/48 (a)(b)

      67,000          76,479  

JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) 6.10% 10/29/49 (a)(b)

      145,000          158,598  

JPMorgan Chase & Co.
3.47% + 3 month USD LIBOR
5.41% 12/29/49 (a)(b)

      64,000          64,564  

Kaiser Foundation Hospitals 3.27% 11/01/49

      154,000          154,619  

Keurig Dr Pepper Inc.

        

4.50% 11/15/45 (a)

      40,000          44,149  

4.60% 05/25/28 (a)

      12,000          13,516  
     Principal
Amount ($)		        Fair
Value
$		  

Kinder Morgan Energy Partners LP

        

3.50% 03/01/21 (a)

      206,000          208,940  

4.70% 11/01/42 (a)

      13,000          13,741  

5.00% 03/01/43

      37,000          40,530  

5.30% 09/15/20 (a)

      71,000          72,619  

6.38% 03/01/41 (a)

      37,000          45,952  

Kinder Morgan Inc. 5.05% 02/15/46 (a)

      35,000          39,334  

KLA Corp.
4.65% 11/01/24

      234,000          258,001  

Kraft Heinz Foods Co.

        

2.80% 07/02/20 (a)

      15,000          15,029  

4.38% 06/01/46 (a)

      110,000          108,406  

L3Harris Technologies Inc. 3.85% 12/15/26 (g)

      71,000          76,021  

Lam Research Corp. 4.00% 03/15/29 (a)

      127,000          139,809  

Las Vegas Sands Corp. 3.50% 08/18/26

      67,000          69,310  

Lear Corp.

        

4.25% 05/15/29 (a)

      109,000          112,778  

5.25% 05/15/49 (a)

      49,000          51,026  

Liberty Property LP 4.38% 02/01/29 (a)

      77,000          87,609  

Lincoln National Corp.

        

3.63% 12/12/26 (a)

      35,000          36,978  

4.35% 03/01/48 (a)

      49,000          53,948  

Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% + 3 month USD LIBOR thereafter) 2.91% 11/07/23 (a)(b)

      203,000          205,996  

Lockheed Martin Corp.

        

3.55% 01/15/26 (a)

      36,000          38,636  

4.50% 05/15/36 (a)

      85,000          100,938  

Lowe’s Companies Inc.

        

3.70% 04/15/46 (a)

      15,000          15,305  

4.05% 05/03/47 (a)

      36,000          38,893  

4.55% 04/05/49 (a)

      55,000          64,770  

LYB International Finance BV 4.88% 03/15/44 (a)

      20,000          22,752  

LYB International Finance II BV 3.50% 03/02/27 (a)

      18,000          18,891  

Marathon Oil Corp. 3.85% 06/01/25 (a)

      29,000          30,684  

Marsh & McLennan Companies Inc.

        

3.50% 03/10/25 (a)

      55,000          58,099  

4.90% 03/15/49 (a)

      109,000          138,186  

Masco Corp.
3.50% 11/15/27 (a)

      16,000          16,546  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     73  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

McDonald’s Corp.

        

3.63% 09/01/49

      54,000          55,196  

3.70% 01/30/26 (a)

      14,000          15,045  

3.80% 04/01/28 (a)

      65,000          70,807  

4.88% 12/09/45 (a)

      35,000          42,373  

McKesson Corp. 3.65% 11/30/20 (a)

      354,000          359,137  

Medtronic Inc. 4.63% 03/15/45 (a)

      12,000          15,080  

Memorial Sloan-Kettering Cancer Center
4.13% 07/01/52 (a)

      118,000          134,280  

Merck & Company Inc.

        

2.75% 02/10/25 (a)

      52,000          53,910  

3.40% 03/07/29 (a)

      91,000          98,588  

4.00% 03/07/49 (a)

      64,000          74,914  

MetLife Inc.

        

4.05% 03/01/45 (a)

      16,000          18,544  

4.72% 12/15/44 (a)

      59,000          71,813  

Microsoft Corp.

        

2.40% 08/08/26 (a)

      67,000          67,865  

3.45% 08/08/36 (a)

      40,000          43,858  

3.50% 02/12/35 (a)

      46,000          50,773  

3.70% 08/08/46 (a)

      129,000          145,575  

3.95% 08/08/56 (a)

      68,000          80,322  

4.10% 02/06/37 (a)

      18,000          21,257  

4.50% 02/06/57 (a)

      19,000          24,629  

Mitsubishi UFJ Financial Group Inc.
2.80% 07/18/24

      264,000          269,156  

Mizuho Financial Group Inc. (3.92% fixed rate until 09/11/23; 1.00% + 3 month USD LIBOR thereafter) 3.92% 09/11/24 (a)(b)

      220,000          231,154  

Molson Coors Brewing Co.

        

2.10% 07/15/21 (a)

      142,000          142,098  

4.20% 07/15/46 (a)

      32,000          31,908  

Morgan Stanley

        

2.75% 05/19/22 (a)

      189,000          192,266  

3.70% 10/23/24 (a)

      28,000          29,738  

3.95% 04/23/27 (a)

      128,000          137,079  

4.10% 05/22/23 (a)

      106,000          111,864  

4.35% 09/08/26

      188,000          205,591  

4.38% 01/22/47 (a)

      81,000          97,008  

Morgan Stanley
(2.72% fixed rate until 07/22/24; 1.15% + SOFR thereafter)
2.72% 07/22/25 (b)

      301,000          305,247  

Morgan Stanley
(3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) 3.97% 07/22/38 (a)(b)

      58,000          64,606  
     Principal
Amount ($)		        Fair
Value
$		  

Morgan Stanley (4.43% fixed rate until 01/23/29; 1.63% + 3 month USD LIBOR thereafter)
4.43% 01/23/30 (a)(b)

      79,000          89,328  

MPLX LP

        

3.38% 03/15/23 (a)

      34,000          34,917  

5.20% 12/01/47 (g)

      33,000          35,486  

5.25% 01/15/25 (g)

      598,000          627,816  

6.25% 10/15/22 (g)

      170,000          172,567  

MPLX LP 1.10% + 3 month USD LIBOR
2.99% 09/09/22 (b)

      180,000          180,502  

Mylan Inc.
5.20% 04/15/48 (a)

      44,000          48,964  

Mylan N.V.

        

3.15% 06/15/21 (a)

      61,000          61,783  

3.95% 06/15/26 (a)

      15,000          15,594  

National Australia Bank Ltd. (3.93% fixed rate until 08/02/29; 1.88% + 5 year CMT Rate thereafter) 3.93% 08/02/34 (b)(g)

      264,000          274,275  

National Oilwell Varco Inc. 3.60% 12/01/29

      140,000          140,606  

National Retail Properties Inc. 4.00% 11/15/25 (a)

      65,000          69,811  

Newfield Exploration Co. 5.63% 07/01/24

      469,000          517,293  

Newmont Goldcorp Corp. 4.88% 03/15/42 (a)

      62,000          72,498  

Nexen Inc.
6.40% 05/15/37 (a)

      59,000          80,756  

NextEra Energy Capital Holdings Inc.
3.25% 04/01/26 (a)

      126,000          131,252  

NextEra Energy Capital Holdings Inc.
(5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) 5.65% 05/01/79 (a)(b)

      86,000          95,494  

Noble Energy Inc.

        

3.85% 01/15/28 (a)

      169,000          178,295  

3.90% 11/15/24 (a)

      36,000          38,106  

4.20% 10/15/49

      95,000          96,473  

5.05% 11/15/44 (a)

      16,000          17,703  

Nordstrom Inc.

        

4.38% 04/01/30

      50,000          50,968  

5.00% 01/15/44 (a)

      4,000          3,920  

Norfolk Southern Corp. 3.95% 10/01/42 (a)

      61,000          65,585  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

74   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Northrop Grumman Corp.

        

2.55% 10/15/22 (a)

      32,000          32,481  

3.85% 04/15/45 (a)

      14,000          15,056  

4.03% 10/15/47 (a)

      12,000          13,395  

Novartis Capital Corp. 3.00% 11/20/25 (a)

      8,000          8,418  

Nucor Corp.
3.95% 05/01/28 (a)

      71,000          77,235  

Nutrien Ltd.

        

4.00% 12/15/26 (a)

      32,000          34,147  

4.90% 06/01/43 (a)

      60,000          67,528  

NXP BV/NXP Funding LLC 4.13% 06/01/21 (a)(g)

      502,000          514,645  

Occidental Petroleum Corp.

        

2.70% 08/15/22

      115,000          116,256  

2.90% 08/15/24

      57,000          57,902  

3.50% 08/15/29

      105,000          107,084  

4.10% 02/15/47 (a)

      18,000          17,485  

4.85% 03/15/21

      10,000          10,299  

6.20% 03/15/40

      34,000          40,617  

Omnicom Group Inc./Omnicom Capital Inc. 3.63% 05/01/22 (a)

      79,000          81,803  

Oncor Electric Delivery Company LLC
3.80% 09/30/47 (a)

      18,000          19,803  

ONEOK Inc.

        

4.35% 03/15/29

      88,000          95,562  

5.20% 07/15/48

      116,000          132,271  

Oracle Corp.

        

2.40% 09/15/23 (a)

      34,000          34,546  

2.65% 07/15/26 (a)

      91,000          93,146  

3.80% 11/15/37 (a)

      22,000          24,009  

4.00% 07/15/46 - 11/15/47 (a)

      125,000          139,214  

4.13% 05/15/45 (a)

      30,000          33,837  

Oshkosh Corp. 5.38% 03/01/25 (a)

      54,000          55,884  

Owens Corning 4.40% 01/30/48 (a)

      36,000          34,773  

PacifiCorp 6.25% 10/15/37 (a)

      4,000          5,597  

Packaging Corp. of America 3.00% 12/15/29

      140,000          141,163  

Parker-Hannifin Corp. 3.25% 06/14/29 (a)

      82,000          85,527  

Patterson-UTI Energy Inc. 5.15% 11/15/29

      70,000          71,520  

PayPal Holdings Inc.

        

2.65% 10/01/26

      125,000          126,686  

2.85% 10/01/29

      60,000          60,480  

PepsiCo Inc.

        

2.63% 07/29/29

      121,000          123,692  

3.38% 07/29/49

      33,000          34,609  

3.45% 10/06/46 (a)

      33,000          34,973  
     Principal
Amount ($)		        Fair
Value
$		  

Perrigo Finance Unlimited Co.

        

3.50% 03/15/21 (a)

      227,000          228,342  

4.38% 03/15/26

      200,000          206,356  

Petroleos Mexicanos

        

5.35% 02/12/28 (a)

      48,000          47,757  

5.63% 01/23/46 (a)

      33,000          29,743  

6.35% 02/12/48 (a)

      60,000          57,929  

6.49% 01/23/27 (g)

      55,000          58,678  

6.50% 03/13/27 (a)

      110,000          116,524  

7.69% 01/23/50 (g)

      94,000          102,781  

Pfizer Inc.

        

3.45% 03/15/29 (a)

      39,000          41,973  

3.60% 09/15/28 (a)

      93,000          101,806  

3.90% 03/15/39 (a)

      51,000          57,496  

4.13% 12/15/46 (a)

      42,000          48,875  

4.40% 05/15/44 (a)

      19,000          22,694  

Philip Morris International Inc.

        

3.38% 08/15/29 (a)

      221,000          231,752  

4.13% 03/04/43 (a)

      79,000          85,268  

Phillips 66
3.90% 03/15/28 (a)

      68,000          74,218  

Phillips 66 Partners LP

        

3.75% 03/01/28 (a)

      26,000          27,126  

4.68% 02/15/45 (a)

      48,000          51,809  

Plains All American Pipeline LP/PAA Finance Corp.

        

3.55% 12/15/29

      233,000          229,621  

3.65% 06/01/22 (a)

      132,000          135,527  

4.70% 06/15/44 (a)

      32,000          31,127  

PPL Capital Funding Inc. 3.10% 05/15/26 (a)

      81,000          82,499  

Precision Castparts Corp. 4.38% 06/15/45 (a)

      60,000          69,985  

Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) 5.70% 09/15/48 (a)(b)

      111,000          127,099  

Public Service Company of Colorado
3.70% 06/15/28 (a)

      86,000          93,765  

Public Service Electric & Gas Co.
2.38% 05/15/23 (a)

      138,000          139,806  

QUALCOMM Inc.

        

2.90% 05/20/24 (a)

      3,000          3,096  

3.00% 05/20/22 (a)

      30,000          30,752  

3.25% 05/20/27 (a)

      4,000          4,208  

4.30% 05/20/47 (a)

      16,000          18,333  

Quest Diagnostics Inc. 2.95% 06/30/30

      35,000          35,071  

Realty Income Corp. 3.00% 01/15/27 (a)

      29,000          29,865  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     75  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Reynolds American Inc. 4.45% 06/12/25 (a)

      4,000          4,308  

Rio Tinto Finance USA PLC 4.13% 08/21/42 (a)

      37,000          42,418  

Rockwell Automation Inc. 4.20% 03/01/49 (a)

      66,000          76,855  

Rockwell Collins Inc. 3.50% 03/15/27 (a)

      50,000          53,171  

Rogers Communications Inc. 5.00% 03/15/44 (a)

      25,000          30,374  

Roper Technologies Inc. 2.95% 09/15/29

      97,000          97,983  

Royal Bank of Scotland Group PLC
(4.52% fixed rate until 06/25/23; 1.55% + 3 month USD LIBOR thereafter) 4.52% 06/25/24 (a)(b)

      201,000          213,458  

RPM International Inc. 3.75% 03/15/27 (a)

      40,000          41,347  

Ryder System Inc.

