Shareholder Report for Elfun Money Market Fund

Country

Percentage
(based on
Fair Value)

United States

United Kingdom

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

Information on the following performance pages relates to the Elfun Funds.

Total returns take into account changes in share price and assume reinvestment of all dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.

The performance data quoted 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 toll-free 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^® Composite Price Index of stocks (S&P 500 Index), Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE^® Index), MSCI^® ACWI ex-U.S. Index, Barclays U.S. Aggregate Bond Index, the Barclays U.S. Municipal Bond Index, and the 90 Day U.S. T-Bill are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect the fees, expenses or taxes.

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

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

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

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

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

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

The peer universe of underlying funds used for the peer group average annual total return calculation is based on the blend of Morningstar peer categories, as shown. Morningstar 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.

^©2013 Morningstar, Inc. All Rights Reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damage or losses relating from any use of this information. Past performance is no guarantee of future results.

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

GE Investment Distributors, Inc., member of FINRA, 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.

The Elfun International Equity Fund is managed by a team of portfolio managers that includes Ralph R. Layman (pictured to the left), 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 106.

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, 2012?

A.	For the twelve-month period ended December 31, 2012, the Elfun International Equity Fund returned 20.95%. The MSCI EAFE Index, the Fund’s benchmark, returned 17.32% and the Fund’s Morningstar peer group of 804 Foreign Large Blend Funds returned an average of 18.31% over the same period.

Q.	What factors affected the Fund’s performance?

A.	Despite serious concerns during the year that Spain might be the next country to require assistance, the news from Europe improved throughout 2012. New funding

mechanisms designed to support the sovereign debt markets and newly elected administrations backing the Eurozone’s policies served to send markets sharply higher. Relief that China avoided a hard-landing and a new government in Japan dedicated to economic recovery also brought buyers back to international stocks.

Q.	What were the primary drivers of Fund performance?

Positive contributions came from holdings in information technology (including Samsung Electronics, SAP and Taiwan Semiconductor), healthcare (Essilor—optical products), materials (Syngenta—seeds), consumer discretionary (Volkswagen—autos; WPP—advertising) and staples (Diageo—beverages). Negative contributions came from energy stocks due to fluctuations in oil prices, individual industrial stocks that disappointed the market, and from an underweight in peripheral European banking stocks which, late in the year, rallied strongly on optimism that Europe’s troubles were fading.

Q.	Were there any significant changes to the Fund during the period?

A.	The largest change came from an addition to holdings in Japan, a region in which the portfolio has consistently been substantially underweight. The election of the Liberal Democratic Party to the Lower House in the fourth quarter of 2012 heralded a period of major

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2012.

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,” to estimate the expenses paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

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 seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common stock and preferred stocks and invests primarily (meaning at least 65%) in companies in both developed and emerging market countries outside the United States.

Top Ten Largest Holdings

as of December 31, 2012 as a % of Fair Value^(b)(c)


HSBC Holdings PLC			2.70%
Diageo PLC			2.65%
Toyota Motor Corp.			2.53%
SAP AG			2.50%
Taiwan Semiconductor Manufacturing Company Ltd.			2.45%
Nestle S.A.			2.36%
Linde AG			2.33%
Samsung Electronics Company Ltd.			2.31%
AIA Group Ltd.			2.21%
Fresenius SE & Company KGaA			1.98%

Sector Allocation

as a % of Fair Value of $260,065 (in thousands) as of December 31, 2012^(b)^(c)

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Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2012


	One Year			Five Year			Ten Year
Number of funds in peer group		804			693			500
Peer group average annual total return		18.31	%		-3.83	%		7.60	%
Morningstar category in peer group: Foreign Large Blend

Change in Value of a $10,000 Investment^(a)

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Average Annual Total Return

for the periods ended December 31, 2012


(Inception date: 01/01/88)
	One Year		Five Year		Ten Year		Ending value of a $10,000 investment ^(a)

Elfun International Equity Fund		20.95%		-5.19%		8.96%		$23,586

MSCI^® EAFE^® Index		17.32%		-3.69%		8.21%		$22,023

See Notes to Performance on page 1 for further information, including an explanation of Morningstar peer categories.

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


	Number of Shares		Fair Value

Common Stock — 95.3%^†

Australia — 2.1%

Brambles Ltd.		361,205	$	2,863
CSL Ltd.		46,204		2,608
				5,471

Belgium — 0.9%

Anheuser - Busch InBev N.V.		27,568		2,398

Brazil — 0.5%

Petroleo Brasileiro S.A. ADR		68,963		1,331

Canada — 2.7%

Canadian Natural Resources Ltd.		26,954		775
Cenovus Energy Inc.		19,248		644
Potash Corporation of Saskatchewan Inc.		72,288		2,939
Suncor Energy Inc.		78,915		2,592
				6,950

China — 1.1%

Baidu Inc. ADR		27,823		2,790	^(a)

France — 8.7%

AXA S.A.		142,751		2,560
BNP Paribas S.A.		56,707		3,225
Cap Gemini S.A.		28,581		1,248
Cie Generale d'Optique Essilor International S.A.		34,938		3,520
European Aeronautic Defence and Space Company N.V.		11,089		437
LVMH Moet Hennessy Louis Vuitton S.A.		17,716		3,266
Safran S.A.		116,777		5,051
Total S.A.		19,160		996
Vallourec S.A.		44,603		2,339
				22,642

Germany — 10.7%

Bayer AG		24,632		2,346
Deutsche Bank AG		70,406		3,094


	Number of Shares		Fair Value


Fresenius SE & Company KGaA		44,737	$	5,142
HeidelbergCement AG		51,057		3,121
Linde AG		34,698		6,063
SAP AG		80,814		6,491
Siemens AG		14,905		1,628
				27,885

Hong Kong — 2.7%

AIA Group Ltd.		1,447,366		5,741
Wharf Holdings Ltd.		151,550		1,209
				6,950

India — 0.3%

Power Grid Corporation of India Ltd.		333,660		704

Ireland — 1.2%

WPP PLC		222,148		3,246

Italy — 2.3%

Eni S.p.A.		117,504		2,875
Luxottica Group S.p.A.		78,200		3,224
				6,099

Japan — 17.1%

Astellas Pharma Inc.		54,700		2,464
Bridgestone Corp.		157,800		4,116
Daito Trust Construction Company Ltd.		17,200		1,629
FANUC Corp.		22,000		4,101
JGC Corp.		94,985		2,966
Kubota Corp.		177,000		2,039
Mitsubishi Estate Company Ltd.		59,000		1,415
Mitsubishi Heavy Industries Ltd.		282,000		1,367
Mitsubishi UFJ Financial Group Inc.		52,200		283
Mitsui & Company Ltd.		135,700		2,038
Nikon Corp.		53,975		1,597
SMC Corp.		8,500		1,547
Softbank Corp.		85,199		3,128
Sony Financial Holdings Inc.		130,300		2,347
Sumitomo Realty & Development Company Ltd. (REIT)		23,000		768


	Number of Shares		Fair Value


The Bank of Yokohama Ltd.		375,990	$	1,752
Tokio Marine Holdings Inc.		56,300		1,572
Toyota Motor Corp.		140,882		6,592
Unicharm Corp.		56,500		2,942
				44,663

Netherlands — 2.9%

ING Groep N.V.		514,300		4,879	^(a)
Unilever N.V.		69,752		2,666
				7,545

Norway — 0.9%

Subsea 7 S.A.		96,213		2,309

Singapore — 1.3%

United Overseas Bank Ltd.		209,518		3,437

South Korea — 2.3%

Samsung Electronics Company Ltd.		4,179		6,004

Sweden — 3.2%

Alfa Laval AB		131,224		2,743
Hexagon AB		103,976		2,628
Telefonaktiebolaget LM Ericsson		290,386		2,932
				8,303

Switzerland — 8.5%

Nestle S.A.		94,175		6,140
Novartis AG		75,887		4,790
Roche Holding AG		12,861		2,598
Syngenta AG		10,600		4,279
The Swatch Group AG		3,300		1,672
Zurich Insurance Group AG		10,594		2,837
				22,316

Taiwan — 2.5%

Taiwan Semiconductor Manufacturing Company Ltd.		1,905,400		6,373
Taiwan Semiconductor Manufacturing Company Ltd. ADR		9,684		166
				6,539


	Number of Shares		Fair Value


United Kingdom — 23.4%

Aggreko PLC		78,231	$	2,234
BG Group PLC		163,780		2,734
BHP Billiton PLC		126,511		4,465	^(h)
Capita PLC		207,043		2,560
Diageo PLC		236,687		6,898
Experian PLC		96,247		1,552
HSBC Holdings PLC		661,720		7,017
Intertek Group PLC		23,428		1,191
Lloyds Banking Group PLC		2,960,193		2,360	^(a)
National Grid PLC		408,783		4,691
Prudential PLC		288,724		4,122
Reckitt Benckiser Group PLC		26,512		1,684
Rio Tinto PLC		84,289		4,919
Royal Dutch Shell PLC		133,265		4,629
Standard Chartered PLC		179,428		4,647
Tesco PLC		187,148		1,032
Vodafone Group PLC		1,679,134		4,230
				60,965

Total Common Stock (Cost $212,337)				248,547
Preferred Stock — 1.8%

Germany — 1.8%

Volkswagen AG (Cost $3,152)		21,010		4,815

Total Investments in Securities (Cost $215,489)				253,362
Short-Term Investments — 2.6%
GE Institutional Money Market Fund — Investment Class 0.06%
(Cost $6,703)				6,703	^(d,k)

Total Investments (Cost $222,192)				260,065

Other Assets and Liabilities, net — 0.3%				663


NET ASSETS — 100.0%			$	260,728

Other Information

The Fund had the following long futures contracts open at December 31, 2012 :


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

EURO Stoxx 50 Index Futures	March 2013		26	$	896	$	(4)

FTSE 100 Index Futures	March 2013		22		2,091		(10)

Topix Index Futures	March 2013		18		1,793		145

						$	131

The Fund was invested in the following categories at December 31, 2012 (Unaudited) :


Industry					Percentage (based on Fair Value)
Diversified Financial Services					9.83%
Integrated Oil & Gas					6.08%
Semiconductors					4.82%
Life & Health Insurance					4.69%
Pharmaceuticals					4.69%
Industrial Machinery					4.65%
Automobile Manufacturers					4.39%
Diversified Metals & Mining					3.61%
Packaged Foods & Meats					3.39%
Apparel, Accessories & Luxury Goods					3.14%
Wireless Telecommunication Services					2.83%
Fertilizers & Agricultural Chemicals					2.78%
Distillers & Vintners					2.65%
Application Software					2.50%
Industrial Gases					2.33%
Aerospace & Defense					2.11%
Multi-Line Insurance					2.08%
Healthcare Services					1.98%


Diversified Support Services					1.96%
Diversified Real Estate Activities					1.93%
Multi-Utilities					1.80%
Household Products					1.78%
Tires & Rubber					1.58%
Healthcare Supplies					1.35%
Advertising					1.26%
Construction Materials					1.20%
Diversified Capital Markets					1.19%
Construction & Engineering					1.14%
Communications Equipment					1.13%
Internet Software & Services					1.07%
Research & Consulting Services					1.05%
Electronic Equipment & Instruments					1.01%
Biotechnology					1.00%
Human Resource & Employment Services					0.98%
Brewers					0.92%
Oil & Gas Equipment & Services					0.89%
Construction & Farm Machinery & Heavy Trucks					0.78%
Trading Companies & Distributors					0.78%
Regional Banks					0.67%
Industrial Conglomerates					0.63%
Photographic Products					0.61%
Property & Casualty Insurance					0.60%
IT Consulting & Other Services					0.48%
Food Retail					0.40%
Oil & Gas Exploration & Production					0.30%
Electric Utilities					0.27%
Diversified Banks					0.11%

					97.42%


Short-Term Investments					Percentage (based on Fair Value)
Short-Term Investments					2.58%

					2.58%

					100.00%

The Elfun Trusts is managed by David B. Carlson. See portfolio managers’ biographical information beginning on page 106.

