-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, ODnYCTVkhT3b+zFj+janVil/qoiLzahh872HmDrd3SgXDoGbJba6WMBfqldcKKMv wfLn5kMq2whFb4dgqkJvRA== 0000717854-10-000013.txt : 20100308 0000717854-10-000013.hdr.sgml : 20100308 20100308141848 ACCESSION NUMBER: 0000717854-10-000013 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20091231 FILED AS OF DATE: 20100308 DATE AS OF CHANGE: 20100308 EFFECTIVENESS DATE: 20100308 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELFUN MONEY MARKET FUND CENTRAL INDEX KEY: 0000855630 IRS NUMBER: 061284913 STATE OF INCORPORATION: CT FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05904 FILM NUMBER: 10663214 BUSINESS ADDRESS: STREET 1: 3001 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06905 BUSINESS PHONE: 203-708-3133 MAIL ADDRESS: STREET 1: 3001 SUMMER STREET CITY: STAMFORD STATE: CT ZIP: 06905 0000855630 S000011834 ELFUN MONEY MARKET FUND C000032336 Elfun Money Market Fund elmxx N-CSR 1 elfmm.txt ELFUN MONEY MARKET - CERTIFICATION OF SHAREHOLDER REPORT FOR THE YEAR ENDING 31 DEC, 2009 OMB APPROVAL OMB Number: 3235-0570 Expires: August 31, 2010 Estimated average burden hours per response: 18.9 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-05904 - ----------------------------------------------------------------- Elfun Money Market Fund - ------------------------------------------------------------------ (Exact name of registrant as specified in charter) 3001, SUMMER STREET,STAMFORD, CONNECTICUT, 06905 - ------------------------------------------------------------------- (Address of principal executive offices) (Zip code) GE ASSET MANAGEMENT INC,3001, SUMMER STREET,STAMFORD,CONNECTICUT, 06905 - ------------------------------------------------------------------ (Name and address of agent for service) Registrant"s telephone number, including area code: 800-242-0134 ---------------------------- Date of fiscal year end: 12/31 --------------------------- Date of reporting period: : 12/31/09 ------------------------- ITEM 1. REPORTS TO STOCKHOLDERS. Elfun Funds Annual Report December 31, 2009 [LOGO] [GRAPHIC] NOTES TO PERFORMANCE........................................ 1 MANAGER REVIEWS AND SCHEDULES OF INVESTMENTS ELFUN INTERNATIONAL EQUITY FUND.......................... 2 ELFUN TRUSTS............................................. 10 ELFUN DIVERSIFIED FUND................................... 16 ELFUN TAX-EXEMPT INCOME FUND............................. 42 ELFUN INCOME FUND........................................ 55 ELFUN MONEY MARKET FUND.................................. 71 NOTES TO SCHEDULES OF INVESTMENTS........................... 77 FINANCIAL STATEMENTS Financial Highlights....................................... 79 Statements of Assets and Liabilities....................... 82 Statements of Operations................................... 84 Statements of Changes in Net Assets........................ 86 Notes to Financial Statements.............................. 88 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM..... 102 TAX INFORMATION............................................. 103 ADVISORY AGREEMENT RENEWAL.................................. 104 ADDITIONAL INFORMATION...................................... 107 INVESTMENT TEAM............................................. 110 SHAREHOLDER SERVICES........................................ 113 - -------------------------------------------------------------------------------- This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. [GRAPHIC] Information on the following performance pages relating to the Elfun Funds' one year total return and Schedule of Investments is audited. All other information, including the portfolio manager Q&A pages, is unaudited. Total returns take into account changes in share price and assume reinvestment of all dividends and capital gains distributions, if any. The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-242-0134 or visit the Funds' website at http://www.geam.com for the most recent month-end performance data. A portion of the Elfun Tax-Exempt Income Fund's income may be subject to state, federal and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax. An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested. The Standard & Poor's ("S&P") 500(R) Composite Price Index of stocks (S&P 500 Index), Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE Index), Barclays Capital U.S. Aggregate Bond Index and the Barclays Capital U.S. Municipal Bond Index are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. S&P 500 Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap stock market performance. MSCI(R) EAFE(R) Index is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The Index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors. Barclays Capital U.S. Aggregate Bond Index is a market value-weighted index of taxable investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first-rate bond market. Barclays Capital U.S. Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed rate securities with maturities of at least eight years and less than twelve years. The 90 Day T-Bill is an unmanaged measure/index of the performance of U.S. Treasury bills currently available in the marketplace having a remaining maturity of 90 days. The results shown for the foregoing indices assume the reinvestment of net dividends or interest. The peer universe of funds used in our peer ranking calculation is based on the blend of Lipper peer categories, as shown. This blend is the same as the category blend used by the Wall Street Journal (except for the Elfun Diversified Fund for which we use the specific Lipper peer group and the Elfun Money Market Fund which is not in the Wall Street Journal). The actual number of funds and numerical rankings in the Lipper and Wall Street Journal universes could differ since the Wall Street Journal excludes certain funds which do not meet their net asset or shareholder publication thresholds. Lipper is an independent mutual fund rating service. A Fund's performance may be compared to or ranked within a universe of mutual funds with investment objectives and policies similar but not necessarily identical to the Fund's. Such comparisons or rankings are made on the basis of several factors, including the Fund's objectives and policies, management style and strategy, and portfolio composition, and may change over time if any of those factors change. Lipper is an independent mutual fund rating service. - ------------- GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the Elfun Funds and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Funds. 1 [GRAPHIC] [PHOTO] Ralph R. Layman The Elfun International Equity Fund is managed by a team of portfolio managers that includes Brian Hopkinson, Ralph R. Layman (pictured to the left), Paul Nestro, Jonathan L. Passmore and Michael J. Solecki. As lead portfolio manager for the Fund, Mr. Layman oversees the entire team and assigns a portion of the Fund to each manager, including himself. Each portfolio manager is limited to the management of his or her portion of the Fund, the size of the portion which Mr. Layman determines on an annual basis. The portfolio managers do not operate independently of each other, rather, the team operates collaboratively, communicating purchases or sales of securities on behalf of the Fund. See portfolio managers' biographical information beginning on page 109. Q.HOW DID THE ELFUN INTERNATIONAL EQUITY FUND PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009? A.For the twelve-month period ended December 31, 2009, the Elfun International Equity Fund returned 27.69%. The MSCI EAFE Index, the Fund's benchmark, returned 31.78% and the Fund's Morningstar peer group of 827 Foreign Large Blend funds returned an average of 30.91% for the same period. Q.WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE? A.For the first ten weeks of the year, markets fell at a faster rate than what was experienced in 2008. However, evidence that world governments were prepared to use all available tools to support the global economy prompted a refocus on valuations but also on survivability. Massive cash on the sidelines supported a turnaround in market sentiment while second and third quarter earnings beat modest expectations. The fear of being short replaced the fear of being long, and bond yields offered little by way of competition to under-owned stocks. Q.WHAT DOMESTIC OR WORLD EVENTS HAD A MAJOR IMPACT ON THE FINANCIAL MARKETS? A.Fears of systemic financial sector failure drove sentiment at the beginning of the year but the authorities were determined to prevent such a collapse. Anecdotal evidence of restocking of depleted inventories and proof that companies could still be profitable started the recovery. China and India avoiding recession provided a destination for investment funds and markets for companies with infrastructure goods and services to sell. As the year progressed, purchasing manager surveys, confidence indicators and GDP forecasts all improved although in uneven fashion. The U.S. dollar weakened, providing support for commodities and boosting emerging markets. Q.WHICH STOCKS AND SECTORS SIGNIFICANTLY AFFECTED FUND PERFORMANCE? A.The bulk of the negative attribution came from holdings in financials, most notably in Japan. Picked for their defensive 2 [GRAPHIC] qualities, Japan's banks (MUFG, Yokohama) and other financials (Nomura Holdings, Mitsubishi Estate) proved only too vulnerable to the weakness of the local economy and market. Also, an underweight in cyclical discretionary stocks, and an overweight in defensive staples underperformed in the recovery. Positive attribution came from holdings in energy (Paladin Resources, Petrobras) boosted by higher prices, telecom stocks for their defensive qualities, and utilities, a significant underweight in the Fund. Q.DID THE WEIGHTINGS/COUNTRY ALLOCATIONS OF THE FUND CHANGE? WHY? A.The overweight in consumer staples was reduced, based on weakening fundamentals and achievement of valuation targets. Similarly the underweight in consumer discretionary was reduced as company fundamentals (in autos and retail) screened better under our investment approach. The materials weight (including basic resources) increased to overweight based on commodity price gains driven by China growth and the overall cash weight declined as conviction improved regarding the global outlook. The weight in emerging markets increased as the China growth story created a ripple effect in both Asia and some of the resource supplier nations in the developing world. Q.WHAT WERE THE MAJOR BUYS AND SELLS FOR THE PERIOD AND WHY? A.Several new holdings were added to the Fund's portfolio including HSBC Holdings and Deutsche Boerse under the improving climate for financial stocks that may benefit from stricter regulation. Also, Yamada Denki (retail), Suzuki (autos) and Nomura Holdings (banking) were added in Japan for their attractive valuations and ability to perform in any local recovery. Eliminations and trims included East Japan Rail and Nintendo for deteriorating fundamentals and Vodafone Group (UK) for its inability to convert its widespread operational depth to meaningful improvements in cash earnings growth. 3 [GRAPHIC] Understanding Your Fund's Expenses As a shareholder of the Fund you incur ongoing expenses, which include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2009. ACTUAL EXPENSES The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2009 - DECEMBER 31, 2009
----------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* ----------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,203.72 1.56 ----------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,023.52 1.43 -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.28% (for the period between July 1, 2009 - December 31, 2009), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). **Actual Fund Return for the six-month period ended December 31, 2009 was: 20.37%. 4 [GRAPHIC] CHANGE IN VALUE OF A $10,000 INVESTMENT [CHART] AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2009 - --------------------------------------------------------------------------------
FIVE TEN ONE YEAR YEAR YEAR - ----------------------------------------- Elfun International Equity Fund 27.69% 5.89% 2.61% MSCI EAFE Index 31.78% 3.54% 1.15%
[GRAPHIC] INVESTMENT PROFILE A Mutual Fund designed for investors who seek long-term growth of capital and future income by investing principally in foreign securities consistent with prudent investment management and the preservation of capital. The Fund invests at least 80% of its net assets under normal circumstances in common and preferred stocks and other types of equity securities. The Fund invests primarily (meaning at least 65%) in equity securities of companies located in developed and emerging market countries outside the United States. MORNINGSTAR PERFORMANCE COMPARISON US OE Foreign Large Blend Peer Group Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN YEAR YEAR YEAR Fund's Rank in peer group.............. 559 78 43 Number of funds in peer group.......... 827 462 249 Peer group average annual total return. 30.91% 3.42% 0.13% Morningstar Category in peer group: Foreign Large Blend
TOP TEN LARGEST HOLDINGS AS OF DECEMBER 31, 2009 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- Roche Holding AG 3.38% - ----------------------------------- Nomura Holdings Inc. 2.91% - ----------------------------------- Nestle S.A. (Regd.) 2.84% - ----------------------------------- BNP Paribas 2.82% - ----------------------------------- Banco Santander S.A. (Regd.) 2.65% - ----------------------------------- HSBC Holdings PLC 2.51% - ----------------------------------- Reckitt Benckiser Group PLC 2.36% - ----------------------------------- Rio Tinto PLC (Regd.) 2.01% - ----------------------------------- Bayer AG 1.99% - ----------------------------------- BHP Billiton PLC 1.97% - -----------------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. 5 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] ELFUN INTERNATIONAL EQUITY FUND Portfolio Composition as a % of the Market Value of $300,309 as of December 31, 2009. [CHART]
NUMBER OF SHARES VALUE COMMON STOCK -- 99.0%+ --------------------------------------------------------------- AUSTRALIA -- 2.5% Brambles Ltd................. 729,036 $ 4,427 Paladin Energy Ltd........... 467,770 1,748 /(a)/ Telstra Corporation Ltd...... 407,004 1,253 7,428 BRAZIL -- 2.6% Banco Santander Brasil S.A... 188,200 2,580 Petroleo Brasileiro S.A. ADR. 60,701 2,573 Vale S.A..................... 113,023 2,805 7,958 CANADA -- 3.3% Kinross Gold Corp............ 57,912 1,070 Potash Corp of Saskatchewan Inc......................... 45,156 4,927 Research In Motion Ltd....... 36,542 2,476 /(a)/ Suncor Energy Inc............ 41,274 1,465 9,938
NUMBER OF SHARES VALUE CHILE -- 0.3% Sociedad Quimica y Minera de Chile S.A. ADR (Series B)..... 25,505 $ 958 CHINA -- 0.9% China Mobile Ltd............... 132,191 1,230 China South Locomotive and Rolling Stock Corp............ 2,151,155 1,571 2,801 DENMARK -- 0.5% A P Moller -- Maersk A/S (Series B).................... 80 563 G4S PLC........................ 199,968 836 1,399 FINLAND -- 0.4% Nokia Oyj...................... 100,301 1,298 FRANCE -- 14.1% Alstom S.A..................... 8,083 566 AXA S.A........................ 111,906 2,630 BNP Paribas.................... 106,581 8,461 Cie Generale d'Optique Essilor International S.A............. 84,599 5,064 Credit Agricole S.A............ 259,671 4,561 Groupe Danone.................. 55,950 3,433 Schneider Electric S.A......... 19,321 2,248 Total S.A...................... 82,934 5,331 Veolia Environnement........... 109,071 3,598 Vinci S.A...................... 40,330 2,271 Vivendi........................ 147,800 4,390 42,553 GERMANY -- 10.0% Adidas AG...................... 49,291 2,672 Bayer AG....................... 74,597 5,975 Daimler AG (Regd.)............. 31,170 1,662 Deutsche Boerse AG............. 34,884 2,891 E.ON AG........................ 59,351 2,493 Linde AG....................... 35,496 4,280 Metro AG....................... 45,983 2,811 Siemens AG (Regd.)............. 63,439 5,827 ThyssenKrupp AG................ 36,575 1,376 29,987
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 6 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
NUMBER OF SHARES VALUE HONG KONG -- 0.9% Esprit Holdings Ltd.......... 428,445 $ 2,842 INDIA -- 0.6% Larsen & Toubro Ltd.......... 49,068 1,766 IRELAND -- 0.9% CRH PLC...................... 102,564 2,806 ITALY -- 2.7% ENI S.p.A.................... 112,874 2,877 Intesa Sanpaolo S.p.A........ 774,594 3,489 Saipem S.p.A................. 35,717 1,234 UniCredit S.p.A.............. 186,847 625 8,225 JAPAN -- 16.0% Asahi Glass Company Ltd...... 75,000 714 Daiichi Sankyo Company Ltd... 66,400 1,393 Daikin Industries Ltd........ 31,000 1,225 Mitsubishi Corp.............. 56,000 1,395 Mitsubishi Estate Company Ltd................. 232,946 3,721 Mitsubishi Heavy Industries Ltd.............. 422,000 1,489 Mitsubishi UFJ Financial Group Inc................... 1,133,869 5,588 Nomura Holdings Inc.......... 1,173,912 8,734 Shiseido Company Ltd......... 151,430 2,912 Sony Financial Holdings Inc.. 1,305 3,398 /(a)/ Sumitomo Metal Industries Ltd.............. 1,317,923 3,544 Sumitomo Mitsui Financial Group Inc................... 12,544 360 Suzuki Motor Corp............ 119,031 2,933 The Bank of Yokohama Ltd..... 473,007 2,158 Toyota Motor Corp............ 112,482 4,744 Yamada Denki Company Ltd..... 55,460 3,743 48,051 MEXICO -- 0.3% America Movil SAB de C.V. ADR (Series L).............. 19,675 924
NUMBER OF SHARES VALUE NETHERLANDS -- 2.7% Heineken N.V.................... 37,792 $ 1,796 Koninklijke Ahold N.V........... 128,495 1,704 Koninklijke Philips Electronics N.V................ 157,121 4,648 8,148 RUSSIA -- 0.6% LUKOIL ADR...................... 10,794 618 Mobile Telesystems OJSC ADR..... 21,875 1,069 1,687 SINGAPORE -- 0.3% CapitaLand Ltd.................. 331,500 984 SOUTH AFRICA -- 0.8% MTN Group Ltd................... 156,750 2,500 SOUTH KOREA -- 1.9% KB Financial Group Inc.......... 35,723 1,819 /(a)/ Samsung Electronics Company Ltd.................... 5,610 3,847 5,666 SPAIN -- 4.7% Banco Santander S.A. (Regd.).... 482,038 7,972 /(h)/ Iberdrola S.A................... 247,647 2,375 Telefonica S.A.................. 131,544 3,685 14,032 SWEDEN -- 0.7% Hennes & Mauritz AB (Series B).. 29,933 1,663 Telefonaktiebolaget LM Ericsson (Series B)..................... 37,064 342 2,005 SWITZERLAND -- 10.9% ABB Ltd. (Regd.)................ 111,242 2,145 /(a)/ Credit Suisse Group AG (Regd.).. 59,451 2,947 Nestle S.A. (Regd.)............. 175,458 8,521 Novartis AG (Regd.)............. 71,456 3,905 Roche Holding AG................ 59,265 10,142 Syngenta AG..................... 11,032 3,118 Zurich Financial Services AG.... 9,131 1,998 32,776
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 7 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
NUMBER OF SHARES VALUE TAIWAN -- 1.6% Taiwan Semiconductor Manufacturing Company Ltd.................... 2,029,400 $ 4,090 Taiwan Semiconductor Manufacturing Company Ltd. ADR............... 65,546 750 4,840 UNITED KINGDOM -- 18.8% BG Group PLC.................... 189,902 3,428 BHP Billiton PLC................ 185,307 5,906 /(h)/ BP PLC.......................... 290,966 2,809 G4S PLC......................... 416,663 1,746 HSBC Holdings PLC............... 662,052 7,551 Lloyds Banking Group PLC........ 4,358,017 3,506 National Grid PLC............... 491,761 5,366 Prudential PLC.................. 442,365 4,527 Reckitt Benckiser Group PLC..... 130,713 7,074 Rio Tinto PLC (Regd.)........... 111,855 6,038 Tesco PLC....................... 705,419 4,865 The Capita Group PLC............ 60,532 732 Vodafone Group PLC.............. 1,272,332 2,946 56,494 TOTAL COMMON STOCK (COST $280,131)................ 298,066 -------------------------------------------------------------------- OTHER INVESTMENTS -- 0.0%* -------------------------------------------------------------------- GEI Investment Fund (COST $131).................... 100 /(k)/ TOTAL INVESTMENTS IN SECURITIES (COST $280,262)................ 298,166 -------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 0.7% -------------------------------------------------------------------- GE Money Market Fund Institutional Class 0.01%........................... 2,143 /(d,p)/ (COST $2,143)
VALUE TOTAL INVESTMENTS (COST $282,405).............. $ 300,309 OTHER ASSETS AND LIABILITIES, NET -- 0.3%.................. 1,023 --------- NET ASSETS -- 100.0%.......... $ 301,332 =========
- -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The Elfun International Equity had the following long futures contracts open at December 31, 2009:
NUMBER CURRENT EXPIRATION OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ----------------------------------------------------------- DJ Euro Stoxx 50 Index Futures March 2010 8 $341 $ 6 FTSE 100 Index Futures March 2010 2 173 3 Topix Index Futures March 2010 2 194 2 ----- $ 11 =====
The Elfun International Equity was invested in the following industries at December 31, 2009: (unaudited) INDUSTRIES PERCENTAGE (BASED ON MARKET VALUE) - ------------------------------------------------- Commercial Banks 16.21% Pharmaceuticals 7.13% Oil, Gas & Consumable Fuels 6.94% Metals & Mining 6.91% Chemicals 4.42% Insurance 4.18% Food Products 3.98% Capital Markets 3.89% Industrial Conglomerates 3.49% Food & Staples Retailing 3.12% Automobiles 3.11%
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 8 ELFUN INTERNATIONAL EQUITY FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] Multi-Utilities 2.99% Semiconductors & Semiconductor Equipment 2.89 Wireless Telecommunication Services 2.89% Specialty Retail 2.75% Household Products 2.36% Commercial Services & Supplies 2.33% Healthcare Equipment & Supplies 1.69% Electrical Equipment 1.65% Diversified Telecommunication Services 1.64% Electric Utilities 1.62% Real Estate Management & Development 1.57% Media 1.46% Communications Equipment 1.37% Construction & Engineering 1.34% Machinery 1.02% Personal Products 0.97% Diversified Financial Services 0.96% Construction Materials 0.93% Textiles Apparel & Luxury Goods 0.89% Short-Term 0.71% Building Products 0.65% Beverages 0.60% Trading Companies & Distributors 0.47% Energy Equipment & Services 0.41% Professional Services 0.24% Marine 0.19% Other Investments 0.03% -------- 100.00% ========
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 9 [GRAPHIC] [GRAPHIC] David B. Carlson The Elfun Trusts is managed by David B. Carlson. See portfolio managers' biographical information beginning on page 109. Q.HOW DID THE ELFUN TRUSTS PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009? A.For the twelve-month period ended December 31, 2009, the Elfun Trusts returned 33.62%. The S&P 500 Index, the Fund's benchmark, returned 26.46% and the Fund's Morningstar peer group of 1,793 U.S. Large-Cap Growth funds returned an average of 35.22% for the same period. Q.WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE? A.It was another volatile year as stocks fell sharply in the first quarter, bottomed in early March, and rose for the balance of the year. Despite the strong year, the major averages are still below the highs set in October 2007. Sector allocation was more differentiated last year as only three sectors (out of ten) outperformed the S&P 500 in 2009: technology (+62%), materials (+49%), and consumer discretionary (+42%). The more defensive sectors lagged. The growth style of investing outperformed the value style, with the strongest returns among medium capitalization companies. The financial sector was the most volatile, plunging in the first quarter and then rocketing back in the balance of the year as the financial crisis abated. For the year, the financial sector was up 17%. Technology was the best performing sector for the year (+62%) and telecommunications was the worst (+9%). Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A.Elfun Trusts outperformed the market due both to sector allocation (overweighting the right sectors), and stock selection within sectors. In the energy sector, our stocks were up 44% compared to a rise of 14% for the S&P 500 sector. Transocean (+75%) and Schlumberger (+56%) were the principle contributors. In the financial sector, the portfolio was modestly overweighted and our holdings were up 35% compared to a sector return of 17%. CB Richard Ellis and Goldman Sachs were strong performers. The portfolio was also overweighted in the consumer-discretionary sector, where our holdings were up 44% compared to 41% return for the S&P 500 sector. Liberty Media was the strongest performer (+94) in this sector. Late in the year, Liberty Media merged with Direct TV, and we now have a position in Direct TV. On the negative side, we were underweight in the materials sector which was up 49% for the year. Our sole holding in this sector was Monsanto, which gained 18%. In technology, we benefited from overweighting the sector, but our holdings were "only" up 44% compared to a gain of 62% for the sector. Not owning Apple and Google detracted from performance as both of 10 [GRAPHIC] these stocks doubled in price last year. In healthcare, we were modestly overweight and our holdings were up 17% versus a gain of 19% for the sector. Our two biotech holdings, Amgen and Gilead, lagged the market. Q.WERE THERE ANY SIGNIFICANT CHANGES IN THE FUND DURING THE YEAR? A.We began the year with 49 stocks in the portfolio and ended the year with 51. Once again, the turnover rate remained low at 8% for the year. We continue to seek high quality, above-average growers and buy stocks with a long term time horizon. Technology remains the largest sector weight in the portfolio at 31%. The appeal of technology is several fold: greater proportion of growth and earnings outside the US, strong balance sheets and free cash flow generation, long term growth in niche sectors such as wireless and internet. The portfolio is also overweight in the consumer discretionary sector, with the predominant exposure in the media and retail industries. We remain underweighted in the utility, telecomm and staples sectors, primarily due to the more modest growth expectations of these sectors. Q.HOW IS THE FUND POSITIONED FOR THE YEAR AHEAD? A.As we start the new year, it appears that the recession is over, the financial crisis is over, and we are in the early stages of a gradual recovery. But there are still plenty of macro issues to worry about; record fiscal deficits, unsustainably low interest rates, new regulations for certain industries, just to name a few. We are focused on finding companies that can drive their growth in just about any macro-economic environment. We look for global growth, such as Qualcomm's opportunity to sell wireless chips in emerging markets. We look for innovation driven growth, such as Monsanto's opportunity to sell genetically modified seeds around the world. We look for financially strong companies that can drive growth both internally and externally via acquisitions. Over the last ten years, we have had two recessions and two rather severe bear markets and the stock market is lower than it was ten years ago. One silver lining in these clouds is a stock market trading at a valuation level that's more compelling than it's been for many years. We are finding attractive companies at reasonable valuations. We will continue to seek high quality, well managed companies and hope that the next ten years will be better than the last. 11 [GRAPHIC] Understanding Your Fund's Expenses As a shareholder of the Fund you incur ongoing expenses, which include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2009. ACTUAL EXPENSES The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2009 - DECEMBER 31, 2009
----------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* ----------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,183.19 1.32 ----------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,023.72 1.22 -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.24% (for the period between July 1, 2009 - December 31, 2009), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). **Actual Fund Return for the six-month period ended December 31, 2009 was: 18.32%. 12 [GRAPHIC] CHANGE IN VALUE OF A $10,000 INVESTMENT [CHART] AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2009 - --------------------------------------------------------------------------------
FIVE TEN ONE YEAR YEAR YEAR - ------------------------------------ Elfun Trusts 33.62% 0.94% 1.04% S&P 500 Index 26.46% 0.42% -0.96%
[GRAPHIC] INVESTMENT PROFILE A Mutual Fund designed for investors who seek long-term growth of capital and future income rather than current income by investing primarily in common and preferred stocks and other types of equity securities of U.S. companies. MORNINGSTAR PERFORMANCE COMPARISON US OE Large Growth Peer Group Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN YEAR YEAR YEAR Fund's rank in peer group.............. 971 691 87 Number of Funds in peer group.......... 1789 1270 694 Peer group average annual total return. 35.22% 0.63% -3.43% Morningstar Category in peer group: Large Growth
TOP TEN LARGEST HOLDINGS AS OF DECEMBER 31, 2009 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- QUALCOMM Inc. 4.30% - ---------------------------- The Western Union Co. 4.02% - ---------------------------- Schlumberger Ltd. 3.97% - ---------------------------- Intuit, Inc. 3.75% - ---------------------------- Microsoft Corp. 3.72% - ---------------------------- DIRECTV (Class A) 3.70% - ---------------------------- PepsiCo, Inc. 3.63% - ---------------------------- Amgen Inc. 3.62% - ---------------------------- Dover Corp. 3.60% - ---------------------------- Cisco Systems, Inc. 3.45% - ----------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. 13 ELFUN TRUSTS (dollars in thousands) -- December 31, 2009 [GRAPHIC] ELFUN TRUSTS Portfolio Composition as a % of the Market Value of $1,639,855 as of December 31, 2009. [CHART]
NUMBER OF SHARES VALUE COMMON STOCK -- 98.5%+ --------------------------------------------------------- BEVERAGES -- 3.6% PepsiCo, Inc.......... 980,000 $ 59,584 BIOTECHNOLOGY -- 4.1% Amgen Inc............. 1,050,000 59,398 /(a)/ Gilead Sciences, Inc.. 170,000 7,358 /(a)/ 66,756 CAPITAL MARKETS -- 5.5% State Street Corp..... 1,190,000 51,813 /(e)/ The Goldman Sachs Group, Inc........... 225,000 37,989 89,802 CHEMICALS -- 3.3% Ecolab Inc............ 110,000 4,904 Monsanto Co........... 600,000 49,050 53,954
NUMBER OF SHARES VALUE COMMERCIAL SERVICES & SUPPLIES -- 1.1% Iron Mountain Inc............. 580,000 $ 13,201 /(a)/ Ritchie Bros Auctioneers Inc.. 90,000 2,019 Stericycle, Inc............... 45,000 2,483 /(a)/ 17,703 COMMUNICATIONS EQUIPMENT -- 9.4% Cisco Systems, Inc............ 2,360,000 56,498 /(a)/ QUALCOMM Inc.................. 1,525,000 70,546 Research In Motion Ltd........ 390,000 26,341 /(a)/ 153,385 DIVERSIFIED FINANCIAL SERVICES -- 3.5% CME Group Inc................. 120,000 40,314 JPMorgan Chase & Co........... 390,000 16,251 56,565 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1% Corning Inc................... 700,000 13,517 Molex Inc. (Class A).......... 1,100,000 21,043 34,560 ENERGY EQUIPMENT & SERVICES -- 6.7% Schlumberger Ltd.............. 1,000,000 65,090 Transocean Ltd................ 530,000 43,884 /(a)/ 108,974 FOOD PRODUCTS -- 0.2% McCormick & Company Inc....... 110,000 3,974 HEALTHCARE EQUIPMENT & SUPPLIES -- 2.8% Becton Dickinson & Co......... 130,000 10,252 DENTSPLY International Inc.... 60,000 2,110 Medtronic, Inc................ 770,000 33,865 46,227 HEALTHCARE PROVIDERS & SERVICES -- 4.0% Express Scripts, Inc.......... 220,000 19,019 /(a)/ Lincare Holdings Inc.......... 980,000 36,378 /(a)/ VCA Antech, Inc............... 430,000 10,716 /(a)/ 66,113 HOTELS RESTAURANTS & LEISURE -- 1.6% Carnival Corp................. 830,000 26,303 /(a)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 14 ELFUN TRUSTS (dollars in thousands) -- December 31, 2009 [GRAPHIC]
NUMBER OF SHARES VALUE INSURANCE -- 4.6% AFLAC Inc....................... 700,000 $ 32,375 Alleghany Corp.................. 39,413 10,878 /(a)/ Berkshire Hathaway Inc. (Class B)...................... 10,000 32,860 /(a)/ 76,113 INTERNET SOFTWARE & SERVICES -- 2.5% Baidu, Inc ADR.................. 37,000 15,215 /(a)/ eBay Inc........................ 1,125,000 26,483 /(a)/ 41,698 IT SERVICES -- 9.2% Automatic Data Processing, Inc................ 520,000 22,266 Paychex, Inc.................... 1,170,000 35,849 The Western Union Co............ 3,500,000 65,975 Visa, Inc. (Class A)............ 310,000 27,113 151,203 MACHINERY -- 3.6% Dover Corp...................... 1,420,000 59,086 MEDIA -- 8.9% Comcast Corp. (Class A)......... 2,260,000 36,183 DIRECTV (Class A)............... 1,820,000 60,697 /(a)/ Liberty Global, Inc. (Series C). 2,250,000 49,162 /(a)/ 146,042 OIL, GAS & CONSUMABLE FUELS -- 1.6% Exxon Mobil Corp................ 290,000 19,775 Southwestern Energy Co.......... 120,000 5,784 /(a)/ 25,559 PHARMACEUTICALS -- 4.6% Abbott Laboratories............. 460,000 24,835 Bristol-Myers Squibb Co......... 750,000 18,937 Johnson & Johnson............... 500,000 32,205 75,977 REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.5% CB Richard Ellis Group, Inc. (Class A)...................... 1,800,000 24,426 /(a)/
NUMBER OF SHARES VALUE SOFTWARE -- 7.5% Intuit, Inc................... 2,000,000 $ 61,420 /(a)/ Microsoft Corp................ 2,000,000 60,980 122,400 SPECIALTY RETAIL -- 5.3% Bed Bath & Beyond, Inc........ 1,300,000 50,219 /(a)/ Lowe's Companies, Inc......... 1,580,000 36,956 87,175 WIRELESS TELECOMMUNICATION SERVICES -- 1.3% American Tower Corp. (Class A).................... 500,000 21,605 /(a)/ TOTAL COMMON STOCK (COST $1,343,555)............ 1,615,184 ---------------------------------------------------------------- OTHER INVESTMENTS -- 0.0%* ---------------------------------------------------------------- GEI Investment Fund (COST $603).................. 458 /(k)/ TOTAL INVESTMENTS IN SECURITIES (COST $1,344,158)............ 1,615,642 ---------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 1.5% ---------------------------------------------------------------- GE Money Market Fund Institutional Class 0.01%......................... 24,213 /(d,p)/ (COST $24,213) TOTAL INVESTMENTS (COST $1,368,371)............ 1,639,855 OTHER ASSETS AND LIABILITIES, NET -- 0.0%*................. 41 ----------- NET ASSETS -- 100.0%.......... $ 1,639,896 ===========