        

2.50% 09/01/24

      190,000          191,305  

2.90% 12/01/26

      245,000          247,602  

3.65% 03/18/24 (a)

      89,000          93,479  

Sabine Pass Liquefaction LLC

        

4.20% 03/15/28 (a)

      44,000          46,685  

5.00% 03/15/27 (a)

      16,000          17,641  

Santander Holdings USA Inc.

        

3.70% 03/28/22 (a)

      196,000          201,510  

4.40% 07/13/27 (a)

      40,000          43,242  

Santander UK Group Holdings PLC

        

4.75% 09/15/25 (a)(g)

      200,000          215,542  

Saudi Arabian Oil Co.

        

3.50% 04/16/29 (a)(g)

      254,000          263,942  

4.38% 04/16/49 (a)(g)

      254,000          279,194  

Schlumberger Holdings Corp.

        

3.90% 05/17/28 (a)(g)

      76,000          80,869  

Selective Insurance Group Inc.

        

5.38% 03/01/49 (a)

      83,000          97,614  

Sempra Energy

        

3.80% 02/01/38 (a)

      28,000          29,242  

4.00% 02/01/48 (a)

      37,000          38,745  

Shell International Finance BV

        

2.38% 08/21/22 (a)

      119,000          120,673  

3.13% 11/07/49

      137,000          135,111  

3.75% 09/12/46 (a)

      29,000          31,794  

4.13% 05/11/35 (a)

      37,000          43,111  

Shire Acquisitions Investments Ireland DAC

        

2.88% 09/23/23 (a)

      13,000          13,258  

3.20% 09/23/26 (a)

      21,000          21,643  

Simon Property Group LP

        

3.38% 06/15/27 (a)

      55,000          58,245  
     Principal
Amount ($)		        Fair
Value
$		  

Southern California Edison Co.

        

2.40% 02/01/22 (a)

      106,000          106,577  

2.90% 03/01/21 (a)

      146,000          147,269  

4.00% 04/01/47

      169,000          177,759  

4.20% 03/01/29 (a)

      126,000          138,807  

Southern Company Gas Capital Corp.

        

4.40% 05/30/47 (a)

      13,000          14,360  

Southern Copper Corp.

        

5.88% 04/23/45 (a)

      64,000          80,006  

Southwestern Electric Power Co.

        

2.75% 10/01/26 (a)

      64,000          63,834  

Spectra Energy Partners LP

        

3.38% 10/15/26 (a)

      15,000          15,522  

4.50% 03/15/45 (a)

      13,000          14,259  

Spirit Realty LP

        

4.00% 07/15/29

      106,000          111,497  

Starbucks Corp.

        

4.00% 11/15/28 (a)

      40,000          44,370  

Steel Dynamics Inc.

        

2.80% 12/15/24

      70,000          70,601  

3.45% 04/15/30

      70,000          70,968  

4.13% 09/15/25 (a)

      404,000          415,518  

Sumitomo Mitsui Financial Group Inc.

        

2.78% 07/12/22 (a)

      159,000          161,771  

Suncor Energy Inc.

        

4.00% 11/15/47 (a)

      15,000          16,376  

Sunoco Logistics Partners Operations LP

        

5.30% 04/01/44 (a)

      62,000          65,621  

Suzano Austria GmbH

        

6.00% 01/15/29

      244,000          275,808  

Syngenta Finance N.V.

        

3.70% 04/24/20 (a)(g)

      225,000          225,679  

3.93% 04/23/21 (a)(g)

      330,000          335,514  

4.44% 04/24/23 (a)(g)

      200,000          207,782  

Sysco Corp.

        

3.25% 07/15/27 (a)

      46,000          48,154  

Takeda Pharmaceutical Company Ltd.

        

4.00% 11/26/21

      310,000          320,760  

Tampa Electric Co.

        

4.35% 05/15/44 (a)

      121,000          138,135  

Target Corp.

        

2.50% 04/15/26 (a)

      54,000          55,246  

Teck Resources Ltd.

        

5.40% 02/01/43 (a)

      100,000          105,661  

Telefonica Emisiones S.A.

        

4.10% 03/08/27 (a)

      300,000          324,816  

Texas Instruments Inc.

        

3.88% 03/15/39 (a)

      71,000          80,663  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

76   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

The Allstate Corp. 4.20% 12/15/46 (a)

      36,000          42,012  

The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter)
5.75% 08/15/53 (a)(b)

      127,000          136,719  

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 (a)(b)

      71,000          74,754  

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 (a)(b)

      101,000          102,515  

The Boeing Co.

        

2.70% 02/01/27

      178,000          180,181  

2.95% 02/01/30

      104,000          106,137  

3.25% 03/01/28 (a)

      14,000          14,592  

3.55% 03/01/38 (a)

      12,000          12,488  

3.75% 02/01/50

      50,000          53,165  

The Cleveland Electric Illuminating Co. 4.55% 11/15/30 (a)(g)

      230,000          258,191  

The Dow Chemical Co.

        

4.25% 10/01/34 (a)

      66,000          72,859  

5.55% 11/30/48

      48,000          60,233  

The Estee Lauder Companies Inc.

        

2.38% 12/01/29

      70,000          69,980  

3.13% 12/01/49

      55,000          55,089  

The George Washington University
4.13% 09/15/48 (a)

      100,000          115,165  

The Goldman Sachs Group Inc.

        

3.50% 11/16/26 (a)

      181,000          190,501  

3.85% 01/26/27 (a)

      30,000          31,936  

4.25% 10/21/25 (a)

      5,000          5,436  

5.15% 05/22/45 (a)

      49,000          60,356  

The Goldman Sachs Group Inc. (2.88% fixed rate until 10/31/21; 0.82% + 3 month USD LIBOR thereafter) 2.88% 10/31/22 (a)(b)

      124,000          125,648  

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 (a)(b)

      129,000          131,096  
     Principal
Amount ($)		        Fair
Value
$		  

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 (a)(b)

      48,000          51,452  

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 (a)(b)

      56,000          60,888  

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 (a)(b)

      82,000          90,400  

The Hartford Financial Services Group Inc.

        

2.80% 08/19/29

      200,000          202,612  

The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR

        

4.03% 02/12/47 (a)(b)(g)

      120,000          111,938  

The Home Depot Inc.

        

3.50% 09/15/56 (a)

      60,000          63,058  

3.90% 12/06/28 - 06/15/47 (a)

      90,000          101,394  

4.50% 12/06/48 (a)

      39,000          48,186  

The Interpublic Group of Companies Inc.

        

3.75% 10/01/21 (a)

      163,000          167,478  

The Kroger Co.

        

2.95% 11/01/21 (a)

      149,000          151,509  

4.65% 01/15/48 (a)

      33,000          36,080  

The Mosaic Co.

        

5.63% 11/15/43 (a)

      14,000          16,565  

The Sherwin-Williams Co.

        

2.75% 06/01/22 (a)

      15,000          15,258  

3.45% 06/01/27 (a)

      4,000          4,231  

4.50% 06/01/47 (a)

      11,000          12,554  

The Southern Co.

        

3.25% 07/01/26 (a)

      30,000          31,147  

4.40% 07/01/46 (a)

      15,000          16,652  

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 (a)(b)

      100,000          104,888  

The Walt Disney Co.

        

3.38% 11/15/26

      16,000          17,136  

4.00% 10/01/23

      220,000          235,085  

4.75% 11/15/46

      13,000          16,669  

6.65% 11/15/37

      94,000          139,635  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     77  

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Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

The Williams Companies Inc.

        

3.75% 06/15/27 (a)

      16,000          16,694  

3.90% 01/15/25 (a)

      31,000          32,591  

4.85% 03/01/48 (a)

      46,000          50,441  

4.90% 01/15/45 (a)

      21,000          22,695  

5.40% 03/04/44 (a)

      14,000          15,755  

Time Warner Cable LLC

        

4.50% 09/15/42 (a)

      12,000          12,285  

6.55% 05/01/37 (a)

      42,000          51,975  

Total Capital International S.A.

        

3.46% 02/19/29 (a)

      124,000          134,370  

TransCanada PipeLines Ltd.

        

4.25% 05/15/28 (a)

      124,000          137,775  

4.88% 01/15/26 (a)

      20,000          22,436  

Transcontinental Gas Pipe Line Company LLC

        

4.00% 03/15/28 (a)

      55,000          58,398  

Trinity Health Corp.

        

3.43% 12/01/48

      37,000          36,819  

Truist Bank (3.50% fixed rate until 08/02/21; 0.59% + 3 month USD LIBOR thereafter)

        

3.50% 08/02/22 (b)

      93,000          94,995  

Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter)

        

4.80% 12/31/99 (b)

      252,000          259,419  

TWDC Enterprises 18 Corp.

        

4.13% 06/01/44 (a)

      18,000          21,344  

Tyco Electronics Group S.A.

        

3.13% 08/15/27 (a)

      52,000          53,580  

Tyson Foods Inc.

        

4.00% 03/01/26 (a)

      175,000          189,478  

4.55% 06/02/47 (a)

      16,000          18,334  

U.S. Bancorp

        

3.15% 04/27/27 (a)

      89,000          93,502  

U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter)

        

5.13% 12/29/49 (a)(b)

      166,000          170,553  

UBS Group AG (2.86% fixed rate until 08/15/22; 0.95% + 3 month USD LIBOR thereafter)

        

2.86% 08/15/23 (a)(b)(g)

      284,000          288,291  

UBS Group AG (3.13% fixed rate until 08/13/29; 1.47% + 3 month USD LIBOR thereafter)

        

3.13% 08/13/30 (b)(g)

      259,000          264,594  
     Principal
Amount ($)		        Fair
Value
$		  

UDR Inc.

        

3.00% 08/15/31

      75,000          74,969  

Union Pacific Corp.

        

3.50% 06/08/23 (a)

      87,000          91,139  

3.60% 09/15/37 (a)

      18,000          18,700  

4.10% 09/15/67 (a)

      37,000          38,189  

4.30% 03/01/49 (a)

      51,000          58,968  

United Technologies Corp.

        

3.13% 05/04/27 (a)

      142,000          148,799  

3.65% 08/16/23 (a)

      93,000          98,076  

3.95% 08/16/25 (a)

      34,000          37,100  

4.13% 11/16/28 (a)

      10,000          11,258  

4.15% 05/15/45 (a)

      56,000          64,163  

4.45% 11/16/38 (a)

      45,000          53,187  

4.50% 06/01/42 (a)

      39,000          46,811  

UnitedHealth Group Inc.

        

4.45% 12/15/48 (a)

      92,000          109,934  

4.75% 07/15/45 (a)

      29,000          35,670  

Vale S.A.

        

5.63% 09/11/42 (a)

      29,000          34,044  

Valero Energy Corp.

        

4.00% 04/01/29 (a)

      211,000          227,536  

Valero Energy Partners LP

        

4.38% 12/15/26 (a)

      100,000          109,132  

Ventas Realty LP

        

3.25% 10/15/26 (a)

      67,000          68,829  

Verizon Communications Inc.

        

3.88% 02/08/29 (a)

      30,000          33,094  

4.33% 09/21/28 (a)

      67,000          76,070  

4.40% 11/01/34 (a)

      98,000          113,985  

4.52% 09/15/48 (a)

      54,000          64,669  

4.67% 03/15/55 (a)

      52,000          64,190  

4.86% 08/21/46 (a)

      212,000          263,249  

5.25% 03/16/37 (a)

      42,000          52,712  

ViacomCBS Inc.

        

2.90% 01/15/27 (a)

      34,000          34,035  

3.45% 10/04/26 (a)

      47,000          48,003  

3.70% 06/01/28 (a)

      41,000          42,975  

4.38% 03/15/43 (a)

      48,000          50,839  

5.25% 04/01/44 (a)

      12,000          13,955  

Virginia Electric & Power Co.

        

4.00% 11/15/46 (a)

      104,000          115,056  

Visa Inc.

        

3.15% 12/14/25 (a)

      16,000          16,926  

4.30% 12/14/45 (a)

      44,000          54,220  

Vistra Operations Company LLC

        

3.55% 07/15/24 (a)(g)

      235,000          239,030  

Vodafone Group PLC

        

4.38% 05/30/28 (a)

      53,000          58,746  

5.25% 05/30/48 (a)

      37,000          44,508  

Volkswagen Group of America Finance LLC

        

4.00% 11/12/21 (a)(g)

      400,000          413,588  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

78   Elfun Income Fund

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Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		        Fair
Value
$		  
       

Vornado Realty LP

        

3.50% 01/15/25 (a)

      35,000          36,523  

Vulcan Materials Co.

        

3.90% 04/01/27 (a)

      18,000          19,028  

Walmart Inc.

        

3.63% 12/15/47 (a)

      43,000          47,645  

3.70% 06/26/28 (a)

      80,000          88,179  

3.95% 06/28/38 (a)

      34,000          39,516  

4.05% 06/29/48 (a)

      56,000          66,520  

WEC Energy Group Inc.