Q.	How did the Elfun Trusts Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2012?

A.	For the twelve-month period ended December 31, 2012, the Elfun Trusts Fund returned 21.27%. The S&P 500^® Index (S&P 500 Index), the Fund’s benchmark, returned 16.00% and the Fund’s Morningstar peer group of 1,741 U.S. Large Cap Growth Funds returned an average of 15.24% over the same period.

Q.	What market factors affected the Fund’s performance?

It was a good year for the stock market with the S&P 500 Index posting a total return of 16%. Corporate profits grew about 5% and dividends grew faster, about 15%. In 2012 the consensus view on economic growth generally played out; slow growth in the U.S., mild recession in Europe, and a slowdown in China. The big positive for the year came when the European Central Bank said it would do “whatever it takes” to ensure the Euro survives. Interest rates came down around the world. Fears of a major shock to the world’s economy lessened. U.S. economic data, especially housing and autos, was constructive.

Within the U.S. stock market, the financial sector had the strongest performance with a total return of 29%. The recovery for

banks continued with improving credit quality and a resumption of asset growth. The second best sector was the consumer discretionary sector with a return of 24%, led primarily by the media and retail industries. The worst performing sector was utilities with a return of 1%, but this followed a 20% return the prior year. Energy and materials lagged the market as commodity prices were stable in a slow-growth world.

With lower fears of macro shocks, the price/earnings ratio on the market expanded modestly, but still stood at an attractive level, our opinion, at year-end.

Q.	What were the primary drivers of Fund performance?

When looking at portfolio performance attribution, we look at two components; sector allocation and stock selection. Elfun Trusts did well on both measures last year. The Fund overweighted the healthcare and consumer discretionary sectors which were strong performers; and underweighted utilities and energy which lagged. The technology sector rose in line with the market, but within technology, software and internet stocks did better than hardware stocks, and Elfun Trusts was overweighted in the stronger performing industries. Some of the Fund’s best tech stocks were Ebay, up 68%, Visa, up 50%, and Apple, up 33%.

The Fund had strong performance among its media holdings; Liberty Global,

up 48%, Discovery Communications up 55%, and Comcast, up 56%. The financial sector was a detractor to performance primarily because the Fund did not own enough of the strong performing sector. The financial sector makes up 15% of the S&P 500 Index and 12.9% of Elfun Trusts. The Fund’s financial holdings were up 23% versus a gain of 29% for the benchmark.

Other notable performers were Monsanto, up 37%, aided by higher grain prices, and the retailer Lowes, up 43% on a better outlook for housing in the U.S.

Growth is a theme across stock selection in all Fund sectors. We believe the developed economies will continue to be burdened with excess debt, fiscal austerity and tax hikes. Growth will likely, in our view, be slow. Finding above-average growth companies at reasonable valuation levels remains our primary investment philosophy.

Actual Expenses

Paid During Period,” to estimate the expenses paid on your account during this period.

Hypothetical Example for Comparison Purposes

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income rather than current income. The Fund seeks to achieve its investment objective by investing in equity securities of U.S. companies, such as common and preferred stocks.

Top Ten Largest Holdings

as of December 31, 2012 as a % of Fair Value^(b)(c)


Qualcomm Inc.			4.53%
Apple Inc.			4.28%
Schlumberger Ltd.			4.26%
eBay Inc.			4.07%
Express Scripts Holding Co.			4.04%
PepsiCo Inc.			3.95%
Visa Inc.			3.91%
Liberty Global Inc.			3.75%
Dover Corp.			3.68%
Monsanto Co.			3.38%

Sector Allocation

as a % of Fair Value of $1,819,747 (in thousands) as of December 31, 2012^(b)^(c)

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Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2012


	One Year			Five Year			Ten Year
Number of funds in peer group		1,741			1,573			1,300
Peer group average annual total return		15.24	%		0.70	%		6.36	%
Morningstar category in peer group: U.S. Intermediate-Term Bond

Change in Value of a $10,000 Investment^(a)

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Average Annual Total Return

for the periods ended December 31, 2012


(Inception date: 05/27/35)
	One Year		Five Year		Ten Year		Ending value of a $10,000 investment ^(a)

Elfun Trusts		21.27%		3.98%		6.81%		$19,317

S&P 500^® Index		16.00%		1.66%		7.10%		$19,866

See Notes to Performance on page 1 for further information, including an explanation of Morningstar peer categories.


	Number of Shares		Fair Value

Common Stock — 97.2%^†

Air Freight & Logistics — 1.7%

United Parcel Service Inc.		430,000	$	31,704

Application Software — 1.4%

Intuit Inc.		425,000		25,288

Asset Management & Custody Banks — 2.8%

State Street Corp.		1,090,000		51,241	^(e)

Automotive Retail — 0.4%

AutoZone Inc.		20,000		7,089	^(a)

Biotechnology — 5.1%

Amgen Inc.		650,000		56,108
Gilead Sciences Inc.		500,000		36,725	^(a)
				92,833

Broadcasting — 1.8%

Discovery Communications Inc.		570,000		33,345	^(a)

Cable & Satellite — 7.8%

Comcast Corp.		1,250,000		44,937
DIRECTV		400,000		20,064	^(a)
Liberty Global Inc.		1,160,000		68,150	^(a)
Sirius XM Radio Inc.		3,000,000		8,670
				141,821

Casinos & Gaming — 0.5%

Las Vegas Sands Corp.		200,000		9,232

Communications Equipment — 5.9%

Cisco Systems Inc.		1,250,000		24,563
Qualcomm Inc.		1,330,000		82,487
				107,050

Computer Hardware — 4.3%

Apple Inc.		146,000		77,822

Data Processing & Outsourced Services — 9.4%

Automatic Data Processing Inc.		225,000		12,827


	Number of Shares		Fair Value

Paychex Inc.		1,575,000	$	49,045
The Western Union Co.		2,600,000		35,386
Visa Inc.		470,000		71,243
				168,501

Diversified Financial Services — 1.9%

JPMorgan Chase & Co.		800,000		35,176

Electronic Manufacturing Services — 0.6%

Molex Inc.		470,000		10,491

Environmental & Facilities Services — 0.2%

Stericycle Inc.		45,000		4,197	^(a)

Fertilizers & Agricultural Chemicals — 3.4%

Monsanto Co.		650,000		61,522

Healthcare Equipment — 2.9%

Covidien PLC		900,000		51,966

Healthcare Services — 4.0%

Express Scripts Holding Co.		1,360,000		73,440	^(a)

Healthcare Supplies — 0.3%

DENTSPLY International Inc.		150,000		5,942

Home Improvement Retail — 3.1%

Lowe's Companies Inc.		1,600,000		56,832

Industrial Gases — 0.9%

Praxair Inc.		150,000		16,418

Industrial Machinery — 3.7%

Dover Corp.		1,020,000		67,024

Integrated Oil & Gas — 2.1%

Chevron Corp.		350,000		37,849

Internet Retail — 1.4%

Amazon.com Inc.		100,000		25,114	^(a)

Internet Software & Services — 8.3%

Baidu Inc. ADR		550,000		55,159	^(a)
eBay Inc.		1,450,000		73,979	^(a)
Google Inc.		30,000		21,281	^(a)
				150,419


	Number of Shares		Fair Value


Investment Banking & Brokerage — 2.2%

The Goldman Sachs Group Inc.		320,000	$	40,819

Oil & Gas Equipment & Services — 4.3%

Schlumberger Ltd.		1,120,000		77,605

Oil & Gas Exploration & Production — 1.3%

Anadarko Petroleum Corp.		330,000		24,522

Pharmaceuticals — 1.9%

Johnson & Johnson		500,000		35,050

Reinsurance — 0.6%

Alleghany Corp.		30,000		10,063	^(a)

Research & Consulting Services — 0.4%

Nielsen Holdings N.V.		220,000		6,730	^(a)

Soft Drinks — 3.9%

PepsiCo Inc.		1,050,000		71,851

Specialized Finance — 3.3%

CME Group Inc.		1,200,000		60,852

Specialized REITs — 2.0%

American Tower Corp.		480,000		37,089

Specialty Stores — 1.2%

Dick's Sporting Goods Inc.		475,000		21,608

Systems Software — 2.2%

Microsoft Corp.		1,250,000		33,412
Oracle Corp.		200,000		6,664
				40,076

Total Common Stock (Cost $1,258,982)				1,768,581


	Number of Shares	Fair Value

Short-Term Investments — 2.8%

GE Institutional Money Market Fund — Investment Class
0.06%
(Cost $51,166)		$	51,166	^(d,k)

Total Investments (Cost $1,310,148)			1,819,747

Other Assets and Liabilities, net — 0.0%*			515


NET ASSETS — 100.0%		$	1,820,262

The Elfun Diversified Fund is managed by a team of portfolio managers that includes Greg Hartch and David Wiederecht. Mr. Hartch and Mr. Wiederecht are vested with oversight authority for determining asset allocations for the Fund. Each of the U.S. Equity, international equity and fixed income portions of the Fund are managed by separate teams of portfolio managers and analysts. The sub-portfolios underlying the 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 seek the Fund’s objective. See portfolio managers’ biographical information beginning on page 106.

Q.	How did the Elfun Diversified Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2012?

For the twelve-month period ended December 31, 2012, the Elfun Diversified Fund returned 12.77%. The Fund’s broad based benchmarks, the S&P 500^® Index (S&P 500 Index), the MSCI All Country World ex-U.S. Index, and the Barclays U.S. Aggregate Bond Index, returned 16.00%, 16.83%, and 4.22%, respectively. The Fund’s Morningstar peer group of 960 U.S. Moderate Allocation funds returned an average of 11.85% over the same period.

Q.	What market factors affected the Fund’s performance?

A.	The twelve-month period ended December 31, 2012 turned out to be a year of solid returns across asset classes. Equity markets provided double-digit

gains, government bond yields were generally lower around the world, and credit spreads moved tighter to boost returns in corporate bonds. This combination of coincident strength of returns across markets appeared unlikely at the start of the year. However, gradual improvement of U.S. growth alongside fading risks from Europe and solid earnings growth helped underpin equity markets, while continued monetary policy support and quantitative easing (QE) has kept interest rates low.

In the fourth quarter, trends within markets were more divergent than we have seen in recent years. U.S. equities moved lower while non-U.S. equity markets posted robust gains. At the same time, U.S. interest rates were slightly higher, but European yields declined. These moves likely reflect several factors. First, within stock markets, as concerns about the European sovereign debt crisis have abated, valuations in those markets have moved higher. At the same time, growth expectations seem to be bottoming in China, while Japanese markets have benefited from a weaker currency. Second, U.S. markets have enjoyed several years of outperformance. As confidence outside of the U.S. has improved, performance has followed. Finally, the U.S. election in November, followed by the uncertainty around the fiscal cliff and hitting the debt ceiling limit have all contributed to increased uncertainty about growth and policy in the early part of 2013, which seems to have weighed on returns.