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 15 [GRAPHIC] [PHOTO] Paul M. Colonna [PHOTO] Ralph R. Layman [PHOTO] Thomas R. Lincoln [PHOTO] Judith A. Studer [PHOTO] Diane M. Wehner Diane M. Wehner The Elfun Diversified Fund is managed by a team of portfolio managers that includes Paul M. Colonna, Ralph R. Layman, Thomas R. Lincoln, Judith A. Studer and Diane M. Wehner. Ms. Studer is vested with oversight authority for determining asset allocations for the Fund, while each of the other portfolio managers is responsible for managing one of three sub-portfolios: U.S. equity, U.S. mid-cap equity, international equity and fixed income. A sub-portfolio refers to the portion of the Fund's assets that are allocated to, and managed by, a particular portfolio manager on the Fund's portfolio management team. Mr. Lincoln manages the U.S. equity portion, Ms. Wehner manages the U.S. mid-cap equity portion, Mr. Layman manages the international equity portion and Mr. Colonna manages the fixed income portion, each with a team of portfolio managers and analysts. The sub-portfolios underlying this Fund are managed independently of each other and the portfolio managers have full discretion over their particular sub-portfolio; however, the portfolio management team is collaborative to ensure strict adherence to the Fund's objectives. See portfolio managers' biographical information beginning on page 109. Q.HOW DID THE ELFUN DIVERSIFIED FUND PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009? A.For the twelve-month period ended December 31, 2009, the Elfun Diversified Fund returned 22.13%. The Fund's broad based benchmarks, the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index, returned 26.46% and 5.93%, respectively. The Fund's Morningstar peer group of 1,177 US Moderate Allocation funds returned an average of 24.04% for the same period. Q.WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE AND WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A.The performance of the Elfun Diversified Fund for the twelve-month period ended December 31, 2009 was primarily driven by the Fund's equity performance, its underweight position in fixed income, and an overweight in cash. The Fund benefited from the Tactical Asset Allocation Committee's decision to opportunistically increase equity exposure by reducing cash throughout the last six months of the period. The U.S. equity markets fell sharply through early March against a backdrop of severe global economic recession, falling home prices, and the prospect of huge losses by global financial institutions. After the U.S. government passed a $790 billion stimulus bill and the Federal Reserve announced plans to pump $1.25 trillion into the economy, the S&P 500 rallied 67% through year-end off its March 9 intraday low. In addition to the unprecedented fiscal and monetary stimulus, stocks were supported by earnings reports in the second and third quarter that generally beat expectations, a pick-up in corporate acquisition activity, and strong free cash flow as companies cut capital spending and reduced their cost structures. Despite this strong snap-back, the S&P 500 still remained 29% below the high it reached in October 2007. 16 [GRAPHIC] Sector allocation has been important in this environment, as only the technology (+62%), materials (+49%), and consumer discretionary (+42%) sectors outperformed the S&P 500 in 2009 while the more defensive sectors lagged. In this context, the growth style of investing outperformed the value style, with the strongest returns coming from medium capitalization companies. Careful stock selection was warranted in the financials sector, which plummeted 29% in the first quarter but advanced a whopping 140% off of March lows, reflecting relief that the sector would remain intact. This was reinforced by the fact that most large U.S. banks passed their stress tests and credit markets strengthened. By year-end, several large commercial and investment banks had reimbursed the U.S. Treasury for the government TARP investments. Going forward, we do not expect the markets to simply reward survivorship with performance since earnings estimate achievability should matter more prospectively. Strong stock selection among energy companies was a key driver of U.S. equity performance, despite the fact that the sector overall showed lackluster performance. Good stock selection in financials was also beneficial. One theme for these holdings was financial strength and the ability to take market share and emerge from the recession as a stronger competitor. A beneficial underweight in the defensive consumer staples sector was another driver to performance, as this group underperformed the market averages. Consumer discretionary and technology were the only two sectors to detract from relative performance this year. We continued to seek large-cap, high quality companies that we felt had the potential to survive and grow market share during the down-cycle and in a gradual recovery. We maintained a consistent emphasis on companies with strong balance sheets and earnings stability, over more cyclical or leveraged opportunities. We took advantage of relative underperformance in high-quality brand-name companies, to add several new positions during the year. We reduced our holdings in technology and several semiconductor companies although technology remained the largest sector position within U.S. equity. We took advantage of relative weakness in energy to boost our exposure to that sector, which we believe faces tremendous long-term supply-demand imbalances. At year-end, the largest U.S. equity overweights were in technology, healthcare, and financials, and the largest underweights were in consumer staples, industrials, and utilities. Valuations for many companies remain attractive, even after the strong rebound from March through year-end. While lower quality companies outperformed during the rally, we believe any future market rally will be dominated by outperformance by market share winners with strong balance sheets and management teams. Amid rapidly changing market conditions we have maintained our bottom-up stock selection approach with focus on a long-term investment horizon. Mid-cap equities outperformed during this period, largely due to solid stock selection within the information technology, financials, consumer staples, and consumer discretionary sectors. The overweight in information technology, the best performing sector during the year, was additive to performance. The underweight in the underperforming financials sector was also beneficial. While mid-cap equities benefited from sizable exposure to the healthcare sector, which outperformed the market, performance of some individual stocks suffered from company specific 17 [GRAPHIC] issues, which more than offset the benefit of being exposed to this relatively defensive growth industry. During the period we increased the mid-cap equity weighting in the financials, consumer discretionary, and materials sectors, and we reduced our exposure to consumer staples, and healthcare sectors. We are focused on investing in attractively valued companies with strong balance sheets, experienced management teams, solid earnings prospects, leading market shares, and superior long-term fundamentals. With an emphasis on growth, we continue to look to invest in innovative companies that provide prospects for above-average earnings growth. Therefore, healthcare and information technology companies represent a meaningful percentage of our holdings. For the first ten weeks of the year, international equity markets fell at a faster rate than experienced in 2008 as fears of systemic financial sector failure drove sentiment. However, evidence that world governments were prepared to use all available tools to prevent such a collapse and to support the global economy prompted a refocus on valuations and survivability. Massive cash on the sidelines supported a turnaround in market sentiment while second and third quarter earnings beat modest expectations. The fear of being short replaced the fear of being long and bond yields offered little by way of competition to under-owned stocks. Anecdotal evidence of restocking of depleted inventories and proof that companies could still be profitable started the recovery. China and India avoiding recession provided a destination for investment funds and markets for companies with infrastructure goods and services to sell. As the year progressed, purchasing manager surveys, confidence indicators, and GDP forecasts all improved although in uneven fashion. The U.S. dollar weakened, providing support for commodities and boosting emerging markets. The bulk of the negative attribution came from holdings in financials, most notably in Japan. Picked for their defensive qualities, Japan's banks and other financials proved only too vulnerable to the weakness of the local economy and market. Also, an underweight in cyclical discretionary stocks and an overweight in defensive staples underperformed in the recovery. Positive attribution came from holdings in energy boosted by higher prices, telecom stocks for their defensive qualities, and utilities which was a significant underweight in the portfolio. The overweight in consumer staples was reduced, based on weakening fundamentals and achievement of valuation targets. Similarly the underweight in consumer discretionary was reduced as company fundamentals in autos and retail screened better under our investment approach. Materials were increased to overweight based on commodity price gains driven by China growth, and the overall cash weight declined as conviction improved regarding the global outlook. The weight in emerging markets increased as the China growth story created a ripple effect in both Asia and some of the resource supplier nations in the developing world. Financial markets rallied strongly beginning in March 2009 as policymakers around the world kept the liquidity pump primed and the global economy began recovering from the recession in 2008. GDP growth in the U.S. turned positive in the third quarter, while unemployment continued to rise, ending the year at 10%. The U.S. lost over 4 million jobs in 2009 according to the Bureau of Labor Statistics. Government support programs targeting the auto and housing industries created 18 [GRAPHIC] demand which boosted second half growth. Central banks around the globe kept interest rates low throughout the year. The Federal Reserve held its federal funds target at 0% - 0.25% and finished the year with a balance sheet over $2.2 trillion, 2 1/2 times its size prior to the financial crisis in August 2007. In its final meeting in December, the FOMC stated that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period. Quantitative easing measures including the purchase of $1.25 trillion of agency mortgage-backed securities (MBS) and $175 billion of agency debt are scheduled to wind down early in 2010 along with many of the special liquidity facilities given the improvement in financial markets. The improving fundamental backdrop created a performance environment in which the non-government related issues, corporate, commercial MBS, and asset-backed securities, outperformed U.S. government securities including agency mortgage-backed securities. Interest rates rose across the maturity spectrum in 2009 producing negative total returns for U.S. treasuries. Default expectations tumbled as economic activity recovered and credit spreads collapsed from March highs. Lower quality credit rewarded investors with outsized returns. The high yield market returned over 58% compared to high-grade credit which gained just over 16%. Commercial mortgage-backed and asset-backed securities also performed strongly, up 28.5% and 24.7%, respectively, with help from the Term Asset-Backed Loan Facility (TALF) program. The primary drivers of fixed income performance in 2009 were sector allocation and duration positioning. The allocation to high yield and emerging market debt had a large positive impact on total return as those two sectors far outpaced the return of the benchmark. Overweight positions in high-grade credit and commercial MBS during the second half of the year also contributed positively as yield spreads narrowed. Duration positioning added to relative return, particularly in December, when interest rates rose and the duration of the fixed income portfolio was short relative to the benchmark. Q.WERE THERE ANY SIGNIFICANT CHANGES TO THE FUND DURING THE PERIOD? A.During the first part of the year, we lowered the Fund's exposure to U.S. large-cap growth equity and international equity and increased its exposure to cash. This defensive positioning helped to dampen volatility and preserve capital. During the second half of this period, we lowered the Fund's exposure to cash, fixed income, and large-cap growth equity and increased its exposure to small-cap, mid-cap, and large-cap core U.S. equity as well as international and emerging markets equity to take advantage of market opportunities. At the end of the period, the Fund was overweight equities and underweight fixed income. 19 [GRAPHIC] Understanding Your Fund's Expenses As a shareholder of the Fund you incur transaction and ongoing expenses. Transaction expenses including sales charges on purchase payments, reinvested dividends (or other distributions), and redemption fees directly reduce the investment return of the Fund. Ongoing costs include portfolio management fees, distribution and service fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2009. ACTUAL EXPENSES The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2009 - DECEMBER 31, 2009
----------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* ----------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,141.26 2.54 ----------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,022.59 2.40 -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.47% (for the period between July 1, 2009 - December 31, 2009), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). **Actual Fund Return for the six-month period ended December 31, 2009 was 14.13%. 20 [GRAPHIC] CHANGE IN VALUE OF A $10,000 INVESTMENT [CHART] AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2009 - --------------------------------------------------------------------------------
FIVE TEN ONE YEAR YEAR YEAR - --------------------------------------------- Elfun Diversified Fund 22.13% 2.01% 3.10% S&P 500 Index 26.46% 0.42% -0.96% Barclays Capital U.S. Aggregate Bond Index 5.93% 4.97% 6.33%
[CHART] INVESTMENT PROFILE A Mutual Fund designed for investors who seek the highest total return consistent with prudent investment management and the preservation of capital by investing primarily in a combination of U.S. and foreign equity securities and investment-grade debt securities. MORNINGSTAR PERFORMANCE COMPARISON US OE Moderate Allocation Peer Group Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN YEAR YEAR YEAR Fund's Rank in peer group.... 740 410 144 Number of funds in peer group....................... 1178 787 441 Peer group average annual total return................ 24.04% 1.99% 2.05% Morningstar Category in peer group: Moderate Allocation
TOP TEN LARGEST HOLDINGS AS OF DECEMBER 31, 2009 AS A % OF MARKET VALUE - -------------------------------------------------------------------------------- U.S. Treasury Notes 3.76% - --------------------------------------- Federal National Mortgage Assoc. 1.62% - --------------------------------------- Microsoft Corp. 0.88% - --------------------------------------- Amgen Inc. 0.79% - --------------------------------------- Roche Holding AG 0.75% - --------------------------------------- PepsiCo, Inc. 0.73% - --------------------------------------- U.S. Treasury Bonds 0.71% - --------------------------------------- Cisco Systems, Inc. 0.69% - --------------------------------------- Nomura Holdings Inc. 0.64% - --------------------------------------- QUALCOMM Inc. 0.64% - ---------------------------------------
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. 21 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC] ELFUN DIVERSIFIED FUND Portfolio Composition as a % of the Market Value of $220,472 as of December 31, 2009. [CHART]
NUMBER OF SHARES VALUE DOMESTIC EQUITY -- 32.1%+ --------------------------------------------------------------- AEROSPACE & DEFENSE -- 0.8% Alliant Techsystems, Inc..... 505,610 $ 506 /(a)/ Hexcel Corp.................. 329,082 329 /(a)/ Honeywell International Inc.. 254,878 255 ITT Corp..................... 474,420 474 Rockwell Collins, Inc........ 205,275 205 1,769 BEVERAGES -- 0.8% Brown-Forman Corp. (Class B). 25,553 26 Molson Coors Brewing Co. (Class B)................... 146,770 147 PepsiCo, Inc................. 1,599,952 1,600 1,773 BIOTECHNOLOGY -- 1.4% Amgen Inc.................... 1,731,778 1,732 /(a)/ Gilead Sciences, Inc......... 1,149,733 1,150 /(a)/ Vertex Pharmaceuticals Inc... 295,536 296 /(a)/ 3,178
NUMBER OF SHARES VALUE CAPITAL MARKETS -- 1.9% Affiliated Managers Group Inc.. 347,863 $ 348 /(a)/ Ameriprise Financial, Inc...... 282,881 283 Invesco Ltd.................... 282,514 283 Morgan Stanley................. 169,194 169 State Street Corp.............. 1,216,290 1,217 /(e)/ The Bank of New York Mellon Corp................... 356,534 357 The Charles Schwab Corp........ 171,432 171 The Goldman Sachs Group, Inc... 1,289,094 1,289 4,117 CHEMICALS -- 0.8% Air Products & Chemicals, Inc.. 26,344 26 Intrepid Potash, Inc........... 226,534 227 /(a)/ Monsanto Co.................... 861,808 861 Praxair, Inc................... 632,120 632 1,746 COMMERCIAL BANKS -- 0.2% Regions Financial Corp......... 152,135 152 SunTrust Banks, Inc............ 107,821 108 US Bancorp..................... 131,751 132 Wells Fargo & Co............... 61,780 62 Zions Bancorporation........... 35,206 35 489 COMMERCIAL SERVICES & SUPPLIES -- 0.6% Corrections Corporation of America....................... 839,561 839 /(a)/ Iron Mountain Inc.............. 266,702 267 /(a)/ Stericycle, Inc................ 114,588 115 /(a)/ 1,221 COMMUNICATIONS EQUIPMENT -- 1.5% Cisco Systems, Inc............. 1,527,707 1,528 /(a)/ Juniper Networks, Inc.......... 320,627 321 /(a)/ Motorola, Inc.................. 22,682 23 QUALCOMM Inc................... 1,411,578 1,412 3,284 COMPUTERS & PERIPHERALS -- 0.8% Hewlett-Packard Co............. 529,265 529 International Business Machines Corp................. 919,049 919
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 22 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
[GRAPHIC]
NUMBER OF SHARES VALUE Synaptics Inc.................. 383,830 $ 384 /(a)/ 1,832 DIVERSIFIED FINANCIAL SERVICES -- 1.1% Bank of America Corp........... 498,878 499 CME Group Inc.................. 1,206,397 1,207 JPMorgan Chase & Co............ 653,385 653 MSCI Inc. (Class A)............ 126,469 126 /(a)/ 2,485 DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% AT&T Inc....................... 455,600 456 Verizon Communications Inc..... 215,577 216 672 ELECTRIC UTILITIES -- 0.6% Edison International........... 316,707 317 Entergy Corp................... 159,506 160 ITC Holdings Corp.............. 467,039 467 Northeast Utilities............ 409,571 410 1,354 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.3% Cogent, Inc.................... 167,487 167 /(a)/ Corning Inc.................... 416,459 417 584 ENERGY EQUIPMENT & SERVICES -- 1.0% Dresser-Rand Group Inc......... 252,437 252 /(a)/ Halliburton Co................. 299,395 299 National Oilwell Varco, Inc.... 157,754 158 /(a)/ Noble Corp..................... 253,561 254 Schlumberger Ltd............... 1,265,805 1,266 2,229 FOOD & STAPLES RETAILING -- 0.0%* CVS Caremark Corp.............. 83,810 84 FOOD PRODUCTS -- 0.5% Archer-Daniels-Midland Co...... 82,533 83 Kraft Foods Inc. (Class A)..... 173,300 173 McCormick & Company Inc........ 584,259 584 Sara Lee Corp.................. 208,315 208 1,048
NUMBER OF SHARES VALUE GAS UTILITIES -- 0.1% EQT CORP........................ 155,609 $ 156 HEALTHCARE EQUIPMENT & SUPPLIES -- 1.5% Baxter International Inc........ 266,994 267 Becton Dickinson & Co........... 246,043 246 Boston Scientific Corp.......... 128,907 129 /(a)/ Covidien PLC.................... 779,745 780 DENTSPLY International Inc...... 144,197 144 Gen-Probe Inc................... 183,097 183 /(a)/ Hologic, Inc.................... 297,540 298 /(a)/ Masimo Corp..................... 421,560 422 /(a)/ Medtronic, Inc.................. 434,127 434 ResMed, Inc..................... 502,628 503 /(a)/ 3,406 HEALTHCARE PROVIDERS & SERVICES -- 1.1% Aetna Inc....................... 205,765 206 Cardinal Health, Inc............ 297,672 298 Catalyst Health Solutions, Inc.. 297,340 297 /(a)/ Express Scripts, Inc............ 928,127 928 /(a)/ McKesson Corp................... 97,875 98 Psychiatric Solutions, Inc...... 59,720 60 /(a)/ UnitedHealth Group, Inc......... 606,979 607 2,494 HOTELS RESTAURANTS & LEISURE -- 0.4% Carnival Corp................... 377,048 377 /(a)/ Marriott International, Inc. (Class A)...................... 67,062 67 Penn National Gaming, Inc....... 223,420 223 /(a)/ The Cheesecake Factory Inc...... 207,199 207 /(a)/ 874 HOUSEHOLD DURABLES -- 0.1% MDC Holdings, Inc............... 121,335 121 HOUSEHOLD PRODUCTS -- 0.4% Clorox Co....................... 91,134 91 Kimberly-Clark Corp............. 182,147 182 The Procter & Gamble Co......... 697,306 697 970 INDUSTRIAL CONGLOMERATES -- 0.2% McDermott International, Inc.... 113,231 113 /(a)/ Textron, Inc.................... 293,549 294 407
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 23 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE INSURANCE -- 1.3% ACE Ltd............................ 737,906 $ 737 AFLAC Inc.......................... 432,345 432 AON Corp........................... 164,594 165 HCC Insurance Holdings, Inc........ 573,301 573 MetLife, Inc....................... 298,743 299 PartnerRe Ltd...................... 174,704 175 Principal Financial Group, Inc..... 171,814 172 Prudential Financial, Inc.......... 271,739 272 2,825 INTERNET SOFTWARE & SERVICES -- 0.5% AOL Inc............................ 44,698 45 /(a)/ Equinix, Inc....................... 89,591 90 /(a)/ Google Inc. (Class A).............. 794,194 794 /(a)/ MercadoLibre, Inc.................. 252,140 252 /(a)/ 1,181 IT SERVICES -- 1.4% Accenture PLC...................... 37,765 38 Affiliated Computer Services, Inc. (Class A)......................... 308,657 309 /(a)/ Cognizant Technology Solutions Corp. (Class A)................... 375,129 375 /(a)/ Cybersource Corp................... 172,906 173 /(a)/ DST Systems, Inc................... 106,959 107 /(a)/ Paychex, Inc....................... 233,170 233 Telvent GIT S.A.................... 92,032 92 The Western Union Co............... 1,026,043 1,026 Visa, Inc. (Class A)............... 688,747 689 3,042 LIFE SCIENCES TOOLS & SERVICES -- 0.7% Covance Inc........................ 346,574 347 /(a)/ Illumina, Inc...................... 231,162 231 /(a)/ Life Technologies Corp............. 115,376 115 /(a)/ Mettler-Toledo International, Inc................ 284,628 285 /(a)/ Thermo Fisher Scientific, Inc...... 507,278 507 /(a)/ 1,485 MACHINERY -- 0.4% Deere & Co......................... 288,516 289 Eaton Corp......................... 227,569 228 Harsco Corp........................ 368,872 369 886
NUMBER OF SHARES VALUE MEDIA -- 1.4% Comcast Corp. (Class A)......... 47,229 $ 47 DIRECTV (Class A)............... 669,568 670 /(a)/ Liberty Global, Inc. (Series C). 448,514 448 /(a)/ Omnicom Group Inc............... 830,450 830 Regal Entertainment Group (Class A)...................... 274,273 274 The Walt Disney Co.............. 230,684 231 Time Warner Inc................. 615,699 616 3,116 METALS & MINING -- 0.4% Allegheny Technologies Inc...... 423,480 423 Freeport-McMoRan Copper & Gold Inc....................... 447,858 448 /(a)/ 871 MULTILINE RETAIL -- 0.5% Dollar General Corp............. 189,376 189 /(a)/ Kohl's Corp..................... 406,633 407 /(a)/ Target Corp..................... 537,245 537 1,133 MULTI-UTILITIES -- 0.2% Dominion Resources, Inc......... 316,420 316 SCANA Corp...................... 179,018 179 495 OIL, GAS & CONSUMABLE FUELS -- 1.9% Apache Corp..................... 488,510 488 Chesapeake Energy Corp.......... 47,102 47 Chevron Corp.................... 475,490 475 Devon Energy Corp............... 368,088 368 Exxon Mobil Corp................ 903,994 904 /(h)/ Marathon Oil Corp............... 904,381 904 Occidental Petroleum Corp....... 211,673 212 Peabody Energy Corp............. 187,486 187 Southwestern Energy Co.......... 632,336 633 /(a)/ 4,218 PAPER & FOREST PRODUCTS -- 0.1% Weyerhaeuser Co................. 168,203 168
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 24 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE PERSONAL PRODUCTS -- 0.2% Alberto-Culver Co............ 219,060 $ 219 Avon Products, Inc........... 40,950 41 Mead Johnson Nutrition Co. (Class A)................... 188,609 189 /(a)/ 449 PHARMACEUTICALS -- 0.7% Abbott Laboratories.......... 105,388 105 Bristol-Myers Squibb Co...... 422,155 422 Johnson & Johnson............ 481,400 481 Merck & Company Inc.......... 52,362 52 Pfizer Inc................... 396,396 396 1,456 PROFESSIONAL SERVICES -- 0.1% HIS, Inc. (Class A).......... 255,305 255 /(a)/ REAL ESTATE INVESTMENT TRUSTS (REIT'S) -- 0.1% Douglas Emmett, Inc. (REIT).. 122,821 123 SL Green Realty Corp. (REIT). 128,866 129 252 REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% CB Richard Ellis Group, Inc. (Class A)................... 634,520 635 /(a)/ ROAD & RAIL -- 0.1% Union Pacific Corp........... 265,760 266 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8% Hittite Microwave Corp....... 337,247 337 /(a)/ Intel Corp................... 724,995 725 Kla-Tencor Corp.............. 30,700 31 Marvell Technology Group Ltd................... 452,205 452 /(a)/ Microchip Technology Inc..... 105,052 105 Nvidia Corp.................. 48,531 49 /(a)/ Texas Instruments Inc........ 132,359 132 1,831 SOFTWARE -- 1.9% Activision Blizzard, Inc..... 329,434 329 /(a)/ Blackboard Inc............... 229,310 229 /(a)/
NUMBER OF SHARES VALUE Citrix Systems, Inc.............. 313,240 $ 313 /(a)/ Intuit, Inc...................... 394,931 395 /(a)/ Microsoft Corp................... 1,934,712 1,935 Oracle Corp...................... 223,486 223 Rovi Corp........................ 729,759 730 /(a)/ 4,154 SPECIALTY RETAIL -- 1.1% Bed Bath & Beyond, Inc........... 1,043,899 1,044 /(a,h)/ Lowe's Companies, Inc............ 1,005,607 1,005 O'Reilly Automotive, Inc......... 298,098 298 /(a)/ Urban Outfitters, Inc............ 150,947 151 /(a)/ 2,498 TEXTILES APPAREL & LUXURY GOODS -- 0.2% Coach, Inc....................... 328,368 328 NIKE, Inc. (Class B)............. 34,356 34 362 THRIFTS & MORTGAGE FINANCE -- 0.1% People's United Financial, Inc... 247,461 247 TOBACCO -- 0.2% Altria Group, Inc................ 63,856 64 Philip Morris International Inc.. 328,704 329 393 WATER UTILITIES -- 0.1% American Water Works Company, Inc.................... 264,886 265 WIRELESS TELECOMMUNICATION SERVICES -- 1.0% American Tower Corp. (Class A)....................... 571,884 572 /(a)/ NII Holdings, Inc................ 1,368,284 1,368 /(a)/ Syniverse Holdings, Inc.......... 190,672 191 /(a)/ 2,131 TOTAL DOMESTIC EQUITY (COST $68,145).................. 70,907
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 25 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE FOREIGN EQUITY -- 28.6% ----------------------------------------------------------- COMMON STOCK -- 28.0% AEROSPACE & DEFENSE -- 0.2% CAE, Inc....................... 377,135 $ 377 AUTO COMPONENTS -- 0.1% Hankook Tire Company Ltd....... 124,583 125 /(a)/ AUTOMOBILES -- 0.7% Daimler AG (Regd.)............. 272,725 273 Suzuki Motor Corp.............. 479,595 480 Toyota Motor Corp.............. 781,578 782 1,535 BEVERAGES -- 0.2% Coca-Cola Icecek AS (Class C).. 118,023 118 Heineken N.V................... 294,677 295 413 BUILDING PRODUCTS -- 0.2% Asahi Glass Company Ltd........ 114,194 114 Daikin Industries Ltd.......... 237,085 237 351 CAPITAL MARKETS -- 1.0% Credit Suisse Group AG (Regd.). 483,702 484 Egyptian Financial Group- Hermes Holding................ 95,013 95 Mirae Asset Securities Company Ltd................... 60,735 61 Nomura Holdings Inc............ 1,414,728 1,415 Woori Investment & Securities Company Ltd................... 57,982 58 Yuanta Financial Holding Company Ltd................... 68,557 69 2,182 CHEMICALS -- 1.3% Linde AG....................... 702,396 702 Potash Corp of Saskatchewan Inc.............. 808,646 809
NUMBER OF SHARES VALUE Potash Corp of Saskatchewan Inc............... 239,676 $ 240 Sinofert Holdings Ltd........... 95,403 95 Sociedad Quimica y Minera de Chile S.A. ADR (Series B)...... 241,462 241 SODIFF Advanced Materials Company Ltd.................... 75,690 76 /(a)/ Syngenta AG..................... 511,504 511 Taiwan Fertilizer Company Ltd.................... 106,821 107 2,781 COMMERCIAL BANKS -- 4.2% Akbank TAS...................... 110,717 111 Axis Bank Ltd................... 55,610 56 Banco do Brasil S.A............. 42,594 43 Banco Santander Brasil S.A...... 584,064 584 Banco Santander Chile ADR....... 56,877 57 Banco Santander S.A. (Regd.).... 1,308,327 1,308 Bank of China Ltd............... 36,817 37 BNP Paribas..................... 1,386,449 1,386 China Construction Bank Corp...................... 63,201 63 China Merchants Bank Company Ltd.................... 86,506 87 Credit Agricole S.A............. 748,496 747 Grupo Financiero Banorte SAB de C.V. (Series O)............. 69,328 69 HSBC Holdings PLC............... 1,212,808 1,213 Industrial & Commercial Bank of China.......................... 123,688 124 Intesa Sanpaolo S.p.A........... 572,517 573 Kazkommertsbank GDR............. 70,398 70 /(a)/ KB Financial Group Inc.......... 470,808 471 /(a)/ Lloyds Banking Group PLC........ 546,327 546 Metropolitan Bank & Trust....... 71,163 71 Mitsubishi UFJ Financial Group Inc...................... 924,168 924 Raiffeisen International Bank Holding AG (Regd.)............. 62,958 63 Siam Commercial Bank PCL........ 43,318 43 Standard Bank Group Ltd......... 67,451 67 Sumitomo Mitsui Financial Group Inc...................... 60,056 60 The Bank of Yokohama Ltd........ 353,980 354 UniCredit S.p.A................. 102,642 103 9,230
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 26 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE COMMERCIAL SERVICES & SUPPLIES -- 0.5% Brambles Ltd.................... 726,514 $ 727 G4S PLC......................... 137,138 137 G4S PLC......................... 286,553 287 Pan Asia Environmental Protection Group Ltd........... 10,995 11 1,162 COMMUNICATIONS EQUIPMENT -- 0.8% Nokia Oyj....................... 213,019 213 Research In Motion Ltd.......... 1,150,679 1,151 /(a)/ Research In Motion Ltd.......... 406,321 406 /(a)/ Telefonaktiebolaget LM Ericsson (Series B)..................... 56,105 56 ZTE Corp........................ 64,116 64 1,890 COMPUTERS & PERIPHERALS -- 0.1% Asustek Computer Inc............ 69,714 70 HTC Corp........................ 130,227 130 200 CONSTRUCTION & ENGINEERING -- 0.5% China Communications Construction Company Ltd....... 70,307 70 China State Construction International Holdings Ltd..... 55,859 56 Doosan Heavy Industries and Construction Company Ltd....... 127,971 128 /(a)/ Empresas ICA SAB de C.V......... 68,376 68 /(a)/ Larsen & Toubro Ltd............. 354,891 355 Murray & Roberts Holdings Ltd................... 61,546 62 Vinci S.A....................... 372,770 373 1,112 CONSTRUCTION MATERIALS -- 0.2% CRH PLC......................... 460,461 460 DIVERSIFIED FINANCIAL SERVICES -- 0.2% Deutsche Boerse AG.............. 474,482 474 Reliance Capital Ltd............ 40,253 40 514
NUMBER OF SHARES VALUE DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% Telefonica S.A.................. 604,733 $ 605 Telekomunikasi Indonesia Tbk PT (Series B)..................... 81,625 82 Telstra Corporation Ltd......... 205,605 206 893 ELECTRIC UTILITIES -- 0.4% CEZ AS.......................... 39,287 39 E.ON AG......................... 409,169 409 Iberdrola S.A................... 389,788 390 838 ELECTRICAL EQUIPMENT -- 0.5% ABB Ltd. (Regd.)................ 352,019 352 /(a)/ ABB Ltd. ADR.................... 298,208 298 /(a)/ Alstom S.A...................... 92,812 93 Schneider Electric S.A.......... 364,005 364 Zhuzhou CSR Times Electric Company Ltd.................... 68,604 69 1,176 ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.1% Delta Electronics, Inc.......... 164,510 165 HON HAI Precision Industry Company Ltd.................... 92,326 92 Prime View International Company Ltd.................... 18,290 18 275 ENERGY EQUIPMENT & SERVICES -- 0.6% Saipem S.p.A.................... 202,469 202 Tesco Corp...................... 151,408 151 /(a)/ Transocean Ltd.................. 1,052,719 1,053 /(a)/ 1,406 FOOD & STAPLES RETAILING -- 0.7% Koninklijke Ahold N.V........... 279,609 280 Metro AG........................ 450,972 451 President Chain Store Corp...... 44,582 45 /(a)/ Tesco PLC....................... 798,478 798 X5 Retail Group N.V. GDR........ 76,815 77 /(a)/ 1,651
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 27 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE FOOD PRODUCTS -- 1.2% China Agri-Industries Holdings Ltd.................. 73,158 $ 73 Cosan SA Industria e Comercio...................... 174,759 175 (a) Groupe Danone.................. 563,406 563 IOI Corp. Bhd.................. 66,241 66 Nestle S.A. (Regd.)............ 1,398,422 1,398 Nestle S.A. ADR................ 157,331 157 Perdigao S.A................... 91,094 91 /(a)/ Want Want China Holdings Ltd.................. 42,219 42 2,565 HEALTHCARE EQUIPMENT & SUPPLIES -- 0.4% Cie Generale d'Optique Essilor International S.A............. 831,118 831 HEALTHCARE PROVIDERS & SERVICES -- 0.1% Diagnosticos da America S.A.... 70,911 71 /(a)/ Fleury S.A..................... 69,384 69 /(a)/ 140 HOUSEHOLD DURABLES -- 0.1% Desarrolladora Homex SAB de C.V........................ 65,291 65 /(a)/ Dynamex, Inc................... 172,010 172 237 HOUSEHOLD PRODUCTS -- 0.5% Reckitt Benckiser Group PLC.... 1,160,893 1,161 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.0%* Huaneng Power International, Inc............ 39,716 40 INDUSTRIAL CONGLOMERATES -- 0.9% Chongqing Machinery & Electric Company Ltd................... 59,234 59 /(a)/ Koninklijke Philips Electronics N.V............... 762,825 763 MAX India Ltd.................. 51,442 51 /(a)/ Siemens AG (Regd.)............. 956,226 956 Siemens AG ADR................. 89,407 89 1,918
NUMBER OF SHARES VALUE INSURANCE -- 1.0% AXA S.A....................... 431,552 $ 432 China Life Insurance Company Ltd.................. 127,826 128 Prudential PLC................ 725,020 725 Samsung Fire & Marine Insurance Company Ltd........ 75,314 75 Sony Financial Holdings Inc... 557,159 557 /(a)/ Tong Yang Life Insurance...... 52,899 53 /(a)/ Zurich Financial Services AG.. 327,720 328 2,298 INTERNET SOFTWARE & SERVICES -- 0.2% Baidu, Inc ADR................ 472,914 473 /(a)/ MACHINERY -- 0.3% China South Locomotive and Rolling Stock Corp........... 375,413 375 Mitsubishi Heavy Industries Ltd............... 243,465 243 618 MARINE -- 0.0%* A P Moller - Maersk A/S (Series B)................... 91,418 91 MEDIA -- 0.4% Focus Media Holding Ltd. ADR.. 101,931 102 /(a)/ Vivendi....................... 720,484 720 822 METALS & MINING -- 1.9% Antofagasta PLC............... 123,909 124 Barrick Gold Corp............. 153,661 154 BHP Billiton PLC.............. 969,292 969 China Molybdenum Company Ltd.................. 34,253 34 Harmony Gold Mining Company Ltd. ADR..................... 88,540 89 Hidili Industry International Development Ltd.............. 49,663 50 Kinross Gold Corp............. 175,584 176 New World Resources N.V. (Class A).................... 65,740 66 POSCO......................... 131,843 132
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 28 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE Rio Tinto PLC (Regd.).......... 991,004 $ 991 Sumitomo Metal Industries Ltd.. 580,750 581 Tata Steel Ltd................. 54,607 55 ThyssenKrupp AG................ 225,818 226 Vale S.A....................... 460,361 460 4,107 MULTI-UTILITIES -- 0.6% National Grid PLC.............. 880,675 881 Veolia Environnement........... 573,082 573 1,454 OIL, GAS & CONSUMABLE FUELS -- 2.3% BG Group PLC................... 562,602 563 BP PLC......................... 460,982 461 China Shenhua Energy Company Ltd................... 92,224 92 CNOOC Ltd...................... 118,200 118 ENI S.p.A...................... 472,123 472 Gazprom OAO ADR................ 266,707 267 LUKOIL ADR..................... 353,541 353 Paladin Energy Ltd............. 286,912 287 /(a)/ PetroChina Company Ltd......... 99,855 100 Petroleo Brasileiro S.A. ADR... 722,410 722 Reliance Industries Ltd........ 41,885 42 Reliance Industries Ltd. GDR... 96,255 96 /(b)/ Suncor Energy Inc.............. 432,971 433 Suncor Energy Inc.............. 240,435 240 Total S.A...................... 874,901 875 5,121 PERSONAL PRODUCTS -- 0.2% Shiseido Company Ltd........... 472,510 473 PHARMACEUTICALS -- 1.6% Bayer AG....................... 980,468 980 Daiichi Sankyo Company Ltd..... 228,687 229 Novartis AG (Regd.)............ 640,836 641 Roche Holding AG............... 1,664,397 1,664 Sinopharm Group Co............. 2,903 3 /(a)/ Teva Pharmaceutical Industries Ltd. ADR........... 113,484 113 3,630 PROFESSIONAL SERVICES -- 0.1% The Capita Group PLC........... 120,091 120