        

3.55% 06/15/25 (a)

      58,000          61,573  

Wells Fargo & Co.

        

3.90% 05/01/45 (a)

      6,000          6,810  

4.15% 01/24/29 (a)

      160,000          178,739  

4.75% 12/07/46 (a)

      162,000          195,045  

Wells Fargo & Co.
(2.88% fixed rate until 10/30/29; 1.17% + 3 month USD LIBOR thereafter)

        

2.88% 10/30/30 (b)

      46,000          46,352  

Wells Fargo & Co.
(3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter)

        

3.20% 06/17/27 (a)(b)

      174,000          180,478  

Wells Fargo & Co.
(5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter)

        

5.88% 12/29/49 (a,b)

      88,000          98,564  

Wells Fargo & Co.
3.77% + 3 month USD LIBOR

        

5.66% 03/29/49 (a)(b)

      102,000          103,393  

Western Midstream Operating LP

        

4.00% 07/01/22 (a)

      162,000          166,476  

5.38% 06/01/21 (a)

      166,000          170,856  

Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter)

        

4.11% 07/24/34 (b)

      106,000          111,385  

Willis North America Inc.

        

3.60% 05/15/24 (a)

      62,000          64,873  

WPP Finance 2010

        

3.75% 09/19/24 (a)

      40,000          42,164  

WRKCo Inc.

        

3.00% 09/15/24 (a)

      48,000          48,996  

Xilinx Inc.

        

2.95% 06/01/24 (a)

      37,000          38,054  

Zoetis Inc.

        

3.00% 09/12/27 (a)

      17,000          17,455  

3.90% 08/20/28 (a)

      53,000          57,485  
       

 

 

  
          69,495,313  
       

 

 

  
     Principal
Amount ($)		        Fair
Value
$		  

Non-Agency Collateralized Mortgage Obligations - 3.4%

Banc of America Commercial Mortgage Trust 2016-UBS10

        

4.91% 07/15/49 (a)(b)

      290,000          310,615  

BANK 2018-BNK11

        

4.36% 03/15/61 (a)(b)

      139,000          151,852  

BANK 2019-BNK17

        

4.52% 04/15/52 (a)(b)

      122,000          130,687  

BX Commercial Mortgage Trust 2018-IND 0.75% + 1 month USD LIBOR

        

2.49% 11/15/35 (a)(b)(g)

      323,527          323,246  

Cantor Commercial Real Estate Lending 2019-CF3

        

3.01% 01/15/53

      925,000          949,087  

CD 2019-CD8 Mortgage Trust

        

2.91% 08/15/57

      839,000          855,841  

Citigroup Commercial Mortgage Trust 2016-P5

        

2.94% 10/10/49 (a)

      399,397          409,351  

Citigroup Commercial Mortgage Trust 2016-P6

        

4.03% 12/10/49 (a)(b)

      336,823          361,302  

Citigroup Commercial Mortgage Trust 2018-C5

        

4.51% 06/10/51 (a)(b)

      250,000          273,280  

COMM 2013-LC13 Mortgage Trust

        

4.56% 08/10/46 (a)(b)(g)

      170,000          182,947  

COMM 2014-CR14 Mortgage Trust

        

4.53% 02/10/47 (a)(b)

      240,000          257,222  

GS Mortgage Securities Trust 2012-GCJ9

        

1.95% 11/10/45 (a)(b)(d)

      703,232          32,163  

GS Mortgage Securities Trust 2016-GS3

        

2.85% 10/10/49 (a)

      333,000          340,837  

GS Mortgage Securities Trust 2017-GS8

        

3.47% 11/10/50 (a)

      767,075          810,368  

GS Mortgage Securities Trust 2018-GS9

        

4.14% 03/10/51 (a)(b)

      291,000          313,863  

Impac CMB Trust 2004-5 0.72% + 1 month USD LIBOR

        

2.51% 10/25/34 (a)(b)

      45,152          44,281  

JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9

        

1.51% 12/15/47 (a)(b)(d)

      586,140          20,404  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     79  

Table of Contents

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Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount ($)		       

Fair
Value
$

  
       

JPMBB Commercial Mortgage Securities Trust 2013-C12

        

4.04% 07/15/45 (a)(b)

      125,000          131,340  

JPMBB Commercial Mortgage Securities Trust 2015-C32

        

4.67% 11/15/48 (a)(b)

      250,000          262,749  

MASTR Alternative Loan Trust 2003-5

        

5.00% 08/25/18 (a)(d)

      1,569          52  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21

        

0.90% 03/15/48 (a)(b)(d)

      3,535,671          127,528  

Morgan Stanley Capital I Trust 2006-IQ11

        

6.07% 10/15/42 (a)(b)

      201,687          205,646  

UBS Commercial Mortgage Trust 2018-C12

        

4.79% 08/15/51 (a)(b)

      213,000          235,406  

Wells Fargo Commercial Mortgage Trust 2015-C26

        

1.21% 02/15/48 (a)(b)(d)

      2,688,530          135,731  

Wells Fargo Commercial Mortgage Trust 2019-C50

        

4.35% 05/15/52 (a)

      175,000          183,324  

WFRBS Commercial Mortgage Trust 2013-C17

        

4.26% 12/15/46 (a)

      235,000          249,135  

WFRBS Commercial Mortgage Trust 2014-LC14

        

4.35% 03/15/47 (a)(b)

      533,000          570,154  
       

 

 

  
          7,868,411  
       

 

 

  

Sovereign Bonds - 1.0%

Government of Chile

        

3.86% 06/21/47 (a)

      200,000          222,838  

Government of Colombia

        

5.00% 06/15/45 (a)

      200,000          232,680  

Government of Mexico

        

4.00% 10/02/23

      86,000          90,631  

4.75% 03/08/44 (a)

      200,000          221,184  

Government of Panama

        

3.16% 01/23/30

      200,000          206,258  

3.87% 07/23/60

      200,000          215,494  

Government of Peru

        

5.63% 11/18/50 (a)

      105,000          153,538  

Government of Philippines

        

3.95% 01/20/40 (a)

      200,000          229,616  

Government of Qatar

        

3.38% 03/14/24 (a)(g)

      200,000          209,268  

4.82% 03/14/49 (a)(g)

      258,000          319,497  

Government of Uruguay

        

5.10% 06/18/50

      105,744          127,170  
       

 

 

  
          2,228,174  
       

 

 

  
    

Principal
Amount ($)

or Number

of Shares

        Fair
Value
$		  

Municipal Bonds and Notes - 0.5%

American Municipal Power Inc.

        

6.27% 02/15/50 (a)

      135,000          180,345  

Commonwealth of Massachusetts

        

2.90% 09/01/49

      75,000          70,790  

New Jersey Transportation Trust Fund Authority

        

6.88% 12/15/39 (a)

      165,000          165,434  

Port Authority of New York & New Jersey

        

4.46% 10/01/62 (a)

      220,000          269,632  

State of California

        

4.60% 04/01/38 (a)

      200,000          221,600  

State of Illinois

        

5.10% 06/01/33 (a)

      95,000          102,413  

The University of Texas System

        

3.35% 08/15/47 (a)

      115,000          119,779  
       

 

 

  
          1,129,993  
       

 

 

  
Total Bonds and Notes
(Cost $219,066,225)		           226,827,180  
       

 

 

  
Domestic Equity - 0.1%

Preferred Stock - 0.1%

        

Wells Fargo & Co. 3.09% + 3 month USD LIBOR
(Cost $186,475) (a)(b)

      7,459          204,302  
       

 

 

  
Total Investments in Securities
(Cost $219,252,700)

 

        227,031,482  
       

 

 

  
Short-Term Investments - 18.7%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.57% (a)(e)(i)

      35,778,498          35,778,498  

U.S. Treasury Bills
1.47% (e)

      8,000,000          7,998,484  
       

 

 

  
Total Short-Term Investments
(Cost $43,776,888)

 

        43,776,982  
       

 

 

  
Total Investments
(Cost $263,029,588)

 

        270,808,464  
Liabilities in Excess of Other Assets,
net - (15.9)%

 

        (37,145,845 ) 
       

 

 

  
NET ASSETS - 100.0%           233,662,619  
       

 

 

  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

80   Elfun Income Fund

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Schedule of Investments, continued — December 31, 2019

 

Other Information:

Centrally Cleared Credit Default Swaps

 

Reference
Entity		   Counterparty   Notional
Amount
(000s omitted)		     Contract
Annual
Fixed Rate/
Payment
Frequency		     Termination
Date		     Market
Value		    

Unamortized
Upfront
Payments
Received

(Paid)

     Unrealized
Appreciation
(Depreciation)		  

Buy Protection

              

Markit CDX North America Investment Grade Index

   Intercontinental Exchange   $ 2,853      
 1.00%/
Quarterly
 		     06/20/24     $ (74,363 )    $ (47,001 )    $ (27,362 ) 

Sell Protection

              

Markit CDX North America High Yield Index

   Intercontinental Exchange   $ 7,957      
 5.00%/
Quarterly
 		     06/20/24     $ 786,182     $ 451,199     $ 334,983  
             

 

 

  
  $ 307,621  
             

 

 

  

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     Pays/Quarterly   3 Month U.S. Dollar LIBOR     3.05%       11/19/21     $ (267,899 )    $ —   $ (267,899 ) 

CME Group, Inc.

     10,657     Pays/Quarterly   3 Month U.S. Dollar LIBOR     3.06%       11/19/21       (268,852 )      —       (268,852 ) 
               

 

 

  
  $ (536,751 ) 
               

 

 

  

The Fund had the following long futures contracts open at December 31, 2019:

 

Description    Expiration
date		     

Number

of
Contracts

      Notional
Amount		     
Value		      Unrealized
Appreciation
(Depreciation)		  

2 Yr. U.S. Treasury Notes Futures

      March 2020        192      $ 41,370,849      $ 41,376,000      $ 5,151  

5 Yr. U.S. Treasury Notes Futures

      March 2020        7        828,593        830,266        1,673  

10 Yr. U.S. Treasury Notes Futures

      March 2020        49        6,329,296        6,292,672        (36,624 ) 
              

 

 

  
   $ (29,800 ) 
              

 

 

  

The Fund had the following short futures contracts open at December 31, 2019:

 

Description    Expiration
date		     

Number

of
Contracts

      Notional
Amount		     
Value		      Unrealized
Appreciation		  

Ultra Long-Term U.S. Treasury Bond Futures

      March 2020        5      $ (919,112 )     $ (908,282 )     $ 10,830  

U.S. Long Bond Futures

      March 2020        19        (3,022,611 )       (2,962,219 )       60,392  

10 Yr. U.S. Treasury Ultra Futures

      March 2020        58        (8,249,836 )       (8,160,781 )       89,055  
              

 

 

  
   $ 160,277  
              

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     81  

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Schedule of Investments, continued — December 31, 2019

 

During the fiscal year ended December 31, 2019 average notional values related to derivative contracts were as follows:

 

     

Purchased

Put

Options

     

Written

Put

Options

     

Long

Futures

Contracts

     

Short

Futures

Contracts

     

Credit

Default

Swap

Contracts

     

Interest

Rate

Swap

Contracts

  

Average Notional Value

    $ 3,510      $ 351      $ 61,865,987      $ 11,419,276      $ 8,623,273      $ 21,312,326  

 

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 the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

At December 31, 2019, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs.

(b)

Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.

(c)

Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future.

(d)

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.

(e)

Coupon amount represents effective yield.

(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)

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 December 31, 2019, these securities amounted to $14,197,103 or 6.08% of the net assets of the Elfun Income Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Trustees .

(h)

Step coupon bond.

(i)

Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent.

†

Percentages are based on net assets as of December 31, 2019.

Abbreviations:

CMT - Constant Maturity Treasury

LIBOR - London Interbank Offered Rate

REIT - Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

SOFR - Secured Overnight Financing Rate

STRIPS - Separate Trading of Registered Interest and Principal of Security

TBA - To Be Announced

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

82   Elfun Income Fund

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Elfun Income Fund

Schedule of Investments, continued — December 31, 2019

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2019:

 

Fund    Investments     Level 1     Level 2     Level 3     Total  

Elfun Income Fund

      Investments in Securities          
     U.S. Treasuries     $ —   $ 55,412,596     $ —     $ 55,412,596  
     Agency Mortgage Backed       —       82,128,206       —     82,128,206  
     Agency Collateralized Mortgage Obligations       —     2,249,708       —     2,249,708  
     Asset Backed       —     6,314,779       —     6,314,779  
     Corporate Notes       —     69,495,313       —     69,495,313  
     Non-Agency Collateralized Mortgage Obligations       —     7,868,411       —     7,868,411  
     Sovereign Bonds       —     2,228,174       —     2,228,174  
     Municipal Bonds and Notes       —     1,129,993       —     1,129,993  
     Preferred Stock       204,302       —     —     204,302  
     Short-Term Investments       35,778,498       7,998,484       —     43,776,982  
    

 

 

    

 

 

    

 

 

    

 

 

  
     Total Investments in Securities     $ 35,982,800     $ 234,825,664     $ —   $ 270,808,464  
    

 

 

    

 

 

    

 

 

    

 

 

  
     Other Financial Instruments          
    
 Credit Default Swap Contracts - Unrealized
Appreciation		  
 		   $  —   $ 334,983     $ —   $ 334,983  
    
 Credit Default Swap Contracts - Unrealized
Depreciation		  
 		     —     (27,362 )      —     (27,362 ) 
    
 Interest Rate Swap Contracts - Unrealized
Depreciation		  
 		     —     (536,751 )      —     (536,751 ) 
    
 Long Futures Contracts - Unrealized
Appreciation		  
 		     6,824       —     —     6,824  
    
 Long Futures Contracts - Unrealized
Depreciation		  
 		     (36,624 )      —     —     (36,624 ) 
    
 Short Futures Contracts - Unrealized
Appreciation		  
 		     160,277       —     —     160,277  
    

 

 

    

 

 

    

 

 

    

 

 

  
     Total Other Financial Instruments     $ 130,477     $ (229,130 )    $ —   $ (98,653 ) 
    

 

 

    

 

 

    

 

 

    

 

 

  

 

Affiliate Table

 

     Number
of Shares
Held at
12/31/18		     Value At
12/31/18		     Cost of
Purchases		     Proceeds
from
Shares
Sold		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
Depreciation		     Number
of Shares
Held at
12/31/19		     Value at
12/31/19		     Dividend
Income		  

State Street Institutional U.S. Government Money Market Fund - Class G Shares

     41,181,071     $ 41,181,071     $ 128,245,890     $ 133,648,463     $         —   $         —     35,778,498     $ 35,778,498     $ 1,118,847  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Income Fund     83  

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Elfun Government Money Market Fund

Management’s Discussion of Fund Performance — December 31, 2019 (Unaudited)

 

 

The Elfun Government Money Market Fund (the “Fund”) seeks a high level of current income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Daily-Linked 90- Day T-Bill (the “Index”).