Signs of economic improvement continued into the end of 2012. On the household side of the economy, growth in employment remained sluggish but positive, resulting in the unemployment rate moving lower. Importantly, the housing market improved as housing starts and sales and housing prices continued to move higher. While levels of activity and price currently remain well below levels witnessed before the financial crisis, we believe the gains appear sustainable and contribute positively to the banking system and real economy. On the manufacturing end, the U.S. ISM index moved back above 50 in December, suggesting a decent level of activity.

International equity markets performed well as an improvement in existing conditions and optimism about the future prevailed despite new clouds on the horizon. In Europe, the European Stability Mechanism going live, Greece passing an acceptable austerity plan, followed by approval from the European Union, and the hope that Spain would accept formal aid, all conspired to push European stocks higher, bond yields lower, and spreads tighter. Stimulus in China early in the fourth quarter of 2012 followed by a calm transfer of power led to a strong recovery in local stocks. Japan held a Lower House election in December with the Liberal Democratic Party winning a decisive mandate for change, leading to an immediate weakening of the Yen and a strong rally in Japanese stocks. Forecasts for the global economy in 2013 remain cautious and therefore, we believe central banks will likely maintain their highly accommodative stance.

The U.S. election maintained the status quo of a divided Congress and a Democratic White House and the prospect of major philosophical battles ahead, starting with the fiscal cliff which only saw a partial solution in the early hours of the New

Year. Corporate earnings were satisfactory although revenue numbers were weak and outlooks were cautious.

Growth concerns have contributed to the downward pressure on fixed income yields. Additional QE from the Federal Reserve along with contained inflation expectations has capped rates in government bonds. Meanwhile, solid corporate balance sheets and cash flows, low default rates, and investor appetite for higher yielding fixed income assets have all contributed to additional tightening of corporate bond spreads. Outside of the U.S., yields have fallen across the board in Europe, reflective of fading systemic risk, which have been coincident with the rally in international equity markets.

Q.	What were the primary drivers of Fund performance?

The Fund’s performance was primarily driven by its asset allocation and underlying security selection. A higher allocation to U.S. equities positively impacted the Fund’s performance as equity markets rallied during the period. A lower allocation to fixed income also contributed to positive performance as fixed income underperformed equities during the period. Both the S&P 500 Index and the MSCI All Country World ex-U.S. Index significantly outperformed the Barclays U.S. Aggregate Bond Index over the twelve-month period. Additionally, security selection, particularly in international equities and fixed income, was a driver of positive absolute and relative performance.

Q.	Were there any significant changes to the Fund during the period?

A.	The Fund’s exposure to equities, fixed income, and cash remained fairly consistent throughout the

period. Allocations within the Fund were periodically rebalanced to stay within guidelines.

As equity markets rallied throughout the first three months of the period, the Fund rebalanced by selling 2% of its U.S. equity exposure and reallocating this to fixed income and cash. Within the Fund’s equity allocation, small-cap exposure was reduced in favor of a larger holding in mid-cap. At the end of May, the Fund rebalanced to new target equity allocations. Within equities, mid-cap, international, and global resources were reduced at the end of May in favor of larger allocations to large-cap U.S. equities, higher dividend equities, and real estate investment trusts (REITs). The Fund’s allocation to mid-cap equity and REITs was also reduced and the cash position in the Fund increased slightly.

The Fund’s overweight to U.S. equities throughout the period reflects our view that on a risk/return basis, U.S. equities continue to be attractive long-term investments. We remain constructive on the

prospects for long-term returns in equity markets based on relatively attractive valuations, expectations for further earnings growth and good prospects for companies to continue to boost dividends and buybacks given strong balance sheets. Non-U.S. equity markets including many emerging markets also appear to have attractive risk/return profiles for long-term disciplined investors.

Throughout the period, the Fund maintained a significant underweight in fixed income, reflecting our view that valuations on both treasuries and corporate bonds are stretched. Returns in bond markets are likely to be more modest as yields are near historical lows and the likelihood for substantial further spread or treasury compression is reduced. Nevertheless, exposure to bonds provides important diversification and downside protection. By allocating between U.S. equities, international equities, and fixed income, we believe the Fund will continue to seek to produce attractive returns while maintaining a prudent level of risk.

Actual Expenses

Paid During Period,” to estimate the expenses paid on your account during this period.

Hypothetical Example for Comparison Purposes

Investment Profile

A mutual fund designed for investors who seek the highest total return, composed of income and capital appreciation, as is consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing primarily in a combination of U.S. and foreign (non-U.S.) equity and debt securities and cash. The Fund’s asset allocation process utilizes information from GE Asset Management’s Asset Allocation Committee to diversify holdings across these asset classes.

Top Ten Largest Holdings

as of December 31, 2012 as a % of Fair Value^(b)(c)


Vanguard MSCI Emerging Markets Fund			3.88%
U.S. Treasury Notes 0.66% 09/30/17			2.79%
U.S. Treasury Notes 0.24% 09/30/14 - 10/31/14			2.18%
U.S. Treasury Notes 0.56% 02/28/17			1.87%
Apple Inc.			1.44%
Federal National Mortgage Assoc. 4.50% 05/01/18 - 04/01/41			1.31%
Qualcomm Inc.			1.20%
U.S. Treasury Bonds 3.00% 05/15/42			1.14%
PepsiCo Inc.			1.01%
Microsoft Corp.			0.96%

Sector Allocation

as a % of Fair Value of $224,507 (in thousands) as of December 31, 2012^(b)^(c)

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2012


	One Year			Five Year			Ten Year
Number of funds in peer group		960			811			600
Peer group average annual total return		11.85	%		2.08	%		6.04	%
Morningstar category in peer group: Moderate Allocation

Change in Value of a $10,000 Investment^(a)

LOGO

Average Annual Total Return

for the periods ended December 31, 2012


(Inception date: 01/01/88)
	One Year		Five Year		Ten Year		Ending value of a $10,000 investment ^(a)
Elfun Diversified Fund		12.77%		0.58%		5.81%		$17,594
S&P 500 Index		16.00%		1.66%		7.10%		$19,866
Barclays U.S. Aggregate Bond Index		4.22%		5.94%		5.18%		$16,575
MSCI All Country World ex U.S.		16.83%		-2.89%		9.74%		$25,333

See Notes to Performance on page 1 for further information, including an explanation of Morningstar peer categories.


	Number of Shares		Fair Value


Domestic Equity — 37.0%^†

Advertising — 0.3%

Omnicom Group Inc.		10,797	$	539

Aerospace & Defense — 0.6%

Honeywell International Inc.		18,591		1,180
The Boeing Co.		1,607		121
				1,301

Agricultural Products — 0.2%

Archer-Daniels-Midland Co.		14,930		409

Air Freight & Logistics — 0.8%

United Parcel Service Inc.		22,241		1,639

Application Software — 0.2%

Intuit Inc.		7,374		439

Asset Management & Custody Banks — 1.3%

Ameriprise Financial Inc.		15,329		960
Franklin Resources Inc.		1,071		135
Invesco Ltd.		36,086		942
State Street Corp.		14,280		671	^(e)
				2,708

Automobile Manufacturers — 0.2%

Ford Motor Co.		26,479		343

Automotive Retail — 0.1%

AutoZone Inc.		400		142	^(a)

Biotechnology — 1.0%

Amgen Inc.		14,506		1,252
Gilead Sciences Inc.		11,939		877	^(a)
				2,129

Broadcasting — 0.5%

CBS Corp.		5,142		196
Discovery Communications Inc.		14,163		829	^(a)
				1,025


	Number of Shares		Fair Value


Cable & Satellite — 1.2%

Comcast Corp.^††		17,225	$	644
Comcast Corp.^††		13,463		484
DIRECTV		6,088		305	^(a)
Liberty Global Inc.		17,206		1,011	^(a)
				2,444

Casinos & Gaming — 0.2%

Las Vegas Sands Corp.		8,779		405

Communications Equipment — 2.1%

Cisco Systems Inc.		90,354		1,774
Qualcomm Inc.		43,376		2,690
				4,464

Computer Hardware — 1.5%

Apple Inc.		6,080		3,241

Construction & Farm Machinery & Heavy Trucks — 0.4%

Cummins Inc.		2,057		223
Deere & Co.		8,297		717
				940

Consumer Finance — 0.4%

American Express Co.		15,086		867

Data Processing & Outsourced Services — 1.3%

Paychex Inc.		33,772		1,052
The Western Union Co.		46,567		634
Visa Inc.		7,374		1,118
				2,804

Department Stores — 0.1%

Macy's Inc.		5,656		221

Distillers & Vintners — 0.1%

Diageo PLC ADR		2,417		282

Distributors — 0.1%

Genuine Parts Co.		3,477		221

Diversified Chemicals — 0.4%

EI du Pont de Nemours & Co.		7,316		329
PPG Industries Inc.		3,252		440
				769


	Number of Shares		Fair Value


Diversified Financial Services — 1.5%

Citigroup Inc.		17,737	$	701
JPMorgan Chase & Co.		18,298		804
Wells Fargo & Co.		47,624		1,628
				3,133

Diversified Metals & Mining — 0.0%*

Freeport-McMoRan Copper & Gold Inc.		1,543		53

Drug Retail — 0.1%

CVS Caremark Corp.		5,912		286

Electric Utilities — 0.3%

NextEra Energy Inc.		3,856		267
The Southern Co.		8,461		362
				629

Electrical Components & Equipment — 0.3%

Eaton Corp PLC		11,144		604

Fertilizers & Agricultural Chemicals — 0.4%

Monsanto Co.		9,364		886

General Merchandise Stores — 0.1%

Target Corp.		4,370		259

Healthcare Distributors — 0.3%

Cardinal Health Inc.		13,111		540

Healthcare Equipment — 1.2%

Covidien PLC		34,488		1,991
Medtronic Inc.		13,882		569
				2,560

Healthcare Facilities — 0.0%^*

HCA Holdings Inc.		2,365		71

Healthcare Services — 0.6%

Express Scripts Holding Co.		21,721		1,173	^(a)

Healthcare Supplies — 0.1%

DENTSPLY International Inc.		6,437		255


	Number of Shares		Fair Value


Home Building — 0.0%*

MDC Holdings Inc.		2,352	$	86

Home Improvement Retail — 0.9%

Lowe's Companies Inc.		42,198		1,499
The Home Depot Inc.		5,612		347
				1,846

Household Products — 0.4%

Kimberly-Clark Corp.		4,499		380
The Clorox Co.		6,001		439
				819

Independent Power Producers & Energy Traders — 0.3%

AES Corp.		27,765		297
Calpine Corp.		16,042		291	^(a)
				588

Industrial Gases — 0.1%

Praxair Inc.		2,688		294

Industrial Machinery — 0.6%

Dover Corp.		18,373		1,207

Integrated Oil & Gas — 1.7%

Chevron Corp.		14,338		1,551
Exxon Mobil Corp.		4,422		383
Hess Corp.		5,347		283
Occidental Petroleum Corp.		12,352		946
Royal Dutch Shell PLC ADR		6,044		417
				3,580

Integrated Telecommunication Services — 0.5%

AT&T Inc.		18,643		629
Verizon Communications Inc.		8,242		357
				986

Internet Retail — 0.2%

Amazon.com Inc.		1,463		367	^(a)