NUMBER OF SHARES VALUE REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% CapitaLand Ltd.................. 160,297 $ 160 Franshion Properties China Ltd.. 47,802 48 Hung Poo Real Estate Development Corp............... 87,533 88 Mitsubishi Estate Company Ltd... 606,676 607 Shenzhen Investment Ltd......... 33,813 34 937 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% ASM Pacific Technology Ltd...... 59,030 59 Samsung Electronics Company Ltd.................... 946,307 946 Taiwan Semiconductor Manufacturing Company Ltd.................... 842,023 842 Taiwan Semiconductor Manufacturing Company Ltd. ADR....................... 319,257 320 2,167 SOFTWARE -- 0.1% Shanda Interactive Entertainment Ltd. ADR......... 124,528 125 /(a)/ SPECIALTY RETAIL -- 0.6% Esprit Holdings Ltd............. 460,487 460 Hennes & Mauritz AB (Series B).. 272,360 272 Yamada Denki Company Ltd........ 606,066 606 1,338 TEXTILES APPAREL & LUXURY GOODS -- 0.2% Adidas AG....................... 438,511 439 TRADING COMPANIES & DISTRIBUTORS -- 0.1% Mitsubishi Corp................. 224,274 224 TRANSPORTATION INFRASTRUCTURE -- 0.0%* Dalian Port PDA Company Ltd..... 46,551 47 WIRELESS TELECOMMUNICATION SERVICES -- 0.9% America Movil SAB de C.V. ADR (Series L)..................... 151,464 151 China Mobile Ltd................ 312,596 312
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 29 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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NUMBER OF SHARES VALUE Mobile Telesystems OJSC ADR. 348,683 $ 349 MTN Group Ltd............... 560,981 561 Philippine Long Distance Telephone Co............... 46,293 46 Vodafone Group PLC.......... 483,429 483 1,902 TOTAL COMMON STOCK (COST $60,516)............. 61,849 ---------------------------------------------------------------- PREFERRED STOCK -- 0.6% ---------------------------------------------------------------- COMMERCIAL BANKS -- 0.1% Itau Unibanco Banco Multiplo S.A............... 283,450 283 DIVERSIFIED FINANCIAL SERVICES -- 0.1% Bank of America Corp........ 260,712 261 /(a,i)/ ELECTRIC UTILITIES -- 0.0%* Cia Energetica de Minas Gerais..................... 50,304 50 MEDIA -- 0.0%* NET Servicos de Comunicacao S.A............ 54,754 55 METALS & MINING -- 0.2% Cia Vale do Rio Doce........ 380,580 381 OIL, GAS & CONSUMABLE FUELS -- 0.1% Petroleo Brasileiro S.A..... 134,325 134 WIRELESS TELECOMMUNICATION SERVICES -- 0.1% Vivo Participacoes S.A...... 167,953 168 TOTAL PREFERRED STOCK (COST $1,019).............. 1,332 TOTAL FOREIGN EQUITY (COST $61,535)............. 63,181
PRINCIPAL AMOUNT VALUE BONDS AND NOTES -- 22.3% ----------------------------------------------------- U.S. TREASURIES -- 4.9% U.S. Treasury Bonds 4.50% 08/15/39............ $ 1,607 $ 1,570 U.S. Treasury Notes 0.02% 11/30/11............ 2,290 2,275 /(d)/ 0.05% 01/31/11............ 560 562 /(d)/ 1.00% 10/31/11............ 1,581 1,580 /(d)/ 1.25% 11/30/10............ 32 32 1.75% 08/15/12............ 345 347 2.13% 11/30/14............ 2,544 2,483 3.38% 11/15/19............ 2,029 1,952 /(h)/ 4.50% 11/15/10............ 13 13 10,814 AGENCY MORTGAGE BACKED -- 5.5% Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 02/01/35. 29 29 /(h)/ 5.00% 07/01/35............ 87 90 /(h)/ 5.50% 05/01/20 - 04/01/39. 995 1,049 /(h)/ 6.00% 04/01/17 - 11/01/37. 753 803 /(h)/ 6.50% 11/01/28 - 07/01/29. 19 22 /(h)/ 7.00% 10/01/16 - 08/01/36. 74 83 /(h)/ 7.50% 09/01/12 - 09/01/33. 24 27 /(h)/ 8.00% 07/01/26 - 11/01/30. 7 8 /(h)/ 8.50% 04/01/30 - 05/01/30. 24 28 /(h)/ Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19. 79 81 /(h)/ 4.50% 05/01/18 - 12/01/34. 369 380 /(h)/ 5.00% 07/01/20 - 05/01/39. 617 635 /(h)/ 5.47% 04/01/37............ 5 5 /(i)/ 5.50% 04/01/14 - 04/01/38. 3,493 3,670 /(h)/ 5.81% 03/01/37............ 5 5 /(i)/ 6.00% 02/01/14 - 11/01/39. 2,428 2,592 /(h)/ 6.50% 12/01/14 - 08/01/36. 208 225 /(h)/ 7.00% 01/01/16 - 12/01/33. 17 19 /(h)/ 7.50% 09/01/13 - 03/01/34. 51 56 /(h)/ 8.00% 12/01/11 - 11/01/33. 56 62 /(h)/ 8.50% 05/01/31............ 3 4 /(h)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 30 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE 9.00% 04/01/16 - 12/01/22.. $ 13 $ 14 /(h)/ 4.50% TBA.................. 253 256 /(c)/ 5.00% TBA.................. 819 856 /(c)/ 5.50% TBA.................. 65 68 /(c)/ 6.50% TBA.................. 490 525 /(c)/ 7.00% TBA.................. 90 99 /(c)/ Government National Mortgage Assoc. 4.50% 08/15/33 - 09/15/34.. 99 100 /(h)/ 5.00% 08/15/33............. 40 41 /(h)/ 6.00% 04/15/30 - 09/15/36.. 55 59 /(h)/ 6.50% 06/15/24 - 07/15/36.. 98 105 /(h)/ 7.00% 03/15/12 - 10/15/36.. 62 67 /(h)/ 7.50% 07/15/23 - 04/15/28.. 31 35 /(h)/ 8.00% 05/15/30............. 1 1 /(h)/ 8.50% 10/15/17............. 27 29 /(h)/ 9.00% 11/15/16 - 12/15/21.. 26 30 /(h)/ 5.50% TBA.................. 50 52 /(c)/ 12,210 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6% Collateralized Mortgage Obligation Trust (Class B) 9.24% 11/01/18............. 2 1 /(d,f,h,q)/ Federal Home Loan Mortgage Corp. 0.00% 11/15/37............. 113 92 /(g,r)/ 0.17% 09/25/43............. 389 4 /(g,h,i,r)/ 0.62% 09/15/34............. 57 43 /(d,f)/ 4.50% 10/15/16 - 03/15/19.. 129 10 /(g,h,r)/ 5.00% 05/15/18 - 12/01/34.. 360 59 /(g,h,r)/ 5.00% 05/15/38............. 54 53 5.50% 04/15/17 - 06/15/33.. 114 16 /(g,h,r)/ 7.50% 01/15/16............. 4 4 /(h)/ 7.50% 07/15/27............. 29 6 /(g,h,r)/ 8.00% 04/15/20............. 1 1 /(h)/ 8.00% 02/01/23 - 07/01/24.. 6 2 /(g,h,r)/ Federal Home Loan Mortgage Corp. REMIC 6.01% 12/15/39............. 192 20 /(g,i,r)/ 6.36% 05/15/36............. 417 57 /(g,i,r)/ 6.97% 02/15/36............. 341 50 /(g,i,r)/ 7.47% 04/15/36............. 400 57 /(g,i,r)/
PRINCIPAL AMOUNT VALUE Federal Home Loan Mortgage STRIPS 9.46% 08/01/27............ $ 1 $ 1 /(d,f,h)/ Federal National Mortgage Assoc. 1.20% 12/25/42............ 99 5 /(g,h,i,r)/ 4.50% 11/25/13 - 05/25/18. 21 1 /(g,r)/ 4.75%** 11/25/14............ 1 -- /(g,h,r)/ 5.00% 02/25/32............ 117 15 /(g,r)/ 5.00% 10/25/35 - 08/25/38. 145 143 6.12% 03/25/38............ 547 64 /(g,i,r)/ 7.27% 05/25/18............ 487 56 /(g,h,i,r)/ 7.37% 09/25/42............ 274 52 /(g,h,i,r)/ 7.47% 08/25/16............ 14 1 /(g,h,i,r)/ 16.10% 03/25/31............ 65 73 /(h,i)/ Federal National Mortgage Assoc. (Class 1) 4.50% 09/01/35 - 01/01/36. 333 69 /(g,r)/ 5.00% 05/25/38............ 107 19 /(g,r)/ Federal National Mortgage Assoc. (Class 2) 4.50% 08/01/35............ 110 26 /(g,r)/ 5.00% 03/25/38............ 101 20 /(g,r)/ 5.50% 12/01/33............ 36 8 /(g,r)/ 7.50% 11/01/23............ 56 9 /(g,h,r)/ 8.00% 08/01/23 - 07/01/24. 12 2 /(g,h,r)/ 8.50%** 03/01/17 - 07/25/22. 5 -- /(g,h,r)/ 9.00% 05/25/22............ 2 1 /(g,h,r)/ Federal National Mortgage Assoc. (Class B) 6.69% 12/25/22............ 2 2 /(d,f,h)/ Federal National Mortgage Assoc. (Class H) 5.00% 10/25/22............ 34 4 /(g,h,r)/ Federal National Mortgage Assoc. REMIC 6.01% 01/25/40............ 716 81 /(g,i,r)/ 6.31% 07/25/36............ 425 52 /(g,i,r)/ 6.42% 06/25/36............ 202 27 /(g,i,r)/ Government National Mortgage Assoc. 6.17% 05/20/39............ 378 42 /(g,i,r)/ 6.27% 01/20/37............ 572 55 /(g,i,r)/ 1,303
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 31 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE ASSET BACKED -- 0.8% Bear Stearns Asset Backed Securities Trust (Class A) 0.60% 01/25/34...... $ 8 $ 6 /(h,i)/ Chase Funding Mortgage Loan Asset-Backed Certificates 0.73% 03/25/32...... 19 11 /(h,i)/ Countrywide Asset-Backed Certificates 1.09% 05/25/33...... 4 2 /(h,i)/ 5.31% 08/25/35...... 750 691 /(i)/ Countrywide Asset-Backed Certificates (Class A) 0.89% 04/25/32...... 16 8 /(h,i)/ Discover Card Master Trust I (Class A) 0.56% 06/16/15...... 40 38 /(i)/ Discover Card Master Trust I (Class B) (Series 2) 0.41% 05/15/12...... 60 57 /(i)/ Mid-State Trust 7.54% 07/01/35...... 10 9 /(h,q)/ Residential Asset Mortgage Products Inc. (Class A) 0.79% 06/25/32...... 14 11 /(h,i)/ Residential Asset Securities Corp. 0.73% 07/25/32...... 5 3 /(h,i)/ Saxon Asset Securities Trust 5.23% 08/25/35...... 1,008 875 /(i)/ Wells Fargo Home Equity Trust 3.97% 05/25/34...... 4 4 /(h,i,q)/ 1,715 CORPORATE NOTES -- 8.4% Alliance One International, Inc. 10.00% 07/15/16...... 58 61 /(b)/ AMC Entertainment Inc. 8.75% 06/01/19...... 77 79 American Electric Power Company, Inc. (Series C) 5.38% 03/15/10...... 340 343 /(h)/ American Tower Corp. 4.63% 04/01/15...... 88 89 /(b)/
PRINCIPAL AMOUNT VALUE Anheuser-Busch InBev Worldwide Inc. 5.38% 11/15/14.... $ 76 $ 80 /(b)/ 7.20% 01/15/14.... 25 28 /(b)/ 7.75% 01/15/19.... 92 108 /(b)/ Apria Healthcare Group Inc. 11.25% 11/01/14.... 98 108 /(b)/ ARAMARK Corp. 8.50% 02/01/15.... 142 146 Archer-Daniels-Midland Co. 6.45% 01/15/38.... 59 66 Arizona Public Service Co. 6.25% 08/01/16.... 80 85 /(h)/ AT&T Inc. 6.40% 05/15/38.... 26 27 6.70% 11/15/13.... 84 95 Axtel SAB de C.V. 9.00% 09/22/19.... 6 6 /(b)/ Banco do Brasil S.A. 8.50% 10/29/49.... 100 107 /(b)/ Banco Mercantil del Norte S.A. 6.14% 10/13/16.... 12 12 /(i)/ Banco Nacional de Desenvolvimento Economico e Social 6.50% 06/10/19.... 200 215 /(b)/ Bank of America Corp. 5.75% 12/01/17.... 215 220 6.50% 08/01/16.... 85 91 7.38% 05/15/14.... 30 34 Barclays Bank PLC 5.00% 09/22/16.... 100 102 5.20% 07/10/14.... 41 43 Berkshire Hathaway Finance Corp. 5.00% 08/15/13.... 42 45 BlackRock, Inc. 5.00% 12/10/19.... 76 75 Boston Properties LP (REIT) 5.88% 10/15/19.... 60 60 Boston Scientific Corp. 6.00% 01/15/20.... 38 39
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 32 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE Bristol-Myers Squibb Co. 5.88% 11/15/36..... $ 34 $ 35 /(h)/ CA, Inc. 5.38% 12/01/19..... 56 56 6.13% 12/01/14..... 31 34 Calpine Corp. 7.25% 10/15/17..... 5 5 /(b)/ Cantor Fitzgerald LP 7.88% 10/15/19..... 62 61 /(b)/ Cargill Inc. 5.20% 01/22/13..... 215 228 /(b)/ 6.00% 11/27/17..... 1 1 /(b)/ Carolina Power & Light Co. 5.15% 04/01/15..... 40 43 /(h)/ 5.70% 04/01/35..... 20 20 /(h)/ 6.13% 09/15/33..... 3 3 /(h)/ Case New Holland Inc. 7.75% 09/01/13..... 132 135 /(b)/ Cenovus Energy Inc. 4.50% 09/15/14..... 67 69 /(b)/ 6.75% 11/15/39..... 61 67 /(b)/ Central American Bank for Economic Integration 5.38% 09/24/14..... 60 62 /(b)/ Chesapeake Energy Corp. 7.25% 12/15/18..... 144 145 Cincinnati Bell Inc. 8.25% 10/15/17..... 110 112 Citigroup, Inc. 5.00% 09/15/14..... 76 73 5.13% 05/05/14..... 127 126 6.38% 08/12/14..... 150 157 8.50% 05/22/19..... 157 181 City National Capital Trust I 9.63% 02/01/40..... 55 58 Clarendon Alumina Production Ltd. 8.50% 11/16/21..... 100 73 /(b,h)/ CME Group Inc. 5.40% 08/01/13..... 55 59 Comcast Corp. 6.50% 01/15/15..... 61 68
PRINCIPAL AMOUNT VALUE Community Health Systems, Inc. 8.88% 07/15/15........ $ 146 $ 151 Consolidated Edison Company of New York Inc. 5.85% 04/01/18........ 27 29 6.65% 04/01/19........ 15 17 COX Communications Inc. 7.13% 10/01/12........ 17 19 /(h)/ 7.75% 11/01/10........ 70 73 /(h)/ Credit Suisse 6.00% 02/15/18........ 169 177 Credit Suisse First Boston International for CJSC The EXIM of Ukraine 7.65% 09/07/11........ 100 84 CVS Caremark Corp. 5.75% 06/01/17........ 46 49 6.13% 09/15/39........ 90 89 6.60% 03/15/19........ 28 31 DASA Finance Corp. 8.75% 05/29/18........ 102 106 Diageo Capital PLC 5.20% 01/30/13........ 47 50 Diageo Finance BV 3.25% 01/15/15........ 60 60 DirecTV Financing Company Inc. 4.75% 10/01/14........ 84 86 /(b)/ 5.88% 10/01/19........ 70 71 /(b)/ Dolphin Energy Ltd. 5.89% 06/15/19........ 99 100 /(b)/ Dominion Resources, Inc. 5.20% 08/15/19........ 14 14 Dover Corp. 6.50% 02/15/11........ 49 52 /(h)/ Duke Energy Indiana Inc. 6.35% 08/15/38........ 82 90 Ecopetrol S.A. 7.63% 07/23/19........ 20 22 Embraer Overseas Ltd. 6.38% 01/15/20........ 25 25 European Investment Bank 4.88% 01/17/17........ 100 107
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 33 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE Exelon Generation Company LLC 5.20% 10/01/19....... $ 48 $ 48 6.25% 10/01/39....... 76 77 Gaz Capital S.A. 9.25% 04/23/19....... 100 112 Genworth Financial Inc. 8.63% 12/15/16....... 56 58 GlaxoSmithKline Capital Inc. 4.85% 05/15/13....... 119 128 Globo Comunicacao e Participacoes S.A. 7.25% 04/26/22....... 100 105 /(b)/ HCA Inc. 9.25% 11/15/16....... 130 140 HCC Insurance Holdings, Inc. 6.30% 11/15/19....... 30 30 Health Management Associates, Inc. 6.13% 04/15/16....... 132 124 Holcim US Finance Sarl & Cie SCS 6.00% 12/30/19....... 48 50 /(b)/ Host Hotels & Resorts LP (REIT) 9.00% 05/15/17....... 169 183 /(b)/ HSBC Finance Corp. 5.00% 06/30/15....... 226 233 5.70% 06/01/11....... 130 136 6.75% 05/15/11....... 50 53 HSBC Holdings PLC 6.50% 05/02/36....... 200 210 6.80% 06/01/38....... 100 109 IIRSA Norte Finance Ltd. 8.75% 05/30/24....... 115 120 /(b,h)/ Illinois Power Co. 9.75% 11/15/18....... 72 90 Ingles Markets Inc. 8.88% 05/15/17....... 130 135 Inmarsat Finance PLC 7.38% 12/01/17....... 100 102 /(b)/ Intelsat Subsidiary Holding Company Ltd. 8.88% 01/15/15....... 59 61 Intergen N.V. 9.00% 06/30/17....... 449 468 /(b)/
PRINCIPAL AMOUNT VALUE International Business Machines Corp. 7.63% 10/15/18..... $ 100 $ 122 International Paper Co. 7.50% 08/15/21..... 118 132 Johnson & Johnson 5.85% 07/15/38..... 40 43 JPMorgan Chase & Co. 5.13% 09/15/14..... 133 140 6.30% 04/23/19..... 46 51 JPMorgan Chase Bank 5.88% 06/13/16..... 56 59 JPMorgan Chase Capital XXVII 7.00% 11/01/39..... 88 89 KazMunaiGaz Finance Sub BV 11.75% 01/23/15..... 100 121 /(b)/ Kreditanstalt fuer Wiederaufbau 3.50% 03/10/14..... 252 259 4.13% 10/15/14..... 199 209 L-3 Communications Corp. 5.88% 01/15/15..... 67 67 Lincoln National Corp. 8.75% 07/01/19..... 100 114 Majapahit Holding BV 7.25% 10/17/11..... 100 105 /(b)/ 7.75% 10/17/16..... 100 106 /(b)/ 7.75% 01/20/20..... 100 105 McDonald's Corp. 6.30% 03/01/38..... 79 87 Mead Johnson Nutrition Co. 4.90% 11/01/19..... 64 63 /(b)/ Merrill Lynch & Company Inc. 6.05% 08/15/12..... 65 70 6.88% 04/25/18..... 108 116 Midamerican Energy Holdings Co. 6.13% 04/01/36..... 45 46 /(h)/ Morgan Stanley 5.05% 01/21/11..... 200 207 5.63% 09/23/19..... 121 122 7.30% 05/13/19..... 62 70
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 34 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE Munich Re America Corp. (Series B) 7.45% 12/15/26.... $ 55 $ 57 /(h)/ National Agricultural Cooperative Federation 5.00% 09/30/14.... 56 58 /(b)/ Newmont Mining Corp. 5.13% 10/01/19.... 48 48 6.25% 10/01/39.... 92 92 News America Inc. 5.65% 08/15/20.... 43 45 /(b)/ 6.65% 11/15/37.... 83 88 Nexen Inc. 6.20% 07/30/19.... 59 62 7.50% 07/30/39.... 74 85 NGPL Pipeco LLC 7.12% 12/15/17.... 259 286 /(b)/ Nisource Finance Corp. 6.13% 03/01/22.... 56 57 NorthWestern Corp. 5.88% 11/01/14.... 100 104 /(h)/ NRG Energy, Inc. 7.38% 02/01/16.... 130 130 Oracle Corp. 5.00% 07/08/19.... 62 64 Pacific Gas & Electric Co. 5.80% 03/01/37.... 120 122 Pacificorp 6.25% 10/15/37.... 102 110 Pemex Finance Ltd. 9.03% 02/15/11.... 20 21 /(h)/ Petrobras International Finance Co. 5.75% 01/20/20.... 70 71 Petroleos Mexicanos 4.88% 03/15/15.... 70 70 /(b)/ 8.00% 05/03/19.... 15 17 Pfizer Inc. 6.20% 03/15/19.... 8 9 7.20% 03/15/39.... 28 34 Pioneer Natural Resources Co. 7.50% 01/15/20.... 117 117
PRINCIPAL AMOUNT VALUE Plains All American Pipeline LP 4.25% 09/01/12........ $ 92 $ 95 PNC Funding Corp. 4.25% 09/21/15........ 60 61 Potomac Electric Power Co. 7.90% 12/15/38........ 21 27 President and Fellows of Harvard College 5.00% 01/15/14........ 100 107 /(b)/ Principal Financial Group, Inc. 8.88% 05/15/19........ 42 48 Prudential Financial, Inc. 3.63% 09/17/12........ 30 30 5.15% 01/15/13........ 70 74 7.38% 06/15/19........ 62 70 Public Service Company of Colorado 7.88% 10/01/12........ 59 68 /(h)/ QVC Inc. 7.50% 10/01/19........ 51 52 /(b)/ Qwest Communications International Inc. 8.00% 10/01/15........ 61 63 /(b)/ RailAmerica, Inc. 9.25% 07/01/17........ 121 129 Republic Services Inc. 5.50% 09/15/19........ 43 44 /(b)/ Republic Services, Inc. 5.25% 11/15/21........ 55 54 /(b)/ Reynolds Group DL Escrow Inc. 7.75% 10/15/16........ 55 56 /(b)/ Roche Holdings Inc. 6.00% 03/01/19........ 44 48 /(b)/ Royal Bank of Scotland Group PLC 6.40% 10/21/19........ 40 40 Sabine Pass LNG LP 7.25% 11/30/13........ 60 54 7.50% 11/30/16........ 40 33 SBA Telecommunications Inc. 8.00% 08/15/16........ 26 27 /(b)/ 8.25% 08/15/19........ 40 42 /(b)/ Security Benefit Life Insurance 8.75% 05/15/16........ 60 15 /(b)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 35 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE Simon Property Group LP (REIT) 6.75% 05/15/14....... $ 72 $ 77 Southern California Edison Co. 5.50% 08/15/18....... 22 24 Spirit Aerosystems Inc. 7.50% 10/01/17....... 62 61 /(b)/ Talisman Energy Inc. 7.75% 06/01/19....... 44 52 Target Corp. 7.00% 01/15/38....... 49 57 Teachers Insurance & Annuity Association of America 6.85% 12/16/39....... 66 68 /(b)/ Teck Resources Ltd. 10.75% 05/15/19....... 92 110 Telecom Italia Capital S.A. 6.20% 07/18/11....... 99 105 7.18% 06/18/19....... 86 96 Telefonica Emisiones SAU 5.86% 02/04/13....... 375 405 Tesoro Corp. (Series B) 6.63% 11/01/15....... 157 149 The Allstate Corp. 7.45% 05/16/19....... 44 51 The Dow Chemical Co. 5.90% 02/15/15....... 64 69 8.55% 05/15/19....... 32 38 The Goldman Sachs Group, Inc. 5.25% 10/15/13....... 120 127 7.50% 02/15/19....... 102 119 The Potomac Edison Co. 5.35% 11/15/14....... 40 42 /(h)/ The Procter & Gamble Co. 5.50% 02/01/34....... 28 29 The Royal Bank of Scotland PLC 4.88% 08/25/14....... 165 167 /(b)/ The Toledo Edison Company 7.25% 05/01/20....... 30 34 The Travelers Companies, Inc. 5.80% 05/15/18....... 26 28 The Williams Companies, Inc. 7.88% 09/01/21....... 84 96
PRINCIPAL AMOUNT VALUE Thermo Fisher Scientific, Inc. 3.25% 11/18/14........ $ 56 $ 55 /(b)/ Thomson Reuters Corp. 5.95% 07/15/13........ 20 22 Time Warner Cable Inc. 6.75% 07/01/18........ 48 53 7.50% 04/01/14........ 126 145 8.75% 02/14/19........ 26 32 Time Warner Inc. 5.88% 11/15/16........ 80 86 TNK-BP Finance S.A. 6.13% 03/20/12........ 100 103 Transocean Inc. 6.00% 03/15/18........ 68 73 UBS Luxembourg S.A. for OJSC Vimpel Communications 8.00% 02/11/10........ 100 101 United Technologies Corp. 6.13% 07/15/38........ 8 9 UPC Germany GmbH 8.13% 12/01/17........ 100 101 /(b)/ USB Capital XIII Trust 6.63% 12/15/39........ 55 56 Vale Overseas Ltd. 6.88% 11/10/39........ 14 14 Valero Energy Corp. 6.63% 06/15/37........ 81 76 Vedanta Resources PLC 6.63% 02/22/10........ 25 25 Verizon Communications Inc. 6.35% 04/01/19........ 16 18 6.40% 02/15/38........ 40 42 6.90% 04/15/38........ 52 58 8.75% 11/01/18........ 50 62 Verizon Global Funding Corp. 7.25% 12/01/10........ 105 111 Verizon Wireless Capital LLC 5.55% 02/01/14........ 128 139 7.38% 11/15/13........ 184 211 Virgin Media Finance PLC 8.38% 10/15/19........ 100 103 Walgreen Co. 5.25% 01/15/19........ 62 66
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 36 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE WEA Finance LLC 7.50% 06/02/14.... $ 92 $ 104 /(b)/ 6.75% 09/02/19.... 62 67 /(b)/ Westpac Banking Corp. 4.88% 11/19/19.... 112 111 Woodside Finance Ltd. 4.50% 11/10/14.... 98 99 /(b)/ Wyeth 5.50% 03/15/13.... 120 130 XL Capital Ltd. 5.25% 09/15/14.... 133 130 Xstrata Finance Canada Ltd. 5.80% 11/15/16.... 61 62 /(b)/ XTO Energy Inc. 6.38% 06/15/38.... 34 38 6.50% 12/15/18.... 23 26 18,528 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.5% Banc of America Commercial Mortgage Inc. (Class A) 5.66% 06/10/49.... 140 117 Banc of America Commercial Mortgage Inc. (Class C) 5.70% 04/10/49.... 100 22 /(i,q)/ Banc of America Funding Corp. 5.37%** 02/20/36.... 6 -- /(h,i,q)/ 5.60% 03/20/36.... 49 3 /(h,i,q)/ Banc of America Mortgage Securities Inc. (Class B) 5.16% 01/25/36.... 50 3 /(h,i,q)/ Bear Stearns Commercial Mortgage Securities 5.24% 12/11/38.... 45 37 5.33% 02/11/44.... 80 69 5.41% 03/11/39.... 39 40 /(h,i)/ 5.46% 03/11/39.... 50 31 /(i)/ 5.48% 10/12/41.... 145 147 /(h)/ 5.69% 06/11/50.... 120 105 /(i)/ 5.72% 06/11/40.... 60 30 /(i)/ 6.21% 11/11/17.... 70 34 /(i)/
PRINCIPAL AMOUNT VALUE Bear Stearns Commercial Mortgage Securities (Class A) 5.46% 04/12/38........ $ 40 $ 41 /(i)/ 5.54% 10/12/41........ 120 119 5.92% 06/11/50........ 60 43 /(i)/ Bear Stearns Commercial Mortgage Securities (Class D) 5.99% 09/11/42........ 20 4 /(b,i,q)/ Citigroup Commercial Mortgage Trust (Class A) 5.62% 10/15/48........ 140 133 Credit Suisse Mortgage Capital Certificates 5.47% 09/15/39........ 128 110 /(h)/ Credit Suisse Mortgage Capital Certificates (Class C) 5.65% 02/25/36........ 24 2 /(h,i,q)/ CS First Boston Mortgage Securities Corp. 0.65% 07/15/37........ 863 12 /(b,h,i,q)/ 5.34% 10/25/35........ 44 3 /(h,i,q)/ Greenwich Capital Commercial Funding Corp. 5.44% 03/10/39........ 80 71 5.60% 12/10/49........ 130 129 GS Mortgage Securities Corp II 5.56% 11/10/39........ 90 79 Indymac INDA Mortgage Loan Trust 5.22% 01/25/36........ 99 1 /(h,i,q)/ Indymac INDA Mortgage Loan Trust (Class B) 5.22% 01/25/36........ 99 6 /(h,i,q)/ JP Morgan Chase Commercial Mortgage Securities Corp. 5.34% 08/12/37........ 90 89 /(i)/ 5.50% 06/12/47........ 30 13 /(i)/ 6.07% 02/12/51........ 150 118 6.20% 02/12/51........ 30 5 /(b,i,q)/ JP Morgan Chase Commercial Mortgage Securities Corp. (Class A) 5.90% 02/12/51........ 120 87 /(i)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 37 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE LB-UBS Commercial Mortgage Trust 0.72% 01/18/12..... $ 1,077 $ 12 /(h,i,q)/ 1.00% 01/15/36..... 465 21 /(b,d,h,q)/ 4.95% 09/15/30..... 50 48 5.87% 09/15/45..... 150 132 /(i)/ 6.15% 04/15/41..... 20 12 LB-UBS Commercial Mortgage Trust (Class B) 6.65% 07/14/16..... 26 27 /(b,h,q)/ LB-UBS Commercial Mortgage Trust (Class F) 6.24% 07/15/40..... 50 8 /(i,q)/ LB-UBS Commercial Mortgage Trust (Class X) 0.50% 12/15/39..... 912 11 /(b,h,i,q)/ MASTR Alternative Loans Trust 5.00% 08/25/18..... 34 3 /(g,h,q,r)/ MLCC Mortgage Investors Inc. 5.04% 02/25/36..... 50 2 /(h,i,q)/ Morgan Stanley Capital I 5.16% 10/12/52..... 100 98 /(i)/ 5.28% 12/15/43..... 58 59 /(h)/ 5.33% 12/15/43..... 58 54 /(h)/ 5.36% 11/12/41..... 230 189 5.39% 11/12/41..... 162 91 /(h,i)/ 5.44% 02/12/44..... 350 346 /(b)/ 5.69% 04/15/49..... 150 126 /(i)/ 5.71% 07/12/44..... 100 100 /(h)/ Morgan Stanley Capital I (Class A) 1.00% 03/12/44..... 130 125 /(i)/ Opteum Mortgage Acceptance Corp. 0.53% 02/25/35..... 122 79 /(h,i)/ Residential Accredit Loans Inc. 6.00% 01/25/36..... 179 4 /(h,q)/ Structured Asset Securities Corp. (Class X) 2.17%** 02/25/28..... 54 -- /(i,q)/ Wachovia Bank Commercial Mortgage Trust 5.25% 12/15/43..... 80 77
PRINCIPAL AMOUNT VALUE Wachovia Bank Commercial Mortgage Trust (Class A) 5.99% 06/15/45............ $ 30 $ 18 /(i)/ Wells Fargo Mortgage Backed Securities Trust 5.50% 01/25/36 - 03/25/36. 194 25 /(h,q)/ 3,370 SOVEREIGN BONDS -- 0.5% Government of Argentina 2.50% 12/31/38............ 12 4 Government of Belize 4.25% 02/20/29............ 12 6 /(j)/ Government of Brazil 8.00% 01/15/18............ 37 42 Government of Colombia 7.38% 09/18/37............ 100 109 Government of Croatia 6.75% 11/05/19............ 100 108 /(b)/ Government of Dominican 9.50% 09/27/11............ 49 51 Government of Indonesia 11.63% 03/04/19............ 100 144 /(b)/ Government of Korea 5.75% 04/16/14............ 20 22 Government of Lebanon 4.00% 12/31/17............ 10 9 /(a)/ Government of Manitoba Canada 4.90% 12/06/16............ 60 63 /(h)/ Government of Panama 6.70% 01/26/36............ 55 58 Government of Peruvian 6.55% 03/14/37............ 81 84 Government of Philippines 6.50% 01/20/20............ 100 108 Government of Poland 6.38% 07/15/19............ 20 22 Government of Quebec Canada 7.50% 09/15/29............ 90 113 Government of Uruguay 6.88% 09/28/25............ 20 20
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 38 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009
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PRINCIPAL AMOUNT VALUE Government of Venezuela 5.38% 08/07/10..... $ 74 $ 72 10.75% 09/19/13..... 33 29 Republic of Lithuania 6.75% 01/15/15..... 100 102 /(b)/ 1,166 MUNICIPAL BONDS AND NOTES -- 0.1% American Municipal Power-Ohio Inc. 6.05% 02/15/43..... 48 45 Dallas Area Rapid Transit 6.00% 12/01/44..... 40 41 New Jersey State Turnpike Authority 7.41% 01/01/40..... 20 22 New Jersey Transportation Trust Fund Authority 6.88% 12/15/39..... 15 15 123 TOTAL BONDS AND NOTES (COST $49,393)............... 49,229
NUMBER OF SHARES VALUE ------------------------------------------------------------- EXCHANGE TRADED FUNDS -- 0.5% ------------------------------------------------------------- Financial Select Sector SPDR Fund...................... 197,287 197 /(o)/ Industrial Select Sector SPDR Fund...................... 827,197 827 /(o)/ TOTAL EXCHANGE TRADED FUNDS (COST $1,309).................. 1,024 ------------------------------------------------------------- OTHER INVESTMENTS -- 0.1% ------------------------------------------------------------- GEI Investment Fund (COST $271).................... 206 /(k)/ TOTAL INVESTMENTS IN SECURITIES (COST $180,653)................ 184,547
VALUE SHORT-TERM INVESTMENTS -- 16.3% ---------------------------------------------------------------- GE Money Market Fund Institutional Class 0.01%......................... $ 35,925 /(d,p)/ (COST $35,925) TOTAL INVESTMENTS (COST $216,578).............. 220,472 OTHER ASSETS AND LIABILITIES, NET -- 0.1%.................. 182 --------- NET ASSETS -- 100.0%.......... $ 220,654 =========
- -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The Elfun Diversified Fund had the following long futures contracts open at December 31, 2009 :
NUMBER CURRENT EXPIRATION OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ---------------------------------------------------------------- DJ Euro Stoxx 50 Index Futures March 2010 7 $ 298 $ 5 FTSE 100 Index Futures March 2010 2 173 4 Russell 2000 Mini Index Futures March 2010 72 4,492 135 S&P 500 EMini Index Futures March 2010 262 14,550 153 S&P Midcap 400 Emini Index Futures March 2010 1 72 2 Topix Index Futures March 2010 1 97 --
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 39 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] The Elfun Diversified Fund had the following short futures contracts open at December 31, 2009 :
NUMBER CURRENT EXPIRATION OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ----------------------------------------------------------------- 2 Yr. U.S.Treasury Notes Futures March 2010 3 $ (649) $ 3 5 Yr. U.S.Treasury Notes Futures March 2010 2 (229) 5 10 Yr. U.S.Treasury Notes Futures March 2010 25 (2,886) 67 ------- $ 374 =======
The Elfun Diversified Fund was invested in the following countries at December 31, 2009 : (unaudited) COUNTRY PERCENTAGE (BASED ON MARKET VALUE) - ---------------------------------------------- United States 69.02% United Kingdom 4.69% Japan 3.58% France 3.16% Switzerland 3.12% Germany 2.48% Canada 2.05% Brazil 1.70% China 1.25% South Korea 1.08% Spain 1.04% Taiwan 0.88% Netherlands 0.68% Italy 0.61% Australia 0.60% Russia 0.47% South Africa 0.35% India 0.33% Luxembourg 0.30% Hong Kong 0.30% Ireland 0.21% Mexico 0.21% Indonesia 0.20% Cayman Islands 0.18% Sweden 0.15%
Chile 0.14% Turkey 0.10% Denmark 0.10% Philippines 0.10% Finland 0.10% Peru 0.09% Singapore 0.07% Colombia 0.06% Israel 0.05% Croatia 0.05% Czech Republic 0.05% Lithuania 0.05% Venezuela 0.05% United Arab Emirates 0.05 Egypt 0.04% Jamaica 0.03% Kazakhstan 0.03% Malaysia 0.03% Austria 0.03% Honduras 0.03% Bermuda 0.03% Panama 0.03% Dominican Republic 0.02% Thailand 0.02% Poland 0.01% -- 100.00% ======
The Elfun Diversified Fund was invested in the following industries at December 31, 2009 : INDUSTRIES PERCENTAGE (BASED ON MARKET VALUE) - ------------------------------------------------- Short-Term 16.29% Corporate Notes 8.40% Agency Mortgage Backed 5.54% U.S. Treasuries 4.91% Commercial Banks 4.54% Oil, Gas & Consumable Fuels 4.30% Capital Markets 2.86% Metals & Mining 2.44% Communications Equipment 2.35% Insurance 2.32%
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 40 ELFUN DIVERSIFIED FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] Pharmaceuticals 2.31% Chemicals 2.05% Software 1.94% Healthcare Equipment & Supplies 1.92% Wireless Telecommunication Services 1.91% Semiconductors & Semiconductor Equipment 1.8 Media 1.81% Specialty Retail 1.74% Energy Equipment & Services 1.65% Food Products 1.64% Non-Agency Collateralized Mortgage Obligations Diversified Financial Services 1.49% Biotechnology 1.44% IT Services 1.38% Healthcare Providers & Services 1.19% Commercial Services & Supplies 1.08% Industrial Conglomerates 1.05% Electric Utilities 1.02% Beverages 0.99% Aerospace & Defense 0.97% Household Products 0.97% Computers & Peripherals 0.92% Multi-Utilities 0.88% Food & Staples Retailing 0.79% Asset Backed 0.78% Internet Software & Services 0.75% Real Estate Management & Development 0.71% Diversified Telecommunication Services 0.71% Automobiles 0.70% Machinery 0.68% Life Sciences Tools & Services 0.67% Agency Collateralized Mortgage Obligations 0 Electrical Equipment 0.53% Sovereign Bonds 0.53% Multiline Retail 0.51% Construction & Engineering 0.50% Exchange Traded Fund 0.46% Personal Products 0.42% Hotels Restaurants & Leisure 0.40% Electronic Equipment, Instruments & Components Textiles Apparel & Luxury Goods 0.36% Construction Materials 0.21% Tobacco 0.18%
Professional Services 0.17% Household Durables 0.16% Building Products 0.16% Road & Rail 0.12% Water Utilities 0.12% Real Estate Investment Trusts (REIT's) 0.11 Thrifts & Mortgage Finance 0.11% Trading Companies & Distributors 0.10% Other Investments 0.09% Paper & Forest Products 0.08% Gas Utilities 0.07% Auto Components 0.06% Municipal Bonds and Notes 0.06% Marine 0.04% Transportation Infrastructure 0.02% Independent Power Producers & Energy Traders -- 100.00% ======
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 41 [GRAPHIC] [PHOTO] Michael J.Caufield The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See portfolio managers' biographical information beginning on page 109. Q.HOW DID THE ELFUN TAX-EXEMPT INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009? A.For the twelve-month period ended December 31, 2009, the Elfun-Tax-Exempt Fund returned 13.64%. The Barclays Capital Municipal Bond Index, the Fund's benchmark, returned 12.91% and the Fund's Morningstar peer group of 271 US Muni National Long funds returned an average of 17.31% for the same period. Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A.The municipal bond market returns over the last twelve months reflected a dramatic turnaround in investor sentiment. The return of the retail investor, awakened by the realization of higher personal tax rates on both the state and federal level was a central theme in the municipal bond market resurgence over the last twelve months. As a result, tax-exempt mutual funds reported net inflows of more than $405 billion, growing assets by more than 34%. This tsunami of cash pushed a market with limited supply to the best return for the decade. As state and local entities continued to struggle to balance their budgets, given lower than expected tax revenues and years of unconstrained spending, the ability to provide essential services was seriously challenged. The federal government, as a result, focused a significant part of its economic stimulus efforts on municipalities. The American Investment and Recovery Act passed in early 2009 created the Build America Bond (BAB) program, which provided federal subsidies to municipalities issuing bonds in the taxable market. A new source of financing for issuers translated into significant borrowing cost savings enabling many to relieve financial stress. By diverting new issuance away from tax-exempt investors however, an acute supply/demand imbalance developed, driving double-digit returns and pushing municipal bond yields to their lowest level since 1967. Historically attractive relative value attracted broad based demand, which, driven by renewed investor confidence and an increased tolerance for risk, contributed to rapid price recovery. Q.WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009 AND HOW WAS THE FUND POSITIONED WITH RESPECT TO ECONOMIC CONDITIONS? A.The overriding factor impacting the U.S. economy over the last twelve months has been the efforts of the federal government to stabilize the nation's financial system amid a global financial meltdown and direct an economic recovery. While the Federal Reserve and Treasury aggressively moved to stabilize 42 [GRAPHIC] financial markets, a new administration faced challenges unseen for several generations. Despite a concerted effort to lower short-term interest rates, the municipal bond market along with most fixed income markets, struggled to overcome liquidity issues, which reeked havoc throughout 2008. The restoration of confidence in worldwide credit markets took a foothold in early 2009 and the municipal bond market responded positively. Structure clearly was a winning formula for the Fund returns over the last twelve months as our approach, based upon a long-term perspective, delivered. By maintaining a highly rated and liquid portfolio the Fund weathered the storm in late 2008 and was well positioned early in 2009 to take advantage of a historically steep yield curve. Curve positioning as a result played a significant role in Fund returns for the year. While the Fund continued to benefit from its laddered approach to curve positioning, and maintained reliance upon a pre-refunded debt component for income stability, we selectively adjusted our risk exposure adding securities that would allow the Fund to participate in a move to a lower rate environment. The Fund was repositioned favoring the 20-30 year curve segment, which was the best returning sector in the Barclay Municipal Bond Index, contributing a 23% return over the last twelve months The Fund, by extending its risk profile and adding exposure on the long end of the curve early in the year, was able to benefit from the ensuing migration of investors fleeing the paltry yields offered by money market funds. Our adherence to strict credit underwriting standards afforded confidence through one of the most challenging period in municipal market history in 2008, allowing the Fund to exhibit patience in our maintaining exposure in the healthcare sector. Increased investor tolerance for risk contributed to an expected compression of quality spreads in 2009 and resurgence in the healthcare sector provided a significant enhancement to Fund returns. The hospital sector was the best returning sector in the Fund returning in excess of 32%. In general however, we believe the Fund returns continued to exhibit qualities associated with a long term, conservative investment approach, which has been validated throughout several interest rate cycles. Fund returns have exceeded 92% of its peer group's return for three years, 95% for five years and 97% for ten years. 43 [GRAPHIC] Understanding Your Fund's Expenses As a shareholder of the Fund you incur ongoing expenses, which include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2009. ACTUAL EXPENSES The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2009 - DECEMBER 31, 2009
----------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* ----------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,058.01 0.93 ----------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,024.01 0.92 -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.18% (for the period between July 1, 2009 - December 31, 2009), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). **Actual Fund Return for the six-month period ended December 31, 2009 was: 5.80%. 44 [GRAPHIC] CHANGE IN VALUE OF A $10,000 INVESTMENT [CHART] AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2009 - --------------------------------------------------------------------------------
FIVE TEN ONE YEAR YEAR YEAR - -------------------------------------- Elfun Tax-Exempt Income Fund 13.64% 4.38% 5.78% Barclays Capital U.S. Municipal Bond Index 12.91% 4.32% 5.75%