For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Fund was 1.99%, and the Index was 2.12%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Federal Reserve’s (the “Fed”) mid-cycle adjustment easing monetary policy was a primary driver of the Fund’s performance during the Reporting Period. The Fed’s three 25 basis point rate cuts brought the target interest rate range to 150-175 basis points and saw money market yields follow accordingly. Three month bill yields fell from approximately 2.36% at year-end 2018 to just under 1.55% at year-end 2019. A negatively sloped London Interbank Offering Rate (LIBOR) curve and the Fed’s action to inject liquidity into the market following a spike in repo rates in September were also notable drivers of the Fund’s performance.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

84   Elfun Government Money Market Fund

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Elfun Government Money Market Fund

Understanding Your Fund’s Expenses (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 December 31, 2019.

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)		  

Actual Fund Return

      

Beginning Account Value

July 1, 2019

    $ 1,000.00      $ 1,000.00  

Ending Account Value

December 31, 2019

    $ 1,009.00      $ 1,024.00  

Expenses Paid During the Period*

    $ 1.22      $ 1.22  

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.24%** (for the period July 1, 2019-December 31, 2019), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

**

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

Elfun Government Money Market Fund     85  

Table of Contents

Elfun Government Money Market Fund

Performance Summary — December 31, 2019 (Unaudited)

 

 

Sector Allocation

Portfolio composition as a % of Investments of $128,669 (in thousands) on December 31, 2019 (a)

 

LOGO

Average Annual Total Return For the Periods Ended December 31, 2019

(Inception date: 6/13/90)

 

    One Year     Five Year     Ten Year     Ending Value
of a $10,000
Investment		  

Elfun Government Money Market Fund

     1.99 %      0.85 %      0.46 %    $ 10,465  

Daily-linked 90-Day T-Bill

     2.12 %      1.08 %      0.58 %    $ 10,560  
 

 

 

 

 

 

(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.

 

86   Elfun Government Money Market Fund

Table of Contents

Elfun Government Money Market Fund

Performance Summary, continued — December 31, 2019 (Unaudited)

 

 

LOGO

 

 

 

 

See Notes to Performance beginning on page 1 for further information.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

An investment in the Elfun Government Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or by any other Government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per unit, it is possible to lose money by investing in the Fund.

 

Elfun Government Money Market Fund     87  

Table of Contents

Elfun Government Money Market Fund

Schedule of Investments — December 31, 2019

 

     Principal
Amount
($)		        Amortized
Cost
$		  
       
Short-Term Investments - 100.1%†

 

U.S. Treasuries - 26.9%

 

U.S. Treasury Bills
1.52% 01/07/20 (a)

      500,000          499,896  

1.58% 03/26/20 - 05/14/20 (a)

      1,650,000          1,641,925  

1.60% 06/25/20 (a)

      650,000          645,039  

1.63% 01/28/20 (a)

      3,300,000          3,296,187  

1.65% 04/30/20 (a)

      500,000          497,339  

1.67% 04/30/20 (a)

      500,000          497,306  

1.85% 04/02/20 (a)

      250,000          248,859  

1.86% 01/02/20 (a)

      250,000          250,000  

1.87% 01/02/20 - 03/12/20 (a)

      2,350,000          2,342,721  

1.88% 02/06/20 - 02/20/20 (a)

      2,500,000          2,494,097  

1.90% 03/26/20 (a)

      1,000,000          995,660  

1.92% 03/19/20 (a)

      1,000,000          995,979  

2.06% 01/16/20 (a)

      500,000          499,609  

2.08% 01/02/20 - 01/30/20 (a)

      800,000          799,209  

2.09% 01/02/20 (a)

      700,000          700,000  

2.13% 01/09/20 (a)

      1,000,000          999,596  

U.S. Treasury Notes

        

1.13% 03/31/20 - 04/30/20 (a)

      1,500,000          1,497,574  

1.38% 01/31/20 - 08/31/20 (a)

      589,000          588,361  

2.50% 06/30/20 (a)

      500,000          502,209  

2.88% 10/31/20 (a)

      1,000,000          1,010,140  

3.50% 05/15/20 (a)

      2,200,000          2,215,115  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.00%
1.53% 01/31/20 (b)

      1,975,000          1,974,882  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.03%
1.56% 04/30/20 (b)

      2,380,000          2,379,363  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.04%
1.57% 07/31/20 (b)

      2,100,000          2,099,189  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.05%
1.57% 10/31/20 (b)

      1,750,000          1,749,187  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.12%
1.64% 01/31/21 (b)

      900,000          899,654  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.14%
1.66% 04/30/21 (b)

      1,600,000          1,598,373  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.22%
1.75% 07/31/21 (b)

      200,000          199,905  
     Principal
Amount
($)		        Amortized
Cost
$		  

U.S. Treasury Notes 3 month Treasury Money Market Yield + 0.30%
1.83% 10/31/21 (b)

      500,000          500,270  
       

 

 

  
          34,617,644  
       

 

 

  

U.S. Government Agency Obligations - 45.2%

 

Fannie Mae Discount Notes
1.58% 03/04/20 (a)

      1,300,000          1,296,523  

Federal Farm Credit Banks 1 month USD LIBOR - 0.00%
1.74% 11/12/20 (b)

      600,000          599,948  

1.79% 04/23/20 (b)

      630,000          629,996  

Federal Farm Credit Banks 1 month USD LIBOR - 0.01%
1.78% 03/25/20 (b)

      1,100,000          1,099,974  

Federal Farm Credit Banks 1 month USD LIBOR - 0.02%
1.70% 06/10/20 (b)

      700,000          699,985  

1.77% 05/22/20 (b)

      400,000          399,994  

Federal Farm Credit Banks 1 month USD LIBOR - 0.05%
1.69% 09/16/20 (b)

      300,000          299,991  

1.74% 02/25/20 (b)

      400,000          399,995  

Federal Farm Credit Banks 3 month USD LIBOR + 0.11%
1.64% 12/28/20 (b)

      1,000,000          999,304  

Federal Farm Credit Banks SOFR + 0.04%
1.58% 09/11/20 (b)

      300,000          300,000  

Federal Farm Credit Discount Notes
1.88% 02/24/20 (a)

      800,000          797,833  

Federal Home Loan Bank Discount Notes
1.57% 02/05/20 (a)

      1,000,000          998,539  

1.60% 02/21/20 - 03/13/20 (a)

      2,200,000          2,194,276  

1.61% 03/04/20 - 03/20/20 (a)

      2,000,000          1,994,186  

1.62% 02/14/20 (a)

      1,200,000          1,197,721  

1.63% 05/27/20 (a)

      1,200,000          1,192,262  

1.66% 04/08/20 (a)

      1,000,000          995,635  

1.68% 01/22/20 (a)

      1,000,000          999,083  

1.69% 04/13/20 (a)

      1,000,000          995,325  

1.71% 01/15/20 (a)

      1,000,000          999,393  

1.72% 01/03/20 (a)

      1,000,000          999,953  

1.88% 03/27/20 (a)

      500,000          497,834  

1.93% 03/20/20 (a)

      500,000          497,952  

Federal Home Loan Banks
1.62% 03/02/20 - 06/26/20 (a)

      2,900,000          2,899,884  

1.69% 07/14/20 (a)

      1,000,000          1,000,000  

1.74% 07/09/20 (a)

      500,000          500,000  

1.93% 06/12/20 (a)

      1,000,000          1,000,000  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

88   Elfun Government Money Market Fund

Table of Contents

Elfun Government Money Market Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount
($)		        Amortized
Cost
$		  
       

1.94% 09/04/20 (a)

      1,000,000          1,000,000  

1.95% 06/17/20 (a)

      1,000,000          1,000,000  

2.07% 01/17/20 (a)

      900,000          899,990  

2.38% 03/30/20 (a)

      1,000,000          1,001,189  

2.63% 05/28/20 (a)

      500,000          502,007  

Federal Home Loan Banks 1 month USD LIBOR - 0.02%
1.69% 01/06/20 (b)

      850,000          850,000  

Federal Home Loan Banks 1 month USD LIBOR - 0.03%
1.68% 08/07/20 (b)

      1,000,000          1,000,000  

1.69% 01/11/21 (b)

      500,000          500,000  

Federal Home Loan Banks 1 month USD LIBOR - 0.04%
1.72% 12/17/20 (b)

      500,000          500,000  

Federal Home Loan Banks SOFR + 0.01%
1.55% 01/24/20 (b)

      1,000,000          1,000,000  

Federal Home Loan Banks SOFR + 0.02%
1.56% 02/21/20 - 05/22/20 (b)

      1,500,000          1,500,000  

Federal Home Loan Banks SOFR + 0.03%
1.57% 11/06/20 (b)

      1,000,000          1,000,000  

Federal Home Loan Banks SOFR + 0.04%
1.58% 02/21/20 (b)

      600,000          600,000  

Federal Home Loan Banks SOFR + 0.06%
1.60% 05/06/20 (b)

      300,000          300,000  

Federal Home Loan Banks SOFR + 0.07%
1.61% 03/27/20 (b)

      1,300,000          1,300,000  

Federal Home Loan Banks SOFR + 0.08%
1.62% 05/11/20 (b)

      1,000,000          1,000,000  

Federal Home Loan Banks SOFR + 0.10%
1.64% 12/23/20 (b)

      500,000          500,000  

Federal Home Loan Banks SOFR + 0.12%
1.66% 10/07/20 (b)

      500,000          500,000  

Federal Home Loan Banks SOFR + 0.13%
1.67% 10/16/20 (b)

      1,500,000          1,500,000  

Federal Home Loan Mortgage Corp.
2.50% 04/23/20 (a)

      700,000          701,322  

1.88% 11/17/20 (a)

      1,000,000          1,001,962  

Federal Home Loan Mortgage Corp. SOFR + 0.00%
1.54% 02/12/20 (b)

      1,000,000          1,000,000  
     Principal
Amount
($)		        Amortized
Cost
$		  

Federal Home Loan Mortgage Corp. SOFR + 0.01%
1.55% 05/13/20 (b)

      3,000,000          2,999,734  

Federal Home Loan Mortgage Corp. SOFR + 0.02%
1.56% 02/28/20 - 11/20/20 (b)

      3,800,000          3,799,848  

Federal Home Loan Mortgage Corp. SOFR + 0.03%
1.57% 05/08/20 (b)

      1,050,000          1,050,000  

Federal Home Loan Mortgage Corp. SOFR + 0.04%
1.58% 09/10/20 (b)

      1,000,000          1,000,000  

Federal National Mortgage Assoc. SOFR + 0.04%
1.58% 01/29/21 (b)

      1,000,000          1,000,000  

Federal National Mortgage Assoc. SOFR + 0.08%
1.62% 10/30/20 (b)

      450,000          450,000  

Freddie Mac Discount Notes
1.60% 05/19/20 (a)

      400,000          397,593  

Freddie Mac Discount Notes
1.58% 03/19/20 (a)

      1,000,000          996,685  

1.92% 01/03/20 (a)

      700,000          699,963  
       

 

 

  
          58,035,879  
       

 

 

  

Repurchase Agreements - 28.0%

 

BNP Paribas S.A. U.S. Treasury Repo 1.55% dated 12/31/19, to be repurchased at $10,000,861 on 01/02/20, collateralized by $732,529 U.S. Treasury Bonds, 0.75% to 2.88% maturing from 02/15/45 to 08/15/45, collateralized by $3,848,291 U.S. Treasury Notes, 0.13% to 2.75% maturing from 02/29/20 to 07/15/29, collateralized by $5,619,179 U.S. Treasury Strips, 0.00% maturing from 05/15/24 to 11/15/45. 01/02/20

      10,000,000          10,000,000  

Citigroup Global Markets, Inc. U.S. Treasury Repo 1.55% dated 12/31/19, to be repurchased at $7,000,603 on 02/01/20, collateralized by $7,107,505 U.S. Treasury Bonds, 1.38% to 3.63% maturing from 02/15/44 to 08/15/44, collateralized by $32,578 U.S. Treasury Note, 1.68% maturing on 01/31/21. 01/02/20

      7,000,000          7,000,000  
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

Elfun Government Money Market Fund     89  

Table of Contents

Elfun Government Money Market Fund

Schedule of Investments, continued — December 31, 2019

 

     Principal
Amount
($)		        Amortized
Cost
$		  
       

Merrill Lynch, Pierce, Fenner & Smith, Inc. U.S. Treasury Repo 1.55% dated 12/31/19, to be repurchased at $9,015,776 on 01/02/20, collateralized by $9,195,409 U.S. Treasury Note, 1.63% maturing on 11/30/26. 01/02/20

      9,015,000          9,015,000  

Standard Chartered PLC U.S. Treasury Repo 1.55% dated 12/31/19, to be repurchased at $10,000,861 on 01/02/20, collateralized by $1,470 U.S. Treasury Bill, 2.75% maturing on 07/31/23, collateralized by $3,762,520 U.S. Treasury Bonds, 0.00% to 4.50% maturing from 03/26/20 to 05/15/49, collateralized by $5,749,304 U.S. Treasury Notes, 0.13% to 2.88% maturing from 04/15/20 to 11/15/49, collateralized by $686,706 Federal National Mortgage Association, 4.00% maturing on 10/01/47. 01/02/20

      10,000,000          10,000,000  
       

 

 

  
          36,015,000  
       

 

 

  
Total Short-Term Investments
(Cost $128,668,523)

 

        128,668,523  
Liabilities in Excess of Other Assets, net - (0.1)%

 

        (107,856 ) 
       

 

 

  
NET ASSETS - 100.0%           128,560,667  
       

 

 

  

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 the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

Coupon amount represents effective yield.