Internet Software & Services — 1.0%

eBay Inc.		21,771		1,111	^(a)
Google Inc.		1,510		1,071	^(a)
				2,182


	Number of Shares		Fair Value


Investment Banking & Brokerage — 0.3%

The Goldman Sachs Group Inc.		4,448	$	567

IT Consulting & Other Services — 0.5%

International Business Machines Corp.		5,943		1,138	^(h)

Life & Health Insurance — 0.2%

Prudential Financial Inc.		9,151		488

Life Sciences Tools & Services — 0.3%

Agilent Technologies Inc.		8,996		368
PerkinElmer Inc.		10,283		326
				694

Movies & Entertainment — 0.5%

The Walt Disney Co.		2,572		128
Time Warner Inc.		20,482		980
				1,108

Multi-Line Insurance — 0.3%

American International Group Inc.		20,220		714	^(a)

Multi-Utilities — 0.2%

Dominion Resources Inc.		7,027		364

Oil & Gas Equipment & Services — 1.0%

Halliburton Co.		8,226		285
Schlumberger Ltd.		27,398		1,898
				2,183

Oil & Gas Exploration & Production — 0.6%

Anadarko Petroleum Corp.		11,511		855
Marathon Oil Corp.		15,424		473
				1,328

Oil & Gas Storage & Transportation — 0.0%^*

The Williams Companies Inc.		2,571		84

Packaged Foods & Meats — 0.4%

Kraft Foods Group Inc.		4,642		211
Mondelez International Inc.		28,321		722
				933


	Number of Shares		Fair Value


Pharmaceuticals — 2.0%

Bristol-Myers Squibb Co.		15,455	$	504
Johnson & Johnson		23,489		1,647
Merck & Company Inc.		12,088		495
Pfizer Inc.		63,989		1,605
				4,251

Property & Casualty Insurance — 0.5%

ACE Ltd.		10,611		847
The Travelers Companies Inc.		3,842		276
				1,123

Railroads — 0.4%

CSX Corp.		16,967		335
Union Pacific Corp.		3,374		424
				759

Regional Banks — 0.2%

Regions Financial Corp.		74,554		531

Research & Consulting Services — 0.1%

Nielsen Holdings N.V.		8,329		255	^(a)

Restaurants — 0.3%

Darden Restaurants Inc.		5,180		233
McDonald's Corp.		3,963		350
				583

Retail REITs — 0.1%

Simon Property Group Inc.		1,982		313

Semiconductors — 0.6%

Altera Corp.		5,399		186
Analog Devices Inc.		4,627		195
Intel Corp.		15,295		316
Microchip Technology Inc.		3,749		122
Texas Instruments Inc.		13,303		412
				1,231

Soft Drinks — 1.3%

Coca-Cola Enterprises Inc.		16,967		538
PepsiCo Inc.		33,067		2,263
				2,801


	Number of Shares		Fair Value


Specialized Finance — 0.6%

CME Group Inc.		23,879	$	1,211

Specialized REITs — 0.6%

American Tower Corp.		8,779		678
HCP Inc.		5,398		244
Public Storage		1,041		151
Rayonier Inc.		3,856		200
				1,273

Specialty Chemicals — 0.1%

LyondellBasell Industries N.V.		4,054		231

Specialty Stores — 0.3%

Dick's Sporting Goods Inc.		12,290		559

Steel — 0.1%

Allegheny Technologies Inc.		7,970		242

Systems Software — 1.5%

Microsoft Corp.		80,799		2,160	^(h)
Oracle Corp.		32,272		1,075
				3,235

Tobacco — 0.3%

Altria Group Inc.		5,397		170
Philip Morris International Inc.		5,976		500
				670

Water Utilities — 0.1%

American Water Works Company Inc.		4,713		175

Total Domestic Equity (Cost $70,102)				78,780
Foreign Equity — 18.0%

Common Stock — 17.7%

Advertising — 0.2%

WPP PLC		31,970		467


	Number of Shares		Fair Value


Aerospace & Defense — 0.4%

European Aeronautic Defence and Space Company N.V.		1,596	$	63
Safran S.A.		16,806		727
				790

Apparel, Accessories & Luxury Goods — 0.6%

Luxottica Group S.p.A.		11,254		464
LVMH Moet Hennessy Louis Vuitton S.A.		2,550		470
The Swatch Group AG		475		241
				1,175

Application Software — 0.4%

SAP AG		11,631		934

Automobile Manufacturers — 0.5%

Toyota Motor Corp.		20,330		951

Biotechnology — 0.2%

CSL Ltd.		6,649		375

Brewers — 0.2%

Anheuser-Busch InBev N.V.		3,967		345

Communications Equipment — 0.2%

Telefonaktiebolaget LM Ericsson		41,790		422

Construction & Engineering — 0.2%

JGC Corp.		14,998		468

Construction & Farm Machinery & Heavy Trucks — 0.1%

Kubota Corp.		25,000		288

Construction Materials — 0.2%

HeidelbergCement AG		7,348		449

Distillers & Vintners — 0.5%

Diageo PLC		34,062		993

Diversified Banks — 0.0%*

Mitsubishi UFJ Financial Group Inc.		7,500		41


	Number of Shares		Fair Value


Diversified Capital Markets — 0.2%

Deutsche Bank AG		10,446	$	459

Diversified Financial Services — 1.7%

BNP Paribas S.A.		8,161		464
HSBC Holdings PLC		95,229		1,010
ING Groep N.V.		74,013		702	^(a)
Lloyds Banking Group PLC		426,007		340	^(a)
Standard Chartered PLC		25,822		669
United Overseas Bank Ltd.		29,693		487
				3,672

Diversified Metals & Mining — 0.6%

BHP Billiton PLC		18,206		643
Rio Tinto PLC		12,136		708
				1,351

Diversified Real Estate Activities — 0.3%
Daito Trust Construction Company Ltd.		2,500		237
Mitsubishi Estate Company Ltd.		9,000		216
Sumitomo Realty & Development Company Ltd.		2,000		67
Wharf Holdings Ltd.		21,810		174
				694

Diversified Support Services — 0.3%

Aggreko PLC		11,258		321
Brambles Ltd.		51,981		412
				733

Electric Utilities — 0.0%*

Power Grid Corporation of India Ltd.		48,018		101

Electronic Equipment & Instruments — 0.2%

Hexagon AB		14,963		378

Fertilizers & Agricultural Chemicals — 0.6%

Potash Corporation of Saskatchewan Inc. ^††		6,067		247
Potash Corporation of Saskatchewan Inc. ^††		10,403		423
Syngenta AG		1,525		616
				1,286


	Number of Shares		Fair Value


Food Retail — 0.1%

Tesco PLC		26,933	$	148

Healthcare Services — 0.4%

Fresenius SE & Company KGaA		6,438		740

Healthcare Supplies — 0.2%

Cie Generale d'Optique Essilor International S.A.		5,028		506

Heavy Electrical Equipment — 0.1%

ABB Ltd. ADR		10,129		211

Household Products — 0.3%

Reckitt Benckiser Group PLC		3,815		242
Unicharm Corp.		8,100		422
				664

Human Resource & Employment Services — 0.2%

Capita PLC		29,796		368

Industrial Conglomerates — 0.1%

Siemens AG		2,145		234

Industrial Gases — 0.4%

Linde AG		4,993		872

Industrial Machinery — 0.8%

Alfa Laval AB		18,884		395
FANUC Corp.		3,200		596
Mitsubishi Heavy Industries Ltd.		41,000		199
SMC Corp.		1,200		218
Vallourec S.A.		6,138		322
				1,730

Integrated Oil & Gas — 1.1%

BG Group PLC		23,556		393
Cenovus Energy Inc.		2,770		93
Eni S.p.A.		16,910		414
Petroleo Brasileiro S.A. ADR		9,925		192
Royal Dutch Shell PLC		19,178		666
Suncor Energy Inc.		11,357		373
Total S.A.		2,757		143
				2,274


	Number of Shares		Fair Value


Internet Software & Services — 0.6%

Baidu Inc. ADR		12,197	$	1,224	^(a)

IT Consulting & Other Services —0.1%

Cap Gemini S.A.		4,114		180

Life & Health Insurance — 0.8%

AIA Group Ltd.		208,293		826
Prudential PLC		41,550		593
Sony Financial Holdings Inc.		18,800		339
				1,758

Multi-Line Insurance — 0.4%
AXA S.A.		21,224		381
Zurich Insurance Group AG		1,525		408
				789

Multi-Utilities — 0.3%

National Grid PLC		58,829		675

Oil & Gas Equipment & Services — 0.1%

Subsea 7 S.A.		13,240		318

Oil & Gas Exploration & Production — 0.1%

Canadian Natural Resources Ltd.		3,879		112

Packaged Foods & Meats — 0.6%

Nestle S.A.		13,553		884
Unilever N.V.		10,034		383
				1,267

Pharmaceuticals — 1.2%

Astellas Pharma Inc.		7,900		356
Bayer AG		3,545		338
Novartis AG		10,921		689
Novartis AG ADR		11,439		724
Roche Holding AG		1,851		374
				2,481

Photographic Products — 0.1%

Nikon Corp.		7,797		231

Property & Casualty Insurance — 0.1%

Tokio Marine Holdings Inc.		8,100		226


	Number of Shares		Fair Value


Regional Banks — 0.1%

The Bank of Yokohama Ltd.		53,600	$	250

Research & Consulting Services —0.2%

Experian PLC		13,850		223
Intertek Group PLC		3,371		171
				394

Semiconductors — 0.8%

Samsung Electronics Company Ltd.		601		863
Taiwan Semiconductor Manufacturing Company Ltd.		274,484		918
Taiwan Semiconductor Manufacturing Company Ltd. ADR		1,199		21
				1,802

Tires & Rubber — 0.3%

Bridgestone Corp.		22,600		589

Trading Companies & Distributors — 0.1%

Mitsui & Company Ltd.		19,500		293

Wireless Telecommunication Services — 0.5%

Softbank Corp.		12,200		448
Vodafone Group PLC		241,647		609
				1,057

Total Common Stock (Cost $32,908)				37,765
Preferred Stock — 0.3%

Automobile Manufacturers — 0.3%

Volkswagen AG		3,024		693

Total Foreign Equity (Cost $33,368)				38,458


		Principal Amount		Fair Value

Bonds and Notes — 30.2%

U.S. Treasuries — 9.9%

U.S. Treasury Bonds
3.00%	05/15/42	$	2,510	$	2,557	^(h)
3.13%	02/15/42		796		833
U.S. Treasury Notes
0.23%	07/31/14		1,916		1,913	^(d,h)
0.24%	09/30/14 - 10/31/14		4,896		4,897	^(d,h)
0.56%	02/28/17		4,146		4,201	^(d,h)
0.66%	09/30/17		6,270		6,258	^(d,h)
1.63%	08/15/22		457		454
					21,113