[GRAPHIC] INVESTMENT PROFILE A Mutual Fund designed for investors who seek as high a level of current interest income exempt from federal income taxation as is available from concentration of investment in municipal bonds consistent with prudent investment management and the preservation of capital by investing primarily in investment-grade municipal securities. Under normal circumstances, the portfolio manager manages the Fund so that at least 80% of the Fund's income is exempt from both regular federal income taxes and the federal alternative minimum tax. MORNINGSTAR PERFORMANCE COMPARISON US OE Muni National Long Peer Group Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN YEAR YEAR YEAR Fund's Rank in peer group.............. 211 16 9 Number of funds in peer group.......... 272 233 203 Peer group average annual total return. 17.31% 3.07% 4.72% Morningstar Category in peer group: Muni National Long
QUALITY RATINGS AS OF DECEMBER 31, 2009 AS A % OF MARKET VALUE - --------------------------------------------------------------------------------
PERCENTAGE OF MOODY'S/S&P/ FITCH RATING* MARKET VALUE - ----------------------------------------- Aaa/AAA 28.43% - ----------------------------------------- Aa/AA 38.59% - ----------------------------------------- A/A 24.49% - ----------------------------------------- Below A 8.49% - ----------------------------------------- 100.00% - -----------------------------------------
*Moody's Investors Services Inc, Standard & Poor's and Fitch are nationally recognized statistical rating organizations. SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. 45 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] ELFUN TAX-EXEMPT INCOME FUND Portfolio Composition as a % of the Market Value of $1,774,453 as of December 31, 2009. [CHART]
PRINCIPAL AMOUNT VALUE MUNICIPAL BONDS -- 99.5%+ -------------------------------------------------------------- ALABAMA -- 1.5% Alabama Water Pollution Control Authority (AMBAC Insured) 4.75% 08/15/21.............. $ 5,000 $ 5,001 /(n)/ City of Birmingham 5.25% 05/01/17.............. 3,395 3,618 East Alabama Health Care Authority 5.00% 09/01/33.............. 5,500 5,694 Montgomery BMC Special Care Facilities Financing Authority 5.00% 11/15/20.............. 8,375 9,499 /(m)/ Montgomery Medical Clinic Board 5.25% 03/01/31 - 03/01/36... 3,000 2,680 26,492 ALASKA -- 0.2% City of Anchorage 6.50% 12/01/10 2,825 2,976
PRINCIPAL AMOUNT VALUE ARIZONA -- 2.7% Arizona State Transportation Board 5.00% 07/01/19.............. $ 5,345 $ 5,925 Arizona State University (FSA Insured) 5.25% 07/01/15.............. 5,000 5,440 /(n)/ City of Phoenix 5.00% 07/01/19.............. 5,000 5,606 Glendale Western Loop 101 Public Facilites Corp. 6.25% 07/01/38.............. 10,000 10,666 Maricopa County Industrial Development Authority 5.50% 07/01/26.............. 5,000 5,081 Maricopa County Stadium District (AMBAC Insured) 5.38% 06/01/16.............. 2,145 2,274 /(n)/ Phoenix Civic Improvement Corp. 5.00% 07/01/39.............. 3,500 3,590 Phoenix Civic Improvement Corp. (FGIC Insured) 5.50% 07/01/23 - 07/01/24... 7,260 8,539 /(n)/ University Medical Center Corp. 6.50% 07/01/39.............. 1,000 1,056 48,177 CALIFORNIA -- 8.0% Abag Finance Authority for Nonprofit Corps 5.00% 12/01/37.............. 7,940 6,970 Bay Area Toll Authority 5.00% 04/01/31 - 04/01/34... 15,000 15,266 California Educational Facilities Authority 5.00% 10/01/39.............. 7,000 7,276 5.25% 10/01/39.............. 6,000 6,344 California Health Facilities Financing Authority 5.00% 08/15/39.............. 8,500 7,742 6.00% 07/01/39.............. 5,000 5,285 6.50% 10/01/33.............. 3,500 3,910
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 46 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE California State Public Works Board 5.00% 10/01/21.............. $ 9,000 $ 8,735 6.00% 04/01/26.............. 8,475 8,612 Chino Basin Regional Financing Authority (AMBAC Insured) 5.00% 11/01/38.............. 3,000 2,851 /(n)/ Coast Community College District (FSA Insured) 5.00% 08/01/33.............. 8,750 6,743 /(d,n)/ Foothill-De Anza Community College District (AMBAC Insured) 4.50% 08/01/31.............. 5,000 4,710 /(n)/ Los Angeles Department of Water & Power (AMBAC Insured) 5.00% 07/01/32.............. 5,000 5,138 /(n)/ Los Angeles Harbor Department 5.00% 08/01/26.............. 8,000 8,442 Metropolitan Water District of Southern California 5.00% 07/01/35.............. 5,000 5,153 San Diego Unified School District (FSA Insured) 5.25% 07/01/17 - 07/01/19... 8,795 9,880 /(n)/ San Francisco Bay Area Transit Financing Authority 5.00% 08/01/27.............. 5,000 5,354 San Francisco City & County Airports Commission 5.25% 05/01/26.............. 3,000 3,114 San Francisco City & County Public Utilities Commission 5.00% 11/01/39.............. 14,040 14,147 University of California (AMBAC Insured) 5.00% 05/15/34.............. 6,000 6,375 /(n)/ 142,047 COLORADO -- 1.0% Colorado Water Resources & Power Development Authority 5.25% 09/01/17 - 09/01/18... 5,880 6,239
PRINCIPAL AMOUNT VALUE E-470 Public Highway Authority 5.75% 09/01/35............. $ 4,000 $ 4,215 /(m)/ University of Colorado Hospital Authority 5.25% 11/15/39............. 7,000 6,784 17,238 CONNECTICUT -- 1.2% Connecticut State Health & Educational Facility Authority 5.00% 07/01/42............. 5,000 5,214 Mashantucket Western Pequot Tribe 5.70% 09/01/12............. 2,500 1,480 /(b)/ South Central Regional Water Authority 5.00% 08/01/27............. 3,000 3,139 State of Connecticut 5.00% 11/01/26............. 10,000 10,783 20,616 DELAWARE -- 0.6% County of New Castle 5.00% 07/15/33 - 07/15/39 10,000 10,651 DISTRICT OF COLUMBIA -- 1.5% District of Columbia 5.50% 04/01/36............. 15,000 16,050 5.75% 09/15/20............. 5,000 5,068 District of Columbia Water & Sewer Authority 5.25% 10/01/29............. 5,000 5,335 26,453 FLORIDA -- 3.1% Brevard County Health Facilities Authority 5.00% 04/01/34............. 2,500 2,278 7.00% 04/01/39............. 1,000 1,097 City of Tampa 5.00% 10/01/26............. 5,000 5,102 County of Seminole 5.00% 10/01/25............. 8,195 8,595
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 47 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Florida State Board of Education 5.38% 06/01/16.............. $ 5,000 $ 5,414 Hillsborough County Industrial Development Authority 5.00% 10/01/18.............. 5,000 5,064 5.25% 10/01/15 - 10/01/24... 10,630 10,822 Jacksonville Econonomic Development Commission 5.50% 11/15/36.............. 5,000 5,108 North Broward Hospital District 5.70% 01/15/16.............. 1,915 2,038 /(m)/ South Miami Health Facilities Authority 5.25% 11/15/33.............. 6,380 7,181 /(m)/ Tampa Bay Water Regional Water Supply Authority 5.00% 10/01/38.............. 3,000 3,112 55,811 GEORGIA -- 6.8% Athens-Clarke County 5.50% 01/01/38.............. 7,000 7,588 Athens-Clarke County Unified Government Development Authority 6.00% 06/15/31.............. 6,050 4,968 /(d)/ City of Atlanta (FSA Insured) 5.25% 01/01/33.............. 4,000 4,064 /(n)/ 5.75% 11/01/27.............. 5,000 5,596 /(n)/ City of Augusta (FSA Insured) 5.25% 10/01/34.............. 8,500 8,765 /(n)/ County of Fulton GA (FGIC Insured) 5.00% 01/01/30.............. 5,000 5,134 /(n)/ 5.25% 01/01/35.............. 5,500 5,647 /(n)/ De Kalb County (FSA Insured) 5.25% 10/01/32.............. 15,000 17,330 /(n)/ DeKalb Newton & Gwinnett Counties Joint Development Authority 6.00% 07/01/34.............. 8,500 9,243 Fayette County School District (FSA Insured) 0.93% 03/01/23.............. 2,290 2,312 /(d,n)/
PRINCIPAL AMOUNT VALUE 0.97% 03/01/22............. $ 2,520 $ 2,548 /(d,n)/ Henry County Hospital Authority 5.00% 07/01/24............. 1,865 1,938 Marietta Development Authority 5.00% 09/15/29............. 2,365 2,213 Metropolitan Atlanta Rapid Transit Authority 5.00% 07/01/39............. 10,000 10,320 Municipal Electric Authority of Georgia 5.25% 01/01/19............. 2,490 2,761 Private Colleges & Universities Authority 5.25% 06/01/18 - 06/01/20.. 5,250 5,600 6.00% 06/01/21............. 2,410 2,286 6.50% 11/01/15............. 4,010 4,713 /(l)/ South Regional Joint Development Authority 4.50% 08/01/39............. 2,650 2,513 State of Georgia 4.50% 01/01/29............. 4,500 4,762 5.00% 08/01/22 - 01/01/26.. 9,250 10,342 120,643 HAWAII -- 1.3% City & County of Honolulu 6.00% 01/01/12............. 1,265 1,391 City & County of Honolulu HI 5.00% 04/01/33............. 13,320 14,034 6.00% 01/01/12............. 735 812 /(l)/ State of Hawaii (FSA Insured) 5.75% 02/01/14............. 6,500 7,598 /(n)/ 23,835 IDAHO -- 1.7% Idaho Health Facilities Authority 6.75% 11/01/37............. 4,000 4,342 Idaho Housing & Finance Assoc. 5.00% 07/15/17 - 07/15/24.. 23,925 26,192 30,534 ILLINOIS -- 2.6% County of Cook (AMBAC Insured) 5.50% 11/15/26............. 10,000 11,307 /(m,n)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 48 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Illinois Educational Facilities Authority 5.00% 12/01/38........ $ 4,960 $ 5,090 Illinois Finance Authority 5.50% 08/15/43........ 5,000 5,851 /(m)/ Illinois Health Facilities Authority 6.13% 11/15/22........ 3,500 3,671 /(m)/ Metropolitan Pier & Exposition Authority 1.66% 06/15/19........ 4,000 3,884 /(d)/ 2.90% 06/15/22........ 4,505 3,587 /(d)/ Southwestern Illinois Development Authority 5.00% 10/01/21........ 4,000 4,411 University of Illinois (FGIC Insured) 5.25% 04/01/32........ 8,500 8,872 /(n)/ 46,673 INDIANA -- 3.2% County of St. Joseph IN 5.00% 03/01/36........ 10,000 10,449 Delaware County Hospital Authority 5.25% 08/01/36........ 3,250 2,545 Indiana Finance Authority 4.95% 10/01/40........ 5,000 4,794 Indiana Health & Educational Facilities Financing Authority 5.25% 02/15/40........ 10,000 9,355 Indiana Health Facility Financing Authority (AMBAC Insured) 5.38% 03/01/34........ 5,500 5,430 /(n)/ Indiana Municipal Power Agency 5.00% 01/01/42........ 6,150 6,219 Indiana Municipal Power Agency/IN 5.50% 01/01/27........ 2,500 2,747 5.75% 01/01/34........ 2,000 2,082 Indianapolis Local Public Improvement Bond Bank 5.75% 01/01/38........ 7,000 7,449
PRINCIPAL AMOUNT VALUE Merrillville Multi School Building Corp. 5.25% 07/15/28............. $ 5,000 $ 5,128 56,198 KANSAS -- 0.6% Kansas Development Finance Authority 5.50% 11/15/29............. 3,000 3,076 5.75% 11/15/38............. 2,000 2,059 University of Kansas Hospital Authority 5.63% 09/01/32............. 4,150 4,647 /(m)/ 9,782 KENTUCKY -- 2.4% Kentucky State Property & Buildings Commission 5.25% 02/01/27 - 02/01/29.. 19,745 21,355 Kentucky Turnpike Authority (AMBAC Insured) 5.00% 07/01/26............. 5,000 5,271 /(n)/ Louisville & Jefferson County Metropolitan Government 5.25% 10/01/36............. 17,000 16,044 42,670 LOUISIANA -- 1.4% Louisiana Public Facilities Authority 5.25% 07/01/33............. 10,925 10,780 5.38% 05/15/16............. 7,870 8,945 /(m)/ Parish of St. John Baptist 5.13% 06/01/37............. 5,550 4,934 24,659 MAINE -- 0.6% Maine Health & Higher Educational Facilities Authority 5.13% 07/01/31............. 5,000 5,340 Maine Health & Higher Educational Facilities Authority (FSA Insured) 5.50% 07/01/23............. 55 55 /(n)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 49 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Maine Municipal Bond Bank 5.50% 11/01/21............. $ 3,325 $ 3,617 /(m)/ Maine Turnpike Authority 6.00% 07/01/34............. 1,250 1,401 10,413 MARYLAND -- 3.3% County of Montgomery MD 5.00% 11/01/17............. 8,350 9,753 County of Prince Georges 5.00% 10/01/22............. 6,820 7,775 /(m)/ Maryland Health & Higher Educational Facilities Authority 5.00% 07/01/32 - 07/01/34.. 13,300 13,435 5.13% 11/15/34 - 07/01/39.. 9,200 10,214 /(m)/ University System of Maryland 5.25% 04/01/17............. 8,035 8,764 /(m)/ Washington Suburban Sanitation District 4.50% 06/01/26............. 8,470 8,980 58,921 MASSACHUSETTS -- 4.4% Massachusetts Health & Educational Facilities Authority 5.00% 07/01/34 - 07/15/35.. 22,000 22,270 5.38% 08/15/38............. 2,000 2,135 5.50% 11/15/36............. 4,000 4,437 5.75% 07/01/39............. 8,000 7,874 Massachusetts State Turnpike Authority 5.13% 01/01/23 - 01/01/37.. 20,500 20,611 Massachusetts Water Resources Authority 5.00% 08/01/39............. 4,000 4,189 6.50% 07/15/19............. 14,125 17,217 /(l)/ 78,733 MICHIGAN -- 2.3% Detroit MI 5.00% 07/01/27 - 07/01/33.. 12,145 11,978
PRINCIPAL AMOUNT VALUE Detroit MI (FSA Insured) 5.25% 07/01/21 - 07/01/22.. $ 4,545 $ 4,888 /(n)/ Grand Rapids MI (FGIC Insured) 5.25% 01/01/17............. 3,000 3,066 /(n)/ Michigan Municipal Bond Authority 5.25% 10/01/17............. 6,465 6,911 Michigan State Hospital Finance Authority 5.38% 12/01/30............. 2,000 2,022 State of Michigan 5.50% 11/01/18............. 6,000 6,796 State of Michigan (FSA Insured) 5.25% 09/15/27............. 5,000 5,258 /(n)/ 40,919 MISSISSIPPI -- 0.5% State of Mississippi 5.50% 09/01/14 7,500 8,762 MISSOURI -- 0.6% Missouri Joint Municipal Electric Utility Commission 5.75% 01/01/29............. 4,500 4,792 Missouri State Environmental Improvement & Energy Resources Authority 5.00% 01/01/24............. 5,000 5,371 10,163 NEVADA -- 0.5% County of Clark 5.50% 07/01/20............. 7,565 7,757 /(m)/ Las Vegas Special Improvement District No 707 (FSA Insured) 5.55% 06/01/16............. 1,710 1,731 /(n)/ 9,488 NEW JERSEY -- 9.5% Cape May County Municipal Utilities Authority (FSA Insured) 5.75% 01/01/15 - 01/01/16.. 8,500 9,994 /(n)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 50 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Essex County Improvement Authority (FSA Insured) 5.25% 12/15/17............. $ 10,000 $ 10,905 /(m,n)/ New Jersey Economic Development Authority 5.50% 12/15/29............. 5,000 5,535 5.75% 06/15/29............. 3,000 2,941 New Jersey St Higher Education Assistance Authority 5.63% 06/01/30............. 7,500 8,011 New Jersey State Educational Facilities Authority 5.25% 07/01/32............. 2,625 2,976 /(m)/ 6.00% 12/01/17............. 10,000 10,870 New Jersey State Turnpike Authority 5.25% 01/01/40............. 15,000 15,455 New Jersey State Turnpike Authority (AMBAC Insured) 6.50% 01/01/16 - 01/01/16.. 49,960 58,630 /(l,n)/ New Jersey Transportation Trust Fund Authority 5.50% 06/15/19 - 06/15/24.. 31,280 35,961 /(m)/ New Jersey Transportation Trust Fund Authority (FSA Insured) 5.75% 12/15/14............. 6,000 7,134 /(n)/ 168,412 NEW MEXICO -- 1.5% New Mexico Finance Authority 5.00% 12/15/26............. 14,000 15,078 New Mexico Hospital Equipment Loan Council 5.50% 08/01/25 - 08/01/30.. 10,750 11,655 /(m)/ 26,733 NEW YORK -- 8.1% Albany Industrial Development Agency 5.25% 11/15/27 - 11/15/32.. 6,500 6,076 Brooklyn Arena Local Development Corp. 6.00% 07/15/30............. 4,500 4,552 6.25% 07/15/40............. 5,000 5,057
PRINCIPAL AMOUNT VALUE City of New York 5.25% 08/01/13............. $ 5 $ 5 Long Island Power Authority 6.00% 05/01/33............. 7,500 8,415 Metropolitan Transportation Authority 5.00% 11/15/34............. 10,500 10,863 New York City Industrial Development Agency 5.00% 03/01/36............. 4,000 3,729 New York City Industrial Development Agency (FGIC Insured) 5.00% 03/01/46............. 6,000 5,453 /(n)/ New York City Municipal Water Finance Authority 4.50% 06/15/38............. 5,000 4,844 New York City Transitional Finance Authority 5.50% 11/15/11 - 07/15/31.. 16,250 17,122 6.00% 11/15/19............. 3,750 3,866 /(m)/ New York State Dormitory Authority 0.62% 07/01/39............. 4,000 3,458 /(d)/ 5.00% 03/15/25 - 07/01/39.. 19,260 20,166 5.25% 11/15/23............. 10,400 11,315 5.38% 07/01/20............. 3,695 4,116 /(m)/ 5.50% 05/01/37............. 2,500 2,496 6.50% 08/15/10 - 12/01/21.. 7,995 8,102 /(l)/ New York State Urban Development Corp. 5.50% 07/01/16 - 01/01/19.. 12,405 13,596 Triborough Bridge & Tunnel Authority 5.00% 11/15/26............. 10,000 10,739 143,970 NORTH CAROLINA -- 2.6% Cary NC 5.00% 03/01/21............. 2,400 2,519 City of Charlotte 5.00% 07/01/24 - 07/01/38.. 6,460 6,813 City of Charlotte NC 5.00% 07/01/15 - 07/01/38.. 18,440 20,436
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 51 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE North Carolina Capital Facilities Finance Agency 5.00% 01/01/38............... $ 1,000 $ 1,049 North Carolina Eastern Municipal Power Agency 5.00% 01/01/26............... 5,000 5,116 North Carolina Medical Care Commission 5.00% 06/01/42............... 3,000 2,967 North Carolina Municipal Power Agency No 1 Catawba 5.00% 01/01/30............... 3,195 3,262 State of North Carolina 4.63% 05/01/29............... 1,500 1,544 University of North Carolina System 5.00% 10/01/18............... 2,750 2,990 46,696 OHIO -- 4.6% American Municipal Power-Ohio Inc. 5.00% 02/15/38............... 5,000 5,026 City of Cleveland 5.00% 01/01/27............... 9,885 10,057 City of Columbus 4.75% 06/01/31............... 5,000 5,176 City of Columbus OH 4.50% 06/01/32............... 700 710 County of Cuyahoga 6.00% 01/01/32............... 10,000 10,323 County of Franklin 5.00% 05/15/21............... 2,685 2,752 5.25% 05/15/24............... 1,400 1,435 County of Hamilton 5.00% 12/01/19............... 4,250 4,501 County of Hamilton (AMBAC Insured) 5.25% 12/01/32............... 7,500 7,768 /(m,n)/ Cuyahoga Community College District 5.00% 08/01/26 - 08/01/27.... 3,000 3,171 Kent State University Revenues 5.00% 05/01/29 - 05/01/30.... 3,420 3,542
PRINCIPAL AMOUNT VALUE Ohio St Higher Educational Facility Commission 5.20% 11/01/26...... $ 9,450 $ 10,313 /(m)/ 6.25% 05/01/38...... 5,000 5,324 Ohio State University 5.25% 12/01/11...... 3,150 3,410 Ohio State Water Development Authority 5.50% 12/01/20...... 5,000 5,664 /(m)/ State of Ohio 5.00% 11/01/32...... 1,100 1,151 Steubenville Oh 6.38% 10/01/20...... 1,660 1,734 /(m)/ 82,057 OKLAHOMA -- 1.5% Claremore Public Works Authority (FSA Insured) 5.25% 06/01/34...... 6,315 7,394 /(m,n)/ Oklahoma Municipal Power Authority (FGIC Insured) 4.50% 01/01/47...... 9,000 7,959 /(n)/ Oklahoma Turnpike Authority (AMBAC Insured) 5.25% 01/01/15...... 9,125 9,794 /(n)/ Tulsa Industrial Authority 5.00% 10/01/22...... 2,000 2,005 27,152 PENNSYLVANIA -- 4.1% Allegheny County Hospital Development Authority 5.00% 11/15/28...... 16,000 11,892 Delaware County Authority 5.25% 12/01/31...... 1,850 1,934 Montgomery County Higher Education & Health Authority (AMBAC Insured) 5.10% 10/01/10...... 2,670 2,679 /(n)/ Northampton County General Purpose Authority 5.50% 08/15/35...... 4,000 3,872
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 52 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Pennsylvania Higher Educational Facilties Authority 5.50% 08/15/18............. $ 1,000 $ 1,129 6.00% 05/01/30............. 5,000 5,029 Pennsylvania Industrial Development Authority (AMBAC Insured) 5.50% 07/01/17............. 3,100 3,288 /(n)/ Pennsylvania Turnpike Commission 5.25% 06/01/39............. 12,000 12,150 Pennsylvania Turnpike Commission (AMBAC Insured) 5.00% 12/01/23............. 2,875 2,895 /(l,n)/ 5.25% 12/01/32............. 12,000 12,477 /(n)/ Philadelphia Authority for Industrial Development 5.25% 09/01/36............. 1,750 1,402 Southcentral General Authority 5.38% 05/15/28............. 5,000 5,346 /(m)/ State Public School Building Authority (FSA Insured) 5.25% 06/01/27............. 8,000 9,103 /(m,n)/ 73,196 PUERTO RICO -- 1.6% Commonwealth of Puerto Rico 5.75% 07/01/38............. 7,000 6,932 6.00% 07/01/39............. 10,000 10,036 Puerto Rico Sales Tax Financing Corp. 6.75% 08/01/32............. 15,000 11,129 /(d)/ 28,097 RHODE ISLAND -- 0.1% Rhode Island Health & Educational Building Corp. 6.25% 09/15/34............. 1,300 1,391 6.50% 09/15/28............. 1,000 1,126 2,517 SOUTH CAROLINA -- 6.1% Beaufort County SC 5.50% 06/01/17 - 06/01/18.. 4,150 4,446
PRINCIPAL AMOUNT VALUE Berkeley County School District 5.25% 12/01/24.............. $ 15,000 $ 15,382 Charleston Educational Excellence Finance Corp. 5.25% 12/01/27 - 12/01/30... 21,850 22,638 City of Greenville 5.13% 02/01/22.............. 5,195 5,374 Greenville County School District 5.25% 12/01/21.............. 2,000 2,080 5.50% 12/01/28.............. 10,725 12,236 /(m)/ Lexington County SC 5.50% 11/01/13.............. 5,000 5,459 South Carolina Educational Facilities Authority 5.00% 10/01/38.............. 8,150 8,299 South Carolina Jobs-Economic Development Authority 5.75% 08/01/39.............. 2,000 1,886 South Carolina State Public Service Authority 5.50% 01/01/38.............. 7,500 8,147 South Carolina State Public Service Authority (FSA Insured) 5.13% 01/01/32.............. 17,000 17,443 /(n)/ 5.50% 01/01/36.............. 5,000 5,479 /(m,n)/ 108,869 TENNESSEE -- 0.6% Knox County Health Educational & Housing Facilities Board 5.25% 04/01/36.............. 10,000 9,075 State of Tennessee 5.00% 05/01/19.............. 1,000 1,142 10,217 TEXAS -- 4.3% City of Austin (AMBAC Insured) 5.50% 11/15/16.............. 5,450 6,385 /(n)/ City of Houston (AMBAC Insured) 5.75% 12/01/14.............. 5,000 5,684 /(m,n)/ City of Houston (FSA Insured) 5.25% 05/15/22.............. 10,000 10,680 /(n)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 53 ELFUN TAX-EXEMPT INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE North Central Texas Health Facility Development Corp. 5.13% 05/15/22............. $ 4,500 $ 4,523 North Texas Tollway Authority 5.25% 01/01/44............. 12,500 12,134 5.63% 01/01/33............. 1,500 1,539 5.75% 01/01/38 - 01/01/40.. 20,000 20,365 San Antonio Independent School District 5.38% 08/15/19 - 08/15/20.. 6,250 6,739 /(m)/ State of Texas 5.00% 04/01/28 - 08/01/39.. 8,000 8,368 76,417 UTAH -- 0.1% Murray UT 4.75% 05/15/20 2,285 2,289 /(l)/ VERMONT -- 0.4% University of Vermont & State Agricultural College (AMBAC Insured) 5.13% 10/01/27............. 1,000 1,114 /(m,n)/ Vermont Educational & Health Buildings Financing Agency 5.00% 10/31/46............. 5,700 5,805 6,919 VIRGIN ISLANDS -- 0.1% Virgin Islands Public Finance Authority 5.00% 10/01/39 1,000 903 VIRGINIA -- 1.0% City of Richmond VA 5.00% 01/15/40............. 10,000 10,519 Virginia College Building Authority 4.38% 02/01/28............. 845 874 Virginia Resources Authority 5.25% 11/01/38............. 5,000 5,334 Winchester Industrial Development Authority 5.63% 01/01/44............. 1,000 986 17,713
PRINCIPAL AMOUNT VALUE WASHINGTON -- 0.7% County of King 5.50% 12/01/13 $ 10,000 $ 11,631 /(l)/ WEST VIRGINIA -- 0.4% West Virginia Hospital Finance Authority 5.50% 09/01/28........ 2,580 2,495 5.63% 09/01/32........ 2,000 1,929 West Virginia Housing Development Fund 5.30% 05/01/24........ 2,000 2,018 6,442 WISCONSIN -- 0.2% State of Wisconsin (AMBAC Insured) 5.75% 07/01/14 2,990 3,282 /(n)/ TOTAL BONDS AND NOTES (COST $1,691,365)............ 1,766,366 -------------------------------------------------------------- OTHER INVESTMENTS -- 0.0%* -------------------------------------------------------------- GEI Investment Fund (COST $370).................. 281 /(k)/ TOTAL INVESTMENT IN SECURITIES (COST $1,691,735)............ 1,766,647 -------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 0.4% -------------------------------------------------------------- TIME DEPOSIT State Street Corp. 0.01% 12/01/09........ $ 23674 $ 7,806 /(e)/ (COST $7,806) TOTAL INVESTMENTS (COST $1,699,541)............ 1,774,453 OTHER ASSETS AND LIABILITIES, NET -- 0.1%.................. 2,350 ----------- NET ASSETS -- 100.0%.......... $ 1,776,803 ===========
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 54 [GRAPHIC] [PHOTO] Paul M. Colonna The Elfun Income Fund is managed by a team of portfolio managers that includes Paul M. Colonna (pictured to the left), William M. Healey, Mark H. Johnson and Vita Marie Pike. The team is lead by Mr. Colonna who is vested with oversight authority. Each portfolio manager is assigned a class of assets, the size of which are determined by team consensus and adjusted on a monthly basis, if necessary. Although each portfolio manager manages his or her asset class independent of the other team members, the team is highly collaborative and communicative. See portfolio managers' biographical information beginning on page 109. Q.HOW DID THE ELFUN INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009? A.For the twelve-month period ended December 31, 2009, the Elfun Income Fund returned 8.04%. The Barclays Capital U.S. Aggregate Bond Index, the Fund's benchmark, returned 5.93% and the Fund's Morningstar peer group of 1,126 U.S. Intermediate-Term Bond funds returned an average of 13.47% for the same period. Q.DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009. A.Financial markets rallied strongly beginning in March 2009 as policymakers around the world kept the liquidity pump primed and the global economy began recovering from the recession in 2008. GDP growth in the U.S. turned positive in the third quarter, while unemployment continued to rise ending the year at 10%. The U.S. lost over 4 million jobs in 2009 (reported by the Bureau of Labor Statistics). Government support programs targeting the auto (Cash for Clunkers) and housing (first-time homebuyer tax credits) industries created demand which boosted second half growth. Central banks around the globe kept interest rates low throughout the year. The Federal Reserve held its federal funds target at 0-0.25% and finished the year with a balance sheet over $2.2 trillion, 2 1/2 times its size prior to the financial crisis in August 2007. In the statement from its final meeting in December, the Federal Open Market Committee (FOMC) repeated that "economic conditions...are likely to warrant exceptionally low levels of the federal funds rate for an extended period." Quantitative easing measures including the purchase of $1.25 trillion of agency mortgage-back securities (MBS) and $175 billion of agency debt are scheduled to wind down early in 2010 along with many of the special liquidity facilities given the improvement in the financial markets. The improving fundamental backdrop created a performance environment in which non-government related issues (corporate, commercial MBS, asset-backed) outperformed U.S. government securities including agency mortgage-backed securities. Interest rates rose across the maturity spectrum in 2009 55 [GRAPHIC] producing negative total returns for U.S. treasuries. The U.S. treasury 2-year and 10-year note yield ended the year at 1.14% and 3.84% respectively, up 38 basis points (bps) and 163 bps. Default expectations tumbled as economic activity recovered and credit spreads collapsed from March highs. Lower quality credit rewarded investors with outsized returns. The high yield market returned over 58% compared to high grade credit which gained just over 16%. Commercial mortgage-backed and asset-backed securities also performed strongly, up 28.5% and 24.7% respectively, with help from the Term Asset-Backed Loan Facility (TALF) program. Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A.The primary drivers of Fund performance in 2009 were sector allocation and duration positioning. The Fund's allocation to high yield and emerging market debt had a large positive impact on total return as those two sectors far outpaced the return of the benchmark. Overweight positions in high grade credit and commercial MBS during the second half of the year also contributed positively as yield spreads narrowed. Duration positioning added to relative return, particularly in December when interest rates rose and the fund's duration was short relative to the benchmark. 56 [GRAPHIC] Understanding Your Fund's Expenses As a shareholder of the Fund you incur ongoing expenses, which include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2009. ACTUAL EXPENSES The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2009 - DECEMBER 31, 2009
----------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* ----------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,067.31 1.41 ----------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,023.57 1.38 -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.27% (for the period between July 1, 2009 - December 31, 2009), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). **Actual Fund Return for the six-month period ended December 31, 2009 was: 6.73%. 57 [GRAPHIC] CHANGE IN VALUE OF A $10,000 INVESTMENT [CHART] AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2009 - --------------------------------------------------------------------------------
FIVE TEN ONE YEAR YEAR YEAR - ------------------------------------------- Elfun Income Fund 8.04% 3.83% 5.62% Barclays Capital U.S. Aggregate Bond Index 5.93% 4.97% 6.33%
[GRAPHIC] INVESTMENT PROFILE A Mutual Fund designed for investors who seek a high level of income consistent with prudent investment management and the preservation of capital by investing at least 80% of its net assets in debt securities under normal circumstances. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments. MORNINGSTAR PERFORMANCE COMPARISON US OE Intermediate-Term Bond Peer Group Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN YEAR YEAR YEAR Fund's Rank in peer group.............. 905 535 244 Number of funds in peer group.......... 1126 866 496 Peer group average annual total return. 13.47% 3.62% 5.18% Morningstar Category in peer group: Intermediate-Term Bond
QUALITY RATINGS AS OF DECEMBER 31, 2009 AS A % OF MARKET VALUE - --------------------------------------------------------------------------------
PERCENTAGE OF MOODY'S / S&P / FITCH RATING* MARKET VALUE -------------------------------------------- Aaa / AAA 62.88% -------------------------------------------- Aa / AA 4.25% -------------------------------------------- A / A 14.46% -------------------------------------------- Baa / BBB 9.39% -------------------------------------------- Ba / BB and lower 9.02% -------------------------------------------- 100.00% --------------------------------------------
*Moody's Investors Services Inc, Standard & Poor's and Fitch are nationally recognized statistical rating organizations. SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. 58 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] ELFUN INCOME FUND Portfolio Composition as a % of the Market Value of $353,714 as of December 31, 2009. [CHART]
PRINCIPAL AMOUNT VALUE BONDS AND NOTES -- 93.1%+ ------------------------------------------------------------------- U.S. TREASURIES -- 19.8% U.S. Treasury Bonds 4.50% 08/15/39..... $ 10,535 $ 10,297 U.S. Treasury Notes 0.02% 11/30/11..... 12,493 12,411 /(d)/ 0.05% 01/31/11..... 1,673 1,679 /(d)/ 1.00% 10/31/11..... 10,411 10,402 /(d)/ 1.25% 11/30/10..... 341 343 1.75% 08/15/12..... 2,301 2,316 2.13% 11/30/14..... 19,342 18,884 3.13% 05/15/19..... 2 2 3.38% 11/15/19..... 11,052 10,631 /(h)/ 4.50% 11/15/10..... 67 69 67,034 AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.4% Collateralized Mortgage Obligation Trust (Class B) 9.24% 11/01/18..... 15 11 /(d,f,h,q)/
PRINCIPAL AMOUNT VALUE Federal Home Loan Mortgage Corp. 0.00% 11/15/37............. $ 687 $ 558 /(g,r)/ 0.17% 09/25/43............. 2,655 29 /(g,h,i,r)/ 0.62% 09/15/34............. 333 252 /(d,f)/ 4.50% 10/15/16 - 03/15/19.. 662 53 /(g,h,r)/ 5.00% 05/15/17 - 12/01/34.. 1,299 124 /(g,h,r)/ 5.00% 05/15/38............. 311 307 5.50% 04/15/17 - 06/15/33.. 654 111 /(g,h,r)/ 7.50% 01/15/16............. 24 25 /(h)/ 8.00% 04/15/20............. 10 11 /(h)/ 8.00% 02/01/23 - 07/01/24.. 18 4 /(g,h,r)/ Federal Home Loan Mortgage Corp. REMIC 6.01% 12/15/39............. 1,129 118 /(g,i,r)/ 6.36% 05/15/36............. 2,426 331 /(g,i,r)/ 6.97% 02/15/36............. 1,983 289 /(g,i,r)/ 7.47% 04/15/36............. 2,292 330 /(g,i,r)/ Federal Home Loan Mortgage STRIPS 9.46% 08/01/27............. 4 3 /(d,f,h)/ Federal National Mortgage Assoc. 1.20% 12/25/42............. 692 33 (/g,h,i,r)/ 4.50% 05/25/18............. 135 4 /(g,h,r)/ 4.75%** 11/25/14............. 8 -- /(g,h,r)/ 5.00% 08/25/17 - 02/25/32.. 837 100 /(g,h,r)/ 5.00% 10/25/35 - 08/25/38.. 841 826 5.50% 01/25/33............. 404 416 6.12% 03/25/38............. 3,118 366 /(g,i,r)/ 6.37% 06/25/37............. 1,136 143 /(g,i,r)/ 6.77% 10/25/29............. 603 59 /(g,h,i,r)/ 7.37% 09/25/42............. 1,574 297 /(g,h,i,r)/ 7.47% 08/25/16............. 199 12 /(g,h,i,r)/ 16.10% 03/25/31............. 490 554 /(h,i)/ Federal National Mortgage Assoc. (Class 1) 1.35% 11/01/34............. 634 525 /(d,f,h)/ 4.50% 09/01/35 - 01/01/36.. 2,158 443 /(g,r)/ 5.00% 05/25/38............. 642 117 /(g,r)/ Federal National Mortgage Assoc. (Class 2) 4.50% 08/01/35............. 644 152 /(g,r)/ 5.00% 08/01/34 - 03/25/38.. 593 117 /(g,r)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 59 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE 5.50% 12/01/33............ $ 173 $ 38 /(g,r)/ 7.50% 11/01/23............ 71 11 /(g,h,r)/ 8.00% 08/01/23 - 07/01/24. 37 8 /(g,h,r)/ 8.50% 03/01/17 - 07/25/22. 36 7 /(g,h,r)/ 9.00% 05/25/22............ 13 3 /(g,h,r)/ Federal National Mortgage Assoc. (Class B) 6.69% 12/25/22............ 13 12 /(d,f,h)/ Federal National Mortgage Assoc. (Class H) 5.00% 10/25/22............ 210 23 /(g,h,r)/ Federal National Mortgage Assoc. (Class K) 1008.00%** 05/25/22............ -- 1 /(g,h,r)/ Federal National Mortgage Assoc. REMIC 6.00% 04/25/37............ 751 151 /(g,r)/ 6.01% 01/25/40............ 4,214 474 /(g,i,r)/ 6.31% 07/25/36............ 2,772 341 /(g,i,r)/ 6.42% 06/25/36............ 1,331 179 /(g,i,r)/ Government National Mortgage Assoc. 6.17% 05/20/39............ 1,986 220 /(g,i,r)/ 6.27% 01/20/37............ 3,149 305 /(g,i,r)/ 8,493 AGENCY MORTGAGE BACKED -- 24.1% Federal Home Loan Mortgage Corp. 4.50% 06/01/33 - 02/01/35. 146 146 /(h)/ 5.00% 07/01/35............ 594 611 /(h)/ 5.50% 05/01/20 - 04/01/39. 6,086 6,418 /(h)/ 6.00% 04/01/17 - 11/01/37. 3,844 4,088 /(h)/ 6.50% 07/01/29............ 5 6 /(h)/ 7.00% 10/01/16 - 08/01/36. 405 446 /(h)/ 7.50% 09/01/12 - 09/01/33. 49 55 /(h)/ 8.00% 11/01/30............ 13 15 /(h)/ 5.50% TBA................. 1,570 1,645 /(c)/ Federal National Mortgage Assoc. 4.00% 05/01/19 - 06/01/19. 522 534 /(h)/ 4.50% 05/01/18 - 04/01/34. 1,465 1,514 /(h)/ 5.00% 07/01/20 - 05/01/39. 2,753 2,834 /(h)/ 5.47% 04/01/37............ 25 27 /(i)/
PRINCIPAL AMOUNT VALUE 5.50% 03/01/14 - 12/01/38.. $ 22,650 $ 23,820 /(h)/ 5.81% 03/01/37............. 26 28 /(i)/ 6.00% 02/01/14 - 11/01/39.. 16,016 17,108 /(h)/ 6.50% 02/01/14 - 08/01/36.. 1,095 1,175 /(h)/ 7.00% 08/01/13 - 02/01/34.. 137 152 /(h)/ 7.50% 08/01/13 - 03/01/34.. 443 497 /(h)/ 8.00% 12/01/11 - 11/01/33.. 195 220 /(h)/ 8.50% 04/01/30 - 05/01/31.. 26 30 /(h)/ 9.00% 04/01/16 - 12/01/22.. 50 55 /(h)/ 4.50% TBA.................. 950 948 /(c)/ 5.00% TBA.................. 2,664 2,784 /(c)/ 5.50% TBA.................. 1,269 1,340 /(c)/ 6.00% TBA.................. 8,726 9,271 /(c)/ 6.50% TBA.................. 878 940 /(c)/ 7.00% TBA.................. 535 586 /(c)/ Government National Mortgage Assoc. 4.50% 08/15/33 - 09/15/34.. 726 732 /(h)/ 5.00% 08/15/33............. 249 258 /(h)/ 6.00% 04/15/27 - 09/15/36.. 1,058 1,127 /(h)/ 6.50% 04/15/19 - 09/15/36.. 819 878 /(h)/ 7.00% 03/15/12 - 10/15/36.. 381 413 /(h)/ 7.50% 03/15/23 - 10/15/33.. 98 113 /(h)/ 8.00% 09/15/27 - 06/15/30.. 40 46 /(h)/ 8.50% 10/15/17............. 54 59 /(h)/ 9.00% 11/15/16 - 12/15/21.. 115 127 /(h)/ 5.50% TBA.................. 435 456 /(c)/ 81,502 ASSET BACKED -- 3.0% Avis Budget Rental Car Funding AESOP LLC (Class A) 0.35% 04/20/11............. 667 661 /(b,i)/ Capital One Auto Finance Trust 0.23% 04/15/12............. 1,137 1,134 /(h,i)/ Chase Funding Mortgage Loan Asset-Backed Certificates 5.75% 05/25/32............. 50 25 /(h,i,q)/ Countrywide Asset-Backed Certificates 1.09% 05/25/33............. 28 16 /(i)/ Countrywide Asset-Backed Certificates (Class 2) 0.83% 06/25/33............. 2 2 /(i)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 60 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Countrywide Asset-Backed Certificates (Class A) 0.79% 08/25/32..... $ 33 $ 16 /(h,i)/ Discover Card Master Trust I (Class A) 0.56% 06/16/15..... 200 188 /(i)/ Discover Card Master Trust I (Class B) (Series 2) 0.41% 05/15/12..... 340 326 /(i)/ First Franklin Mortgage Loan Asset Backed Certificates (Class M) 0.68% 03/25/35..... 5,000 4,392 /(i)/ GMAC Mortgage Corp Loan Trust (Class 2) 0.41% 08/25/35..... 1,395 360 /(i)/ GSAA Trust 0.63% 05/25/34..... 136 95 /(i)/ GSAMP Trust 0.38% 12/25/35..... 77 75 /(i)/ Indymac Residential Asset Backed Trust (Class M) 2.23%** 04/25/47..... 146 -- /(h,i,q)/ Mid-State Trust 7.54% 07/01/35..... 54 51 /(h,q)/ Nissan Auto Lease Trust 0.30% 02/15/13..... 188 188 /(i)/ Residential Asset Securities Corp. 0.73% 07/25/32..... 29 14 /(h,i)/ Residential Asset Securities Corp. (Class A) 0.81% 06/25/33..... 54 27 /(i)/ Saxon Asset Securities Trust 5.23% 08/25/35..... 333 289 /(i)/ Triad Auto Receivables Owner Trust (Class A) 0.29% 02/12/14..... 2,000 1,936 /(h,i)/ Wachovia Asset Securitization Inc. (Class A) 0.45% 06/25/34..... 357 181 /(i,q)/ Wells Fargo Home Equity Trust 3.97% 05/25/34..... 24 24 /(h,i,q)/ 10,000