(b)

Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.

†

Percentages are based on net assets as of December 31, 2019.

Abbreviations:

LIBOR - London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2019:

 

Fund    Investments    Level 1      Level 2      Level 3      Total  
Elfun Government Money Market Fund   

Investments in Securities

            
  

U.S. Treasuries

    $ —      $ 34,617,644      $ —      $ 34,617,644  
  

U.S. Government Agency Obligations

      —        58,035,879        —        58,035,879  
  

Repurchase Agreements

      —        36,015,000        —        36,015,000  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Total Investments in Securities

    $ —      $ 128,668,523      $ —      $ 128,668,523  
     

 

 

     

 

 

     

 

 

     

 

 

  

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

90   Elfun Government Money Market Fund

Table of Contents

Elfun International Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

     12/31/19      12/31/18     12/31/17      12/31/16     12/31/15*  
Inception date               1/1/88  

Net asset value, beginning of period

   $ 18.51      $ 22.68     $ 18.73      $ 19.31     $ 19.70  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Income/(loss) from investment operations:

 

          

Net investment income

     0.43 (a)        0.45 (a)       0.34 (a)        0.41       0.34  

Net realized and unrealized gains/(losses) on investments

     5.15        (4.16 )      3.96        (0.58 )      (0.37 ) 
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total income/(loss) from investment operations

     5.58        (3.71 )      4.30        (0.17 )      (0.03 ) 
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Less distributions from:

            

Net investment income

     0.40        0.46       0.35        0.41       0.36  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total distributions

     0.40        0.46       0.35        0.41       0.36  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of period

   $ 23.69      $ 18.51     $ 22.68      $ 18.73     $ 19.31  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(b)

    30.14 %       (16.33 )%      22.99 %       (0.86 )%      (0.18 )% 

Ratios/Supplemental Data:

            

Net assets, end of period (in thousands)

   $ 199,123      $ 183,982     $ 237,769      $ 208,044     $ 234,448  

Ratios to average net assets:

            

Net expenses

     0.38 %       0.36 %      0.36 %       0.37 %(c)(d)      0.35 % 

Gross expenses

     0.38 %       0.36 %      0.36 %       0.43 %(c)(d)      0.35 % 

Net investment income

     2.02 %       2.06 %      1.64 %       2.11 %      1.59 % 

Portfolio turnover rate

     15 %       27 %      30 %       33 %      24 % 

Notes to Financial Highlights

 

(a)   Per share values have been calculated using the average shares method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(c)   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.
(d)   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.
*   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.

 

The accompanying Notes are an integral part of these financial statements.

 

Financial Highlights     91  

Table of Contents

Elfun Trusts

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

     12/31/19      12/31/18     12/31/17      12/31/16      12/31/15*  
Inception date                5/27/35  

Net asset value, beginning of period

   $ 50.14      $ 60.36     $ 53.23      $ 54.59      $ 58.02  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Income/(loss) from investment operations:

 

           

Net investment income

     0.71 (a)        0.74 (a)       0.76 (a)        0.81        0.80  

Net realized and unrealized gains/(losses) on investments

     17.15        (2.85 )      12.88        2.54        0.25  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total income/(loss) from investment operations

     17.86        (2.11 )      13.65        3.35        1.05  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Less distributions from:

             

Net investment income

     0.67        0.76       0.78        0.79        0.80  

Net realized gains

     5.17        7.35       5.74        3.92        3.68  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     5.84        8.11       6.52        4.71        4.48  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 62.16      $ 50.14     $ 60.36      $ 53.23      $ 54.59  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(b)

    35.57 %       (3.39 )%      25.61 %       6.08 %       1.70 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in thousands)

   $ 2,979,222      $ 2,427,667     $ 2,737,919      $ 2,331,966      $ 2,364,319  

Ratios to average net assets:

             

Net expenses

     0.18 %       0.19 %      0.18 %       0.18 %       0.16 % 

Gross expenses

     0.18 %       0.19 %      0.18 %       0.18 %       0.16 % 

Net investment income

     1.20 %       1.17 %      1.25 %       1.43 %       1.32 % 

Portfolio turnover rate

     17 %       18 %      16 %       15 %       11 % 

Notes to Financial Highlights

 

(a)   Per share values have been calculated using the average shares method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
*   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.

 

The accompanying Notes are an integral part of these financial statements.

 

92   Financial Highlights

Table of Contents

Elfun Diversified Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

     12/31/19      12/31/18     12/31/17      12/31/16     12/31/15*  
Inception date               1/1/88  

Net asset value, beginning of period

   $ 17.02      $ 18.60     $ 17.91      $ 17.50     $ 18.78  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Income/(loss) from investment operations:

 

          

Net investment income

     0.41 (a)        0.42 (a)       0.43 (a)        0.38       0.34  

Net realized and unrealized gains/(losses) on investments

     2.93        (1.45 )      2.32        0.58       (0.57 ) 
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total income/(loss) from investment operations

     3.34        (1.03 )      2.75        0.96       (0.23 ) 
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Less distributions from:

            

Net investment income

     0.42        0.43       0.46        0.36       0.34  

Net realized gains

     0.40        0.12       1.60        0.19       0.71  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total distributions

     0.82        0.55       2.06        0.55       1.05  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of period

   $ 19.54      $ 17.02     $ 18.60      $ 17.91     $ 17.50  
 

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(b)

    19.58 %       (5.51 )%      15.40 %       5.48 %      (1.25 )% 

Ratios/Supplemental Data:

            

Net assets, end of period (in thousands)

   $ 199,011      $ 181,943     $ 209,939      $ 198,938     $ 209,688  

Ratios to average net assets:

            

Net expenses

     0.30 %       0.33 %      0.40 %       0.39 %(c)       0.37 % 

Gross expenses

     0.30 %       0.33 %      0.40 %       0.39 %(c)       0.37 % 

Net investment income

     2.20 %       2.26 %      2.23 %       1.98 %      1.69 % 

Portfolio turnover rate

     162 %       72 %      186 %       116 %      123 % 

Notes to Financial Highlights

 

(a)   Per share values have been calculated using the average shares method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(c)   The net and gross expense ratios include the refunded custody expense (See Note 6). Without the effect of the refunded custody expense, the ratios would have been 0.45%.
*   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.

 

The accompanying Notes are an integral part of these financial statements.

 

Financial Highlights     93  

Table of Contents

Elfun Tax-Exempt Income Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

     12/31/19      12/31/18      12/31/17      12/31/16      12/31/15*  
Inception date                 1/1/80  

Net asset value, beginning of period

   $ 11.19      $ 11.55      $ 11.48      $ 11.88      $ 11.97  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Income/(loss) from investment operations:

 

            

Net investment income

     0.38 (a)        0.46 (a)        0.46 (a)        0.46        0.46  

Net realized and unrealized gains/(losses) on investments

     0.41        (0.36 )       0.07        (0.40 )       (0.09 ) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total income from investment operations

     0.79        0.10        0.53        0.06        0.37  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Less distributions from:

              

Net investment income

     0.44        0.46        0.46        0.46        0.46  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

     0.44        0.46        0.46        0.46        0.46  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 11.54      $ 11.19      $ 11.55      $ 11.48      $ 11.88  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return(b)

    7.13 %       0.90 %       4.71 %       0.42 %       3.21 % 

Ratios/Supplemental Data:

              

Net assets, end of period (in thousands)

   $ 1,377,821      $ 1,376,980      $ 1,471,350      $ 1,495,248      $ 1,588,272  

Ratios to average net assets:

              

Net expenses

     0.20 %       0.21 %       0.20 %       0.20 %       0.18 % 

Gross expenses

     0.20 %       0.21 %       0.20 %       0.20 %       0.18 % 

Net investment income

     3.35 %       4.06 %       4.00 %       3.84 %       3.92 % 

Portfolio turnover rate

     25 %       18 %       26 %       31 %       22 % 

Notes to Financial Highlights

 

(a)   Per share values have been calculated using the average shares method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
*   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.

 

The accompanying Notes are an integral part of these financial statements.

 

94   Financial Highlights

Table of Contents

Elfun Income Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

     12/31/19      12/31/18     12/31/17      12/31/16      12/31/15*  
Inception date                12/31/84  

Net asset value, beginning of period

   $ 11.02      $ 11.44     $ 11.28      $ 11.26      $ 11.57  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Income/(loss) from investment operations:

 

           

Net investment income

     0.32 (a)        0.32 (a)       0.29 (a)        0.30        0.32  

Net realized and unrealized gains/(losses) on investments

     0.73        (0.41 )      0.15        0.09        (0.29 ) 
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total income/(loss) from investment operations

     1.05        (0.09 )      0.44        0.39        0.03  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Less distributions from:

             

Net investment income

     0.33        0.33       0.28        0.28        0.32  

Net realized gains

     —        —       —        0.09        0.02  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     0.33        0.33       0.28        0.37        0.34  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 11.74      $ 11.02     $ 11.44      $ 11.28      $ 11.26  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(b)

    9.50 %       (0.80 )%      3.90 %       3.52 %       0.22 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in thousands)

   $ 233,663      $ 229,477     $ 261,189      $ 276,142      $ 289,872  

Ratios to average net assets:

             

Net expenses

     0.29 %       0.34 %      0.33 %       0.31 %       0.28 % 

Gross expenses

     0.29 %       0.34 %      0.33 %       0.31 %       0.28 % 

Net investment income

     2.77 %       2.88 %      2.54 %       2.63 %       2.71 % 

Portfolio turnover rate

     107 %       207 %      299 %       238 %       278 % 

Notes to Financial Highlights

 

(a)   Per share values have been calculated using the average shares method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
*   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.

 

The accompanying Notes are an integral part of these financial statements.

 

Financial Highlights     95  

Table of Contents

Elfun Government Money Market Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

     12/31/19      12/31/18      12/31/17      12/31/16     12/31/15*  
Inception date                6/13/90  

Net asset value, beginning of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00     $ 1.00  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Income/(loss) from investment operations:

 

           

Net investment income

     0.02 (a)        0.02 (a)        0.01 (a)        0.00 (b)       —  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total income from investment operations

     0.02        0.02        0.01        0.00 (b)       —  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Less distributions from:

             

Net investment income

     0.02        0.02        0.01        0.00 (b)       0.00 (b)  

Net realized gains

     —        —        0.00 (b)        —       —  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total distributions

     0.02        0.02        0.01        0.00 (b)       0.00 (b)  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Net asset value, end of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00     $ 1.00  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total Return(c)

    1.99 %       1.55 %       0.58 %       0.06 %      0.08 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in thousands)

   $ 128,561      $ 104,275      $ 109,828      $ 111,339     $ 129,039  

Ratios to average net assets:

             

Net expenses

     0.26 %       0.32 %       0.34 %       0.49 %(e)       0.09 %(d)  

Gross expenses

     0.26 %       0.32 %       0.34 %       0.49 %(e)       0.25 % 

Net investment income (loss)

     1.96 %       1.53 %       0.56 %       (0.11 )%(e)      — % 

Notes to Financial Highlights

 

(a)   Per share values have been calculated using the average shares method.
(b)   Rounds to less than $0.005.
(c)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(d)   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.
(e)   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%.
*   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.

 

The accompanying Notes are an integral part of these financial statements.