Agency Mortgage Backed — 9.5%

Federal Home Loan Mortgage Corp.
2.38%	01/13/22		394		412
4.50%	06/01/33 - 02/01/35		11		12	^(h)
5.00%	07/01/35 - 06/01/41		395		443	^(h)
5.50%	05/01/20 - 04/01/39		155		172	^(h)
6.00%	04/01/17 - 11/01/37		359		400	^(h)
6.50%	11/01/28 - 07/01/29		9		12	^(h)
7.00%	10/01/16 - 08/01/36		40		47	^(h)
7.50%	12/01/30 - 09/01/33		9		11	^(h)
8.00%	07/01/26 - 11/01/30		6		7	^(h)
8.50%	04/01/30 - 05/01/30		17		20	^(h)
Federal National Mortgage Assoc.
2.72%	04/01/37		1		1	⁽ⁱ⁾
4.00%	05/01/19 - 03/01/41		733		786	^(h)
4.50%	05/01/18 - 04/01/41		2,709		2,933	^(h)
5.00%	07/01/20 - 06/01/41		796		892	^(h)
5.50%	04/01/14 - 01/01/39		860		938	^(h)
6.00%	02/01/14 - 08/01/35		417		473	^(h)
6.50%	12/01/14 - 08/01/36		93		101	^(h)
7.00%	01/01/16 - 12/01/33		6		7	^(h)
7.50%	09/01/13 - 03/01/34		26		28	^(h)
8.00%	11/01/14 - 11/01/33		34		39	^(h)
8.50%	05/01/31		2		3	^(h)
9.00%	12/01/17 - 12/01/22		7		7	^(h)
3.00%	TBA		1,705		1,787	^(c)
3.50%	TBA		1,785		1,903	^(c)


		Principal Amount		Fair Value

4.00%	TBA	$	835	$	895	^(c)
4.50%	TBA		594		642	^(c)
5.00%	TBA		485		525	^(c)
6.00%	TBA		1,250		1,365	^(c)
6.50%	TBA		490		546	^(c)
Government National Mortgage Assoc.
4.50%	08/15/33 - 03/20/41		647		712	^(h)
5.00%	08/15/33		23		25	^(h)
6.00%	04/15/30 - 09/15/36		28		31	^(h)
6.50%	06/15/24 - 07/15/36		52		62	^(h)
7.00%	04/15/28 - 10/15/36		23		26	^(h)
7.50%	07/15/23 - 04/15/28		18		18	^(h)
8.00%	05/15/30		1		1	^(h)
8.50%	10/15/17		12		13	^(h)
9.00%	11/15/16 - 12/15/21		14		14	^(h)
3.00%	TBA		545		579	^(c)
3.50%	TBA		1,540		1,673	^(c)
4.00%	TBA		1,035		1,131	^(c)
5.00%	TBA		492		537	^(c)
5.50%	TBA		50		55	^(c)
					20,284

Agency Collateralized Mortgage Obligations — 0.2%

Collateralized Mortgage Obligation Trust
0.70%	11/01/18		1		1	^(d,f)
Federal Home Loan Mortgage Corp.
0.08%	09/25/43		295		2	^(g,h)
Federal Home Loan Mortgage Corp. REMIC
3.50%	11/15/24 - 11/15/30		429		32	^(g,q)
4.50%	02/15/18 - 03/15/18		29		1	^(g,h,q)
5.00%	05/15/18 - 10/15/18		26		1	^(g,h,q)
5.50%	06/15/33		26		3	^(g,h,q)
6.39%	08/15/25		205		26	^(g,i)
7.50%	07/15/27		16		3	^(g,h,q)
Federal Home Loan Mortgage Corp. STRIPS
4.23%	08/01/27		1		1	^(d,f,h)
8.00%	02/01/23 - 07/01/24		3		0	^(g,h,q)


		Principal Amount		Fair Value

Federal National Mortgage Assoc. REMIC
1.21%	12/25/42	$	68	$	2		^(g,h)
2.71%	12/25/22		1		1		^(d,f,h)
4.50%	05/25/18		1		—	**	^(g,h,q)
5.00%	10/25/22 - 09/25/40		322		36		^(g,h,q)
5.79%	07/25/38		89		10		^(g,i)
5.84%	11/25/40		350		64		^(g,i)
6.29%	01/25/42		233		48		^(g,i)
7.29%	05/25/18		177		19		^(g,h,i)
Federal National Mortgage Assoc. STRIPS
4.50%	08/01/35 - 01/01/36		81		9		^(g,q)
5.00%	03/25/38 - 05/25/38		50		6		^(g,q)
5.50%	12/01/33		13		2		^(g,q)
6.00%	01/01/35		32		5		^(g,q)
7.50%	11/01/23		30		6		^(g,h,q)
8.00%	08/01/23 - 07/01/24		6		1		^(g,h,q)
8.50%	03/01/17 - 07/25/22		3		0		^(g,h,q)
9.00%	05/25/22		1		—	**	^(g,h,q)
Government National Mortgage Assoc.
4.50%	10/20/37 -08/16/39		460		50		^(g,q)
5.00%	12/20/35 -09/20/38		363		31		^(g,q)
5.94%	05/20/40		218		35		^(g,i)
5.96%	05/20/40		389		71		^(g,i)
6.39%	12/20/39		393		64		^(g,i)
					530

Asset Backed — 0.0%*

Popular ABS Mortgage Pass- Through Trust 2005-5
5.30%	11/25/35		50		32		^(h)

Corporate Notes — 9.0%

ABB Finance USA Inc.
1.63%	05/08/17		66		67
AbbVie Inc.
1.20%	11/06/15		102		103		^(b)
1.75%	11/06/17		68		69		^(b)
2.00%	11/06/18		68		69		^(b)
4.40%	11/06/42		34		36		^(b)
AES Corp.
8.00%	10/15/17		6		7		^(h)


		Principal Amount		Fair Value

AES Panama S.A.
6.35%	12/21/16	$	30	$	33	^(b,h)
Aetna Inc.
1.50%	11/15/17		56		56
2.75%	11/15/22		68		67
Agilent Technologies Inc.
3.20%	10/01/22		33		33
5.50%	09/14/15		58		65	^(h)
Altria Group Inc.
4.25%	08/09/42		51		49
Amazon.com Inc.
1.20%	11/29/17		68		68
2.50%	11/29/22		68		67
America Movil SAB de C.V.
2.38%	09/08/16		200		208	^(h)
American Axle & Manufacturing Inc.
7.88%	03/01/17		69		71	^(h)
American Express Credit Corp.
1.75%	06/12/15		48		49	^(h)
American International Group Inc.
4.88%	06/01/22		102		116
Amgen Inc.
5.38%	05/15/43		64		75	^(h)
5.65%	06/15/42		30		36	^(h)
Amsted Industries Inc.
8.13%	03/15/18		38		41	^(b,h)
Anadarko Petroleum Corp.
6.20%	03/15/40		34		42
Anheuser-Busch InBev Worldwide Inc.
2.50%	07/15/22		70		70
5.38%	11/15/14		43		47	^(h)
Archer-Daniels-Midland Co.
4.02%	04/16/43		49		47	^(b)
Arizona Public Service Co.
6.25%	08/01/16		59		69	^(h)
AstraZeneca PLC
4.00%	09/18/42		41		41
AT&T Inc.
0.65%	02/13/15		70		70	^(d,h)
2.95%	05/15/16		67		71	^(h)
4.35%	06/15/45		73		73	^(b)
5.55%	08/15/41		76		91	^(h)


		Principal Amount		Fair Value

Autodesk Inc.
1.95%	12/15/17	$	30	$	30
Banco do Nordeste do Brasil S.A.
3.63%	11/09/15		100		104	^(b,h)
Banco Mercantil del Norte S.A.
6.86%	10/13/21		100		108	^(b,h)
Bank of America Corp.
5.42%	03/15/17		200		219
5.70%	01/24/22		103		124	^(h)
Berkshire Hathaway Finance Corp.
1.60%	05/15/17		75		76	^(h)
3.00%	05/15/22		85		89	^(h)
Bombardier Inc.
5.75%	03/15/22		8		8	^(b)
7.75%	03/15/20		354		402	^(b,h)
BP Capital Markets PLC
1.38%	11/06/17		68		68
1.85%	05/05/17		52		53
2.25%	11/01/16		115		120	^(h)
2.50%	11/06/22		68		67
Calpine Corp.
7.25%	10/15/17		7		7	^(b,h)
Cargill Inc.
5.20%	01/22/13		215		216	^(b,h)
6.00%	11/27/17		1		1	^(b,h)
Case New Holland Inc.
7.88%	12/01/17		40		47	^(h)
Caterpillar Financial Services Corp.
1.25%	11/06/17		48		48
Caterpillar Inc.
1.50%	06/26/17		84		85
Catholic Health Initiatives
1.60%	11/01/17		14		14
2.95%	11/01/22		54		55
4.35%	11/01/42		24		24
CCO Holdings LLC
8.13%	04/30/20		61		68	^(h)
Central American Bank for Economic Integration
5.38%	09/24/14		60		64	^(b,h)


		Principal Amount		Fair Value

CenturyLink Inc.
5.80%	03/15/22	$	18	$	19
7.65%	03/15/42		26		27	^(h)
Cigna Corp.
2.75%	11/15/16		69		73	^(h)
4.00%	02/15/22		28		31
5.38%	02/15/42		64		75	^(h)
Cincinnati Bell Inc.
8.25%	10/15/17		65		70
Citigroup Inc.
4.45%	01/10/17		83		92	^(h)
5.00%	09/15/14		127		134	^(h)
5.88%	01/30/42		95		117
6.13%	08/25/36		100		109
CityCenter Holdings LLC
7.63%	01/15/16		41		44
CNA Financial Corp.
5.88%	08/15/20		60		71	^(h)
Corp Andina de Fomento
4.38%	06/15/22		68		74
Corp Nacional del Cobre de Chile
4.25%	07/17/42		42		43	^(b)
5.63%	09/21/35		12		15	^(b,h)
Covidien International Finance S.A.
1.35%	05/29/15		56		57
COX Communications Inc.
3.25%	12/15/22		25		26	^(b)
4.70%	12/15/42		17		17	^(b)
Crown Castle Towers LLC
6.11%	01/15/40		55		66	^(b,h)
CSX Corp.
4.10%	03/15/44		44		43
4.25%	06/01/21		73		82	^(h)
CVS Caremark Corp.
3.25%	05/18/15		30		32	^(h)
DaVita HealthCare Partners Inc.
5.75%	08/15/22		26		27
6.38%	11/01/18		68		73	^(h)
DCP Midstream Operating LP
2.50%	12/01/17		68		68
DDR Corp. (REIT)
4.63%	07/15/22		49		53


		Principal Amount		Fair Value

Deere & Co.
3.90%	06/09/42	$	37	$	38
Denbury Resources Inc.
6.38%	08/15/21		60		66	^(h)
8.25%	02/15/20		34		38	^(h)
DENTSPLY International Inc.
2.75%	08/15/16		50		52	^(h)
4.13%	08/15/21		77		82	^(h)
Devon Energy Corp.
3.25%	05/15/22		102		106
Diageo Capital PLC
1.50%	05/11/17		100		101	^(h)
Diageo Investment Corp.
2.88%	05/11/22		105		108	^(h)
DIRECTV Holdings LLC
4.75%	10/01/14		109		116	^(h)
5.15%	03/15/42		87		88	^(h)
Dominion Resources Inc.
1.95%	08/15/16		54		56	^(h)
DPL Inc.
7.25%	10/15/21		188		201
DR Horton Inc.
4.38%	09/15/22		52		53
Duke Energy Corp.
1.63%	08/15/17		69		69
3.05%	08/15/22		205		209
Eastman Chemical Co.
2.40%	06/01/17		132		136	^(h)
eBay Inc.
1.35%	07/15/17		48		49
2.60%	07/15/22		35		35
4.00%	07/15/42		41		40
Ecopetrol S.A.
7.63%	07/23/19		28		36
Empresa de Energia de Bogota S.A.
6.13%	11/10/21		14		16	^(b,h)
Energy Transfer Equity LP
7.50%	10/15/20		51		59	^(h)
Energy Transfer Partners LP
6.50%	02/01/42		62		76	^(h)
6.70%	07/01/18		56		67	^(h)