PRINCIPAL AMOUNT VALUE CORPORATE NOTES -- 34.9% Abbey National Treasury Services PLC 3.88% 11/10/14..... $ 424 $ 426 /(b)/ Abu Dhabi National Energy Co. 6.25% 09/16/19..... 200 194 /(b)/ Adaro Indonesia PT 7.63% 10/22/19..... 100 99 /(b)/ AES El Salvador Trust 6.75% 02/01/16..... 200 178 /(b)/ Air Jamaica Ltd. 9.38% 07/08/15..... 9 7 Alliance One International, Inc. 10.00% 07/15/16..... 380 399 /(b)/ ALROSA Finance S.A. 8.88% 11/17/14..... 200 206 /(b)/ AMC Entertainment Inc. 8.75% 06/01/19..... 440 449 American Tower Corp. 4.63% 04/01/15..... 526 532 /(b)/ Anheuser-Busch InBev Worldwide Inc. 5.38% 11/15/14..... 496 525 /(b)/ 7.20% 01/15/14..... 149 169 /(b)/ 7.75% 01/15/19..... 834 976 /(b,h)/ Apria Healthcare Group Inc. 11.25% 11/01/14..... 559 613 /(b)/ ARAMARK Corp. 8.50% 02/01/15..... 846 871 Archer-Daniels-Midland Co. 6.45% 01/15/38..... 611 680 /(h)/ Arcos Dorados BV 7.50% 10/01/19..... 100 99 /(b)/ Arizona Public Service Co. 6.25% 08/01/16..... 485 513 /(h)/ AT&T Inc. 6.40% 05/15/38..... 1,300 1,336 /(h)/ 6.70% 11/15/13..... 496 560 /(h)/ Axtel SAB de C.V. 9.00% 09/22/19..... 38 39 /(b)/ Banco do Brasil S.A. 8.50% 10/29/49..... 500 533 /(b)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 61 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Banco Mercantil del Norte S.A. 6.14% 10/13/16........ $ 74 $ 72 /(i)/ Banco Nacional de Desenvolvimento Economico e Social 6.50% 06/10/19........ 500 538 /(b)/ Bank of America Corp. 5.75% 12/01/17........ 1,550 1,587 /(h)/ 6.50% 08/01/16........ 690 742 7.38% 05/15/14........ 170 193 Barclays Bank PLC 5.00% 09/22/16........ 274 280 5.20% 07/10/14........ 529 561 Berkshire Hathaway Finance Corp. 5.00% 08/15/13........ 328 353 BlackRock, Inc. 5.00% 12/10/19........ 494 485 Boston Properties LP (REIT) 5.88% 10/15/19........ 346 347 Boston Scientific Corp. 6.00% 01/15/20........ 252 257 Bristol-Myers Squibb Co. 5.88% 11/15/36........ 141 147 /(h)/ CA, Inc. 5.38% 12/01/19........ 358 360 6.13% 12/01/14........ 174 192 Calpine Corp. 7.25% 10/15/17........ 922 885 /(b)/ Cantor Fitzgerald LP 7.88% 10/15/19........ 358 350 /(b)/ Cargill Inc. 5.20% 01/22/13........ 131 139 /(b,h)/ 6.00% 11/27/17........ 247 263 /(b,h)/ Carolina Power & Light Co. 5.15% 04/01/15........ 230 248 /(h)/ 5.70% 04/01/35........ 130 129 /(h)/ 6.13% 09/15/33........ 156 164 /(h)/ Case New Holland Inc. 7.75% 09/01/13........ 744 761 /(b)/ Cenovus Energy Inc. 4.50% 09/15/14........ 380 392 /(b)/ 6.75% 11/15/39........ 345 376 /(b)/
PRINCIPAL AMOUNT VALUE Centrais Eletricas Brasileiras S.A. 6.88% 07/30/19.......... $ 200 $ 217 /(b)/ Central American Bank for Economic Integration 5.38% 09/24/14.......... 380 394 /(b)/ CFG Investment SAC 9.25% 12/19/13.......... 100 99 Chesapeake Energy Corp. 7.25% 12/15/18.......... 856 862 Cincinnati Bell Inc. 8.25% 10/15/17.......... 676 686 Citigroup, Inc. 5.00% 09/15/14.......... 434 418 5.13% 05/05/14.......... 674 671 6.38% 08/12/14.......... 1,213 1,270 8.50% 05/22/19.......... 951 1,098 City National Capital Trust I 9.63% 02/01/40.......... 359 381 Clarendon Alumina Production Ltd. 8.50% 11/16/21.......... 135 99 /(b,h)/ CME Group Inc. 5.40% 08/01/13.......... 321 346 /(h)/ Comcast Corp. 6.50% 01/15/15.......... 346 388 Community Health Systems, Inc. 8.88% 07/15/15.......... 856 886 /(h)/ Consolidated Edison Company of New York Inc. 5.85% 04/01/18.......... 308 330 6.65% 04/01/19.......... 308 349 7.13% 12/01/18.......... 900 1,040 /(h)/ COX Communications Inc. 6.25% 06/01/18.......... 324 345 /(b)/ 7.13% 10/01/12.......... 315 350 /(h)/ 7.75% 11/01/10.......... 360 377 /(h)/ Credit Suisse 6.00% 02/15/18.......... 1,146 1,199 /(h)/ Credit Suisse First Boston International for CJSC The EXIM of Ukraine 7.65% 09/07/11.......... 200 168
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 62 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE CVS Caremark Corp. 5.75% 06/01/17....... $ 154 $ 163 6.13% 09/15/39....... 518 513 6.60% 03/15/19....... 154 169 DASA Finance Corp. 8.75% 05/29/18....... 596 618 Diageo Capital PLC 5.20% 01/30/13....... 300 321 /(h)/ Diageo Finance BV 3.25% 01/15/15....... 347 345 Diamond Offshore Drilling, Inc. 5.70% 10/15/39....... 856 833 Digicel Group Ltd. 8.25% 09/01/17....... 100 97 /(b)/ DirecTV Financing Company Inc. 4.75% 10/01/14....... 726 740 /(b)/ 5.88% 10/01/19....... 420 427 /(b)/ Dolphin Energy Ltd. 5.89% 06/15/19....... 396 400 /(b)/ Dominion Resources, Inc. 5.20% 08/15/19....... 347 352 Dover Corp. 6.50% 02/15/11....... 230 243 /(h)/ Drummond Company Inc. 7.38% 02/15/16....... 526 514 /(b)/ 9.00% 10/15/14....... 370 388 /(b)/ Duke Energy Indiana Inc. 6.35% 08/15/38....... 454 496 Dynegy Holdings Inc. 7.50% 06/01/15....... 516 482 Ecopetrol S.A. 7.63% 07/23/19....... 111 123 Embraer Overseas Ltd. 6.38% 01/15/20....... 148 148 Empresa Nacional del Petroleo 6.25% 07/08/19....... 200 208 /(b)/ Empresas Publicas de Medellin ESP 7.63% 07/29/19....... 100 110 /(b)/ European Investment Bank 4.88% 01/17/17....... 700 750
PRINCIPAL AMOUNT VALUE Exelon Generation Company LLC 5.20% 10/01/19....... $ 484 $ 484 6.25% 10/01/39....... 432 440 Export-Import Bank of Korea 5.88% 01/14/15....... 100 107 Gaz Capital S.A. 8.13% 07/31/14....... 100 106 /(b)/ 9.25% 04/23/19....... 400 446 Genworth Financial Inc. 8.63% 12/15/16....... 360 373 Gerdau Holdings Inc. 7.00% 01/20/20....... 200 205 /(b)/ GlaxoSmithKline Capital Inc. 4.85% 05/15/13....... 409 439 Globo Comunicacao e Participacoes S.A. 7.25% 04/26/22....... 200 209 /(b)/ HCA Inc. 7.88% 02/15/20....... 820 854 /(b)/ 9.25% 11/15/16....... 768 825 HCC Insurance Holdings, Inc. 6.30% 11/15/19....... 178 181 Health Management Associates, Inc. 6.13% 04/15/16....... 746 699 Holcim US Finance Sarl & Cie SCS 6.00% 12/30/19....... 279 290 /(b)/ Host Hotels & Resorts LP (REIT) 9.00% 05/15/17....... 964 1,042 /(b)/ HSBC Bank USA N.A. 4.63% 04/01/14....... 175 183 /(h)/ 7.00% 01/15/39....... 250 280 HSBC Finance Corp. 5.00% 06/30/15....... 1,292 1,335 5.70% 06/01/11....... 743 776 6.75% 05/15/11....... 260 275 /(h)/ HSBC Holdings PLC 6.50% 05/02/36....... 100 105 /(h)/ 6.80% 06/01/38....... 500 543 Hutchison Whampoa International 09 Ltd. 7.63% 04/09/19....... 100 115 /(b)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 63 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Hutchison Whampoa International 09/16 Ltd. 4.63% 09/11/15..... $ 600 $ 605 /(b)/ IIRSA Norte Finance Ltd. 8.75% 05/30/24..... 476 500 /(b,h)/ Illinois Power Co. 9.75% 11/15/18..... 522 649 Indo Integrated Energy BV 9.00% 06/01/12..... 100 101 Industrial Bank Of Korea 7.13% 04/23/14..... 100 112 /(b)/ Ingles Markets Inc. 8.88% 05/15/17..... 735 764 Inmarsat Finance PLC 7.38% 12/01/17..... 500 511 /(b)/ Intelsat Subsidiary Holding Company Ltd. 8.88% 01/15/15..... 380 393 Intergas Finance BV 6.88% 11/04/11..... 100 102 Intergen N.V. 9.00% 06/30/17..... 773 806 /(b)/ International Business Machines Corp. 7.63% 10/15/18..... 300 366 International Paper Co. 7.50% 08/15/21..... 730 818 Inversiones CMPC S.A. 6.13% 11/05/19..... 200 202 /(b)/ Johnson & Johnson 5.85% 07/15/38..... 290 313 JPMorgan Chase & Co. 5.13% 09/15/14..... 1,041 1,098 6.30% 04/23/19..... 260 286 JPMorgan Chase Bank 5.88% 06/13/16..... 315 331 JPMorgan Chase Capital XXVII 7.00% 11/01/39..... 526 530 Kazakhstan Temir Zholy Finance BV 6.50% 05/11/11..... 100 98 KazMunaiGaz Finance Sub BV 9.13% 07/02/18..... 100 111 /(b)/ 11.75% 01/23/15..... 200 241 /(b)/
PRINCIPAL AMOUNT VALUE KeyBank NA 5.80% 07/01/14...... $ 534 $ 520 Korea Hydro & Nuclear Power Company Ltd. 6.25% 06/17/14...... 200 218 /(b)/ Korea National Oil Corp. 5.38% 07/30/14...... 200 211 /(b)/ Kreditanstalt fuer Wiederaufbau 3.50% 03/10/14...... 1,936 1,990 4.13% 10/15/14...... 859 900 4.50% 07/16/18...... 712 735 L-3 Communications Corp. 5.88% 01/15/15...... 450 449 Lincoln National Corp. 8.75% 07/01/19...... 605 691 Majapahit Holding BV 7.25% 10/17/11...... 500 522 /(b)/ 7.75% 10/17/16...... 200 212 /(b)/ 7.75% 01/20/20...... 200 209 Massey Energy Co. 6.88% 12/15/13...... 374 374 McDonald's Corp. 6.30% 03/01/38...... 226 249 MDC-GMTN B.V. 7.63% 05/06/19...... 250 267 /(b)/ Mead Johnson Nutrition Co. 4.90% 11/01/19...... 520 516 /(b)/ Merrill Lynch & Company Inc. 6.05% 08/15/12...... 304 326 6.88% 04/25/18...... 599 645 Midamerican Energy Holdings Co. 6.13% 04/01/36...... 330 338 /(h)/ Morgan Stanley 5.05% 01/21/11...... 347 360 5.63% 09/23/19...... 690 695 6.00% 04/28/15...... 333 355 7.30% 05/13/19...... 691 776 Morgan Stanley (Series F) 6.63% 04/01/18...... 300 324 Munich Re America Corp. (Series B) 7.45% 12/15/26...... 290 299 /(h)/ Naftogaz Ukraine 9.50% 09/30/14...... 300 252 /(s)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 64 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE National Agricultural Cooperative Federation 5.00% 09/30/14...... $ 321 $ 333 /(b)/ NET Servicos de Comunicacao S.A. 7.50% 01/27/20...... 100 102 /(b)/ Newmont Mining Corp. 5.13% 10/01/19...... 272 272 6.25% 10/01/39...... 778 779 News America Inc. 5.65% 08/15/20...... 243 253 /(b)/ 6.65% 11/15/37...... 538 568 Nexen Inc. 6.20% 07/30/19...... 623 659 7.50% 07/30/39...... 416 477 NGPL Pipeco LLC 7.12% 12/15/17...... 318 351 /(b)/ Nisource Finance Corp. 6.13% 03/01/22...... 346 353 Noble Group Ltd. 6.75% 01/29/20...... 100 103 /(b)/ NorthWestern Corp. 5.88% 11/01/14...... 600 622 /(h)/ NRG Energy, Inc. 7.38% 02/01/16...... 770 771 Odebrecht Finance Ltd. 7.00% 04/21/20...... 200 202 /(b)/ Oracle Corp. 5.00% 07/08/19...... 348 359 Pacific Gas & Electric Co. 5.80% 03/01/37...... 165 167 Pacific Rubiales Energy Corp. 8.75% 11/10/16...... 100 105 /(b)/ Pacificorp 6.00% 01/15/39...... 500 525 6.25% 10/15/37...... 14 15 Parker Hannifin Corp. 5.50% 05/15/18...... 464 489 Pemex Finance Ltd. 9.03% 02/15/11...... 226 233 /(h)/ Petrobras International Finance Co. 5.75% 01/20/20...... 380 387
PRINCIPAL AMOUNT VALUE Petroleos Mexicanos 4.88% 03/15/15....... $ 560 $ 558 /(b)/ 8.00% 05/03/19....... 87 101 Petroleum Company of Trinidad & Tobago Ltd. 6.00% 05/08/22....... 200 186 /(b)/ Petronas Capital Ltd. 5.25% 08/12/19....... 200 200 /(b)/ Petronas Global Sukuk Ltd. 4.25% 08/12/14....... 100 100 /(b)/ Pfizer Inc. 6.20% 03/15/19....... 328 365 7.20% 03/15/39....... 164 200 Pioneer Natural Resources Co. 7.50% 01/15/20....... 656 656 Plains All American Pipeline LP 4.25% 09/01/12....... 522 539 PNC Funding Corp. 4.25% 09/21/15....... 346 353 Potomac Electric Power Co. 7.90% 12/15/38....... 122 156 Power Sector Assets & Liabilities Management Corp. 7.39% 12/02/24....... 100 103 /(b)/ President and Fellows of Harvard College 5.00% 01/15/14....... 400 430 /(b)/ Principal Financial Group, Inc. 8.88% 05/15/19....... 241 278 Prudential Financial, Inc. 3.63% 09/17/12....... 173 176 5.15% 01/15/13....... 400 421 7.38% 06/15/19....... 349 391 Public Service Company of Colorado 7.88% 10/01/12....... 495 568 /(h)/ QVC Inc. 7.50% 10/01/19....... 288 294 /(b)/ Qwest Communications International Inc. 8.00% 10/01/15....... 350 360 /(b)/ RailAmerica, Inc. 9.25% 07/01/17....... 684 728
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 65 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Republic Services Inc. 5.25% 11/15/21..... $ 358 $ 352 /(b)/ 5.50% 09/15/19..... 243 247 /(b)/ Reynolds Group DL Escrow Inc. 7.75% 10/15/16..... 872 892 /(b)/ Roche Holdings Inc. 6.00% 03/01/19..... 320 352 /(b)/ Royal Bank of Scotland Group PLC 6.40% 10/21/19..... 232 231 RSHB Capital SA for OJSC Russian Agricultural Bank 6.97% 09/21/16..... 100 98 /(i)/ Sabine Pass LNG LP 7.25% 11/30/13..... 270 245 7.50% 11/30/16..... 415 345 SBA Telecommunications Inc. 8.00% 08/15/16..... 150 157 /(b)/ 8.25% 08/15/19..... 224 237 /(b)/ Security Benefit Life Insurance 8.75% 05/15/16..... 325 81 /(b)/ Simon Property Group LP (REIT) 6.75% 05/15/14..... 418 445 Southern California Edison Co. 5.50% 08/15/18..... 541 578 Southern Copper Corp. 7.50% 07/27/35..... 100 99 Spirit Aerosystems Inc. 7.50% 10/01/17..... 350 345 /(b)/ Talecris Biotherapeutics Holdings Corp. 7.75% 11/15/16..... 50 51 /(b)/ Talisman Energy Inc. 7.75% 06/01/19..... 386 453 Target Corp. 7.00% 01/15/38..... 278 324 Teachers Insurance & Annuity Association of America 6.85% 12/16/39..... 431 446 /(b)/ Teck Resources Ltd. 10.75% 05/15/19..... 526 629 Telecom Italia Capital S.A. 6.20% 07/18/11..... 506 536 7.18% 06/18/19..... 488 544
PRINCIPAL AMOUNT VALUE Telefonica Emisiones SAU 5.86% 02/04/13..... $ 450 $ 486 Tesoro Corp. (Series B) 6.63% 11/01/15..... 894 849 The Allstate Corp. 7.45% 05/16/19..... 256 297 The Bear Stearns Companies LLC 6.95% 08/10/12..... 611 683 /(h)/ The Dow Chemical Co. 5.90% 02/15/15..... 486 522 8.55% 05/15/19..... 174 208 The Goldman Sachs Group, Inc. 5.25% 10/15/13..... 129 137 6.00% 05/01/14..... 626 685 6.60% 01/15/12..... 104 113 7.50% 02/15/19..... 270 315 The Kroger Co. 6.15% 01/15/20..... 612 655 The Potomac Edison Co. 5.35% 11/15/14..... 245 257 /(h)/ The Procter & Gamble Co. 5.50% 02/01/34..... 163 167 The Royal Bank of Scotland PLC 4.88% 08/25/14..... 300 304 /(b)/ The Toledo Edison Company 7.25% 05/01/20..... 166 189 The Travelers Companies, Inc. 5.80% 05/15/18..... 308 328 The Williams Companies, Inc. 7.88% 09/01/21..... 538 617 Thermo Fisher Scientific, Inc. 3.25% 11/18/14..... 358 351 /(b)/ Thomson Reuters Corp. 5.95% 07/15/13..... 459 502 Time Warner Cable Inc. 6.75% 07/01/18..... 372 409 7.50% 04/01/14..... 806 929 8.75% 02/14/19..... 496 605 Time Warner Inc. 5.88% 11/15/16..... 454 490 TNK-BP Finance S.A. 6.13% 03/20/12..... 200 205
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 66 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Transocean Inc. 6.00% 03/15/18....... $ 305 $ 325 UBS Luxembourg S.A. for OJSC Vimpel Communications 8.00% 02/11/10....... 400 402 Union Electric Co. 6.70% 02/01/19....... 370 408 United Technologies Corp. 6.13% 07/15/38....... 154 167 UPC Germany GmbH 8.13% 12/01/17....... 400 405 /(b)/ USB Capital XIII Trust 6.63% 12/15/39....... 359 365 Vale Overseas Ltd. 6.88% 11/10/39....... 78 79 Valero Energy Corp. 6.63% 06/15/37....... 468 439 Vedanta Resources PLC 6.63% 02/22/10....... 150 150 9.50% 07/18/18....... 100 102 /(b)/ Verizon Communications Inc. 5.25% 04/15/13....... 24 26 6.35% 04/01/19....... 206 227 6.40% 02/15/38....... 200 209 6.90% 04/15/38....... 302 335 8.75% 11/01/18....... 448 560 Verizon Global Funding Corp. 7.25% 12/01/10....... 517 546 Verizon Wireless Capital LLC 5.55% 02/01/14....... 738 801 7.38% 11/15/13....... 851 978 VIP Finance Ireland Ltd. for OJSC Vimpel Communications (Class A) 8.38% 04/30/13....... 200 212 /(b)/ Virgin Media Finance PLC 8.38% 10/15/19....... 400 412 9.50% 08/15/16....... 200 215 Voto-Votorantim Overseas Trading Operations N.V. 6.63% 09/25/19....... 100 100 /(b)/ VTB Capital SA for Vneshtorgbank 6.32% 02/04/15....... 200 198 /(i)/
PRINCIPAL AMOUNT VALUE Walgreen Co. 5.25% 01/15/19.... $ 485 $ 515 WEA Finance LLC 6.75% 09/02/19.... 348 374 /(b)/ 7.50% 06/02/14.... 524 590 /(b)/ Westpac Banking Corp. 4.88% 11/19/19.... 716 707 Windstream Corp. 7.88% 11/01/17.... 728 719 /(b)/ Woodside Finance Ltd. 4.50% 11/10/14.... 694 700 /(b)/ Wyeth 5.50% 03/15/13.... 660 718 XL Capital Ltd. 5.25% 09/15/14.... 785 769 Xstrata Finance Canada Ltd. 5.80% 11/15/16.... 345 354 /(b)/ XTO Energy Inc. 6.38% 06/15/38.... 241 271 6.50% 12/15/18.... 132 151 118,127 NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.7% Banc of America Commercial Mortgage Inc. (Class A) 5.49% 02/10/51.... 188 158 5.66% 06/10/49.... 830 694 Banc of America Commercial Mortgage Inc. (Class C) 5.70% 04/10/49.... 300 65 /(h,i,q)/ Banc of America Funding Corp. 5.37% 02/20/36.... 296 10 /(h,i,q)/ 5.60% 03/20/36.... 260 14 /(h,i,q)/ Banc of America Mortgage Securities Inc. (Class B) 5.16% 01/25/36.... 271 23 /(h,i,q)/ 5.51% 02/25/36.... 207 39 /(h,i,q)/ Bear Stearns Commercial Mortgage Securities 5.24% 12/11/38.... 300 245 5.33% 02/11/44.... 480 414 5.41% 03/11/39.... 222 225 /(h,i)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 67 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE 5.46% 03/11/39....... $ 300 $ 183 /(i)/ 5.48% 10/12/41....... 758 767 /(h)/ 5.61% 06/11/50....... 490 497 5.69% 06/11/50....... 670 587 /(i)/ 5.72% 06/11/40....... 340 170 /(i)/ 6.21% 11/11/17....... 410 201 /(i)/ Bear Stearns Commercial Mortgage Securities (Class A) 5.46% 04/12/38....... 382 388 /(i)/ 5.54% 10/12/41....... 680 676 5.92% 06/11/50....... 310 224 /(h,i)/ Bear Stearns Commercial Mortgage Securities (Class D) 5.99% 09/11/42....... 100 19 /(b,h,i,q)/ Citigroup Commercial Mortgage Trust 5.70% 12/10/49....... 745 537 /(i)/ Citigroup Commercial Mortgage Trust (Class A) 5.62% 10/15/48....... 830 791 Countrywide Alternative Loan Trust (Class B) 6.00%** 08/25/36....... 27 -- /(h,q)/ Countrywide Asset-Backed Certificates 0.51% 11/25/35....... 180 161 /(i)/ Countrywide Commercial Mortgage Trust 5.46% 07/12/46....... 860 660 Credit Suisse Mortgage Capital Certificates 5.47% 09/15/39....... 689 590 /(h)/ Credit Suisse Mortgage Capital Certificates (Class C) 5.65% 02/25/36....... 143 10 /(h,i,q)/ CS First Boston Mortgage Securities Corp. 0.65% 07/15/37....... 5,324 76 /(b,h,i,q)/ 1.40% 03/15/35....... 9,060 21 /(b,h,i,q)/ 5.34% 10/25/35....... 247 20 /(h,i,q)/ Greenwich Capital Commercial Funding Corp. 5.44% 03/10/39....... 490 433 5.60% 12/10/49....... 430 426
PRINCIPAL AMOUNT VALUE GS Mortgage Securities Corp II 5.56% 11/10/39........ $ 510 $ 447 Impac CMB Trust 0.49% 04/25/35........ 488 270 /(h,i)/ Impac CMB Trust (Class 1) 0.59% 10/25/34........ 421 303 /(i)/ Indymac INDA Mortgage Loan Trust 5.22% 01/25/36........ 99 1 /(h,i,q)/ Indymac INDA Mortgage Loan Trust (Class B) 5.22% 01/25/36........ 143 8 /(h,i,q)/ Interstar Millennium Trust (Class A) 0.65% 03/14/36........ 38 32 /(i)/ JP Morgan Chase Commercial Mortgage Securities Corp. 5.34% 08/12/37........ 530 523 /(i)/ 5.50% 06/12/47........ 170 76 /(i)/ 5.79% 02/12/51........ 690 602 /(i)/ 5.87% 04/15/45........ 350 337 /(i)/ 6.07% 02/12/51........ 880 692 6.20% 02/12/51........ 155 27 /(b,i,q)/ JP Morgan Chase Commercial Mortgage Securities Corp. (Class A) 5.90% 02/12/51........ 660 478 /(i)/ LB-UBS Commercial Mortgage Trust 0.67% 09/15/39........ 18,318 371 /(h,i,q)/ 0.72% 01/18/12........ 6,990 79 /(h,i,q)/ 1.00% 01/15/36........ 2,912 131 /(b,d,h,q)/ 4.95% 09/15/30........ 310 300 5.87% 09/15/45........ 830 728 /(i)/ 6.15% 04/15/41........ 160 94 LB-UBS Commercial Mortgage Trust (Class B) 6.65% 07/14/16........ 103 106 /(b,h,q)/ LB-UBS Commercial Mortgage Trust (Class F) 6.24% 07/15/40........ 280 47 /(i,q)/ LB-UBS Commercial Mortgage Trust (Class X) 0.50% 12/15/39........ 5,790 67 /(b,h,i,q)/
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 68 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE MASTR Alternative Loans Trust 5.00% 08/25/18...... $ 230 $ 23 /(g,h,q,r)/ MLCC Mortgage Investors Inc. 5.04% 02/25/36...... 225 9 /(h,i,q)/ Morgan Stanley Capital I 0.77% 01/15/21...... 664 159 /(b,i)/ 5.16% 10/12/52...... 450 441 /(i)/ 5.28% 12/15/43...... 296 300 /(h)/ 5.33% 12/15/43...... 296 275 /(h)/ 5.36% 11/12/41...... 1,286 1,059 5.39% 11/12/41...... 848 476 /(h,i)/ 5.69% 04/15/49...... 1,125 948 /(h,i)/ 5.71% 07/12/44...... 350 350 /(h)/ Morgan Stanley Capital I (Class A) 1.00% 03/12/44...... 840 810 /(i)/ MortgageIT Trust (Class A) 0.53% 08/25/35...... 2,117 1,287 /(i)/ National RMBS Trust 0.36% 03/20/34...... 78 74 /(i)/ Puma Finance Ltd. (Class A) 0.66% 10/11/34...... 78 75 /(i)/ Residential Accredit Loans Inc. 6.00% 01/25/36...... 215 5 /(h,q)/ Residential Funding Mortgage Securities I 5.75% 01/25/36...... 248 19 /(h,q)/ Structured Asset Securities Corp. (Class X) 2.17%** 02/25/28...... 370 -- /(i,q)/ Wachovia Bank Commercial Mortgage Trust 5.25% 12/15/43...... 670 647 Wachovia Bank Commercial Mortgage Trust (Class A) 5.99% 06/15/45...... 170 102 /(i)/ WaMu Mortgage Pass Through Certificates 0.56% 01/25/45...... 386 223 /(h,i)/ 0.57% 01/25/45...... 190 117 /(i)/ Wells Fargo Mortgage Backed Securities Trust 5.39% 08/25/35...... 622 33 /(h,i,q)/ 5.50% 01/25/36...... 363 44 /(h,q)/
PRINCIPAL AMOUNT VALUE Wells Fargo Mortgage Backed Securities Trust (Class B) 5.50% 03/25/36............ $ 481 $ 99 /(h,q)/ 22,618 SOVEREIGN BONDS -- 1.8% Democratic Socialist Republic of Sri Lanka 7.40% 01/22/15............ 100 104 /(b)/ 8.25% 10/24/12............ 100 105 Government of Argentina 2.50% 12/31/38............ 76 26 Government of Belize 4.25% 02/20/29............ 76 42 /(j)/ Government of Brazil 5.63% 01/07/41............ 100 94 8.00% 01/15/18............ 284 324 /(h)/ Government of Colombia 6.13% 01/18/41............ 300 278 Government of Colombia 7.38% 03/18/19 - 09/18/37. 200 222 Government of Croatia 6.75% 11/05/19............ 200 215 /(b)/ Government of Dominican 9.50% 09/27/11............ 284 295 Government of Indonesia 10.38% 05/04/14............ 100 123 /(b)/ 11.63% 03/04/19............ 200 287 /(b)/ Government of Korea 5.75% 04/16/14............ 114 125 Government of Lebanon 4.00% 12/31/17............ 65 60 /(a)/ Government of Manitoba Canada 4.90% 12/06/16............ 315 333 /(h)/ Government of Panama 5.20% 01/30/20............ 200 201 6.70% 01/26/36............ 290 306 Government of Peruvian 6.55% 03/14/37............ 466 485 7.35% 07/21/25............ 100 115 Government of Philippines 6.50% 01/20/20............ 100 108
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 69 ELFUN INCOME FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMOUNT VALUE Government of Poland 6.38% 07/15/19.... $ 112 $ 122 Government of Qatar 5.25% 01/20/20.... 300 302 /(b)/ Government of Quebec Canada 7.50% 09/15/29.... 460 579 Government of Uruguay 6.88% 09/28/25.... 111 117 Government of Venezuela 5.38% 08/07/10.... 490 478 10.75% 09/19/13.... 185 163 Korea Expressway Corp. 4.50% 03/23/15.... 200 204 /(b)/ Republic of Ghana 8.50% 10/04/17.... 100 102 /(b)/ Republic of Lithuania 6.75% 01/15/15.... 200 204 /(b)/ Republic of the Philippines 6.38% 10/23/34.... 100 98 6,217 MUNICIPAL BONDS AND NOTES -- 0.4% American Municipal Power-Ohio Inc. 6.05% 02/15/43.... 277 259 Dallas Area Rapid Transit 6.00% 12/01/44.... 215 220 New Jersey State Turnpike Authority 7.41% 01/01/40.... 560 627 New Jersey Transportation Trust Fund Authority 6.88% 12/15/39.... 165 169 1,275 TOTAL BONDS AND NOTES (COST $320,186)........... 315,267 --------------------------------------------------------- OTHER INVESTMENTS -- 0.3% --------------------------------------------------------- GEI Investment Fund (COST $1,370)............. 1,041 /(k)/ TOTAL INVESTMENTS IN SECURITIES (COST $321,556) 316,308
PRINCIPAL AMOUNT VALUE SHORT-TERM INVESTMENTS -- 11.1% ----------------------------------------------------------------- GE Money Market Fund Institutional Class 0.01%......................... $ 37,406 /(d,p)/ (COST $37,406) TOTAL INVESTMENTS (COST $358,962).............. 353,714 LIABILITIES IN EXCESS OF OTHER ASSETS, NET -- (4.5)%........ (15,233) --------- NET ASSETS -- 100.0%.......... $ 338,481 =========
- -------------------------------------------------------------------------------- OTHER INFORMATION - -------------------------------------------------------------------------------- The Elfun Income Fund had the following long futures contracts open at December 31, 2009;
NUMBER CURRENT EXPIRATION OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION - --------------------------------------------------------------- 2 Yr. U.S.Treasury Notes Futures March 2010 63 $13,625 $(20) 5 Yr. U.S.Treasury Notes Futures March 2010 26 2,974 (49)
The Elfun Income Fund had the following short futures contracts open at December 31, 2009;
NUMBER CURRENT EXPIRATION OF NOTIONAL UNREALIZED DESCRIPTION DATE CONTRACTS VALUE APPRECIATION - ---------------------------------------------------------------- 10 Yr. U.S.Treasury Notes Futures March 2010 113 (13,046) 347 ---- $278 ====
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 70 [GRAPHIC] [PHOTO] Michael E. Martini The Elfun Money Market Fund is managed by a team of portfolio managers that includes James C. Gannon, Michael E. Martini (pictured to the left) and Adam Ackermann. The team is led by Mr. Martini, who is vested with oversight authority. See portfolio managers' biographical information beginning on page 109. Q.HOW DID THE ELFUN MONEY MARKET FUND PERFORM COMPARED TO ITS BENCHMARK AND MORNINGSTAR PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2009? A.For the twelve-month period ended December 31, 2009, the Elfun Money Market Fund returned 0.42%. The 90-day Treasury Bill, the Fund's benchmark, returned 0.15% and the Fund's Morningstar peer group of 993 U.S. Money Market Taxable funds returned an average of 0.18% for the same period. Q.DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE TWELVE-MONTH PERIOD ENDING DECEMBER 31, 2009. A.Financial markets rallied strongly beginning in March 2009 as policymakers around the world kept the liquidity pump primed and the global economy began recovering from the recession in 2008. GDP growth in the U.S. turned positive in the third quarter, while unemployment continued to rise ending the year at 10%. The U.S. lost over 4 million jobs in 2009 (reported by the Bureau of Labor Statistics). Government support programs targeting the auto (Cash for Clunkers) and housing (first-time homebuyer tax credits) industries created demand which boosted second half growth. Central banks around the globe kept interest rates low throughout the year. The Federal Reserve held its federal funds target at 0-0.25% and finished the year with a balance sheet over $2.2 trillion, 2 1/2 times its size prior to the financial crisis in August 2007. In the statement from its final meeting in December, the Federal Open Market Committee (FOMC) repeated that "economic conditions...are likely to warrant exceptionally low levels of the federal funds rate for an extended period." Quantitative easing measures including the purchase of $1.25 trillion of agency mortgage-back securities (MBS) and $175 billion of agency debt are scheduled to wind down early in 2010 along with many of the special liquidity facilities given the improvement in the financial markets. The improving fundamental backdrop created a performance environment in which non-government related issues (corporate, commercial MBS, asset-backed) outperformed U.S. government securities including agency mortgage-backed securities. Interest rates rose across the maturity spectrum in 2009 producing negative total returns for U.S. treasuries. The U.S. treasury 2-year and 10-year note yield ended the year at 1.14% and 3.84% respectively, up 38 basis points (bps) and 163 bps. Default expectations tumbled as economic activity recovered and credit spreads collapsed from March highs. Lower quality credit rewarded investors with outsized returns. The high yield market 71 [GRAPHIC] returned over 58% compared to high grade credit which gained just over 16%. Commercial mortgage-backed and asset-backed securities also performed strongly, up 28.5% and 24.7% respectively, with help from the Term Asset-Backed Loan Facility (TALF) program. Q.WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE? A.Managing the average maturity of the Fund had a large impact on Fund performance. With short-term interest rates hovering close to zero throughout the year, we maintained a longer average Fund maturity to capture more yield. As the short-term credit markets normalized during the year, we took advantage of high quality commercial paper and LIBOR based floating rate notes at attractive yields. 72 [GRAPHIC] Understanding Your Fund's Expenses As a shareholder of the Fund you incur ongoing expenses, which include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2009. ACTUAL EXPENSES The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds. Please note that the expenses shown in the table do not reflect any transaction costs, such as sales charges or redemption fees. JULY 1, 2009 - DECEMBER 31, 2009
----------------------------------------------------------------------- ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES THE BEGINNING OF AT THE END OF PAID DURING THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)* ----------------------------------------------------------------------- Actual Fund Return** 1,000.00 1,001.00 1.21 ----------------------------------------------------------------------- Hypothetical 5% Return (2.5% for the period) 1,000.00 1,023.72 1.22 -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio of 0.24% (for the period between July 1, 2009 - December 31, 2009), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six-month period). **Actual Fund Return for the six-month period ended December 31, 2009 was: 0.10%. 73 [GRAPHIC] CHANGE IN VALUE OF A $10,000 INVESTMENT [CHART] AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2009 - --------------------------------------------------------------------------------
FIVE TEN ONE YEAR YEAR YEAR - ----------------------------------- Elfun Money Market Fund 0.42% 3.22% 3.06% 90 Day T-Bill 0.15% 2.79% 2.74%
[GRAPHIC] MORNINGSTAR PERFORMANCE COMPARISON US Money Market Taxable Peer Group Based on average annual returns for periods ended 12/31/09
ONE FIVE TEN YEAR YEAR YEAR Fund's Rank in peer group.............. 114 90 116 Number of funds in peer group.......... 994 828 628 Peer group average annual total return. 0.18% 2.75% 2.56% Morningstar Category in peer group: Money Market Taxable
FUND YIELD AT DECEMBER 31, 2009 - --------------------------------------------------------------------------------
MONEY FUND FUND REPORT - --------------------------------- 7-day current 0.09% 0.07% - --------------------------------- 7-day effective 0.09% 0.07% - ---------------------------------
INVESTMENT PROFILE A Mutual Fund designed for investors who seek a high level of current income consistent with prudent investment management and the preservation of capital by investing primarily in short-term, U.S. dollar denominated money market instruments. - -------------------------------------------------------------------------------- AN INVESTMENT IN THE ELFUN MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR BY ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER UNIT, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND. - -------------------------------------------------------------------------------- + THE SEVEN DAY CURRENT YIELD, RATHER THAN THE TOTAL RETURN, MORE CLOSELY REFLECTS THE CURRENT EARNINGS OF THE MONEY MARKET FUND AT DECEMBER 31, 2009. * IBC'S MONEY FUND REPORT PROVIDES AVERAGE YIELD FOR ALL MAJOR MONEY MARKET FUNDS. SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN EXPLANATION OF MORNINGSTAR PEER CATEGORIES. PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. 74 ELFUN MONEY MARKET FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC] ELFUN MONEY MARKET FUND Portfolio Composition as a % of the Market Value of $244,630 as of December 31, 2009. [CHART]
PRINCIPAL AMORTIZED AMOUNT COST SHORT-TERM INVESTMENTS -- 100.0%+ ----------------------------------------------------------- AGENCY -- 11.3% Fannie Mae 0.22% 02/12/10.... $ 3,180 $ 3,187 /(d)/ Federal Home Loan Bank 2.75% 03/12/10.... 2,900 2,914 FNMA Discount 0.07% 02/01/10.... 2,500 2,500 /(d)/ 0.09% 01/20/10.... 7,910 7,910 /(d)/ Freddie Mac 0.14% 02/04/10.... 9,830 9,830 /(d)/ 4.88% 02/09/10.... 1,310 1,351 27,692 COMMERCIAL PAPER -- 32.3% Allied Irish Banks NA 0.53% 03/03/10.... 8,500 8,492 /(d)/ Australia & NZ Banking Group 0.21% 01/07/10.... 2,600 2,600 /(d)/ Bank of America Corp. 0.15% 01/08/10.... 6,200 6,200 /(d)/
PRINCIPAL AMORTIZED AMOUNT COST CBA Delaware Finance Inc. 0.28% 06/10/10.... $ 8,550 $ 8,539 /(d)/ Danske Corp. 0.19% 03/15/10.... 5,200 5,198 /(b,d)/ 0.48% 01/19/10.... 4,630 4,629 /(d)/ Eksportfinans ASA 0.08% 01/04/10.... 6,310 6,310 /(d)/ Her Majesty Rgt Canada 0.30% 01/21/10.... 2,050 2,050 /(d)/ HSBC USA Inc. 0.10% 01/04/10.... 2,080 2,080 /(d)/ 0.24% 04/14/10.... 5,900 5,896 /(d)/ IBRD Discount Note 0.15% 02/26/10.... 4,200 4,199 /(d)/ Nordea North America 0.23% 02/05/10.... 5,100 5,099 /(d)/ Societe Generale N Amer 0.29% 05/17/10.... 3,950 3,946 /(d)/ 0.34% 02/02/10.... 5,550 5,548 /(d)/ Toronto Dominion Holding USA 0.50% 02/08/10.... 2,690 2,688 /(b,d)/ Toyota Motor Credit 0.18% 02/03/10.... 5,650 5,649 /(d)/ 79,123 REPURCHASE AGREEMENTS -- 8.6% Barclays 0.00% dated 12/31/09, to be repurchased at $6,900 on 01/04/10 collateralized by $7,038 U.S. Treasuries Agency Bonds, 1.38% maturing 05/15/12 01/04/10................. 6,900 6,900 /(d)/ Deutsche Bank Gov Agcy Repo 0.01% dated 12/31/09, to be repurchased at $10,400 on 01/04/10 collateralized by $10,610 U.S. Government Agency Bonds, 4.25% maturing 06/10/11 01/04/10................. 10,400 10,400 /(d)/ HSBC Gov Agcy Repo 0.01% dated 12/31/09, to be repurchased at $3,800 on 01/04/10 collateralized by $3,882 U.S. Government Agency Bonds, 8.75% maturing 08/15/20 01/04/10................. 3,800 3,800 /(d)/ 21,100
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 75 ELFUN MONEY MARKET FUND (dollars in thousands) -- December 31, 2009 [GRAPHIC]
PRINCIPAL AMORTIZED AMOUNT COST CERTIFICATES OF DEPOSIT -- 25.6% Australia & NZ Banking Group 0.35% 05/25/10....... $ 5,000 $ 5,000 /(d)/ Banco Bilbao Vizcaya Argentaria NY 0.22% 02/17/10....... 3,550 3,550 /(d)/ Bank of Montreal Chicago 0.19% 02/22/10....... 4,950 4,950 /(d)/ Barclays Bank PLC NY 0.44% 05/03/10....... 6,150 6,150 /(d)/ 0.70% 04/15/10....... 3,950 3,950 /(d)/ BNP Paribas NY 0.20% 03/01/10....... 4,700 4,700 /(d)/ 0.31% 01/14/10....... 3,900 3,900 /(d)/ Calyon New York 0.60% 01/05/10....... 7,220 7,220 /(d)/ Deutsche Bank Ag NY 0.50% 01/06/10....... 4,670 4,670 /(d)/ National Australia Bank NY 0.18% 02/23/10....... 4,300 4,300 /(d)/ Svenska Handelsbanken NY 0.22% 02/11/10....... 7,450 7,450 /(d)/ Toronto-Dominion Bank NY 0.33% 05/17/10....... 3,750 3,750 /(d)/ Westpac Banking Corp NY 0.30% 10/06/10....... 2,900 2,900 /(d)/ 62,490 CORPORATE NOTES -- 18.5% Abbey National Treasury Services 0.66% 02/25/10....... 6,840 6,840 /(d)/ Bank of Nova Scotia Houston 0.23% 12/17/10....... 4,000 4,000 /(d)/ 0.43% 01/15/10....... 5,610 5,610 /(d)/ Calyon NY 0.28% 02/26/10....... 1,180 1,180 /(d)/ Credit Agricole (London) 0.30% 05/28/10....... 660 659 /(b,d)/ European Investment Bank 5.00% 02/08/10....... 640 643
PRINCIPAL AMORTIZED AMOUNT COST Freddie Mac 2.38% 05/28/10..... $ 6,400 $ 6,455 KFW 0.33% 01/21/10..... 3,100 3,101 /(d)/ Procter & Gamble International Fn 0.29% 05/07/10..... 1,570 1,570 /(d)/ Rabobank Nederland NY 0.26% 07/23/10..... 2,950 2,950 /(d)/ 0.38% 04/26/10..... 1,870 1,870 /(d)/ Royal Bank of Canada NY 0.36% 01/26/10..... 10,260 10,260 /(d)/ 45,138 TIME DEPOSIT -- 3.7% Bank of Ireland 0.10% 01/04/10..... 8,930 8,930 /(d)/ State Street Corp. 0.01% 01/04/10..... 157 157 /(d)/ 9,087 TOTAL SHORT-TERM INVESTMENTS (COST $244,630) 244,630 LIABILITIES IN EXCESS OF OTHER ASSETS, NET -- (0.0)%* (66) --------- NET ASSETS -- 100.0%....... $ 244,564 =========