 

96   Financial Highlights

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Table of Contents

Elfun Funds

Statements of Assets and Liabilities — December 31, 2019

 

          
Elfun
International
Equity Fund		     

Elfun

Trusts

  

Assets

      

Investments in securities, at fair value (cost $137,388,023; $1,565,903,159; $115,137,717; $1,268,837,699; $219,252,700 and $0, respectively)

    $ 192,306,375      $ 2,892,829,537  

Investments in affiliated securities, at fair value (cost $0; $0; $47,998,327; $0; $0 and $0, respectively)

      —        —  

Short-term investments, at fair value (cost $0; $0; $2,789,006; $0; $7,998,390 and $92,653,523, respectively)

      —        —  

Short-term affiliated investments, at fair value

      6,197,070        83,003,349  

Repurchase agreements

      —        —  

Cash

      —        —  

Net cash collateral on deposit with broker for future contracts

      139,714        —  

Foreign currency (cost $5,310; $0; $14,761; $0; $0 and $0, respectively)

      5,311        —  

Receivable for investments sold

      —        —  

Income receivables

      625,995        4,270,242  

Receivable for fund shares sold

      4,317        345,411  

Income receivable from affiliated investments

      5,032        83,319  

Receivable for accumulated variation margin on swap contracts

      —        —  

Receivable for accumulated variation margin on futures contracts

      6,850        —  

Other assets

      —        22,996  
  

 

 

     

 

 

  

Total assets

      199,290,664        2,980,554,854  
  

 

 

     

 

 

  

Liabilities

      

Distribution payable to shareholders

      —        —  

Due to custodian

      —        11,418  

Net cash collateral on futures contracts due to broker

      —        —  

Net cash collateral on swap contracts due to broker

      —        —  

Payable for investments purchased

      —        —  

Payable for fund shares redeemed

      1,982        816,207  

Payable for accumulated variation margin on swap contracts

      —        —  

Payable for accumulated variation margin on futures contracts

      —        —  

Payable to the Adviser

      35,099        353,881  

Payable for custody, fund accounting and sub-administration fees

      10,460        29,525  

Accrued other expenses

      24,578        121,440  

Accrued foreign capital gains tax

      95,190        —  
  

 

 

     

 

 

  

Total liabilities

      167,309        1,332,471  
  

 

 

     

 

 

  
     

Net Assets

    $ 199,123,355      $ 2,979,222,383  
  

 

 

     

 

 

  

Net Assets Consist of:

      

Capital paid in

    $ 154,339,059      $ 1,639,331,357  

Total distributable earnings (loss)

    $ 44,784,296      $ 1,339,891,026  
  

 

 

     

 

 

  

Net Assets

    $ 199,123,355      $ 2,979,222,383  
  

 

 

     

 

 

  
     

Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized)

      8,403,753        47,928,974  

Net asset value, offering and redemption price per share

    $ 23.69      $ 62.16  

 

The accompanying Notes are an integral part of these financial statements.

 

98   Statements of Assets and Liabilities

Table of Contents

 

 

Elfun
Diversified
Fund		      Elfun
Tax-Exempt
Income Fund		      Elfun Income
Fund		      Elfun
Government
Money Market
Fund		  
        

$

137,160,261

 

    $ 1,352,944,890      $ 227,031,482      $ —  
  53,112,119        —        —        —  
  2,789,006        —        7,998,484        92,653,523  
  20,765,085        17,584,856        35,778,498        —  
  —        —        —        36,015,000  
  —        —        —        623  
  28,051        —        —        —  
  15,160        —        —        —  
  3,470,420        —        11,191,511        —  
  452,092        17,264,655        1,250,077        —  
  349        202,981        36,141        233,338  
  31,190        25,206        56,675        156,325  
  239,702        —        800,547        —  
  —        —        131,238        —  
  1,597        —        1,925        939  

 

 

     

 

 

     

 

 

     

 

 

  
  218,065,032        1,388,022,588        284,276,578        129,059,748  

 

 

     

 

 

     

 

 

     

 

 

  
        
  —        1,322,716        119,009        16,166  
  2,278        —        4,741        —  
  —        —        121,419        —  
  87,441        —        166,205        —  
  18,652,859        8,451,366        49,354,027        —  
  74,103        189,043        60,825        441,105  
  152,363        —        638,487        —  
  7,489        —        —        —  
  26,996        181,148        28,866        10,585  
  24,924        12,504        91,302        4,649  
  26,031        45,242        29,078        26,576  
  —        —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  19,054,484        10,202,019        50,613,959        499,081  

 

 

     

 

 

     

 

 

     

 

 

  
        
$ 199,010,548      $ 1,377,820,569      $ 233,662,619      $ 128,560,667  

 

 

     

 

 

     

 

 

     

 

 

  
        
$ 171,415,998      $ 1,331,572,573      $ 227,388,284      $ 128,560,667  
$ 27,594,550      $ 46,247,996      $ 6,274,335      $ —  

 

 

     

 

 

     

 

 

     

 

 

  
$ 199,010,548      $ 1,377,820,569      $ 233,662,619      $ 128,560,667  

 

 

     

 

 

     

 

 

     

 

 

  
        
  10,187,188        119,370,147        19,910,709        128,561,380  
$ 19.54      $ 11.54      $ 11.74      $ 1.00  

 

The accompanying Notes are an integral part of these financial statements.

 

Statements of Assets and Liabilities     99  

Table of Contents

Elfun Funds

Statements of Operations — For the year ended December 31, 2019

 

          
Elfun
International
Equity Fund		      Elfun
Trusts		  

Investment Income

 

Income

 

Dividend

    $ 5,210,869      $ 36,679,455  

Interest

      —        —  

Income from affiliated investments

      81,822        1,351,922  

Less: Foreign taxes withheld

      (568,241 )       (44,095 ) 
  

 

 

     

 

 

  

Total income

      4,724,450        37,987,282  
  

 

 

     

 

 

  

Expenses

 

Advisory and administration fees

      413,223        3,854,072  

Blue Sky fees

      27,782        32,212  

Transfer agent fees

      110,898        471,964  

Trustees’ fees

      19,509        60,472  

Custody, fund accounting and sub-administration fees

      83,199        347,756  

Professional fees

      55,994        80,167  

Printing and shareholder reports

      32,009        125,242  

Other expenses

      12,689        82,616  
  

 

 

     

 

 

  

Total expenses before waivers

      755,303        5,054,501  
  

 

 

     

 

 

  

Fees waived and/or recouped by the adviser

      —        —  
  

 

 

     

 

 

  

Total expenses

      755,303        5,054,501  
  

 

 

     

 

 

  

Net investment income

    $ 3,969,147      $ 32,932,781  
  

 

 

     

 

 

  

Net Realized and Unrealized Gain (Loss) on Investments

      

Realized gain (loss) on:

 

Unaffiliated investments

    $ (2,676,568 )     $ 239,548,391  

Affiliated investments

      —        —  

Futures

      (216,961 )       —  

Written options

      —        —  

Swap contracts

      —        —  

Foreign currency transactions

      14,588        —  

Increase (decrease) in unrealized appreciation/depreciation on:

 

Unaffiliated investments

      49,810,726        557,369,993  

Affiliated investments

      —        —  

Futures

      6,789        —  

Swap contracts

      —        —  

Foreign currency translations

      8,959        —  
  

 

 

     

 

 

  

Net realized and unrealized gain (loss) on investments

      46,947,533        796,918,384  
  

 

 

     

 

 

  

Net Increase in Net Assets Resulting from Operations

    $ 50,916,680      $ 829,851,165  
  

 

 

     

 

 

  

 

The accompanying Notes are an integral part of these financial statements.

 

100   Statements of Operations

Table of Contents

 

Elfun
Diversified
Fund		      Elfun
Tax-Exempt
Income Fund		      Elfun
Income Fund		      Elfun
Government
Money
Market Fund		  
        
        
$ 1,360,397      $ 62      $ 10,386      $ —  
  1,500,636        49,128,708        6,003,333        2,583,283  
  1,966,181        291,684        1,118,847        —  
  —        —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  4,827,214        49,420,454        7,132,566        2,583,283  

 

 

     

 

 

     

 

 

     

 

 

  
        
  328,515        2,223,985        396,598        116,569  
  29,302        30,434        28,773        19,499  
  92,980        206,125        109,584        61,672  
  19,386        38,870        20,138        18,242  
  24,156        181,141        29,162        28,300  
  64,085        53,500        41,536        28,114  
  20,609        61,349        39,568        30,253  
  5,198        32,790        5,737        1,477  

 

 

     

 

 

     

 

 

     

 

 

  
  584,231        2,828,194        671,096        304,126  

 

 

     

 

 

     

 

 

     

 

 

  
  (1,687 )       —        (3,849 )       —  

 

 

     

 

 

     

 

 

     

 

 

  
  582,544        2,828,194        667,247        304,126  

 

 

     

 

 

     

 

 

     

 

 

  
$ 4,244,670      $ 46,592,260      $ 6,465,319      $ 2,279,157  

 

 

     

 

 

     

 

 

     

 

 

  
        
        
$ 3,627,136      $ 2,543,876      $ 4,572,317      $ 72  
  228,323        —        —        —  
  478,712        (38,889 )       973,970        —  
  848        —        3,021        —  
  17,151        —        8,185        —  
  (289 )       —        —        —  
        
  17,678,836        46,694,908        9,468,998        —  
  8,250,012        —        —        —  
  (190,997 )       —        (491,783 )       —  
  55,391        —        135,839        —  
  1,080        —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  30,146,203        49,199,895        14,670,547        72  

 

 

     

 

 

     

 

 

     

 

 

  
$ 34,390,873      $ 95,792,155      $ 21,135,866      $ 2,279,229  

 

 

     

 

 

     

 

 

     

 

 

  

 

The accompanying Notes are an integral part of these financial statements.

 

Statements of Operations     101  

Table of Contents

Elfun Funds

Statements of Changes in Net Assets

 

     Elfun International Equity Fund      Elfun Trusts  
     

Year Ended

December 31,
2019

     

Year Ended

December 31,
2018

     

Year Ended

December 31,
2019

     

Year Ended

December 31,
2018

  

Increase (Decrease) in Net Assets

 

Operations:

 

Net investment income

    $ 3,969,147      $ 4,608,952      $ 32,932,781      $ 32,702,525  

Net realized gain (loss) on investments, futures, swap contracts, options contracts, and foreign currency related transactions

      (2,878,941 )       2,994,695        239,548,391        313,947,889  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations

      49,826,474        (44,660,948 )       557,369,993        (427,642,446 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from operations

      50,916,680        (37,057,301 )       829,851,165        (80,992,032 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders:

 

Total distributions

      (3,308,378 )       (4,494,291 )       (260,239,907 )       (346,605,889 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) in assets from operations and distributions

      47,608,302        (41,551,592 )       569,611,258        (427,597,921 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share transactions:

 

Proceeds from sale of shares

      1,338,896        3,187,752        33,246,104        53,658,651  

Value of distributions reinvested

      2,803,168        3,868,438        209,686,670        278,812,837  

Cost of shares redeemed

      (36,608,980 )       (19,291,445 )       (260,989,132 )       (215,125,396 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from share transactions

      (32,466,916 )       (12,235,255 )       (18,056,358 )       117,346,092  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total increase (decrease) in net assets

      15,141,386        (53,786,847 )       551,554,900        (310,251,829 ) 

Net Assets

 

Beginning of year

      183,981,969        237,768,816        2,427,667,483        2,737,919,312  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of year

    $ 199,123,355      $ 183,981,969      $ 2,979,222,383      $ 2,427,667,483  
  

 

 

     

 

 

     

 

 

     

 

 

  

Changes in Fund Shares

 

Shares sold

      61,930        142,810        559,128        886,867  

Issued for distributions reinvested

      117,978        211,506        3,359,088        5,602,033  

Shares redeemed

      (1,714,834 )       (899,037 )       (4,408,014 )       (3,429,325 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in fund shares

      (1,534,926 )       (544,721 )       (489,798 )       3,059,575  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

The accompanying Notes are an integral part of these financial statements.

 

102   Statements of Changes in Net Assets

Table of Contents

 

Elfun Diversified Fund      Elfun Tax-Exempt Income Fund  

Year Ended

December 31,
2019

     

Year Ended

December 31,
2018

     

Year Ended

December 31,
2019

     

Year Ended

December 31,
2018

  
        
        
$ 4,244,670      $ 4,557,788      $ 46,592,260      $ 57,447,561  
 
     
4,351,881
 		      1,112,797        2,504,987        (2,154,716 ) 
 

     
    
25,794,322

 		      (16,461,988 )       46,694,908        (43,488,260 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  34,390,873        (10,791,403 )       95,792,155        11,804,585  

 

 

     

 

 

     

 

 

     

 

 

  
        
  (8,007,411 )       (5,726,511 )       (53,093,761 )       (57,447,575 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  26,383,462        (16,517,914 )       42,698,394        (45,642,990 ) 

 

 

     

 

 

     

 

 

     

 

 

  
        
  6,924,567        5,751,778        37,744,180        52,101,473  
  7,016,606        4,986,474        36,589,427        39,620,528  
  (23,257,310 )       (22,216,449 )       (116,191,472 )       (140,449,316 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  (9,316,137 )       (11,478,197 )       (41,857,865 )       (48,727,315 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  17,067,325        (27,996,111 )       840,529        (94,370,305 ) 
        
  181,943,223        209,939,334        1,376,980,040        1,471,350,345  

 

 

     

 

 

     

 

 

     

 

 

  
$ 199,010,548      $ 181,943,223      $ 1,377,820,569      $ 1,376,980,040  

 

 

     

 

 

     

 

 

     

 

 

  
        
  362,413        312,332        3,301,456        4,614,192  
  358,356        294,883        3,188,172        3,522,242  
  (1,226,639 )       (1,199,520 )       (10,136,364 )       (12,474,273 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  (505,870 )       (592,305 )       (3,646,736 )       (4,337,839 ) 

 

 

     

 

 

     

 

 

     

 

 

  

 

The accompanying Notes are an integral part of these financial statements.