		Principal Amount		Fair Value

Enterprise Products Operating LLC
4.45%	02/15/43	$	34	$	34
European Investment Bank
0.41%	12/15/14		110		111	^(d,h)
4.88%	01/17/17		150		174	^(h)
Exelon Corp.
4.90%	06/15/15		111		121	^(h)
Express Scripts Holding Co.
2.65%	02/15/17		70		73	^(b,h)
3.13%	05/15/16		113		119	^(h)
3.90%	02/15/22		34		37	^(b,h)
4.75%	11/15/21		38		43	^(b,h)
Florida Power & Light Co.
4.13%	02/01/42		68		71
Ford Motor Credit Company LLC
3.00%	06/12/17		213		219
Forest Oil Corp.
7.25%	06/15/19		68		68
Fresenius Medical Care US Finance Inc.
5.75%	02/15/21		84		90	^(b)
Frontier Communications Corp.
7.13%	03/15/19		71		77
Georgia Power Co.
4.30%	03/15/42		37		39
Goldman Sachs Capital I
6.35%	02/15/34		43		45	^(h)
Great Plains Energy Inc.
4.85%	06/01/21		80		88
Hanesbrands Inc.
6.38%	12/15/20		110		121	^(h)
HCA Inc.
6.50%	02/15/20		119		134	^(h)
Heineken N.V.
0.73%	10/01/15		48		48	^(b,d)
1.40%	10/01/17		68		68	^(b)
Hewlett-Packard Co.
2.60%	09/15/17		74		72
6.00%	09/15/41		20		20
Host Hotels & Resorts LP (REIT)
4.75%	03/01/23		16		17
6.00%	11/01/20		34		37	^(h)


		Principal Amount		Fair Value

HSBC USA Inc.
1.63%	01/16/18	$	111	$	111
Hughes Satellite Systems Corp.
6.50%	06/15/19		49		54	^(h)
Hyundai Capital America
1.63%	10/02/15		68		68	^(b)
2.13%	10/02/17		35		35	^(b)
Intel Corp.
1.35%	12/15/17		68		68
2.70%	12/15/22		68		68
4.25%	12/15/42		34		34
Invesco Finance PLC
3.13%	11/30/22		102		103
Jabil Circuit Inc.
4.70%	09/15/22		12		13
John Deere Capital Corp.
3.15%	10/15/21		54		57	^(h)
JPMorgan Chase & Co.
3.25%	09/23/22		34		35
4.35%	08/15/21		74		83	^(h)
4.50%	01/24/22		56		63	^(h)
KFW
2.00%	10/04/22		171		171
4.50%	07/16/18		102		120	^(h)
Kinder Morgan Energy Partners LP
5.00%	08/15/42		34		36
Kinross Gold Corp.
6.88%	09/01/41		47		48
Korea National Oil Corp.
2.88%	11/09/15		100		104	^(b,h)
Kraft Foods Group Inc.
1.63%	06/04/15		45		46	^(b)
2.25%	06/05/17		74		77	^(b)
5.00%	06/04/42		63		71	^(b)
Liberty Mutual Group Inc.
6.50%	05/01/42		36		41	^(b)
Lincoln National Corp.
4.20%	03/15/22		25		27
Linn Energy LLC
6.25%	11/01/19		8		8	^(b)
8.63%	04/15/20		56		61
McDonald's Corp.
1.88%	05/29/19		75		76	^(h)


		Principal Amount		Fair Value

Memorial Sloan-Kettering Cancer Center
4.13%	07/01/52	$	30	$	30
Merck & Company Inc.
2.40%	09/15/22		68		68
MidAmerican Energy Holdings Co.
6.13%	04/01/36		45		57	^(h)
Morgan Stanley
4.75%	03/22/17		50		55
4.88%	11/01/22		102		106
5.50%	07/28/21		71		81	^(h)
5.75%	01/25/21		100		114	^(h)
6.63%	04/01/18		111		131
Murphy Oil Corp.
2.50%	12/01/17		102		103
3.70%	12/01/22		68		68
Mylan Inc.
7.88%	07/15/20		23		27	^(b,h)
Newfield Exploration Co.
5.63%	07/01/24		10		11
5.75%	01/30/22		68		75
NewMarket Corp.
4.10%	12/15/22		37		38	^(b)
News America Inc.
6.65%	11/15/37		47		61	^(h)
Nexen Inc.
6.40%	05/15/37		68		88
NextEra Energy Capital Holdings Inc.
2.60%	09/01/15		129		134	^(h)
Nisource Finance Corp.
3.85%	02/15/23		85		87
Novartis Capital Corp.
2.40%	09/21/22		82		82
NYSE Euronext
2.00%	10/05/17		103		105
Oglethorpe Power Corp.
5.38%	11/01/40		42		49	^(h)
Omnicom Group Inc.
3.63%	05/01/22		97		101	^(h)
ONEOK Partners LP
3.38%	10/01/22		18		18
6.13%	02/01/41		45		54	^(h)


		Principal Amount		Fair Value

Oracle Corp.
1.20%	10/15/17	$	170	$	171
Pacific Gas & Electric Co.
6.05%	03/01/34		52		67	^(h)
PacifiCorp
6.25%	10/15/37		102		137	^(h)
PAETEC Holding Corp.
8.88%	06/30/17		11		12	^(h)
Peabody Energy Corp.
6.25%	11/15/21		40		43
PepsiCo Inc.
2.75%	03/05/22		101		104	^(h)
Petrobras International Finance Co.
2.88%	02/06/15		30		31	^(h)
3.50%	02/06/17		94		99	^(h)
3.88%	01/27/16		34		36	^(h)
Petroleos de Venezuela S.A.
4.90%	10/28/14		13		12
Philip Morris International Inc.
2.50%	05/16/16		80		84	^(h)
3.88%	08/21/42		34		34
Plains Exploration & Production Co.
6.50%	11/15/20		37		41
Power Sector Assets & Liabilities Management Corp.
7.25%	05/27/19		200		257
7.39%	12/02/24		100		139	^(b,h)
Pride International Inc.
6.88%	08/15/20		77		97	^(h)
Prudential Financial Inc.
5.63%	05/12/41		38		43
5.63%	06/15/43		69		72	⁽ⁱ⁾
Range Resources Corp.
5.75%	06/01/21		68		73	^(h)
Reynolds American Inc.
3.25%	11/01/22		105		105
Roche Holdings Inc.
6.00%	03/01/19		101		126	^(b,h)
Rowan Companies Inc.
5.40%	12/01/42		45		46
Royal Bank of Canada
1.20%	09/19/17		103		103


		Principal Amount		Fair Value

Royal Bank of Scotland Group PLC
6.40%	10/21/19	$	37	$	44
Santander Holdings USA Inc.
3.00%	09/24/15		34		35
Schlumberger Investment S.A.
2.40%	08/01/22		104		103	^(b)
Seagate HDD Cayman
7.00%	11/01/21		8		9
Simon Property Group LP (REIT)
2.75%	02/01/23		20		20
Sinochem Overseas Capital Company Ltd.
4.50%	11/12/20		100		108	^(b,h)
Takeda Pharmaceutical Company Ltd.
1.63%	03/17/17		200		203	^(b,h)
Teva Pharmaceutical Finance Co. BV
2.95%	12/18/22		111		112
Textron Inc.
6.20%	03/15/15		62		68	^(h)
The ADT Corp.
2.25%	07/15/17		35		35	^(b)
3.50%	07/15/22		42		41	^(b)
4.88%	07/15/42		19		18	^(b)
The Coca-Cola Co.
3.30%	09/01/21		88		97
The Dow Chemical Co.
3.00%	11/15/22		34		34
4.38%	11/15/42		34		34
The Goldman Sachs Group Inc.
5.75%	01/24/22		128		151	^(h)
6.75%	10/01/37		69		78
The Korea Development Bank
3.25%	03/09/16		122		128	^(h)
The Potomac Edison Co.
5.35%	11/15/14		40		43	^(h)
The Sherwin-Williams Co.
1.35%	12/15/17		34		34
4.00%	12/15/42		34		34
The Williams Companies Inc.
3.70%	01/15/23		111		112


		Principal Amount		Fair Value

Time Warner Cable Inc.
6.75%	07/01/18	$	72	$	90	^(h)
Total Capital International S.A.
1.55%	06/28/17		174		177	^(h)
2.70%	01/25/23		102		104
Toyota Motor Credit Corp.
1.25%	10/05/17		68		68
1.75%	05/22/17		94		96	^(h)
TransAlta Corp.
4.50%	11/15/22		68		69
Transocean Inc.
3.80%	10/15/22		34		35
Turlock Corp.
1.50%	11/02/17		102		102	^(b)
2.75%	11/02/22		149		149	^(b)
U.S. Bancorp
3.44%	02/01/16		118		124
United Parcel Service Inc.
2.45%	10/01/22		68		68
United Technologies Corp.
1.80%	06/01/17		37		38	^(h)
4.50%	06/01/42		56		62	^(h)
UnitedHealth Group Inc.
0.73%	10/15/15		34		34	^(d)
1.40%	10/15/17		34		34
Vail Resorts Inc.
6.50%	05/01/19		107		115	^(h)
Verizon Communications Inc.
2.00%	11/01/16		187		194	^(h)
2.45%	11/01/22		34		34
3.85%	11/01/42		34		33
Viacom Inc.
2.50%	12/15/16		88		92	^(h)
Visteon Corp.
6.75%	04/15/19		67		71
Vodafone Group PLC
2.50%	09/26/22		68		68
Watson Pharmaceuticals Inc.
3.25%	10/01/22		102		104
Weatherford International Inc.
6.35%	06/15/17		37		42
Weatherford International Ltd.
4.50%	04/15/22		61		65	^(h)
5.95%	04/15/42		56		61	^(h)


		Principal Amount		Fair Value

WellPoint Inc.
1.88%	01/15/18	$	48	$	49
3.30%	01/15/23		104		107
3.70%	08/15/21		19		20
Woodside Finance Ltd.
4.50%	11/10/14		131		139		^(b,h)
WPP Finance 2010
3.63%	09/07/22		34		34
5.13%	09/07/42		34		33
Xstrata Finance Canada Ltd.
2.45%	10/25/17		136		137		^(b)
4.00%	10/25/22		61		62		^(b)
5.80%	11/15/16		64		72		^(b,h)
					19,140

Non-Agency Collateralized Mortgage Obligations — 0.9%
Banc of America Commercial Mortgage Trust 2006-4
5.68%	07/10/46		30		34
Banc of America Commercial Mortgage Trust 2007-4
5.73%	02/10/51		25		30		^(h)
Banc of America Commercial Mortgage Trust 2008-1
6.21%	02/10/51		240		291		^(h)
Banc of America Merrill Lynch Commercial Mortgage Inc.
5.19%	09/10/47		80		89
Bear Stearns Commercial Mortgage Securities
4.93%	02/13/42		80		86		^(h)
5.40%	03/11/39		19		19		^(h)
5.57%	04/12/38		80		89		^(h)
Citigroup Commercial Mortgage Trust
5.48%	10/15/49		40		38
COMM 2005-LP5 Mortgage Trust
4.98%	05/10/43		40		44
Credit Suisse First Boston Mortgage Securities Corp.
5.31%	10/25/35		37		1
CSMC Mortgage-Backed Trust Series 2006-1
5.51%	02/25/36		8		—	**