- ------- See Notes to Schedules of Investments on page 77 and Notes to Financial Statements. 76 [GRAPHIC] (dollars in thousands) -- December 31, 2009 (a)Non-income producing security. (b)Pursuant to Rule 144A of the Securities Act of 1933, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2009, these securities amounted to $5,810; $1,480; $34,345 and $8,545 or 2.63%, 0.08%, 10.15% and 3.49% of the net assets of the Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund respectively. These securities have been determined to be liquid using procedures established by the Board of Trustees. (c)Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (TBA) in the future. (d)Coupon amount represents effective yield. (e)State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund's custodian and accounting agent. (f)Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. (g)Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. (h)At December 31, 2009, all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA's. (i)Variable or floating rate security. The stated rate represents the rate at December 31, 2009. (j)Step coupon bond. Security becomes interest bearing at a future date. (k)GEAM, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund. (l)Escrowed to maturity Bonds are collateralized by U.S. Treasury securities which are held in escrow by a trustee and used to pay principal and interest on such bonds. (m)Pre refunded Bonds are collateralized by U.S. Treasury securities, which are held in escrow and are used to pay principal and interest on the tax-exempt issue and to retire the bonds at the earliest refunding date. (n)The security is insured by AMBAC, MBIA, FSA or FGIC. The Elfun Tax-Exempt Fund had insurance concentrations of 5% or greater as of December 31, 2009 (as a percentage of net assets) as follows: AMBAC 9.14% FSA 9.02%
(o)Sponsored by SSgA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund's custodian and accounting agent. (p)GEAM, the investment adviser of the Fund, also serves as investment adviser of the GE Funds-GE Money Market Fund. (q)Illiquid Securities. At December 31, 2009, these securities amounted to $1,658 and $188 or 0.49% and 0.09% of net assets for the Elfun Income and Elfun Diversified Fund respectively. These securities have been determined to be illiquid using procedures established by the Board of Trustees. (r)Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based. 77 [GRAPHIC] (dollars in thousands) -- December 31, 2009 + Percentages are based on net assets as of December 31, 2009. * Less than 0.1% **Amount is less than $500 ABBREVIATIONS: ADR -- American Depositary Receipt AMBAC -- AMBAC Indemnity Corporation FGIC -- Financial Guaranty Insurance Corporation FSA -- Financial Security Assurance GDR -- Global Depositary Receipt MBIA -- Municipal Bond Investors Assurance Corporation Regd -- Registered REIT -- Real Estate Investment Trust REMIC -- Real Estate Mortgage Investment Conduit SPDR -- Standard & Poor's Depository Receipts STRIPS -- Separate Trading of Registered Interest and Principal of Security TBA -- To be announced
78 [GRAPHIC] Selected data based on a unit outstanding during the years indicated
ELFUN INTERNATIONAL EQUITY FUND 2009 2008 2007 2006 2005 - --------------------------------------------------------------------------------------------------------------------- INCEPTION DATE -- -- -- -- 1/1/88 Net asset value, beginning of year............. $14.65 $28.32 $25.69 $21.82 $18.57 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income........................ 0.43 0.77 0.63 0.51 0.42 Net realized and unrealized gains (losses) on investments.............. 3.63 (13.26) 5.45 5.16 3.24 - --------------------------------------------------------------------------------------------------------------------- TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS. 4.06 (12.49) 6.08 5.67 3.66 - --------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income........................ 0.44 0.74 0.61 0.52 0.41 Net realized gains........................... 0.03 0.44 2.84 1.28 -- - --------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS............................ 0.47 1.18 3.45 1.80 0.41 - --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR................... $18.24 $14.65 $28.32 $25.69 $21.82 - --------------------------------------------------------------------------------------------------------------------- TOTAL RETURN /(A)/............................. 27.69% (44.15)% 23.78% 26.03% 19.69% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands)....... $301,332 $248,781 $483,850 $385,518 $287,527 Ratios to average net assets: Net investment income...................... 2.66% 3.10% 2.23% 2.11% 2.16% Net expenses............................... 0.27%/(c)/ 0.44%/(c)/ 0.20% 0.18% 0.23% Gross expenses............................. 0.28% 0.45% 0.20% 0.18% 0.23% Portfolio turnover rate...................... 45% 41% 31% 30% 42% - --------------------------------------------------------------------------------------------------------------------- ELFUN TRUSTS 2009 2008 2007 2006 2005 - --------------------------------------------------------------------------------------------------------------------- INCEPTION DATE -- -- -- -- 5/27/35 Net asset value, beginning of year............. $30.23 $48.73 $51.58 $50.74 $55.13 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income........................ 0.35 0.49 0.61 0.69 0.62 Net realized and unrealized gains (losses) on investments.............. 9.83 (17.35) 2.01 5.97 (0.14) - --------------------------------------------------------------------------------------------------------------------- TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS. 10.18 (16.86) 2.62 6.66 0.48 - --------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income........................ 0.37 0.49 0.61 0.70 0.64 Return of Capital............................ 0.03 0.02 -- -- -- Net realized gains........................... 1.51 1.13 4.86 5.12 4.23 - --------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS............................ 1.91 1.64 5.47 5.82 4.87 - --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR................... $38.50 $30.23 $48.73 $51.58 $50.74 - --------------------------------------------------------------------------------------------------------------------- TOTAL RETURN /(A)/............................. 33.62% (34.53)% 5.05% 13.10% 0.80% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands)....... $1,639,896 $1,314,686 $2,199,017 $2,302,024 $2,273,709 Ratios to average net assets: Net investment income...................... 1.05% 1.10% 1.10% 1.29% 1.12% Net expenses............................... 0.23%/(c)/ 0.21%/(c)/ 0.12% 0.13% 0.11% Gross expenses............................. 0.24% 0.22% 0.12% 0.13% 0.11% Portfolio turnover rate...................... 8% 20% 12% 14% 13%
- ------- See Notes to Financial Highlights and Notes to Financial Statements. 79 [GRAPHIC] Selected data based on a unit outstanding during the years indicated
ELFUN DIVERSIFIED FUND 2009 2008 2007 2006 2005 - -------------------------------------------------------------------------------------------------------------------------- INCEPTION DATE -- -- -- -- 1/1/88 Net asset value, beginning of year............. $13.41 $19.80 $20.15 $18.74 $19.43 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income........................ 0.29 0.42 0.50 0.50 0.44 Net realized and unrealized gains (losses) on investments.............. 2.68 (6.41) 1.26 2.24 0.35 - -------------------------------------------------------------------------------------------------------------------------- TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS. 2.97 (5.99) 1.76 2.74 0.79 - -------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income........................ 0.30 0.40 0.49 0.50 0.44 Net realized gains........................... 0.00* -- 1.62 0.83 1.04 - -------------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS............................ 0.30 0.40 2.11 1.33 1.48 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR................... $16.08 $13.41 $19.80 $20.15 $18.74 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN /(A)/............................. 22.13% (30.23)% 8.74%/(B)/ 14.60% 4.02% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands)....... $220,654 $191,347 $292,224 $283,069 $259,930 Ratios to average net assets: Net investment income...................... 1.98% 2.35% 2.31% 2.45% 2.21% Net expenses............................... 0.43%/(c)/ 0.31%/(c)/ 0.20% 0.20% 0.22% Gross expenses............................. 0.47% 0.33% 0.20% 0.20% 0.22% Portfolio turnover rate...................... 142% 180% 171% 119% 118% - -------------------------------------------------------------------------------------------------------------------------- ELFUN TAX-EXEMPT INCOME FUND 2009 2008 2007 2006 2005 - -------------------------------------------------------------------------------------------------------------------------- INCEPTION DATE -- -- -- -- 1/1/80 Net asset value, beginning of year............. $10.73 $11.54 $11.74 $11.75 $11.91 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income........................ 0.53 0.53 0.54 0.54 0.54 Net realized and unrealized gains (losses) on investments.............. 0.91 (0.81) (0.20) 0.01 (0.12) - -------------------------------------------------------------------------------------------------------------------------- TOTAL INCOME FROM INVESTMENT OPERATIONS........ 1.44 (0.28) 0.34 0.55 0.42 - -------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income........................ 0.53 0.53 0.54 0.54 0.54 Net realized gains........................... -- -- 0.00* 0.02 0.04 - -------------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS............................ 0.53 0.53 0.54 0.56 0.58 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR................... $11.64 $10.73 $11.54 $11.74 $11.75 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN /(A)/............................. 13.64% (2.51)% 2.96% 4.83% 3.64% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands)....... $1,776,803 $1,623,597 $1,757,490 $1,771,290 $1,741,535 Ratios to average net assets: Net investment income...................... 4.66% 4.72% 4.63% 4.64% 4.56% Net expenses............................... 0.18% 0.12% 0.12% 0.12% 0.13% Gross expenses............................. 0.18% 0.12% 0.12% 0.12% 0.13% Portfolio turnover rate...................... 33% 37% 39% 36% 32%
- ------- See Notes to Financial Highlights and Notes to Financial Statements. 80 [GRAPHIC] Selected data based on a unit outstanding during the years indicated
ELFUN INCOME FUND 2009 2008 2007 2006 2005 - ------------------------------------------------------------------------------------------------------ INCEPTION DATE -- -- -- -- 12/31/84 Net asset value, beginning of year........ $10.35 $11.09 $11.05 $11.14 $11.42 INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income................... 0.43 0.52 0.61 0.59 0.54 Net realized and unrealized gains (losses) on investments......... 0.38 (0.74) 0.05 (0.09) (0.25) - ------------------------------------------------------------------------------------------------------ TOTAL INCOME FROM INVESTMENT OPERATIONS... 0.80 (0.22) 0.66 0.50 0.29 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS FROM: Net investment income................... 0.43 0.52 0.62 0.59 0.53 Net realized gains...................... -- -- 0.00* -- 0.04 - ------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS....................... 0.43 0.52 0.62 0.59 0.57 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR.............. $10.73 $10.35 $11.09 $11.05 $11.14 - ------------------------------------------------------------------------------------------------------ TOTAL RETURN /(A)/........................ 8.04% (2.01)% 6.16% 4.69% 2.58% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands).. $338,481 $328,913 $363,695 $363,142 $385,076 Ratios to average net assets: Net investment income................. 4.15% 4.88% 5.58% 5.41% 4.74% Net expenses.......................... 0.24%/(c)/ 0.16%/(c)/ 0.20% 0.19% 0.21% Gross expenses........................ 0.27% 0.20% 0.20% 0.19% 0.21% Portfolio turnover rate................. 320% 451% 432% 328% 317% - ------------------------------------------------------------------------------------------------------ ELFUN MONEY MARKET FUND 2009 2008 2007 2006 2005 - ------------------------------------------------------------------------------------------------------ INCEPTION DATE -- -- -- -- 6/13/90 Net asset value, beginning of year........ $1.00 $1.00 $1.00 $1.00 $1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income................... 0.00* 0.03 0.05 0.05 0.03 - ------------------------------------------------------------------------------------------------------ TOTAL INCOME FROM INVESTMENT OPERATIONS... 0.00 0.03 0.05 0.05 0.03 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS FROM: Net investment income................... 0.00* 0.03 0.05 0.05 0.03 - ------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS....................... 0.00 0.03 0.05 0.05 0.03 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR.............. $1.00 $1.00 $1.00 $1.00 $1.00 - ------------------------------------------------------------------------------------------------------ TOTAL RETURN /(A)/........................ 0.42% 2.57% 5.24% 4.93% 3.00% RATIOS/SUPPLEMENTAL DATA: Net assets, end of year (in thousands).. $244,564 $285,389 $327,766 $306,582 $313,641 Ratios to average net assets: Net investment income................. 0.43% 2.57% 5.12% 4.87% 3.06% Net expenses.......................... 0.24% 0.19% 0.18% 0.18% 0.19% Gross expenses........................ 0.24% 0.19% 0.18% 0.18% 0.19%
- ------- NOTES TO FINANCIAL HIGHLIGHTS (a)Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. (b)The total return includes .03% related to the purchase and sales of initial public offerings. (c)Reflects GEAM's waiver of a portion of the Fund's management expenses in an amount equal to the management fee earned by GEAM with respect to the Fund's investment in the GE Funds - GE Money Market Fund. * Less than 0.005 per share. - ------- See Notes to Financial Statements. 81
STATEMENTS OF ASSETS ELFUN AND LIABILITIES DECEMBER 31, 2009 INTERNATIONAL ELFUN (AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS ASSETS Investments in securities, at market (cost $280,131; $1,343,555; $180,383; $1,691,366; $320,184 and $0 respectively)................ $298,066 $1,615,184 Investments in affiliated securities, at market (at cost $131; $603; $271; $370; $1,370 and $0 respectively)............................ 100 458 Short-term Investments (at amortized cost)........................... -- -- Short-term affiliated investments (at amortized cost)................ 2,143 24,213 Foreign currency (cost $43; $0; $9; $0; $0; and $0, respectively).... 42 -- Receivable for investments sold...................................... -- -- Income receivables................................................... 499 1,344 Receivable for fund shares sold...................................... 261 444 Variation margin receivable.......................................... -- -- Receivable from GEAM................................................. -- -- Other assets......................................................... 399 -- - ------------------------------------------------------------------------------------------------- TOTAL ASSETS....................................................... 301,510 1,641,643 - ------------------------------------------------------------------------------------------------- LIABILITIES Distribution payable to unitholders.................................. -- -- Payable for investments purchased.................................... -- -- Payable for fund units redeemed...................................... 77 606 Payable to GEAM...................................................... 28 886 Accrued other expenses............................................... 67 255 Variation margin payable............................................. 6 -- Payable to custodian................................................. -- -- - ------------------------------------------------------------------------------------------------- TOTAL LIABILITIES.................................................. 178 1,747 - ------------------------------------------------------------------------------------------------- NET ASSETS............................................................. $301,332 $1,639,896 - ------------------------------------------------------------------------------------------------- NET ASSETS CONSIST OF: Capital paid in...................................................... 326,264 1,368,706 Undistributed (distribution in excess of) net investment income...... 159 -- Accumulated net realized gain (loss)................................. (43,021) (294) Net unrealized appreciation/(depreciation) on: Investments........................................................ 17,905 271,484 Futures............................................................ 11 -- Foreign currency related transactions.............................. 14 -- - ------------------------------------------------------------------------------------------------- NET ASSETS............................................................. $301,332 $1,639,896 - ------------------------------------------------------------------------------------------------- Units outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized)........................... 16,521 42,596 Net asset value, offering and redemption price per unit................ $18.24 $38.50
- ------- See Notes to Financial Statements. 82
ELFUN ELFUN ELFUN DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET FUND INCOME FUND INCOME FUND FUND $184,341 $1,766,366 $315,267 $ -- 206 281 1,041 -- -- -- -- 244,630 35,925 7,806 37,406 -- 9 -- -- -- -- 12,262 -- -- 604 25,143 2,908 168 35 118 327 416 11 -- 28 -- 502 -- 9 -- 1,527 -- 66 2 ------------------------------------------------- 223,160 1,811,976 357,052 245,216 ------------------------------------------------- -- 2,162 386 4 1,878 31,808 18,172 -- 61 147 13 415 -- 618 -- 233 344 438 -- 0 202 -- -- -- 21 -- -- -- ------------------------------------------------- 2,506 35,173 18,571 652 ------------------------------------------------- $220,654 $1,776,803 $338,481 $244,564 ------------------------------------------------- 236,935 1,713,681 361,379 244,765 2 -- 732 1 (20,552) (11,789) (18,662) (202) 3,894 74,911 (5,246) -- 374 -- 278 -- 1 -- -- -- ------------------------------------------------- $220,654 $1,776,803 $338,481 $244,564 ------------------------------------------------- 13,724 152,662 31,533 244,778 $16.08 $11.64 $10.73 $1.00
83
STATEMENTS OF OPERATIONS ELFUN FOR THE YEAR ENDED DECEMBER 31 , 2009 INTERNATIONAL ELFUN (AMOUNTS IN THOUSANDS) EQUITY FUND TRUSTS INVESTMENT INCOME INCOME: Dividends....................................................... $ 8,306 $ 17,701 Interest........................................................ 37 716 Interest from affiliated investments............................ 21 115 Less: Foreign taxes withheld.................................... (810) (2) - -------------------------------------------------------------------------------------------- TOTAL INCOME...................................................... 7,554 18,530 - -------------------------------------------------------------------------------------------- EXPENSES: Administration expenses......................................... 275 2,258 Unitholder servicing agent expenses............................. 62 207 Transfer agent expenses......................................... 185 604 Custody and accounting expenses................................. 108 80 Insurance expenses.............................................. 30 143 Professional fees............................................... 18 20 Registration, filing, printing and miscellaneous expenses....... 36 118 - -------------------------------------------------------------------------------------------- TOTAL EXPENSES.................................................. 714 3,430 Less: Expenses Waived or borne by the advisor................... (20) (88) - -------------------------------------------------------------------------------------------- Net expenses.................................................... 694 3,342 - -------------------------------------------------------------------------------------------- NET INVESTMENT INCOME............................................. 6,860 15,188 - -------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS REALIZED GAIN (LOSS) ON: Investments..................................................... (38,591) 62,060 Futures......................................................... 68 -- Foreign currency related transactions........................... 90 -- INCREASE (DECREASE) IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments..................................................... 96,371 347,531 Futures......................................................... (23) -- Foreign currency related transactions........................... 29 -- - -------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments............ 57,944 409,591 - -------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ 64,804 $424,779 - --------------------------------------------------------------------------------------------
- ------- See Notes to Financial Statements. 84
ELFUN ELFUN ELFUN DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET FUND INCOME FUND INCOME FUND FUND $ 2,180 $ -- $ -- $ -- 2,627 83,365 14,192 1,809 137 3 129 -- (120) -- -- -- ------------------------------------------------ 4,824 83,368 14,321 1,809 ------------------------------------------------ 289 2,253 426 359 43 88 50 45 125 259 143 125 390 115 168 57 24 162 34 -- 28 29 18 26 51 118 37 36 ------------------------------------------------ 950 3,024 876 648 (94) -- (84) -- ------------------------------------------------ 856 3,024 792 648 ------------------------------------------------ 3,968 80,344 13,529 1,161 ------------------------------------------------ (22,118) (5,590) (9,116) 6 1,685 -- 724 -- (35) -- (2) -- 56,715 143,175 20,479 -- 323 -- (131) -- 6 -- -- -- ------------------------------------------------ 36,576 137,585 11,954 6 ------------------------------------------------ $ 40,544 $217,929 $25,483 $1,167 ------------------------------------------------
85
STATEMENTS OF CHANGES ELFUN ELFUN IN NET ASSETS FOR THE YEAR ENDED INTERNATIONAL TRUSTS DECEMBER 31, 2009 AND 2008 (AMOUNTS IN THOUSANDS) EQUITY FUND FUND 2009 2008 2009 2008 - ------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income................................ $ 6,860 $ 12,205 $ 15,188 $ 20,413 Net realized gain (loss) on investments, futures, written options, foreign currency related transactions and swaps............................. (38,433) 6,023 62,060 45,849 Net increase (decrease) in unrealized appreciation/ (depreciation) on investments, futures and foreign currency related transactions.............. 96,377 (231,564) 347,531 (795,454) - ------------------------------------------------------------------------------------------------------ Net increase (decrease) from operations.............. 64,804 (213,336) 424,779 (729,192) - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO UNITHOLDERS FROM: Net investment income................................ (7,145) (11,764) (15,188) (20,393) Net realized gains................................... (430) (7,022) (62,071) (47,329) Return of capital.................................... -- -- (1,246) (831) - ------------------------------------------------------------------------------------------------------ TOTAL DISTRIBUTIONS.................................... (7,575) (18,786) (78,505) (68,553) - ------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations and distributions.................................... 57,229 (232,122) 346,274 (797,745) - ------------------------------------------------------------------------------------------------------ UNIT TRANSACTIONS: Proceeds from sale of units.......................... 12,009 40,614 26,015 34,480 Value of distributions reinvested.................... 6,647 16,479 59,748 51,476 Cost of units redeemed............................... (23,334) (60,040) (106,827) (172,542) - ------------------------------------------------------------------------------------------------------ Net increase (decrease) from unit transactions......... (4,678) (2,947) (21,064) (86,586) - ------------------------------------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS 52,551 (235,069) 325,210 (884,331) NET ASSETS Beginning of year...................................... 248,781 483,850 1,314,686 2,199,017 - ------------------------------------------------------------------------------------------------------ END OF YEAR............................................ $301,332 $ 248,781 $1,639,896 $1,314,686 - ------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME, END OF YEAR..................... $ 159 $ 352 $ -- $ -- CHANGES IN FUND UNITS Units sold by subscription............................... 755 1,672 775 837 Issued for distribution reinvested....................... 362 1,108 1,538 1,735 Units redeemed........................................... (1,582) (2,878) (3,200) (4,216) - ------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN FUND UNITS.................... (465) (98) (887) (1,644) - ------------------------------------------------------------------------------------------------------
- ------- See Notes to Financial Statements. 86
ELFUN ELFUN ELFUN DIVERSIFIED TAX-EXEMPT ELFUN MONEY MARKET FUND INCOME FUND INCOME FUND FUND 2009 2008 2009 2008 2009 2008 2009 2008 - -------------------------------------------------------------------------------------- $ 3,968 $ 5,897 $ 80,344 $ 81,973 $ 13,529 $ 17,104 $ 1,161 $ 8,081 (20,468) (68) (5,590) (5,111) (8,394) (3,844) 6 (208) 57,044 (92,761) 143,175 (123,349) 20,348 (20,461) -- -- - -------------------------------------------------------------------------------------- 40,544 (86,932) 217,929 (46,487) 25,483 (7,201) 1,167 7,873 - -------------------------------------------------------------------------------------- (4,031) (5,618) (80,344) (82,012) (13,587) (17,027) (1,161) (8,080) (3) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- - -------------------------------------------------------------------------------------- (4,034) (5,618) (80,344) (82,012) (13,587) (17,027) (1,161) (8,080) - -------------------------------------------------------------------------------------- 36,510 (92,550) 137,585 (128,499) 11,896 (24,228) 6 (207) - -------------------------------------------------------------------------------------- 8,037 14,407 62,940 124,398 22,269 29,224 90,903 168,489 3,480 4,807 55,172 56,912 9,605 11,873 1,019 7,122 (18,720) (27,541) (102,491) (186,704) (34,202) (51,651) (132,753) (217,781) - -------------------------------------------------------------------------------------- (7,203) (8,327) 15,621 (5,394) (2,328) (10,554) (40,831) (42,170) - -------------------------------------------------------------------------------------- 29,307 (100,877) 153,206 (133,893) 9,568 (34,782) (40,825) (42,377) 191,347 292,224 1,623,597 1,757,490 328,913 363,695 285,389 327,766 - -------------------------------------------------------------------------------------- $220,654 $ 191,347 $1,776,803 $1,623,597 $338,481 $328,913 $ 244,564 $ 285,389 - -------------------------------------------------------------------------------------- $ 2 $ 74 $ -- $ -- $ 732 $ 793 $ 1 $ 1 554 849 5,541 10,981 2,139 2,726 90,903 168,490 215 342 4,841 5,102 920 1,110 1,019 7,122 (1,316) (1,681) (9,028) (17,077) (3,298) (4,863) (132,753) (217,781) - -------------------------------------------------------------------------------------- (547) (490) 1,354 (994) (239) (1,027) (40,831) (42,169) - --------------------------------------------------------------------------------------
87 December 31, 2009 [GRAPHIC] 1. ORGANIZATION OF THE FUNDS The Elfun Funds (each a "Fund" and collectively the "Funds") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end management investment companies. The Funds operate as Employees' Securities Companies (as defined in the 1940 Act) and as such are exempt from certain provisions of the 1940 Act. GE Asset Management Incorporated ("GEAM"), the Funds' investment adviser, is a wholly owned subsidiary of General Electric Company. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates. ACCOUNTING CHANGES The Financial Accounting Standards Board (FASB) issued FASB Accounting Standards Codification (ASC) effective for financial statements issued for interim and annual periods ending after September 15, 2009. The ASC is an aggregation of previously issued authoritative U.S. generally accepted accounting principles (GAAP) in one comprehensive set of guidance organized by subject area. In accordance with the ASC, references to previously issued accounting standards have been replaced by ASC references. Subsequent revisions to GAAP will be incorporated into the ASC through Accounting Standards Updates (ASU). The following summarizes the significant accounting policies of the Funds: SECURITY VALUATION AND TRANSACTIONS A Fund's portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sales price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. Debt securities (other than short-term securities described below) generally are valued at an evaluated bid as reported by an independent pricing service. Values obtained from pricing services are based on various factors such as market transactions, dealer supplied valuations, security characteristics and other market data. In the absence of a reliable price from such a pricing service, debt securities may be valued based on dealer supplied valuations or quotations. A Fund's written or purchased options are valued at the last sales price, or if no sales occurred that day, at the last reported bid price. Short-term investments of sufficient quality with remaining maturities of sixty days or less at the time of purchase are valued on the basis of amortized costs. All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuter exchange rate computed at 11:00 a.m., Eastern time. If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Funds' Board of Trustees that are designed to establish its "fair" value. Foreign securities may be valued with the assistance of an independent fair value pricing service in circumstances where it is believed that they have been or would be materially affected by events occurring after the close of the portfolio security's primary market and before the close of regular trading on the NYSE. This independent fair value pricing service uses a computerized system to appraise affected securities and portfolios taking into consideration various factors and the fair value of such securities may be something other than the last available quotation or other market price. GEAM may also separately monitor portfolio securities and, consistent with the Funds' fair value procedures, apply a different value to a portfolio security than would 88 December 31, 2009 [GRAPHIC] be applied had it been priced using market quotations or by an independent fair value pricing service. Determining the fair value of securities involves the application of both subjective and objective considerations. Security values may differ depending on the methodology used to determine their values, and may differ from the last quoted sale or closing price. No assurance can be given that use of these fair value procedures will always better represent the price at which a Fund could sell the affected portfolio security. Security transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes. SUBSEQUENT EVENTS Subsequent events after the balance sheet date through the date the financial statements were issued were evaluated in the preparation of Financial Statements. FAIR VALUE MEASUREMENTS The Funds adopted ASC 820, Fair Valuation Measurements and Disclosures effective January 1, 2008. This guidance establishes a new framework for measuring fair value and expands related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs. For financial assets and liabilities, fair value is the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy: Level 1--Quoted prices for identical investments in active markets. Level 2--Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level 3--Significant inputs to the valuation model are unobservable. Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities. The following section describes the valuation methodologies the Funds use to measure different financial investments at fair value. When available, the Funds use quoted market prices to determine the fair value of investment securities, and they are included in Level 1. Level 1 securities primarily include publicly-traded equity securities. When quoted market prices are unobservable, pricing information is obtained from an independent pricing vendor. The pricing vendor uses various pricing models for each asset class that are consistent with what other market participants would use. The inputs and assumptions to the model of the pricing vendor are derived from market observable sources including: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing vendor uses available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. The pricing vendor considers all available market observable inputs in determining the evaluation for a security. Thus, certain securities may not be priced using quoted prices, but rather determined from market observable information. These investments 89 December 31, 2009 [GRAPHIC] are included in Level 2 and primarily comprise our portfolio of corporate fixed income, and government, mortgage and asset-backed securities. In infrequent circumstances, pricing vendors may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are included in Level 3. The Funds use non-binding broker quotes as the primary basis for valuation when there is limited, or no, relevant market activity for a specific investment or for other investments that share similar characteristics. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker quotes are included in Level 3. As is the case with the primary pricing vendor, third-party brokers do not provide access to their proprietary valuation models, inputs and assumptions. Accordingly, GEAM conducts internal reviews of pricing for all such investment securities periodically to ensure reasonableness of valuations used in the Funds' financial statements. These reviews are designed to identify prices that appear stale, those that have changed significantly from prior valuations, and other anomalies that may indicate that a price may not be accurate. Based on the information available, GEAM believes that the fair values provided by the brokers are representative of prices that would be received to sell the assets at the measurement date (exit prices). Other financial investments are derivative investments that are not reflected in Total Investments, such as futures, forwards, swaps, and written options contracts, which are valued based on the unrealized appreciation/depreciation of the instrument. The Funds use closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features. In January 2010, FASB issued ASU 2010-06, Improving Disclosures about Fair Value Measurements. ASU 2010-06 will require reporting entities to make new disclosures about the amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new disclosures are effective for interim and annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements. Those disclosures are effect for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. GEAM does not believe the adoption of ASU 2010-06 will materially impact the financial statement amounts. The following tables present the Funds' investments measured at fair value on a recurring basis at December 31, 2009: ELFUN INTERNATIONAL EQUITY FUND+ LEVEL 1 LEVEL 2* LEVEL 3 TOTAL ------------------------------------------------------------------------ Investments in Securities $ 24,360 $275,949 $ -- $ 300,309 Other Financial Instruments 11 -- -- 11 ELFUN TRUSTS+ LEVEL 1 LEVEL 2* LEVEL 3 TOTAL ------------------------------------------------------------------------ Investments in Securities $1,639,397 $ 458 $ -- $1,639,855 ELFUN DIVERSIFIED FUND+ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------------------------------------------------------------------ Investments in Securities $ 120,222 $ 97,835 $2,415 $ 220,472 Other Financial Instruments 374 -- -- 374