 

Statements of Changes in Net Assets     103  

Table of Contents

Elfun Funds

Statements of Changes in Net Assets

 

     Elfun Income Fund      Elfun Government Money
Market Fund		  
     

Year Ended

December 31,
2019

     

Year Ended

December 31,
2018

     

Year Ended

December 31,
2019

     

Year Ended

December 31,
2018

  

Increase (Decrease) in Net Assets

 

Operations:

 

Net investment income

    $ 6,465,319      $ 6,939,136      $ 2,279,157      $ 1,556,972  

Net realized gain (loss) on investments, futures, swap contracts, options contracts, and foreign currency related transactions

      5,557,493        (5,426,673 )       72        (3 ) 

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts

      9,113,054        (3,757,452 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from operations

      21,135,866        (2,244,989 )       2,279,229        1,556,969  
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders:

 

Total distributions

      (6,631,821 )       (7,065,178 )       (2,279,939 )       (1,556,972 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) in assets from operations and distributions

      14,504,045        (9,310,167 )       (710 )       (3 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share transactions:

 

Proceeds from sale of shares

      10,978,969        10,263,456        75,378,874        49,255,283  

Value of distributions reinvested

      5,078,985        5,368,470        2,130,041        1,430,523  

Cost of shares redeemed

      (26,376,400 )       (38,033,816 )       (53,222,553 )       (56,238,963 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from share transactions

      (10,318,446 )       (22,401,890 )       24,286,362        (5,553,157 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total increase (decrease) in net assets

      4,185,599        (31,712,057 )       24,285,652        (5,553,160 ) 

Net Assets

 

Beginning of year

      229,477,020        261,189,077        104,275,015        109,828,175  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of year

    $ 233,662,619      $ 229,477,020      $ 128,560,667      $ 104,275,015  
  

 

 

     

 

 

     

 

 

     

 

 

  

Changes in Fund Shares

 

Shares sold

      949,477        925,381        75,378,874        49,255,283  

Issued for distributions reinvested

      440,756        485,128        2,130,041        1,430,523  

Shares redeemed

      (2,296,448 )       (3,427,061 )       (53,222,553 )       (56,238,963 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in fund shares

      (906,215 )       (2,016,552 )       24,286,362        (5,553,157 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

The accompanying Notes are an integral part of these financial statements.

 

104   Statements of Changes in Net Assets

Table of Contents

Elfun Funds

Notes to Financial Statements — December 31, 2019

 

 

1.   Organization of the Funds

The Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (each, a “Fund” and collectively, the “Funds”) are each registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. Each Fund is a diversified investment company within the meaning of the 1940 Act.

Under each Fund’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

 

2.   Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation  Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

 

  •  

Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

 

  •  

Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

 

  •  

Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.

 

  •  

Debt obligations (including short term investments) 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.

 

  •  

Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board.

 

Notes to Financial Statements     105  

Table of Contents

Elfun Funds

Notes to Financial Statements, continued — December 31, 2019

 

 

  •  

Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s NAV calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

 

  •  

Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

 

  •  

Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

 

  •  

Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2019 is disclosed in each Fund’s Schedule of Investments.

Investment Transactions and Income Recognition  Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.

Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

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.

 

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Foreign Currency Translation  The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes  The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2019, 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.

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.

 

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As of December 31, 2019, the Elfun Government Money Market Fund had invested in repurchase agreements with the gross values of $36,015,000 and associated collateral equal to $36,735,492.

 

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 the Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.

During the fiscal year ended December 31, 2019, 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 fiscal year ended December 31, 2019, the Elfun Diversified Fund and Elfun Income Fund engaged in credit default swaps to manage credit risk. When a Fund is the buyer in a credit default swap contract, a Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by a Fund for the same referenced obligation.

As the seller, a Fund may create economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates

 

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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 fiscal year ended December 31, 2019, 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 a Fund 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 fiscal year ended December 31, 2019, 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 December 31, 2019 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:

Asset Derivatives

 

      Interest
Rate
Contracts
Risk		      Foreign
Exchange
Contracts
Risk		      Credit
Contracts
Risk		      Equity
Contracts
Risk		      Commodity
Contracts
Risk		      Total  

Elfun International Equity Fund

 

               

Futures Contracts

    $ —      $ —      $ —      $ 6,850      $ —      $ 6,850  

Elfun Diversified Fund

                  

Swap Contracts

    $ —      $ —      $ 239,782      $ —      $ —      $ 239,782  

Elfun Income Fund

                  

Futures Contracts

    $ 131,238      $ —      $ —      $ —      $ —      $ 131,238  

Swap Contracts

      —        —        800,547        —        —        800,547  

 

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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

    $ (15,135 )    $ —      $ —     $ 7,646      $ —      $ (7,489 ) 

Swap Contracts

      (145,151 )      —        (7,212 )      —        —        (152,363 ) 

Elfun Income Fund

                

Swap Contracts

    $ (536,094 )    $ —      $ (75,393 )    $ —      $ —      $ (638,487 ) 

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

    $ —     $ —      $ —      $ (216,961 )    $ —      $ (216,961 ) 

Elfun Diversified Fund

                

Futures Contracts

    $ 388,569     $ —      $ —      $ 90,143     $ —      $ 478,712  

Swap Contracts

      (34,888 )      —        52,039        —       —        17,151  

Purchased Option Contracts(a)

      (7,172 )      —        —        —       —        (7,172 ) 

Written Option Contracts

      848       —        —        —       —        848  

Elfun Tax-Exempt Income Fund

 

             

Futures Contracts

    $ (38,879 )    $ —      $ —      $ —     $ —      $ (38,879 ) 

Elfun Income Fund

                

Futures Contracts

    $ 973,970     $ —      $ —      $ —     $ —      $ 973,970  

Swap Contracts

      (135,842 )      —        144,027        —       —        8,185  

Purchased Option Contracts

      (25,541 )      —        —        —       —        (25,541 ) 

Written Option Contracts

      3,021       —        —        —       —        3,021  

 

  (a)

Purchased options are included in net realized gain (loss) on 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

    $ —     $ —      $ —      $ 6,789      $ —      $ 6,789  

Elfun Diversified Fund

                 

Futures Contracts

    $ (213,715 )    $ —      $ —      $ 22,718      $ —      $ (190,997 ) 

Swap Contracts

      (67,320 )      —        122,711        —        —        55,391  

Elfun Income Fund

                 

Futures Contracts

    $ (491,783 )    $ —      $ —      $ —      $ —      $ (491,783 ) 

Swap Contracts

      (260,845 )      —        396,684        —        —        135,839  

 

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5.   Fees and Transactions with Affiliates

Advisory Fee  SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:

 

Fund    Management Fee  

Elfun International Equity Fund

      0.21 % 

Elfun Trusts

      0.14 % 

Elfun Diversified Fund

      0.17 % 

Elfun Tax-Exempt Income Fund

      0.16 % 

Elfun Income Fund

      0.17 % 

Elfun Government Money Market Fund

      0.10 % 

Effective April 30, 2019, with respect to both the Elfun Diversified Fund and the Elfun Income Fund, SSGA FM is contractually obligated until April 30, 2020 to waive its Management Fee and/or reimburse certain expenses for each Fund, in an amount equal to any acquired fund fees and expenses (“AFFEs”), excluding AFFEs derived from each Fund’s holdings in acquired funds for cash management purposes, if any. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to April 30, 2020 except with approval of the Board.

Amounts waived or reimbursed are included in the respective Statement of Operations.

Custody, Fund Accounting and Sub-Administration Fees  State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Funds. Amounts paid by the Funds to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statements of Operations.

Other Transactions with Affiliates  The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2019 are disclosed in the Schedules of Investments.

 

6.   Trustees’ Fees

The fees and expenses of each Fund’s trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

 

7.   Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2019 were as follows:

 

     U.S. Government
Obligations		      Other
Securities		  
Fund    Purchases      Sales      Purchases      Sales  

Elfun International Equity Fund

    $ —      $ —      $ 28,971,816      $ 61,689,592  

Elfun Trusts

      —        —        467,563,521        736,019,422  

Elfun Diversified Fund

      277,501,794        272,953,495        19,552,150        41,082,408  

Elfun Tax-Exempt Income Fund

      —        —        339,487,405        380,046,857  

Elfun Income Fund

      864,776,653        848,121,846        57,655,873        93,976,681  

 

8.   Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to the federal income taxes to the extent it

 

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distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, foreign currency gains and losses, corporate actions, paydown losses, futures contracts, swap contracts, straddle loss deferrals, capital gain taxes, return of capital adjustments, and wash sale loss deferrals.

The tax character of distributions paid during the fiscal year ended December 31, 2019, were as follows:

 

Fund    Exempt
Income		      Ordinary
Income		      Long-Term
Capital Gains		      Return of
Capital		      Total  

Elfun International Equity Fund

    $ —      $ 3,308,378      $ —      $ —      $ 3,308,378  

Elfun Trusts

      —        43,174,602        217,065,305        —        260,239,907  

Elfun Diversified Fund

      —        5,574,026        2,433,385        —        8,007,411  

Elfun Tax-Exempt Income Fund

      52,554,575        539,186        —        —        53,093,761  

Elfun Income Fund

      —        6,631,821        —        —        6,631,821  

Elfun Government Money Market Fund

      —        2,279,939        —        —        2,279,939  

The tax character of distributions paid during the fiscal year ended December 31, 2018, were as follows:

 

Fund    Exempt
Income		      Ordinary
Income		      Long-Term
Capital Gains		      Return of
Capital		      Total  

Elfun International Equity Fund

    $ —      $ 4,494,291      $ —      $ —      $ 4,494,291  

Elfun Trusts

      —        39,509,239        307,096,650        —        346,605,889  

Elfun Diversified Fund

      —        4,584,578        1,141,933        —        5,726,511  

Elfun Tax-Exempt Income Fund

      56,871,069        576,506        —        —        57,447,575  

Elfun Income Fund

      —        7,065,178        —        —        7,065,178  

Elfun Government Money Market Fund

      —        1,556,972        —        —        1,556,972  

At December 31, 2019, the components of distributable earnings on a tax basis were as follows:

 

     Undistributed
Ordinary
Income		     Tax Exempt
Income		     Capital Loss
Carryforwards		     Undistributed
long term
gain		     Net
Unrealized
Gains (Losses)		     Qualified
Late-Year
Losses		     Total  

Elfun International Equity Fund

   $ 650,417     $ —     $ (9,300,718 )    $ —     $ 53,434,597     $ —     $ 44,784,296  

Elfun Trusts

     4,202,965       —       —       8,761,683       1,326,926,378       —       1,339,891,026  

Elfun Diversified Fund

     376,753       —       —       534,018       27,078,321       —       27,989,092  

Elfun Tax-Exempt Income Fund

     —       207,622       (17,295,807 )      —       63,336,181       —       46,247,996  

Elfun Income Fund

     842,910       —       —       —       5,431,425       —       6,274,335  

 

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As of December 31, 2019, the Funds had capital loss carryforwards available to offset future realized capital gains as follows:

 

Fund   

Non-Expiring

Short Term

     

Non-Expiring

Long Term

  

Elfun International Equity Fund

    $ 2,934,842      $ 6,365,876  

Elfun Tax-Exempt Income Fund

      16,466,899        828,908  

As of December 31, 2019, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments 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

    $ 144,987,220      $ 56,217,414      $ 2,694,400      $ 53,523,014  

Elfun Trusts

      1,648,906,508        1,381,598,383        54,672,005        1,326,926,378  

Elfun Diversified Fund

      186,699,881        29,852,349        2,774,427        27,077,922  

Elfun Tax-Exempt Income Fund

      1,307,193,565        65,382,650        2,046,469        63,336,181  

Elfun Income Fund

      263,230,749        8,268,776        789,714        7,479,062  

Elfun Government Money Market Fund

      128,668,523        —        —        —  

 

9.   Line of Credit

The Funds (excluding the Elfun Government Money Market Fund) and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $250 million of 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 2020 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

The Funds had no outstanding loans as of December 31, 2019.

 

10.   Risks

Concentration Risk  As a result of a Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of a Fund’s investments more than if a Fund was more broadly diversified.

Interest Rate Risk  Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of a Fund’s investments.

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 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.