		Principal Amount		Fair Value

GS Mortgage Securities Corp. II
3.00%	08/10/44	$	80	$	85	^(h)
5.31%	08/10/44		30		35	^(b)
JP Morgan Chase Commercial Mortgage Securities Corp.
4.27%	06/15/45		70		78
4.43%	12/15/47		40		39	^(b,i)
5.04%	03/15/46		40		43
5.34%	08/12/37		60		66
5.44%	06/12/47		100		115
5.79%	02/12/51		155		185	^(h)
LB-UBS Commercial Mortgage Trust
4.95%	09/15/30		50		55
5.16%	02/15/31		80		89	^(h)
5.87%	06/15/38		30		35
20.56%	12/15/39		508		6	^(b,d)
MASTR Alternative Loans Trust
5.00%	08/25/18		15		1	^(g,h,q)
Merrill Lynch
5.49%	07/12/46		30		27
Morgan Stanley Capital I Trust 2006-IQ11
5.70%	10/15/42		40		36	^(h)
Morgan Stanley Capital I Trust 2006-TOP21
5.16%	10/12/52		100		111	^(h)
Morgan Stanley Capital I Trust 2006-TOP23
5.82%	08/12/41		30		35	^(h)
Morgan Stanley Capital I Trust 2008-TOP29
6.27%	01/11/43		50		60	^(h)
UBS-Barclays Commercial Mortgage Trust
4.89%	05/10/63		30		27	^(b,i)
Wachovia Bank Commercial Mortgage Trust
5.47%	01/15/45		80		88	^(h)
Wells Fargo Commercial Mortgage Trust
4.69%	10/15/45		20		21
					1,958


		Principal Amount		Fair Value


Sovereign Bonds — 0.5%
Banco Nacional de Desenvolvimento Economico e Social
5.50%	07/12/20	$	100	$	118	^(b,h)
Gabonese Republic
8.20%	12/12/17		100		121
Government of Chile
3.63%	10/30/42		27		27
Government of Dominican Republic
7.50%	05/06/21		100		116	^(b,h)
Government of El Salvador
7.65%	06/15/35		20		23	^(b,h)
Government of Hungary
4.75%	02/03/15		10		10
6.25%	01/29/20		39		43	^(h)
7.63%	03/29/41		10		12
Government of Lebanon
4.00%	12/31/17		4		4
5.15%	11/12/18		14		14
6.10%	10/04/22		14		14
Government of Mexico
4.75%	03/08/44		56		63	^(h)
5.75%	10/12/49		14		17	^(h)
Government of Panama
6.70%	01/26/36		11		16	^(h)
Government of Peru
6.55%	03/14/37		39		56	^(h)
Government of Philippines
6.38%	01/15/32		100		137	^(h)
Government of Poland
3.00%	03/17/23		11		11
5.00%	03/23/22		40		47
5.13%	04/21/21		15		18	^(h)
6.38%	07/15/19		7		9
Government of Romania
6.75%	02/07/22		28		34	^(b)
Government of Turkey
6.88%	03/17/36		14		19
Government of Uruguay
6.88%	09/28/25		32		44
Government of Venezuela
10.75%	09/19/13		41		42	^(h)


		Principal Amount		Fair Value

Government of Vietnam
1.50%	03/12/16	$	5	$	4		⁽ⁱ⁾
Russian Foreign Bond — Eurobond
7.50%	03/31/30		10		13		^(j)
					1,032

Municipal Bonds and Notes — 0.2%
American Municipal Power Inc.
6.27%	02/15/50		50		60
Municipal Electric Authority of Georgia
6.64%	04/01/57		39		47
New Jersey Transportation Trust Fund Authority
6.88%	12/15/39		15		17		^(h)
Port Authority of New York & New Jersey
4.46%	10/01/62		110		109
South Carolina State Public Service Authority
6.45%	01/01/50		40		54		^(h)
State of California
5.70%	11/01/21		55		66
					353

FNMA — 0.0%*
Lehman TBA
5.50%	TBA		60		—	**	^(c,o,r)

Total Bonds and Notes (Cost $63,116)					64,442



	Number of Shares

Exchange Traded Funds — 5.6%

Financial Select Sector SPDR Fund		12,469	205	^(p)
Industrial Select Sector SPDR Fund		21,842	828	^(p)
Vanguard MSCI Emerging Markets Fund		195,451	8,703
Vanguard REIT Fund		31,916	2,100

Total Exchange Traded Funds (Cost $11,045)			11,836

Total Investments in Securities (Cost $177,631)			193,516


	Number of Shares	Fair Value

Short-Term Investments — 14.5%
GE Institutional Money Market Fund —Investment Class
0.06%
(Cost $30,991)		$	30,991	^(d,k)

Total Investments (Cost $208,622)			224,507

Liabilities in Excess of Other Assets, net — (5.3)%			(11,339)


NET ASSETS — 100.0%		$	213,168

Other Information

The Fund had the following long futures contracts open at December 31, 2012:


Description	Expiration Date	Number of Contracts		Current Notional Value		Unrealized Appreciation/ (Depreciation)

S&P Midcap 400 Index Futures	March 2013		73	$	7,432	$	125

S&P 500 Emini Index Futures	March 2013		24		1,704		9

2 Yr. U.S. Treasury Notes Futures	March 2013		6		1,323		—	**

5 Yr. U.S. Treasury Notes Futures	March 2013		45		5,599		(8)

30 Yr. U.S. Treasury Bond Futures	March 2013		26		3,835		(43)


						$	83

The Fund had the following short futures contracts open at December 31, 2012:


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

EURO Stoxx 50 Index Futures	March 2013		2	$	(69)	$	1

FTSE 100 Index Futures	March 2013		2		(190)		1

Topix Index Futures	March 2013		1		(100)		(6)

Ultra Long-Term U.S. Treasury Bond Futures	March 2013		26		(4,227)		83

10 Yr. U.S. Treasury Notes Futures	March 2013		47		(6,241)		32

						$	111

						$	194

At December 31, 2012, the Fund had the following foreign currency forward exchange contracts:


Description		Unrealized (Depreciation)

Sold 3,600 EURO; Purchased $4,738 for settlement on 01/22/2013		$ (10)

Sold 1,600 GBP; Purchased $2,597 for settlement on 01/22/2013		(3)

		$ (13)

The Fund was invested in the following countries at December 31, 2012 (Unaudited) :


Germany					2.27%
Switzerland					1.91%
France					1.57%
Canada					1.00%
China					0.59%
Netherlands					0.53%
South Korea					0.53%
Sweden					0.53%
Hong Kong					0.45%
Taiwan					0.42%
Australia					0.41%
Italy					0.39%
Brazil					0.26%
Philippines					0.24%
Singapore					0.22%
Ireland					0.21%
Supranational					0.19%
Mexico					0.18%
Belgium					0.15%
Norway					0.14%
Gabon					0.05%
Dominican Republic					0.05%
Curacao					0.05%
India					0.05%
Poland					0.04%
Chile					0.04%
Hungary					0.03%
Peru					0.03%
Venezuela					0.02%
Colombia					0.02%
Panama					0.02%
Uruguay					0.02%
Romania					0.02%
Lebanon					0.01%
El Salvador					0.01%
Turkey					0.01%
Russian Federation					0.01%

					100.00%

The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2012 (Unaudited):


Industry	Domestic	Foreign	Total
Exchange Traded Funds	5.27%	0.00%	5.27%
Diversified Financial Services	1.40%	1.64%	3.04%
Pharmaceuticals	1.89%	1.11%	3.00%
Integrated Oil & Gas	1.59%	1.01%	2.60%
Communications Equipment	1.99%	0.19%	2.18%
Internet Software & Services	0.97%	0.54%	1.51%
Computer Hardware	1.44%	0.00%	1.44%
Systems Software	1.44%	0.00%	1.44%
Semiconductors	0.55%	0.80%	1.35%
Industrial Machinery	0.54%	0.77%	1.31%
Data Processing & Outsourced Services	1.25%	0.00%	1.25%
Soft Drinks	1.25%	0.00%	1.25%
Asset Management & Custody Banks	1.21%	0.00%	1.21%
Healthcare Equipment	1.14%	0.00%	1.14%
Biotechnology	0.95%	0.17%	1.12%
Oil & Gas Equipment & Services	0.97%	0.14%	1.11%
Cable & Satellite	1.09%	0.00%	1.09%
Life & Health Insurance	0.22%	0.78%	1.00%
Packaged Foods & Meats	0.42%	0.56%	0.98%
Fertilizers & Agricultural Chemicals	0.39%	0.57%	0.96%
Aerospace & Defense	0.58%	0.35%	0.93%
Automobile Manufacturers	0.15%	0.73%	0.88%
Healthcare Services	0.52%	0.33%	0.85%
Home Improvement Retail	0.82%	0.00%	0.82%
Air Freight & Logistics	0.73%	0.00%	0.73%
Multi-Line Insurance	0.32%	0.35%	0.67%
Household Products	0.37%	0.30%	0.67%
Oil & Gas Exploration & Production	0.59%	0.05%	0.64%
Diversified Metals & Mining	0.02%	0.60%	0.62%
Application Software	0.20%	0.42%	0.62%
Property & Casualty Insurance	0.50%	0.10%	0.60%
IT Consulting & Other Services	0.51%	0.08%	0.59%
Distillers & Vintners	0.13%	0.44%	0.57%
Specialized REITs	0.57%	0.00%	0.57%


Construction & Farm Machinery & Heavy Trucks	0.42%	0.13%	0.55%
Specialized Finance	0.54%	0.00%	0.54%
Apparel, Accessories & Luxury Goods	0.00%	0.52%	0.52%
Industrial Gases	0.13%	0.39%	0.52%
Movies & Entertainment	0.49%	0.00%	0.49%
Wireless Telecommunication Services	0.00%	0.47%	0.47%
Multi-Utilities	0.16%	0.30%	0.46%
Broadcasting	0.46%	0.00%	0.46%
Advertising	0.24%	0.21%	0.45%
Integrated Telecommunication Services	0.44%	0.00%	0.44%
Consumer Finance	0.39%	0.00%	0.39%
Regional Banks	0.24%	0.11%	0.35%
Diversified Chemicals	0.34%	0.00%	0.34%
Healthcare Supplies	0.11%	0.23%	0.34%
Railroads	0.34%	0.00%	0.34%
Diversified Support Services	0.00%	0.33%	0.33%
Electric Utilities	0.28%	0.05%	0.33%
Life Sciences Tools & Services	0.31%	0.00%	0.31%
Diversified Real Estate Activities	0.00%	0.31%	0.31%
Tobacco	0.30%	0.00%	0.30%
Research & Consulting Services	0.11%	0.18%	0.29%
Electrical Components & Equipment	0.27%	0.00%	0.27%
Tires & Rubber	0.00%	0.26%	0.26%
Independent Power Producers & Energy Traders	0.26%	0.00%	0.26%
Restaurants	0.26%	0.00%	0.26%
Investment Banking & Brokerage	0.25%	0.00%	0.25%
Specialty Stores	0.25%	0.00%	0.25%
Healthcare Distributors	0.24%	0.00%	0.24%
Construction & Engineering	0.00%	0.21%	0.21%
Diversified Capital Markets	0.00%	0.20%	0.20%
Construction Materials	0.00%	0.20%	0.20%
Agricultural Products	0.18%	0.00%	0.18%
Casinos & Gaming	0.18%	0.00%	0.18%
Electronic Equipment & Instruments	0.00%	0.17%	0.17%
Human Resource & Employment Services	0.00%	0.16%	0.16%
Internet Retail	0.16%	0.00%	0.16%