90 December 31, 2009 [GRAPHIC] Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value.
INVESTMENTS IN SECURITIES - ------------------------------------------------------------------------------- Balance at 12/31/08 $ 4,316 Accrued discounts/premiums (26) Realized gain (loss) (395) Change in unrealized appreciation (depreciation) 1,796 Net purchases (sales) (3,208) Net transfers in and out of Level 3 (68) - ------------------------------------------------------------------------------- Balance at 12/31/09 $ 2,415 - ------------------------------------------------------------------------------- Change in Unrealized Gain/(Loss) relating to Level 3 Securities Still held at December 31, 2009 $ 42
ELFUN TAX-EXEMPT INCOME FUND+ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------- INVESTMENT IN SECURITIES Mutual Funds $ -- $ 8,087 $ -- $ 8,087 Municipals -- 1,766,366 -- 1,766,366 --------------------------------------------------------------------- TOTAL INVESTMENT IN SECURITIES $ -- $1,774,453 $ -- $1,774,453 --------------------------------------------------------------------- ELFUN INCOME FUND+ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------- Investments in Securities $37,406 $ 302,738 $13,570 $ 353,714 Other Financial Instruments 278 -- -- 278
Following is a reconciliation of securities activity based on Level 3 inputs for which unobservable market inputs were used to determine fair value:
INVESTMENTS IN SECURITIES - ------------------------------------------------------------------------------- Balance at 12/31/08 $ 8,506 Accrued discounts/premiums 370 Realized gain (loss) (2,844) Change in unrealized appreciation (depreciation) 2,211 Net purchases (sales) 8,654 Net transfers in and out of Level 3 (3,327) - ------------------------------------------------------------------------------- Balance at 12/31/09 $13,570 - ------------------------------------------------------------------------------- Change in Unrealized Gain/(Loss) relating to Level 3 Securities Still held at December 31, 2009 $ 775
91 December 31, 2009 [GRAPHIC] ELFUN MONEY MARKET FUND+ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------------------------------------------------------ Investments in Securities $-- $244,630 $-- $244,630
+ See Statement of Investments for Industry Classification. * At December 31, 2009, the foreign securities were valued with the assistance of an independent fair value pricing service, causing securities to move from Level 1 to Level 2. Transfers in and out of level 3 are considered to occur at the beginning of the period. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with the Investment Company Act of 1940. Generally, amortized cost reflects the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2. Fair value determinations are required for securities whose value is affected by a significant event that will materially affect the value of a domestic or foreign security and which occurs subsequent to the time of the close of the principal market on which such domestic or foreign security trades but prior to the calculation of the Fund's NAV. 92 December 31, 2009 [GRAPHIC] REPURCHASE AGREEMENTS Each of the Funds may engage in repurchase agreement transactions with respect to instruments that are consistent with the Fund's investment objectives or policies. The Funds' custodian takes possession of the collateral pledged for investments in repurchase agreements on behalf of the Funds. The Funds value the underlying collateral daily on a mark-to-market basis to determine that the value, including accrued interest, is at least equal to 102% of the repurchase price. In the event the seller defaults and the value of the security declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. SECURITY LENDING Each of the Funds may loan securities to brokers, dealers, and financial institutions determined by GEAM to be creditworthy, subject to certain limitations. The Funds continue to receive the interest and dividends on the loaned securities during the term of the loan. The loans of securities are secured by collateral in the form of cash or other liquid assets, which are segregated and maintained with the custodian in an amount at least equal to 102% of the current market value of the loaned securities. During the term of the loan, the Funds will record any gain or loss in the market value of its loaned securities and of securities in which cash collateral is invested. A Fund will also earn interest, net of any rebate, from securities in which cash collateral is invested. In the event the counterparty (borrower) does not meet its contracted obligation to return the securities, the Funds may be exposed to the risk of loss of reacquiring the loaned securities at prevailing market prices using the proceeds of the sale of the collateral. FOREIGN CURRENCY Accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currency are translated to U.S. dollars at the prevailing rates of exchange on a daily basis (on days the New York Stock Exchange is open). Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates for securities denominated in foreign currencies from the fluctuations arising from changes in the market prices of those securities during the year. Such fluctuations are included in net realized or unrealized gain or loss from investments. Net realized exchange gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received and paid, and gains or losses between the trade and settlement date on purchases and sales of securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/ depreciation on foreign currency related transactions. FUTURES CONTRACTS Certain Funds may invest in futures contracts subject to certain limitations. The Funds may invest in futures contracts to manage their exposure to the stock and bond markets and fluctuations in currency values. Buying futures tends to increase a Fund's exposure to the underlying instrument while selling futures tends to decrease a Fund's exposure to the underlying instrument, or hedge other Fund investments. A Fund will not enter into a transaction involving futures for speculative purposes. The Fund's risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts' terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade. Upon entering into a financial futures contract, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are 93 December 31, 2009 [GRAPHIC] made or received by the Funds each day, depending on the daily fluctuation in the fair value of the underlying security. The Funds record an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract. OPTIONS Certain Funds may purchase and write options, subject to certain limitations. The Funds may invest in options contracts to manage their exposure to the stock and bond markets and fluctuations in foreign currency values. Writing puts and buying calls tend to increase a Fund's exposure to the underlying instrument while buying puts and writing calls tend to decrease a Fund's exposure to the underlying instrument, or economically hedge other Fund investments. A Fund will not enter into a transaction involving options for speculative purposes. The Fund's risks in using these contracts include changes in the value of the underlying instruments, non- performance of the counterparties under the contracts' terms and changes in the liquidity of the secondary market for the contracts. Options are valued at the last sale price, or if no sales occurred on that day, at the last quoted bid price. When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying security or the cost basis of the securities purchased is adjusted by the original premium received or paid. SWAP CONTRACTS As part of their investment strategies, certain Funds may invest in swap agreements which are agreements to exchange the return generated by one instrument for the return generated by another instrument. Swaps are marked to market daily based upon the underlying security or index. Payments received or made are recorded as realized gain or loss in the Statement of Operations. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in the value of the index or securities underlying the agreement. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. WHEN-ISSUED SECURITIES AND FORWARD COMMITMENTS Each of the Funds may purchase or sell securities on a when-issued and forward commitment basis. These transactions are arrangements in which the Funds purchase and sell securities with payment and delivery scheduled a month or more after entering into the transactions. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract. In connection with such purchases, the Funds maintain cash or liquid assets in an amount equal to purchase commitments for such underlying securities until settlement date and for sales commitments the Funds maintain equivalent deliverable securities as "cover" for the transaction. Unsettled commitments are valued at the current market value of the underlying security. Daily fluctuations in the value of such contracts are recorded as unrealized gains or losses. The Funds will not enter into such commitments for the purpose of investment leverage. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Certain Funds may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage the Fund's 94 December 31, 2009 [GRAPHIC] currency exposure. Forward foreign currency exchange contracts are valued at the mean between the bid and the offered forward rates as last quoted by a recognized dealer. The aggregate principal amounts of the contracts are not recorded in the Fund's financial statements. Such amounts would appear under the caption forward foreign currency contracts in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (or liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains or losses on foreign currency related transactions. The Fund's risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contract's terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of the Fund's total assets committed to the consummation of the forward contract. If the value of the segregated securities declines, additional cash or securities is segregated so that the value of the account will equal the amount of the Fund's commitment with respect to the contract. INVESTMENTS IN FOREIGN MARKETS Investments in foreign markets may involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, repatriation on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile. The Funds may be subject to capital gains and repatriation taxes imposed by certain countries in which they invest. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued based upon net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned. INCOME TAXES (Dollars in Thousands) The Funds intend to comply with all sections of the Internal Revenue Code applicable to regulated investment companies, including the distribution of substantially all of their taxable net investment income, tax-exempt income, and net realized capital gains to their shareholders. Therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes. The Funds are subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity's activities during the year. ASC 740 also provides guidance regarding how certain uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether the tax positions are "more likely than not" of being sustained by the applicable tax authority. There are no adjustments to the Funds' net assets required under ASC 740. The Funds' 2006, 2007, 2008 and 2009 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities." 95 December 31, 2009 [GRAPHIC] At December 31, 2009, information on the tax components of capital is as follows:
COST OF GROSS TAX GROSS TAX NET TAX APPRECIATION/ INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION) ON FOR TAX PURPOSES APPRECIATION DEPRECIATION INVESTMENTS - ------------------------------------------------------------------------------------------------- Elfun International Equity Fund $ 292,057 $ 38,407 $(30,155) $ 8,252 Elfun Trusts 1,368,665 357,677 (86,487) 271,190 Elfun Diversified Fund 216,640 15,160 (11,328) 3,832 Elfun Tax-Exempt Income Fund 1,699,591 93,040 (18,178) 74,862 Elfun Income Fund 359,305 9,213 (14,804) (5,591) Elfun Money Market Fund 244,630 -- -- --
NET TAX APPRECIATION/ UNDISTRIBUTED UNDISTRIBUTED (DEPRECIATION) ON INCOME/ LONG-TERM GAINS/ POST OCTOBER DERIVATIVES, CURRENCY (ACCUMULATED (ACCUMULATED LOSSES AND OTHER NET ASSETS ORDINARY LOSS) CAPITAL LOSS) (SEE DETAIL BELOW) - --------------------------------------------------------------------------------------------------------- Elfun International Equity Fund $24 $158 $(33,366) $ -- Elfun Trusts -- -- -- -- Elfun Diversified Fund 9 1 (20,123) -- Elfun Tax-Exempt Income Fund -- -- (8,798) (2,942) Elfun Income Fund -- 732 (18,039) -- Elfun Money Market Fund -- 1 (202) --
As of December 31, 2009, the following Funds have capital loss carryovers as indicated below. The capital loss carryover is available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income. During the year ended December 31, 2009, there were no capital loss utilization.
FUND AMOUNT EXPIRES ------------------------------------------------- Elfun International Equity Fund $33,366 12/31/17 Elfun Diversified Fund 20,123 12/31/17 Elfun Tax-Exempt Income Fund 1,038 12/31/15 Elfun Tax-Exempt Income Fund 990 12/31/16 Elfun Tax-Exempt Income Fund 6,770 12/31/17 Elfun Income Fund 1,557 12/31/13 Elfun Income Fund 4,451 12/31/14 Elfun Income Fund 188 12/31/16 Elfun Income Fund 11,843 12/31/17 Elfun Money Market Fund 202 12/31/16
Any net capital and currency losses incurred after October 31, within each Fund's tax year, are deemed to arise on the first day of the Fund's next tax year if the Fund so elects to defer such losses. The Funds elected to defer losses incurred after October 31, 2009 as follows:
CAPITAL CURRENCY ---------------------------------------------- Elfun Tax-Exempt Income Fund $2,492 $--
96 December 31, 2009 [GRAPHIC] The tax composition of distributions paid during the years ended December 31, 2009 and December 31, 2008, were as follows:
EXEMPT ORDINARY LONG-TERM INTEREST INCOME CAPITAL GAINS ROC TOTAL - ------------------------------------------------------------------------------- Elfun International Equity Fund 2009 $ -- $ 7,145 $ 430 $ -- $ 7,575 2008 -- 11,764 7,022 -- 18,786 Elfun Trusts 2009 -- 19,519 57,740 1,246 78,505 2008 -- 21,873 45,849 831 68,553 Elfun Diversified Fund 2009 -- 4,031 3 -- 4,034 2008 -- 5,618 -- -- 5,618 Elfun Tax-Exempt Income Fund 2009 78,192 2,152 -- -- 80,344 2008 79,398 2,614 -- -- 82,012 Elfun Income Fund 2009 -- 13,587 -- -- 13,587 2008 -- 17,027 -- -- 17,027 Elfun Money Market Fund 2009 -- 1,161 -- -- 1,161 2008 -- 8,080 -- -- 8,080
97 DISTRIBUTIONS TO SHAREHOLDERS (Dollars in Thousands) Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund declare net investment income dividends daily and pay them monthly. All other Funds declare and pay dividends from net investment income annually. All Funds declare and pay net realized capital gains distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) treatment of realized gains and losses on foreign currency contracts, futures and losses deferred due to wash sale transactions. Reclassifications are made to the Funds' capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or net asset value of the Funds. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments. The reclassifications for the year ended December 31, 2009 were as follows:
UNDISTRIBUTED NET INVESTMENT ACCUMULATED PAID IN INCOME NET REALIZED LOSS CAPITAL -------------------------------------------------------------------------- Elfun International Equity Fund $ 90 $(90) $ -- Elfun Trusts 1,246 11 (1,257) Elfun Diversified Fund (9) 35 (26) Elfun Tax-Exempt Income Fund -- -- -- Elfun Income Fund (2) 2 -- Elfun Money Market Fund -- -- --
December 31, 2009 [GRAPHIC] INVESTMENT INCOME Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions, which are recorded as soon after ex-dividend date as such information becomes available. Interest income is recorded on the accrual basis, including accreting of discounts and amortizing of premiums on bonds to call or maturity date, whichever is shorter, using the effective yield method. Withholding taxes on foreign dividends have been provided for in accordance with the Funds' understanding of the applicable country's tax rules and rates. EXPENSES Expenses of the Funds which are directly identifiable to a specific Fund are allocated to that Fund. Expenses which are not directly identifiable to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds. All expenses of the Funds are paid by GEAM and reimbursed by the Funds. DERIVATIVES DISCLOSURE The Funds are subject to equity price risk, interest rate risk, credit risk and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds entered into derivative transactions for the purpose of hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, to gain market exposure for residual and accumulating cash positions, and for managing the duration of fixed-income investments. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Funds are required to deposit with the broker, either in cash or securities, an intitial margin in an amount equal to a certain percentage of the contract amount. Subsequent payments (variation margin) are made or received by the Funds each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Funds bears the risk of interest or exchange rates or securities prices moving unexpectedly, in which case, the Funds may not achieve the anticipated benefits of the futures contracts and may realize a loss. With futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange traded and the exchange's clearinghouse, as counterparty to all traded futures, guarantees the futures against default. Shown below are the derivative contracts entered into by the Funds, summarized by primary risk exposure.
ASSET DERIVATIVES DECEMBER 31, 2009 LIABILITY DERIVATIVES DECEMBER 31, 2009 --------------------------------------------- ---------------------------------------- NOTIONAL NOTIONAL VALUE/ VALUE/ DERIVATIVES NOT ACCOUNTED NO. OF NO. OF FOR AS HEDGING INSTRUMENTS BALANCE SHEET CONTRACTS FAIR BALANCE SHEET CONTRACTS FAIR UNDER FASB ASC 815 LOCATION LONG/(SHORT) VALUE LOCATION LONG/(SHORT) VALUE - -------------------------------------------------------------------------------------------------------------------- ELFUN INTERNATIONAL EQUITY FUND Equity Rate Contracts Receivables, Net Assets -- 708/12 11* Unrealized Appreciation/ (Depreciation) on Futures
* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments and equity section of the Statement of Assets and Liabilities. Only the current day's variation margin is reported within the receivables and/or payables Statement of Assets and Liabilities. 98 December 31, 2009 [GRAPHIC] Shown below are the effects of derivative instruments on the Funds' Statements of Operations, summarized by primary risk exposure.
TOTAL NUMBER REALIZED GAIN OF FUTURES/ OR (LOSS) ON CHANGE IN UNREALIZED DERIVATIVES NOT ACCOUNTED OPTIONS DERIVATIVES APPRECIATION/(DEPRECIATION) FOR AS HEDGING INSTRUMENTS LOCATION IN THE CONTRACTS RECOGNIZED ON DERIVATIVES UNDER FASB ASC 815 STATEMENTS OF OPERATIONS PURCHASED/(SOLD) IN INCOME RECOGNIZED IN INCOME - ----------------------------------------------------------------------------------------------------------------------- ELFUN INTERNATIONAL EQUITY FUND Interest Rate Contracts Net realized gain/(loss) on 425/(484) 68 (23) futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on futures
ASSET DERIVATIVES DECEMBER 31, 2009 LIABILITY DERIVATIVES DECEMBER 31, 2009 --------------------------------------------- ---------------------------------------- NOTIONAL NOTIONAL VALUE/ VALUE/ DERIVATIVES NOT ACCOUNTED NO. OF NO. OF FOR AS HEDGING INSTRUMENTS BALANCE SHEET CONTRACTS FAIR BALANCE SHEET CONTRACTS FAIR UNDER FASB ASC 815 LOCATION LONG/(SHORT) VALUE LOCATION LONG/(SHORT) VALUE - -------------------------------------------------------------------------------------------------------------------- ELFUN DIVERSIFIED FUND Equity Contracts Receivables, Net Assets -- 19,682/345 299* Unrealized Appreciation/ (Depreciation) on Futures Interest Rate Contracts Receivables, Net Assets -- (3,764)/30 75 Unrealized Appreciation/ (Depreciation) on Futures
* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments and equity section of the statement of assets and liabilities. Only the current day's variation margin is reported within the receivables and/or payables Statement of Assets and Liabilities. Shown below are the effects of derivative instruments on the Funds' Statements of Operations, summarized by primary risk exposure.
TOTAL NUMBER REALIZED GAIN OF FUTURES/ OR (LOSS) ON CHANGE IN UNREALIZED DERIVATIVES NOT ACCOUNTED OPTIONS DERIVATIVES APPRECIATION/(DEPRECIATION) FOR AS HEDGING INSTRUMENTS LOCATION IN THE CONTRACTS RECOGNIZED ON DERIVATIVES UNDER FASB ASC 815 STATEMENTS OF OPERATIONS PURCHASED/(SOLD) IN INCOME RECOGNIZED IN INCOME - -------------------------------------------------------------------------------------------------------------------- ELFUN DIVERSIFIED FUND Equity Contracts Net realized gain/(loss) on 992/(658) 1,748 248 futures, Increase/(decrease) Interest Rate Contracts Net realized gain/(loss) on 666/(720) (63) 75 futures, Increase/(decrease)
99 December 31, 2009 [GRAPHIC]
ASSET DERIVATIVES DECEMBER 31, 2009 LIABILITY DERIVATIVES DECEMBER 31, 2009 ----------------------------------------------- --------------------------------------------- NOTIONAL NOTIONAL DERIVATIVES NOT VALUE/ VALUE/ ACCOUNTED FOR AS HEDGING NO. OF NO. OF INSTRUMENTS UNDER FASB BALANCE SHEET CONTRACTS FAIR BALANCE SHEET CONTRACTS FAIR ASC 815 LOCATION LONG/(SHORT) VALUE LOCATION LONG/(SHORT) VALUE - ------------------------------------------------------------------------------------------------------------------------ ELFUN INCOME FUND Interest Rate Contracts Receivables, Net Assets -- (13,046)/(113) 347* Payables, Net Assets -- 16,599/89 (69) Unrealized Appreciation/ Unrealized Appreciation/ (Depreciation) on Futures (Depreciation) on Futures
* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments and equity section of the Statement of Assets and Liabilities. Only the current day's variation margin is reported within the receivables and/or payables Statement of Assets and Liabilities. Shown below are the effects of derivative instruments on the Funds' Statements of Operations, summarized by primary risk exposure.
TOTAL NUMBER REALIZED GAIN OF FUTURES/ OR (LOSS) ON CHANGE IN UNREALIZED DERIVATIVES NOT ACCOUNTED OPTIONS DERIVATIVES APPRECIATION/(DEPRECIATION) FOR AS HEDGING INSTRUMENTS LOCATION IN THE CONTRACTS RECOGNIZED ON DERIVATIVES UNDER FASB ASC 815 STATEMENTS OF OPERATIONS PURCHASED/(SOLD) IN INCOME RECOGNIZED IN INCOME - -------------------------------------------------------------------------------------------------------------------- ELFUN INCOME FUND Interest Rate Contracts Net realized gain/(loss) on 3,665/(3,795) 724 (131) futures, Increase/(decrease)
3. LINE OF CREDIT The Funds share a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company. The revolving credit facility requires the payment of a commitment fee equal to 0.15% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Funds have a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) its prospectus limitation or (ii) 20% of its net assets. The credit facilities were not utilized by the Funds during the period ended December 31, 2009. 4. AMOUNTS PAID TO AFFILIATES During 2009, the Funds incurred expenses for the cost of services rendered by GEAM as investment adviser and for services GEAM rendered as unitholder servicing agent. These expenses are included as administration expenses and unitholder servicing agent expenses in the Statements of Operations. The Trustees received no compensation as Trustees for the Elfun Funds. GENPACT performs certain accounting and certain administration services not provided by GEAM. For the year ending December 31, 2009, $79 (dollars in thousands) was charged to the Funds and was allocated pro rata across Funds based upon relative net assets. Administrative services not performed by GEAM or GENPACT were provided by an unaffiliated service provider. 100 December 31, 2009 [GRAPHIC] 5. INVESTMENT TRANSACTIONS (Dollars in Thousands) PURCHASES AND SALES OF SECURITIES The cost of purchases and the proceeds from sales of investments, other than short-term securities and short-term options, for the year ended December 31, 2009, were as follows:
U.S. GOVERNMENT SECURITIES OTHER SECURITIES -------------------------- ------------------ PURCHASES SALES PURCHASES SALES ------------------------------------------------------------------------------------ Elfun International Equity Fund $ -- $ -- $114,797 $112,480 Elfun Trusts Fund -- -- 108,342 189,395 Elfun Diversified Fund 129,066 149,723 107,692 98,091 Elfun Tax-Exempt Fund -- -- 632,293 562,130 Elfun Income Fund 771,423 878,139 275,457 194,333
OPTIONS During the year ended December 31, 2009 there were no written option contracts. SECURITY LENDING At December 31, 2009, the Funds did not participate in securities lending. 6. MONEY MARKET FUND GUARANTEE PROGRAM The ElFun Money Market Fund participated in the U.S. Treasury Department's Temporary Guarantee Program for Money Market Funds (the "Program") through September 18, 2009, the day the Program expired. Under the Program, if the fund's market value per share dropped below $0.995 on any day while the Program was in effect and the fund was subsequently liquidated, shareholders of record on that date who also held shares in the fund on September 19, 2008 would have been eligible to receive a payment from the U.S. Department of Treasury. No such guarantee event occurred during the term of the Program. The ElFun Money Market Fund shareholders incurred $183,195 which increased the operating expenses by 0.06% for participation in the Program. 101 [GRAPHIC] [LOGO] THE UNITHOLDERS AND BOARD OF TRUSTEES ELFUN FUNDS We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund, each a series of Elfun Funds (collectively, the "Funds"), as of December 31, 2009 and the related statements of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2009 by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund as of December 31, 2009, the results of their operations, changes in their net assets and financial highlights for each of the years described above, in conformity with U.S. generally accepted accounting principles. /s/ Boston, Massachusetts February 25, 2010 102 [GRAPHIC] For the year ended December 31, 2009 SUMMARY For the fiscal year ended December 31, 2009 certain dividends paid by the Fund may be subject to a maximum income tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the ordinary dividends paid during the fiscal year, the following represent the amounts that may be considered qualified dividend income:
FUND NAME QUALIFIED DIVIDEND INCOME ---------------------------------------------------------- Elfun International Equity Fund 99.40% Elfun Diversified Fund 48.41% Elfun Trusts 90.67%
Of the dividends paid from net investment income by the Elfun Tax Exempt Fund during the calendar year ended December 31, 2009, 97.32% represent exempt interest dividends for Federal income tax purposes. For corporate shareholders, of the ordinary dividends paid, the following represent the amounts that may be eligible for the dividends received deduction:
FUND NAME DIVIDENDS RECEIVED DEDUCTION ---------------------------------------------------- Elfun Diversified Fund 20.94% Elfun Trusts 86.38%
For the year ended December 31, 2009, the Fund hereby designates as capital gain dividends the amounts set forth, or the amount ultimately treated as capital gain net income.