 

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Notes to Financial Statements, continued — December 31, 2019

 

 

11.   Change in Accounting Principle

In March 2019, the Financial Accounting Standards Board issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20) — Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For callable debt securities held at a premium that have explicit, non-contingent call features and that are callable at fixed prices on preset dates, ASU 2017-08 requires the premium to be amortized to the earliest call date. The adoption resulted in a change in accounting principle, since the Funds had historically amortized such premiums to maturity for U.S. GAAP. Accordingly, the Funds have adopted ASU 2017-08 to amend the premium amortization period for certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, each Fund applied the amendments on a modified retrospective basis by recognizing a cumulative effect adjustment that decreased the beginning of period cost of investments and increased the unrealized appreciation on investments as follows:

 

Fund    Adjustment  

Elfun Diversified Fund

    $ 5,431  

Elfun Tax-Exempt Income Fund

      15,262,249  

Elfun Income Fund

      21,189  

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total accumulated earnings (loss) or the net asset value of each Fund. With respect to each Fund’s results of operations, amortization of premium to first call date accelerates amortization with the intent of more closely aligning the recognition of income on such bonds with the economics of the instrument.

 

12.   Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

 

114   Notes to Financial Statements

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Elfun Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (collectively referred to as the “Funds”), including the schedules of investments, as of December 31, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the four years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds at December 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the four years in the period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the year ended December 31, 2015 were audited by another independent registered public accounting firm whose report, dated February 24, 2016, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 27, 2020

 

Report of Independent Registered Public Accounting Firm     115  

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Elfun Funds

Tax Information — December 31, 2019 (Unaudited)

 

 

For federal income tax purposes, the following information is furnished with respect to the distributions of the Funds for their fiscal year ended December 31, 2019.

Dividends Received Deduction

The Funds report the maximum amount allowable of their net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2019 is considered qualified dividend income and is eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. The Funds report the maximum amount allowable of their net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long Term Capital Gains Distributions

Long term capital gains dividends were paid from Elfun Trusts and Elfun Diversified Fund during the year ended December 31, 2019 in the amounts of $217,065,305 and $2,433,385, respectively.

Foreign Tax Credit

The Elfun International Equity Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended December 31, 2019, the total amount of foreign taxes that will be passed through are $568,241 for the Elfun International Equity Fund.

The amount of foreign source income earned on the Elfun International Equity Fund during the year ended December 31, 2019 was $5,212,238.

Tax-Exempt Income

For the fiscal year ended December 31, 2019, the following Fund hereby designates as exempt-interest dividends the amounts set forth, or the amount ultimately treated as exempt-interest dividends:

 

      Gross Amount  

Elfun Tax-Exempt Income Fund

    $ 52,554,575  

 

116   Tax Information

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Elfun Funds

Other Information — December 31, 2019 (Unaudited)

 

 

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Funds (excluding the Elfun Government Money Market Fund) have adopted a liquidity risk management program. SSGA FM has been designated by the Board to administer the Funds’ liquidity risk management program. The program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation.

During the period covered by the liquidity program report to the Board, the program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions. SSGA FM reported that the program operated adequately and that the implementation of the program was effective to manage each Fund’s liquidity risk.

There can be no assurance that the program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Proxy Voting Policies and Procedures and Record

The Funds have adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Funds’ website at http://www.ssga.com/geam, and (iii) on the SEC’s website at www.sec.gov. Information regarding how the Funds voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.

Quarterly Portfolio Schedule

Following the Funds’ first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to their reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Funds’ schedules of investments are available upon request, without charge, by calling 1-800-242-0134.

 

Other Information     117  

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Elfun Funds

Other Information, continued — December 31, 2019 (Unaudited)

 

 

           

Name,
Address,

and Year

of Birth

   Position(s) Held
with Fund		   Term of
Office and
Length of
Time Served		   Principal Occupation
During Past Five Years and
Relevant Experience		   Number of
Funds
in Fund
Complex
Overseen
by Trustee†		     Other Directorships
Held by Trustee
During Past Five Years

INDEPENDENT TRUSTEES

Michael F. Holland

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1944

  

Trustee and

Co-Chairperson

of the Board

  

Term: Indefinite

Elected: 12/18

  

Chairman, Holland & Company L.L.C. (investment adviser)

(1995- present).

     68     Director, the Holland Series Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
             

Patrick J. Riley

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1948

  

Trustee and

Co-Chairperson

of the Board

  

Term: Indefinite

Appointed: 4/16

   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 – 2019, Independent Director, SSGA Qualified Funds PLC.     68     Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
             

John R. Costantino

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1946

  

Trustee and

Co-Chairperson of the

Qualified Legal Compliance Committee

  

Term: Indefinite

Elected: 12/18

   Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present).     68     Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007).
             

Donna M. Rapaccioli

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1962

  

Trustee and

Co-Chairperson

of the Audit Committee

  

Term: Indefinite

Elected: 12/18

   Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University.     68     Director-Graduate Management Admissions Council (2015 – present).

 

118   Other Information

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Elfun Funds

Other Information, continued — December 31, 2019 (Unaudited)

 

 

           

Name,
Address,

and Year

of Birth

   Position(s) Held
with Fund		   Term of
Office and
Length of
Time Served		   Principal Occupation
During Past Five Years and
Relevant Experience		   Number of
Funds
in Fund
Complex
Overseen
by Trustee†		     Other Directorships
Held by Trustee
During Past Five Years

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1945

  

Trustee and

Co-Chairperson

of the Qualified Legal Compliance

Committee

  

Term: Indefinite

Elected: 12/18

   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare).     68     1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
             

Rina K. Spence

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1948

  

Trustee and

Co-Chairperson

of the Audit Committee, Chairperson

of the Nominating Committee

and Chairperson of the Governance Committee

  

Term: Indefinite

Elected: 6/16

   President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present).     68     None
             

Michael A. Jessee

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1946

  

Trustee and Chairperson

of the

Valuation

Committee

  

Term: Indefinite

Elected: 12/18

   Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016).     68     None

INTERESTED TRUSTEES(1)

Ellen M. Needham(2)

SSGA Funds

Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1967

   Trustee & President  

Time Indefinite

Elected: 12/18

   President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).     68     None

 

Other Information     119  

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Other Information, continued — December 31, 2019 (Unaudited)

 

 

           

Name,
Address,

and Year

of Birth

   Position(s) Held
with Fund		   Term of
Office and
Length of
Time Served		   Principal Occupation
During Past Five Years and
Relevant Experience		   Number of
Funds
in Fund
Complex
Overseen
by Trustee†		     Other Directorships
Held by Trustee
During Past Five Years

INTERESTED TRUSTEES(1) (continued)

Jeanne La Porta(3)

c/o SSGA Funds Management, Inc.

1600 Summer St.

Stamford, CT 06905

 

YOB: 1965

   Trustee  

Time Indefinite

Elected: 3/14

   Senior Managing Director at State Street Global Advisors (July 2016 – present); Director of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – present); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016).     18     None

 

  †   For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser.
  (1)    The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Funds (“Interested Trustees”).
  (2)   Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Funds.
  (3)   Ms. La Porta is an Interested Trustee because of her employment by SSGA, an affiliate of the Funds.
  *    Served in various capacities and/or with various affiliated entities during noted time period.

 

       

Name,
Address, and

Year of Birth

   Position(s) Held
with Fund		   Term of
Office and
Length of
Time Served		   Principal Occupation
During Past Five Years

OFFICERS:

        

Ellen M. Needham

SSGA Funds

Management, Inc.

One Iron Street

Boston, MA 02210

YOB: 1967

   President and Trustee   Term: Indefinite
Elected: 7/16		   President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).

 

120   Other Information

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Elfun Funds

Other Information, continued — December 31, 2019 (Unaudited)

 

 

       

Name,
Address, and

Year of Birth

   Position(s) Held
with Fund		   Term of
Office and
Length of
Time Served		   Principal Occupation
During Past Five Years

OFFICERS (continued):

Bruce S. Rosenberg

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1961

   Treasurer   Term: Indefinite
Elected: 7/16		   Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015).
         

Ann M. Carpenter

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1966

  

Vice President

and Deputy Treasurer

   Term: Indefinite
Elected: 7/16		   Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors. (2005 – present).*
         

Chad C. Hallett

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1969

  

Deputy

Treasurer

   Term: Indefinite
Elected: 7/16		   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
         

Darlene Anderson-Vasquez

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1968

  

Deputy

Treasurer

   Term: Indefinite
Elected: 11/16		   Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016).
         

Arthur A. Jensen

SSGA Funds Management, Inc.

1600 Summer Street

Stamford, CT 06905

 

YOB: 1966

  

Deputy

Treasurer

   Term: Indefinite
Elected: 7/16		   Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016).
         

Sujata Upreti

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1974

  

Assistant

Treasurer

   Term: Indefinite
Elected: 9/16		   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012).
         

Daniel Foley

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1972

  

Assistant

Treasurer

   Term: Indefinite
Elected: 9/16		   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).*

 

Other Information     121  

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Elfun Funds

Other Information, continued — December 31, 2019 (Unaudited)

 

 

       

Name,
Address, and

Year of Birth

   Position(s) Held
with Fund		   Term of
Office and
Length of
Time Served		   Principal Occupation
During Past Five Years

OFFICERS (continued):

Daniel G. Plourde

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1980

  

Assistant

Treasurer

  

Term:

Indefinite

Elected: 5/17

   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015).
         

Brian Harris

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1973

  

Chief
Compliance Officer, Anti-Money Laundering Officer and Code of Ethics

Compliance Officer

  

Term:

Indefinite

Elected: 7/16

   Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013).
         

Sean O’Malley

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1969

   Chief Legal Officer  

Term:

Indefinite

Elected: 8/19

   Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present).
         

Andrew DeLorme

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1975

   Secretary  

Term:

Indefinite

Elected: 8/19

   Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016).
         

Kevin Morris

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1982

  

Assistant

Secretary

  

Term:

Indefinite

Elected: 8/19

   Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015).
         

David Urman

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

 

YOB: 1985

  

Assistant

Secretary

  

Term:

Indefinite

Elected: 8/19

   Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015).

 

  *   Served in various capacities and/or with various affiliated entities during noted time period.

 

122   Other Information

Table of Contents

Trustees

Michael F. Holland, Co-Chairperson

Patrick J. Riley, Co-Chairperson

John R. Costantino

Donna M. Rapaccioli

Richard D. Shirk

Rina K. Spence

Michael A. Jessee

Ellen M. Needham

Jeanne M. La Porta

Officers

Ellen M. Needham, President

Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer

Sean O’Malley, Chief Legal Officer

Bruce S. Rosenberg, Treasurer

Ann M. Carpenter, Vice President and Deputy Treasurer

Chad C. Hallett, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Daniel G. Plourde, Assistant Treasurer

Andrew DeLorme, Secretary

Kevin Morris, Assistant Secretary

David Urman, Assistant Secretary

Investment Adviser and Administrator

SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

Custodian and Sub-Administrator

State Street Bank and Trust Company

One Lincoln Street

Boston, Massachusetts 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Iron Street

Boston, Massachusetts 02210

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, Massachusetts 02116

 

Table of Contents

Item 2. Code of Ethics.

As of the end of the period covered by this report, the Elfun Trusts (the “Fund,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. The Code is combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The Fund’s Board of Trustees (the “Board”) has determined that the Fund has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the audit committee financial experts is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.

An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.

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Item 4. Principal Accountant Fees and Services.

 

(a)

Audit Fees

For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Registrant’s principal accountant, for the audit of the Registrant’s annual financial statements or services normally provided by E&Y in connection with the Registrant’s statutory and regulatory filings and engagements were $24,400 and $24,400, respectively.

 

(b)

Audit-Related Fees

For the fiscal years ended December 31, 2019 and December 31, 2018, there were no fees billed by E&Y for assurance and related services that were reasonably related to the performance of the audit of the Registrant’s financial statements that were not reported under paragraph (a) of this Item.

 

(c)

Tax Fees

The aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal years ended December 31, 2019 and December 31, 2018 were $10,170 and $10,170, respectively.

 

(d)

All Other Fees

For the fiscal years ended December 31, 2019 and December 31, 2018, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Registrant, other than the services reported in paragraphs (a) through (c).

For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that (i) relate directly to the operations and financial reporting of the Registrant and (ii) were pre-approved by the Registrant’s Audit Committee were approximately $6,939,666 and $6,581,832, respectively.

 

(e)(1)

Audit Committee Pre-Approval Policies and Procedures

The Fund’s Audit Committee Charter states the following with respect to pre-approval procedures:

The Audit Committee shall have the following duties and powers:

 

  •  

To pre-approve engagements by a Fund Entity’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund;

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  •  

To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting;

Alternate Pre-Approval Procedure:

 

  •  

The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting.

 

(e)(2)

Percentages of Services

None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.

 

(f)

Not applicable.

 

(g)

Total Fees Paid By Adviser and Certain Affiliates

For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate non-audit fees billed by E&Y for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant were approximately $35,152,927 and $36,297,003, respectively.

 

(h)

E&Y notified the Fund’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Fund, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Fund’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence.

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Item 5. Audit Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6. Investments.

 

(a)

Schedules of Investments are included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

 

(b)

Not applicable to the Registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Board.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

(a)

Not applicable to the Registrant.

 

(b)

Not applicable to the Registrant.

Item 13. Exhibits.

(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.

(a)(2) 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.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant:   ELFUN TRUSTS                                                         
By:   /s/ Ellen M. Needham
 

Ellen M. Needham

President

Date:   March 6, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Ellen M. Needham

 

Ellen M. Needham

President (Principal Executive Officer)

Date:   March 6, 2020
By:  

/s/ Bruce S. Rosenberg

  Bruce S. Rosenberg
  Treasurer (Principal Financial and Accounting Officer)
Date:            March 6, 2020