FUND NAME GROSS AMOUNT --------------------------------------------- Elfun International Equity Fund $ 430,016 Elfun Trusts $57,739,536 Elfun Diversified Fund $ 2,805
The following Fund intends to make an election under Internal Revenue Code Section 853. The election will allow shareholders to treat their attributable share of foreign taxes paid by the Fund to be paid by them directly. For the fiscal year ended December 31, 2009, the total amount of income received by the Fund from sources within foreign countries and possessions of the United States and the amount of taxes paid by the Fund follows:
TOTOL GROSS FOREIGN TOTAL FOREIGN FUND NAME SOURCE INCOME TAXES PAID ------------------------------------------------------------------ Elfun International Equity Fund $8,306,461 $813,322
103 [GRAPHIC] The Board of Trustees of the Elfun Funds/1/ (the "Board") considered and all those that were present unanimously approved the continuance of the investment advisory agreements with GE Asset Management Incorporated ("GEAM") at a meeting held on December 17, 2009. In considering whether to approve the Funds' investment advisory agreements, the Board members considered and discussed a substantial amount of information and analysis provided by GEAM personnel. The Board members also considered detailed information regarding performance and expenses of other investment companies, including those with similar investment objectives and sizes, which was prepared by independent third party providers, Lipper Analytical Services Inc. ("Lipper") and Morningstar, Inc. ("Morningstar"). The Board members reviewed the fees charged by GEAM for other mutual funds and investment products other than mutual funds that employ the same investment strategies as the Funds. The Board had the opportunity to ask questions and request additional information in connection with its considerations. Before approving each Fund's investment advisory agreement, the Board members received and considered memoranda prepared by GEAM personnel that set forth detailed information, including substantial exhibits and other materials related to GEAM's business and the services it provides to each Fund. The Board members also reviewed materials discussing the legal standards for the consideration of the proposed continuances. The Board members reviewed and discussed the proposed continuance of the agreements with GEAM personnel, including representatives from the legal, compliance and finance departments and senior members of each relevant investment group (e.g., equity, fixed income). The Board members also heard presentations by these representatives, and posed questions and engaged in substantive discussions with them concerning the Funds' operations and the investment process employed for each Fund. The Board members took into account that many of them possess multi-year experience as Board members and that all of them possess a great deal of knowledge about GEAM and the Funds in their capacities as senior officers of GEAM. They also took into account their consideration of these types of agreements in recent years. The information was presented in a manner to facilitate comparison to prior periods and to reflect certain enhancements. To focus their review, the Board members asked GEAM personnel, in its oral presentations, to highlight material differences from the information presented in recent years. In reaching their determinations relating to continuance of the Funds' investment advisory agreements, the Board members considered all factors that they deemed relevant, including the factors discussed below. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Board member may have attributed different weights to the various factors. The Board members evaluated this information, and all other information available to them, for each Fund separately, and their determinations were made separately in respect of each Fund. In particular, the Board members focused on the following with respect to each Fund: THE NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED The Board members reviewed the services provided by GEAM and concurred that GEAM provides high quality advisory and administrative services to the Funds. In connection with their consideration of GEAM's services, the Board members focused on the favorable attributes of GEAM, including (i) an investment philosophy oriented toward long-term performance; (ii) effective processes used for selecting investments and brokers; (iii) effective processes used for providing Fund administration, including controllership and compliance functions and oversight of the performance of other companies that provide services to the Funds; (iv) highly skilled professionals, including analysts, research professionals and portfolio managers with a depth of experience involving the types of Funds they oversee; (v) access to significant technological resources from which the Funds may benefit; and (vi) a favorable history and reputation. The Board members discussed the personnel changes made during the past year by GEAM. The Board members noted that each Fund represents only a small amount of the overall assets managed by GEAM, but benefits from a full array of services and resources provided by GEAM. In particular, the Board members discussed that the Funds benefit from a large staff of research analysts employed by GEAM. - ------------- /1/ The Elfun Funds include the Elfun Trusts, Elfun International Equity Fund, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, Elfun Money Market Fund (each, a "Fund" and collectively, the "Funds"). 104 [GRAPHIC] In light of the foregoing, the Board members concluded that the services provided by GEAM continue to be satisfactory. INVESTMENT PERFORMANCE OF THE FUNDS The Board members considered the investment performance of the Funds for various periods. The Board members reviewed detailed comparisons of the performance of the Funds with the relevant securities indices and peer groupings of mutual funds prepared by Lipper and Morningstar with respect to various periods. The Board members also engaged in discussions with GEAM personnel regarding the investment process and performance results for each Fund. These discussions focused on each Fund's investment objective, the number and experience of portfolio management and supporting research personnel, the investment style and approach employed, the likely market cycles for the investment style and, in some instances, relative underperformance in certain periods. The Board members discussed GEAM's investment approach with respect to each of the Funds, and that the performance of the Funds is consistent with GEAM's articulated long-term approach and overall investment philosophy. The Board members concluded that the Funds' performance was acceptable overall taking into consideration the factors discussed above. COST OF THE SERVICES PROVIDED TO THE FUNDS The Board members considered the cost of the services provided by GEAM, noting that, pursuant to each investment advisory agreement, GEAM is reimbursed for its reasonable costs incurred in providing the services contemplated by those agreements and is not paid a management fee. The Board also noted that GE Investment Distributors, Inc. ("GEID"), a subsidiary of GEAM, is reimbursed for its reasonable costs incurred in providing services specified in its agreement with the Funds as unitholder servicing agent and is not paid a unitholder servicing fee. The Board members considered that the charges resulting from this arrangement involve all of the expenses incurred by GEAM and GEID with respect to the management and unitholder operations of the Funds, including, without limitation, indirect allocable overhead costs and the direct and indirect costs of GEAM and GEID personnel providing investment management and other services to the Funds. The Board members noted and discussed the additional services provided by GEAM to the Funds compared to other investment products managed by GEAM and the charges that result from those services and were provided a study conducted by the Investment Company Institute that discusses and compares advisory fees and services for mutual funds and institutional separate accounts. The Board members also noted that none of the charges resulting from the Funds' arrangements with GEAM and GEID may include any element of profit. The Board members reviewed the information they had requested from GEAM personnel concerning the underlying assumptions and methods of cost allocation used by GEAM in allocating its costs and those of the other Fund service providers, including GEID. The Board members also discussed with GEAM personnel the basis for their belief that the methods of allocation used were reasonable for each area of GEAM's business. Based on their review, the Board members concluded that they were satisfied that the assumptions and methods used in cost allocation and the level of expenses incurred by the Funds were not unreasonable or excessive. THE EXTENT TO WHICH ECONOMIES OF SCALE WOULD BE REALIZED FOR THE BENEFIT OF FUND SHAREHOLDERS AS THE FUNDS GROW The Board members considered the extent to which economies of scale would be realized for the benefit of Fund investors as the Funds grow. The Board noted that, although none of the Funds experienced significant growth in assets over the past year, the Funds continue to enjoy fee and expense levels within or below the group of lowest fee and expense funds in their respective peer group comparisons. The Board members recognized the significant benefits to the Funds resulting from their arrangement with GEAM, which causes them to bear only the reasonable costs incurred by GEAM and GEID, without any element of profit, for the substantial services they provide to the Funds. The Board members also recognized the benefits to the Funds of being able to leverage a favorable cost structure achieved with respect to the Funds' other operating expenses as a result of GEAM's large overall base of assets under management and its vendor management practices. 105 [GRAPHIC] COMPARISON OF SERVICES TO BE RENDERED AND COSTS TO BE INCURRED The Board members discussed the services provided to the Funds by GEAM, and the costs incurred by the Funds for those services. The Board members reviewed information concerning the Funds' expense ratios, and comparative information with respect to similar products. They discussed that, in all cases, the Funds enjoy expense levels within or below the group of lowest cost funds in each peer group comparison. In light of this information, the Board members determined that the level of expenses incurred was reasonable in relation to the services provided to the Funds. FALL-OUT BENEFITS The Board members considered other actual and potential financial benefits that GEAM may derive from its relationship with the Funds, including, where applicable, soft dollar commission benefits generated through Fund portfolio transactions. The Board members noted, however, that the Funds benefit from the vast array of resources available through GEAM, and that each Fund represents only a small amount of the overall assets managed by GEAM. CONCLUSION No single factor was determinative to the Board's decision. Based on their discussion and such other matters as were deemed relevant, the Board members concluded that the proposed level of cost reimbursement to GEAM and projected total expense ratios for the Funds are reasonable in relation to the services provided. In view of these facts, the Board members concluded that the renewal of each advisory agreement was in the best interests of the Funds and their shareholders. 106 [GRAPHIC] INFORMATION ABOUT TRUSTEES AND EXECUTIVE OFFICERS: The business and affairs of the Funds are managed under the direction of the Funds' Board of Trustees. Information pertaining to the Trustees and officers of the Company is set forth below. INTERESTED TRUSTEES AND EXECUTIVE OFFICERS - -------------------------------------------------------------------------------- JAMES W. IRELAND III - -------------------------------------------------------------------------------- ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905 AGE 54 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Two years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President, Chief Executive Officer, and Director of GEAM since June 2007; President, NBC Universal Television Stations from December 1999 to July 2007. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of the Norman Rockwell Museum since September 1997 and Treasurer of the Norman Rockwell Museum Board of Trustees since September 1998; Member of the Board of Directors of the Damon Runyon Cancer Research Foundation since October 2008; Trustee and Vice Chair of the Campaign Steering Committee of St. Lawrence University since July 2001; Trustee of GE Savings & Security Funds and General Electric Pension Trust since July 2007. - -------------------------------------------------------------------------------- DANIEL O. COLAO - -------------------------------------------------------------------------------- ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905 AGE 43 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - one year PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President and Chief Financial Officer of GEAM since July 2008; Global Chief Financial Officer of Lehman Brothers Investment Management Division from March 2008 to July 2008; Managing Director and Global Chief Financial Officer of Lehman Brothers Bank and Mortgage Capital Division from March 2007 to March 2008; Chief Financial Officer of GE Aviation Services from August 2005 to March 2007; Chief Financial Officer of GE Vendor Financial Services from August 2004 to August 2005; GE Corporate Financial Planning and Analysis (FP&A) manager from June 2004 to August 2004; Chief Financial Officer of GE Fleet Services from January 2001 to June 2004. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun GE Savings & Security Funds and General Electric Pension Trust since July 2008; Director of GE Asset Management Limited (GEAML) since August 2008. - -------------------------------------------------------------------------------- PAUL M. COLONNA - -------------------------------------------------------------------------------- ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905 AGE 41 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - Two years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - Fixed Income at GEAM since March 2007; Executive Vice President of GEAM from February 2007 to March 2007; Senior Vice President-Total Return Management at GEAM from March 2005 to March 2007; Senior Vice President-Structured Products at GEAM from March 2002 to March 2005. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and General Electric Pension Trust since February 2007; Director of GE Asset Management Limited (GEAML) since December 2007. - -------------------------------------------------------------------------------- MICHAEL J. COSGROVE - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 60 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 22 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President and Chief Executive Officer - Mutual Funds and Intermediary Business of GEAM since March 2007; Executive Vice President of GEAM from February 2007 to March 2007; Vice President, GE Capital Corporation, an indirect wholly-owned subsidiary of GE, since December 1999; Executive Vice President - Mutual Funds of GEAM, a wholly-owned subsidiary of GE that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, since March 1993; Director of GEAM since 1988. 107 [GRAPHIC] NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 51 OTHER DIRECTORSHIPS HELD BY TRUSTEE Chairman of the Board and President of GE Funds since 1993 and GE Institutional Funds, GE LifeStyle Funds and GE Investments Funds, Inc. since 1997; Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1988; Trustee of Fordham University since 2003, Trustee of Elfun Foundation; Treasurer of GE Foundation; Director, GE Asset Management (Ireland) since February 1999; Director, GE Asset Management Funds Plc, GE Asset Management Canada Company, GE Asset Management Limited, and GE Volunteers. - -------------------------------------------------------------------------------- AMIEL GOLDBERG - -------------------------------------------------------------------------------- ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905 AGE 46 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - less then one year PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Chief Risk Officer since June 2009; Executive Director and Investment Banker - Financial Institutions Solutions Group of UBS Investment Bank from April 2007 to May 2008; Senior Vice President - - Enterprise Wide Finance and Divisional Finance Officer - Commercial Banking Group of WaMu from January 2007 to April 2007; Senior Vice President - Enterprise Wide Finance and Treasury Integration and Methods Executive of WaMu from July 2005 to December 2006; Vice President/Director and Head of Asset-Liability Management of CoBank, ACB from January of 2000 to June 2005. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since June 2009. - -------------------------------------------------------------------------------- RALPH R. LAYMAN - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 54 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 18 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - International Equity Investments of GEAM since March 2007; Executive Vice President of GEAM from 1993 to March 2007; Executive Vice President - International Equity Investments at GEAM from 1993 to March 2007; Executive Vice President - International Equity Investments of GEIC from 1993-2000 (when GEIC was merged into GEAM); Senior Vice President - International Equity Investments of GEAM and GEIC from 1991 until 1993; Executive Vice President, Partner and Portfolio Manager of Northern Capital Management from 1989-1991; and prior thereto, Vice President and Portfolio Manager of Templeton Investment Counsel. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1993; Director of GE Asset Management Limited (GEAML) since September 1995. - -------------------------------------------------------------------------------- MATTHEW J. SIMPSON - -------------------------------------------------------------------------------- ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905 AGE 48 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Two years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Senior Vice President and General Counsel - Marketing and Client Services (formerly Asset Management Services) at GEAM and Senior Vice President and General Counsel of GEAMS from February 1997 to July 2007; from October 1992 to February 1997, Vice President and Associate General Counsel of GEAM; Secretary of GE Funds, GE Institutional Funds, GE LifeStyle Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 51 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Funds and GE Institutional Funds since July 2007. Director of GE Investments Funds, Inc. since July 2007; Trustee of GE Savings & Security Funds and General Electric Pension Trust since July 2007. 108 [GRAPHIC] - -------------------------------------------------------------------------------- JUDITH A. STUDER - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 57 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 6 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Chief Market Strategist at GEAM; President - U.S. Equities at GEAM from June 2007 to July 2009; Executive Vice President of GEAM from 2006 to June 2007; Executive Vice President - Investment Strategies from July 2006 to June 2007; Senior Vice President - International Equities of GEAM from 1995-2006; Senior Vice President - Domestic Equities of GEAM from 1991-1995; Vice President of Domestic Equities from 1987-1991. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and General Electric Pension Trust since 2004. - -------------------------------------------------------------------------------- DONALD W. TOREY - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 52 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 16 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - Alternative Investments at GEAM since March 2007; Executive Vice President of GEAM from 1997 to March 2007; Executive Vice President - Alternative Investments from 1997 to March 2007; Director of GEIC from 1993-2000 (when GEIC was merged into GEAM); Executive Vice President - Alternative Investments of GEIC from 1997-2000; Executive Vice President - Finance and Administration of GEAM and GEIC from 1993 to 1997; Manager -Mergers and Acquisitions Finance for GE from 1989-1993; Vice President - Private Placements of GEIC from 1988-1989. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1993. - -------------------------------------------------------------------------------- JOHN J. WALKER - -------------------------------------------------------------------------------- ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905 AGE 56 POSITION(S) HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - 10 years PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President and Chief Operating Officer of Geam since January 2008; Chief Financial Officer of GEAM from 1999-2008; Chief Financial Officer of GEIC from 1999-2000 (when GEIC was merged into GEAM); Chief Financial Officer of GE Capital - Global Consumer Finance from 1996-1999; Chief Financial Officer of GE Capital - Commercial Finance from 1992 to 1996; Finance Director of GE Capital - TIFC from 1988-1992. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of GE Savings & Security Funds and General Electric Pension Trust since 1999; Director of GE Asset Management Limited (GEAML) since July 1995. - -------------------------------------------------------------------------------- DAVID WIEDERECHT - -------------------------------------------------------------------------------- ADDRESS c/o GEAM, 3001 Summer St. Stamford, CT 06905 AGE 53 POSITION HELD WITH FUND Trustee TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and qualified - One year PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President - Investment Strategies since February 2008; Managing Director - Alternative Investments from 2004 to 2008; Vice President - Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004. NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8 OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds and General Electric Pension Trust since 2008; Director of Edmunds Holding Company since 1999; Director of The Ritten-house Hotel and Condominium since 1992; Director of Ross-Simons, Inc. since 2001. The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling 1-800-242-0134. 109 [GRAPHIC] PORTFOLIO MANAGER BIOGRAPHIES The following sets forth biographical information for those individuals who are primarily responsible for managing the specified Fund's investments. The portfolio managers may change from time to time. ADAM W. ACKERMAN is an assistant portfolio manager at GE Asset Management. He has served on the portfolio management team for the Money Market Fund since June 2009. Since joining GE Asset Management in 2005, Mr. Ackerman served in various positions including manager of the global fixed income trading operations and became an assistant portfolio manager in June 2009. DAVID B. CARLSON is the Chief Investment Officer - U.S. Equities at GE Asset Management. He manages the overall U.S. equity investments for GE Asset Management . Mr. Carlson is the portfolio manager for ELFUN TRUSTS and has served in this capacity since 1988. Mr. Carlson joined GE Asset Management in 1982 as a securities analyst for investment operations. He became a Vice President for Mutual Fund Portfolios in 1987, a Senior Vice President in 1989 and an Executive Vice President in 2003. MICHAEL J. CAUFIELD is a Senior Vice President of GE Asset Management. He is portfolio manager of the ELFUN TAX-EXEMPT INCOME FUND and has served in that capacity since October 2000. Mr. Caufield joined GE Asset Management in 1987 as Vice President, manager of fixed income research & analysis and was promoted to Senior Vice President in 1994. PAUL M. COLONNA is the President and Chief Investment Officer - Fixed Income and a Director at GE Asset Management. Since January 2005, he has led the team of portfolio managers for the ELFUN INCOME FUND and has been responsible for the fixed income portion of the ELFUN DIVERSIFIED FUND. Mr. Colonna became President - Fixed Income in March 2007. Prior to joining GE Asset Management in February 2000, Mr. Colonna was a senior portfolio manager with the Federal Home Loan Mortgage Corporation, overseeing the Mortgage Investment Group. JAMES C. GANNON is an assistant portfolio manager of GE Asset Management. He has served on the portfolio management team for the ELFUN MONEY MARKET FUND since December 2000. Since joining GE Asset Management in 1995, Mr. Gannon served in various positions at GE Asset Management including Trade operations specialist in fixed income, and became an assistant portfolio manager in February 2003. WILLIAM M. HEALEY is a Senior Vice President of GE Asset Management. He has served on the portfolio management team for the ELFUN INCOME FUND since joining GE Asset Management in 1996. Prior to joining GE Asset Management, Mr. Healey spent over 10 years in the fixed income group at MetLife. BRIAN HOPKINSON is a Senior Vice President of GE Asset Management. He has been a portfolio manager for the ELFUN INTERNATIONAL EQUITY FUND since joining GE Asset Management in October 1996. Prior to joining GE Asset Management, Mr. Hopkinson worked for Fiduciary Trust International in both London and New York. MARK H. JOHNSON is a Senior Vice President of GE Asset Management and senior portfolio manager of Structured Products. He has been a member of the portfolio management team for the ELFUN INCOME FUND since September 2007. Mr. Johnson joined GE in 1998 in its Employers Reinsurance Corporation as a taxable income portfolio manager. Mr. Johnson joined GE Asset Management as a Vice President and portfolio manager in 2002 and became a Senior Vice President and senior portfolio manager of Structured Products in 2007. RALPH R. LAYMAN is the President and Chief Investment Officer - Public Equities and a Director at GE Asset Management. He manages the overall public equity investments for GE Asset Management. Mr. Layman has led the team of portfolio managers for the ELFUN INTERNATIONAL EQUITY FUND since 1991 and has been responsible for the international equity portion for the ELFUN DIVERSIFIED FUND since September 1997. Mr. Layman joined GE Asset Management in 1991 as Senior Vice President for International Investments and became and Executive Vice President in 1992 and President -International Equities in March 2007. THOMAS R. LINCOLN is a Senior Vice President of GE Asset Management. He has served on the portfolio management team for the ELFUN DIVERSIFIED FUND since 110 [GRAPHIC] PORTFOLIOMANAGER BIOGRAPHIES (continued) May 2007. Mr. Lincoln joined GE Asset Management in 1994 as a financial analyst in U.S. equities. Mr. Lincoln became part of the investment management team for U.S. equities at GE Asset Management in 1997 and a portfolio manager for U.S. equities in 2003. MICHAEL E. MARTINI is a portfolio manager at GE Asset Management. He has served on the portfolio management team for the ELFUN MONEY MARKET FUND since joining GE Asset Management in March of 2008. Prior to joining GE Asset Management, Mr. Martini was a Vice President at Ceres Capital Partners LLC, where he worked at the firm's treasury desk from March 2006 to January 2008, and a Senior Vice President at Pacific Investment Management Company (PIMCO) from 1996 to 2004, where he was a portfolio manager at the firm's money market/short-term desk. PAUL NESTRO is a Senior Vice President of GE Asset Management. He has been a member of the portfolio management team for the ELFUN INTERNATIONAL EQUITY FUND since February 2007. Mr. Nestro joined GE Asset Management in 1993 as a performance and attribution analyst in domestic equities. He became a senior performance and attribution analyst in 1994 and since 1996 has been an analyst and portfolio manager in the international equities group. JONATHAN L. PASSMORE is a Senior Vice President of GE Asset Management. He has served as a portfolio manager of the ELFUN INTERNATIONAL EQUITY FUND since January 2002. Prior to joining GE Asset Management in January 2001, he was with Merrill Lynch for six years, most recently as Director, international equity. VITA MARIE PIKE is a Senior Vice President of GE Asset Management. She has served on the portfolio management team for the ELFUN INCOME FUND since March 2005. Prior to joining GE Asset Management in January 2001, she was with Alliance Capital for over nine years serving in a number of different capacities including portfolio manager. MICHAEL J. SOLECKI is the Chief Investment Officer - International Equities at GE Asset Management. He has served as a portfolio manager of the ELFUN INTERNATIONAL EQUITY FUND since August 1999. He joined GE Asset Management in 1990 as an international equity analyst. He became a Vice President for international equity portfolios in 1996 and Senior Vice President in 2000. JUDITH A. STUDER is the Chief Market Strategist and a Director at GE Asset Management. She has led the team of portfolio managers for the ELFUN DIVERSIFIED FUND since July 2004. Ms. Studer joined GE Asset Management in August 1984 and has held various positions at GEAM including Senior Vice President - U.S. Equities from 1991 to 1995, 1991 Senior Vice President - International Equities from 1995 to 2006, President - Investment Strategies from July 2006 to June 2007 and President - U.S. Equities from June 2007 to July 2009. DIANE M. WEHNER is a Senior Vice President of GE Asset Management. Ms. Wehner has been responsible for the mid-cap equity portion of the ELFUN DIVERSIFIED FUND since May 2008. Before joining GE Asset Management, Ms. Wehner was a Vice President and Senior Portfolio Manager from January 1997 to June 2001, and associate portfolio manager from May 1995 to January 1997, with Benefit Capital Management Corporation. Ms. Wehner has served as an analyst/portfolio manager in the investment management industry since 1985. 111 [GRAPHIC] PORTFOLIO MANAGERS ELFUN INTERNATIONAL EQUITY FUND Team led by Ralph R. Layman ELFUN TRUSTS David B. Carlson ELFUN DIVERSIFIED FUND Judith A. Studer Thomas R. Lincoln Ralph R. Layman Paul M. Colonna Diane M. Wehner ELFUN TAX-EXEMPT INCOME FUND Michael Caufield ELFUN INCOME FUND Team led by Paul M. Colonna ELFUN MONEY MARKET FUND Team led by Michael E. Martini INVESTMENT ADVISER GE Asset Management Incorporated INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP CUSTODIAN State Street Bank & Trust Company UNITHOLDER SERVICING AGENT Address all inquiries to: GE Funds c/o PNC Global Investment Servicing P.O. Box 9838 Providence, RI 02940 OFFICERS OF THE INVESTMENT ADVISER James W. Ireland III, Trustee, President and Chief Executive Officer, GE Asset Management Incorporated Cheryl H. Beacock, Senior Vice President, Human Resources Dan Colao, Trustee, EVP, Chief Financial Officer Michael J. Cosgrove, Trustee, President and Chief Executive Officer - Mutual Funds and Intermediary Business Paul M. Colonna, Trustee, President and Chief Investment Officer - Fixed Income Investments Amiel Goldberg, Trustee, Senior Vice President, Chief Risk Officer Ralph R. Layman, Trustee, President and Chief Investment Officer - Public Equity Investments Matthew J. Simpson, Trustee, EVP, General Counsel and Secretary Judith A. Studer, Trustee, Chief Market Strategist (since July 2009) Donald W. Torey, Trustee, President - Alternative Investments and Real Estate John J. Walker, Trustee, EVP, Chief Operating Officer David Wiederecht, Trustee, President and Chief Investment Officer - Investment Strategies Maureen B. Mitchell, President - Institutional Sales and Marketing (since July 2009) 112 [GRAPHIC] NEW ONLINE SERVICE Your Elfun Mutual Fund accounts can now be accessed on the Internet at WWW.ELFUN.ORG. Here are some of the benefits of our online service: View account balance and transaction history View and order tax forms Make exchanges View quarterly statements Redeem shares Change address Purchase shares Re-order money market checks
Many more features will be added to the web site in the future for your convenience. NEW EXTENDED TELEPHONE SERVICE Our Representatives at the Customer Service Center are available Monday to Friday from 8:30 AM to 8:00 PM Eastern Standard Time. Call toll-free, 1-800-242-0134, for assistance. AUTOMATED VOICE RESPONSE SYSTEM You can also access your account anytime during the day, 7 days a week by dialing 1-800-242-0134. Simply follow the menu to obtain information or make certain transactions. CONTACT US BY MAIL If you'd like to write to us, address your inquiries regarding your account(s) to: GE Funds c/o PNC Global Investment Servicing P.O. Box 9838 Providence, RI 02940 We are continuing to upgrade a variety of services in order to give you the tools you need to manage your financial objectives. In the meantime, we welcome all your comments and suggestions. 113 ELFUN FUNDS 3001 Summer Street Stamford, CT 06905 DISTRIBUTOR GE INVESTMENT DISTRIBUTORS INC. Member FINRA and SIPC 3001 Summer Street P.O. Box 7900 Stamford, CT 06904-7900 www.gefunds.com/elfun - ------------------------------------------------------------------------------- The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds' website at http://www.geam.com; and (iii) on the Commission's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the Commission's Public Reference Room in Washington, DC -- information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds' website at http://www.geam.com; and (ii) on the Commission's website at http://www.sec.gov. - ------------------------------------------------------------------------------- [LOGO] ELF 1 (2/10) ---------------------------- PRSRT STD U.S. POSTAGE PAID Permit No. 1793 Lancaster, PA ITEM 2. CODE OF ETHICS. Please refer to the Code of Ethics included in the following link: www.ge.com/files/usa/en/commitment/social/integrity/downloads/english.pdf ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Board of Trustees of the registrant has determined that both John R. Costantino and William J. Lucas are designated as audit committee financial experts for the Funds; and further that it is the finding of the Boards that Messrs. Costantino and Lucas, the audit committee financial experts, qualify as being 'independent' pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provide by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods were $15,300 in 2008 and $15,300 in 2009. (b) AUDIT RELATED FEES. There were no fees billed by the Auditor for assurance and related services that were related to the performance of the audit for the Registrant during the Reporting Periods. (c) TAX FEES. There were no fees billed for professional services rendered by the Auditor for tax compliance, tax advice or tax planning for the Registrant during the Reporting Periods. (d) ALL OTHER FEES. There were no fees billed for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item for the Registrant during the Reporting Periods. (e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. The Audit Committee of the Elfun Funds (the "Funds") Board of Trustees is responsible, among other things, for the appointment, compensation and oversight of the work of the Fund's independent accountants/auditors (the "Auditor"). As part of this responsibility and to ensure that the Auditor's independence is not impaired, the Audit Committee (1) pre-approves the audit and non-audit services provided to the Funds by the Auditor, and (2) all non-audit services provided to the Funds' investment adviser and covered affiliates (as defined in the Audit Committee Charter) that provide ongoing services to the Funds if the services directly impact the Funds' operations or financial reporting, in accordance with the Audit Committee Charter. Following are excerpts from the Audit Committee Charter that sets forth the pre-approval policies and procedures: 1. Selection and Pre-Approval of Auditor and Approval of Fees. (i) The Audit Committee shall pre-approve the selection of the Auditor and shall recommend for ratification the selection, retention or termination of the Auditor by the full Board, including the independent Trustees/Directors, and, in connection therewith, shall evaluate the independence of the Auditor, including: (i) an evaluation of whether the Auditor provides any consulting services to the Fund's investment adviser and the extent to which the Auditor provides non-audit services to the Fund's investment adviser and certain other affiliated service providers as defined in Section 2(f) below, which services are not subject to the pre-approval requirements set forth in Section 4 below; (ii) an evaluation of the extent to which the Auditor has any relationships with the Fund or its affiliated persons that are brought to the attention of the Audit Committee by the Auditor in accordance with applicable standards of the Independence Standards Board ("ISB"), because, in the Auditor's professional judgment, such relationships may reasonably be thought to bear on the Auditor's independence with respect to the Fund; and (iii) monitoring the Auditor's compliance with respect to the rotation requirements for the lead and coordinating partners having primary responsibility for the Fund's audits and any partner responsible for the reviewing the Fund's audits. The Audit Committee shall review the Auditor's specific representations as to its independence. (b) The Audit Committee shall pre-approve and review the fees charged by the Auditor for audit and non-audit services to be provided to the Fund and certain affiliated service providers (as defined in Section 2(f) below) in accordance with the pre-approval requirements set forth in Section 4 below. The Fund shall provide for appropriate funding, as determined by the Audit Committee, to compensate the Auditor for any authorized service provided to the Fund. 2. Meetings with the Auditor. The Audit Committee shall meet with the Auditor, including private meetings, prior to the commencement of substantial work on the audit and following the conclusion of the audit, as well as such other times as the Audit Committee shall deem necessary or appropriate. The Auditor shall report directly to the Audit Committee. The Auditor shall report at least annually, concerning the following and other pertinent matters: (a) to review the arrangements for and scope of the annual audit and any special audits; (b) to provide the Auditor the opportunity to report to the Audit Committee, on a timely basis, all critical accounting policies and practices to be used; (c) to discuss any matters of concern relating to the Fund's financial statements, including: (i) any adjustments to such statements recommended by the Auditor, or other results of said audit(s), and (ii) any alternative treatments of financial information within GAAP that have been discussed with Fund management, the ramifications of the use of such alternative disclosures and treatments, and the treatment preferred by the Auditor; (d) to provide the Auditor the opportunity to report to the Audit Committee, on a timely basis, any material written communication between the Auditor and Fund management, such as any management letter or schedule of unadjusted differences; (e) to discuss the opinion the Auditor has rendered regarding the Fund's financial statements; (f) to report all non-audit services that do not require Audit Committee pre-approval and are provided to certain affiliated persons of the Fund, including: (1) the Fund's investment adviser or sub-advisers (but excluding any investment sub-adviser whose role is primarily portfolio management and is overseen by the investment adviser), (2) the Fund's principal underwriter, and (3) any entity controlling, controlled by, or under common control with the investment adviser or principal underwriter, that provides "ongoing" services to the Funds in accordance with the pre-approval requirements of paragraph (c)(7)(i) of Rule 2-01 of Regulation S-X (each, a "Covered Affiliate" and collectively, "Covered Affiliates"); (g) to review, in accordance with current standards of ISB, all relationships between the Auditor and the Fund or its affiliated persons that, in the Auditor's professional judgment, may reasonably be thought to bear on its independence, and to confirm, in light of such information, whether the Auditor believes, in its professional judgment, that it may properly serve as independent accountants/auditors with respect to the Fund; (h) to consider the Auditor's comments with respect to the Fund's financial policies, procedures and internal accounting controls and responses thereto by the Fund's officers and Fund management, as well as other personnel; (i) to investigate any improprieties or suspected improprieties in the operations of the Fund to the extent necessary or appropriate in light of any internal investigations by the Fund's officers and/or by officers or employees of the Fund management of such improprieties; (j) to receive periodic reports concerning regulatory changes and new accounting pronouncements that significantly affect the value of the Fund's assets and their financial reporting; (k) to report on the Fund's qualification under Subchapter M of the Internal Revenue Code, amounts distributed and reported to shareholders for Federal tax purposes and the Fund's tax returns; and (l) to provide the Auditor the opportunity to report on any other matter that the Auditor deems necessary or appropriate to discuss with the Audit Committee. If the Auditor's report on the above-listed (and other pertinent) matters is not made in person to the Audit Committee within 60 days following the end of the Fund's fiscal year, the Auditor shall deliver a written report to the Audit Committee concerning these matters within such 60 day period. 3. Change in Accounting Principles. The Audit Committee shall consider the effect upon the Fund of any changes in accounting principles or practices proposed by the Auditor or the Fund's officers. 4. Pre-Approval of Audit Related Services and Permissible Non-Audit Services. The Audit Committee shall pre-approve both audit (including audit, review, and attest) services and permissible non-audit services provided to the Fund and, if the nature of the engagement relates directly to the operations and financial reporting of the Fund, permissible non-audit services provided to any Covered Affiliate. The Audit Committee may determine to delegate the authority to grant pre-approvals to one or more Audit Committee members, each acting on behalf of the Audit Committee. In this event, the member of the Audit Committee so delegated shall report each delegated pre-approval to the Audit Committee at its next regularly scheduled meeting. The Audit Committee may also adopt and follow, in lieu of explicit pre-approval described above, written policies and procedures detailed as to the particular service, designed to safeguard the continued independence of the Auditor, consistent with the requirements of the Act and SEC regulations thereunder. Notwithstanding the foregoing, the pre-approval requirement concerning permissible non-audit services provided to the Fund or any Covered Affiliate is waived if: (1) the aggregate amount of all such non-audit services provided constitutes no more than five percent (5%) of the total amount of revenues paid to the Auditor by the Fund and the Covered Affiliates during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee, (2) the non-audit services were not recognized as non-audit services at the time of the engagement, and (3) such non-audit services are promptly brought to the attention of the Audit Committee and approved by the Audit Committee or one or more designated members of the Audit Committee prior to the completion of the audit. 5. Prohibited Activities of the Auditor. The Audit Committee shall confirm with the Auditor that it is not performing contemporaneously (during the audit and professional engagement period) non-audit services for the Fund that the Audit Committee believes may taint the independence of the Auditor. The Auditor will be responsible for informing the Audit Committee of whether it believes that a particular non-audit service is permissible or prohibited pursuant to applicable regulations and standards. (2) PERCENTAGE OF SERVICES IN PARAGRAGHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during 2008 or 2009 for audit related, tax or other services as indicated in sections (b) through (d) of this Item. (f) Not applicable. (g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $0 in 2008 and $0 in 2009. (h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to Service Affiliates that were not pre-approved. ITEM 5. Audit Committee of Listed Registrants The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant's audit committee members are: John R. Costantino, William J. Lucas and Robert P. Quinn. ITEM 6. Schedule of Investments. Attached as part of ITEM 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Applicable only to Closed-End Management Investment Companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Applicable only to Closed-End Management Investment Companies. ITEM 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Applicable only to Closed-End Management Investment Companies. ITEM 10. Submission of Matters to a Vote of Security Holders. No material changes. ITEM 11. CONTROLS AND PROCEDURES. The officers providing the certifications in this report in accordance with Rule 30a-3 under the Investment Company Act of 1940 have concluded, based on their evaluation of the registrant's disclosure controls and procedures (as such term is defined in such rule), that such controls and procedures are adequate and reasonably designed to achieve the purpose described in paragraph (c) of such rule. There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their last evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 12. EXHIBITS. (a) Not applicable. (b) Attached hereto as Exhibit 1 and Exhibit 2 are the Certifications of John H. Myers and Scott Rhodes as principal executive officer and principal financial officer, respectively, as required by Rule 30a-2 under the Investment Company Act of 1940. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Elfun Money Market Fund By: /S/JAMES W.IRELAND James W.Ireland TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET MANAGEMENT INCORPORATED Date: March 08, 2010 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /S/JAMES W.IRELAND James W.Ireland TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET MANAGEMENT INCORPORATED Date: March 08, 2010 By: /S/EUNICE TSANG Eunice Tsang TREASURER, ELFUN FUNDS Date: March 08, 2010 EXHIBIT INDEX (b)(1) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2 under the Investment Company Act of 1940. (b)(2) Certification of principal executive officer and principal financial officer as required by Section 906 of the Sarbanes-Oxley Act of 2002. EX-99.CERT 2 elfmmcsr302cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 SECTION 302 CERTIFICATIONS CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER I, James W.Ireland, certify that: 1.I have reviewed this report on Form N-CSR of Elfun Money Market Fund; 2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3.Item 3 of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. 4.The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a.Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b.Item 4(b) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. c.Item 4(c) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. d.Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5.The registrant's other certifying officers and I have disclosed, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a.All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably, likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: March 08, 2010 James W.Ireland Trustee, President and Chief Executive Officer GE Asset Management Incorporated SECTION 302 CERTIFICATIONS CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER I, Eunice Tsang, certify that: 1.I have reviewed this report on Form N-CSR of Elfun Money Market Fund; 2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3.Item 3 of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. 4.The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a.Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b.Item 4(b) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. c.Item 4(c) of this Certification not applicable pursuant to the Fund's exemption from various provisions of the 1940 Act, including Section 30 and the rules there under. See Item 1 of this Form N-CSR for further details. d.Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5.The registrant's other certifying officers and I have disclosed, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a.All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably, likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: March 08, 2010 Eunice Tsang Treasurer, Elfun Funds EX-99.906 CERT 3 elfmmcsr906cert.txt CERTIFICATIONS PURSUANT TO SECTION 906 Exhibit (b)(2) SECTION 906 CERTIFICATIONS In connection with this report on Form N-CSR for the Registrant as furnished to the Securities and Exchange Commission on the date hereof (the "Report"), the undersigned hereby certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that: (1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and (2) the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Registrant. By: James W.Ireland Trustee, President and Chief Executive Officer GE Asset Management Incorporated Date: March 08, 2010 By: Eunice Tsang Treasurer, Elfun Funds Date: March 08, 2010 [A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.] -----END PRIVACY-ENHANCED MESSAGE-----