Brewers	0.00%	0.15%	0.15%
Retail REITs	0.14%	0.00%	0.14%
Trading Companies & Distributors	0.00%	0.13%	0.13%
Drug Retail	0.13%	0.00%	0.13%
General Merchandise Stores	0.12%	0.00%	0.12%
Steel	0.11%	0.00%	0.11%
Industrial Conglomerates	0.00%	0.10%	0.10%
Specialty Chemicals	0.10%	0.00%	0.10%
Photographic Products	0.00%	0.10%	0.10%
Distributors	0.10%	0.00%	0.10%
Department Stores	0.10%	0.00%	0.10%
Heavy Electrical Equipment	0.00%	0.09%	0.09%
Water Utilities	0.08%	0.00%	0.08%
Food Retail	0.00%	0.07%	0.07%
Automotive Retail	0.06%	0.00%	0.06%
Home Building	0.04%	0.00%	0.04%
Oil & Gas Storage & Transportation	0.04%	0.00%	0.04%
Healthcare Facilities	0.03%	0.00%	0.03%
Diversified Banks	0.00%	0.02%	0.02%

			57.50%


Sector					Percentage (based on Fair Value)
U.S. Treasuries					9.40%
Agency Mortgage Backed					9.04%
Corporate Notes					8.52%
Non-Agency Collateralized Mortgage Obligations					0.87%
Sovereign Bonds					0.46%
Agency Collateralized Mortgage Obligations					0.24%
Municipal Bonds and Notes					0.16%
Asset Backed					0.01%

					28.70%

The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See portfolio managers’ biographical information beginning on page 106.

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, 2012?

For the twelve-month period ended December 31, 2012, the Elfun Tax-Exempt Income Fund returned 7.45%. The Barclay’s U.S. Municipal Bond Index, the Fund’s benchmark, returned 6.78%, while the Morningstar peer group of 240 Municipal National Long Bond Funds returned an average of 8.88% over the same period.

Q.	What market conditions affected the Fund’s performance?

Themes in the municipal market in 2012 included higher new issue supply, strong technicals, interest rates which fell to near fifty year lows, lingering/growing credit concerns and the emergence of a significant threat to municipal tax exemption. The municipal market benefited from the strong flight to quality in the broader fixed income markets and robust tax-exempt bond fund inflows, creating a supply/demand imbalance for much of the year.

Fund flows aggregated $50 billion for the year per Lipper Analytical Services, a dramatic reversal of the $12 billion of outflows in 2011. As a result net supply

available was a negative $27 billion for the year ultimately driving a flatter yield curve and compressed credit spread leading to significant price appreciation. Longer maturities clearly benefited from consistent downward pressure on rates, as many investors sought additional yield in longer duration assets.

Q.	What were the primary drivers of Fund performance?

Tax-exempt bond yields trended lower this year outperforming most other fixed income markets with “AAA” benchmark yields challenging 50 year lows. With low absolute rates driven by strong technical factors, investors in search of additional yield, gravitated towards longer dated securities and eventually lower rated credits. The result of improved investor sentiment was a flatter yield curve, rewarding for those willing to assume additional interest rate risk and compression of credit quality spreads, which enhanced returns in the high yield sector. Fund performance, given the Fund’s high quality bias was attributable to management of interest rate risk and diversified curve positioning. The Fund maintained a longer duration throughout the year, approximately one half year longer than the Barclay Municipal Bond Index, while overweighting exposure to the twenty to thirty year sector. Curve positioning was clearly a strong contributor to performance as bonds twenty years and longer provided double digit returns. While many peers aggressively benefited from the

“risk on/ risk off” trade environment, selecting highly volatile securities in exchange for high returns, the Fund had limited exposure to the high yield sector and derived most of its returns from the A- rated sector. Our focus on the maximization of tax-exempt income while limiting volatility continued to shape our investment process, emphasizing consistent returns over a long term horizon.

Q.	Were there any significant changes to the Fund during the period?

Early in 2012 we restructured the portfolio to take advantage of a relatively steep yield curve, identifying key segments which we believed to possess the best risk reward characteristics, given the Federal Reserve’s accommodative monetary policy. Over the course of the first half of the year we utilized cash carried through year-end, coupon reinvestment and several short duration securities which had limited income potential, to increase exposure in the twenty five- to thirty year segment of the curve. Despite increasing exposure to longer maturities, we managed to maintain duration at modest levels, one half year longer than the Fund’s benchmark, the Barclay Municipal Bond Index by positioning the portfolio diversely across the curve, emphasizing the twenty five year sector. As broad based demand and modest supply encouraged investors to extend their investment horizon the Fund was well positioned to capture the best performing segment of the curve, as yield tightened between 87- to 89 basis points. While 2012 was one of the best performing years’ in the high yield sector, we chose to take advantage of the strong demand for lower rated issues to pare our exposure to the health care sector throughout the year. Given the dramatic and far reaching effects of the Affordable Care Act we chose to

Actual Expenses

estimate the expenses paid on your account during this period.

Hypothetical Example for Comparison Purposes

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 a concentration of investments in municipal bonds consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing primarily in investment-grade municipal obligations.

Quality Ratings

as of December 31, 2012 as a % of Fair Value^(b)


Moody’s / S&P Rating*			Percentage of Fair Value
Aaa / AAA			9.77%
Aa / AA			49.36%
A / A			31.28%
Baa / BBB			7.86%
Ba / BB and lower			0.29%
NR / Other			1.44%
			100.00%

Moody’s Investors Services Inc and Standard & Poor’s are nationally recognized statistical rating organizations.

Sector Allocation

as a % of Fair Value of $1,791,974 (in thousands) as of December 31, 2012.^(b)

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/12


	One Year			Five Year			Ten Year
Number of funds in peer group		240			229			224
Peer group average annual total return		8.88	%		5.48	%		4.48	%
Morningstar category in peer group: Muni National Long

Change in Value of a $10,000 Investment^(a)

LOGO

Average Annual Total Return

for the periods ended December 31, 2012


(Inception date: 01/01/80)
	One Year		Five Year		Ten Year		Ending value of a $10,000 investment ^(a)

Elfun Tax-Exempt Income Fund		7.45%		6.04%		5.10%		$16,445

Barclays U.S. Municipal Bond Index		6.78%		5.91%		5.10%		$16,449

See Notes to Performance on page 1 for further information, including an explanation of Morningstar peer categories.


		Principal Amount		Fair Value

Municipal Bonds and Notes — 99.3%^†

Alabama — 0.8%

East Alabama Healthcare Authority
5.00%	09/01/33	$	5,500	$	5,674	^(m)
Montgomery BMC Special Care Facilities Financing Authority (MBIA Insured)
5.00%	11/15/20		8,375		9,085	^(m,n)
					14,759

Alaska — 0.2%

Alaska Housing Finance Corp.
5.00%	12/01/27		2,500		2,968

Arizona — 3.2%

Apache County Industrial Development Authority
4.50%	03/01/30		4,000		4,177
Arizona Health Facilities Authority
5.00%	02/01/42		2,000		2,162
City of Phoenix AZ
5.00%	07/01/19		5,000		5,847
Glendale Western Loop 101 Public Facilities Corp.
6.25%	07/01/38		10,000		10,590
Maricopa County Industrial Development Authority
5.50%	07/01/26		5,000		5,330
Phoenix Civic Improvement Corp.
5.00%	07/01/40		4,750		5,229
Phoenix Civic Improvement Corp. (FGIC Insured)
5.50%	07/01/23 - 07/01/24		7,260		9,606	⁽ⁿ⁾
Salt River Project Agricultural Improvement & Power District
5.00%	12/01/21		10,000		12,357
University Medical Center Corp.
6.50%	07/01/39		1,000		1,166
					56,464


		Principal Amount		Fair Value


California — 9.0%

Bay Area Toll Authority
4.00%	04/01/31	$	4,000	$	4,348
5.00%	04/01/31		10,000		11,397	^(m)
California Educational Facilities Authority
5.00%	10/01/32		5,255		7,312
5.25%	10/01/39		6,000		7,053
6.13%	10/01/36		1,500		1,809
California Health Facilities Financing Authority
5.50%	08/15/26		5,000		5,931
6.00%	07/01/39		5,000		5,827
6.50%	10/01/33		3,500		4,259
California State Department of Water Resources
5.00%	05/01/21 - 12/01/21		6,585		8,261
California State Public Works Board
5.00%	10/01/28		1,500		1,700
5.13%	10/01/31		2,000		2,254
6.00%	04/01/26		8,475		10,299
Coast Community College District (AGMC Insured)
3.77%	08/01/33		8,750		9,036	^(d,n)
Foothill-De Anza Community College District (AMBAC Insured)
4.50%	08/01/31		2,600		2,849	⁽ⁿ⁾
Los Angeles Department of Water & Power
5.00%	07/01/43		10,000		11,516
Los Angeles Harbor Department
5.00%	08/01/26		8,000		9,520
Marin Water District Financing Authority
5.00%	07/01/44		6,000		6,889
Metropolitan Water District of Southern California
5.00%	07/01/35		5,000		5,507
Newport Mesa Unified School District
3.29%	08/01/41		10,000		1,851	^(d)


		Principal Amount		Fair Value

Sacramento Municipal Utility District
5.00%	08/15/28	$	2,500	$	2,960
San Diego Community College District
5.00%	08/01/41		10,000		11,510
San Diego County Regional Transportation Commission
5.00%	04/01/42		2,500		2,873
San Diego Unified School District (AGMC Insured)
5.25%	07/01/17 - 07/01/19		8,795		9,087	^(m,n)
State of California
5.00%	09/01/41		7,500		8,393
5.25%	04/01/35		4,500		5,245
University of California (AMBAC Insured)
5.00%	05/15/34		2,225		2,234	⁽ⁿ⁾
					159,920

Colorado — 0.9%

Colorado Health Facilities Authority
5.00%	02/01/41		5,000		5,549
Colorado Water Resources & Power Development Authority
5.25%	09/01/17 - 09/01/18		2,515		2,523
Metro Wastewater Reclamation District
5.00%	04/01/27		4,000		4,902
Regional Transportation District
5.38%	06/01/31		2,500		2,835
					15,809

Connecticut — 2.7%

Connecticut State Health & Educational Facility Authority
5.00%	07/01/40		5,500		5,994
South Central Connecticut Regional Water Authority
5.00%	08/01/27 - 08/01/41		14,900		17,064
State of Connecticut
5.00%	01/01/22 - 01/01/24		9,705		11,959


		Principal Amount		Fair Value

State of Connecticut Special Tax Revenue
5.00%	11/01/26	$	10,000	$	11,630
Town of Fairfield CT
5.00%	08/01/21		1,000		1,271
					47,918

Delaware — 1.5%

County of New Castle DE
5.00%	07/15/33 - 07/15/39		10,000		11,484
Delaware River & Bay Authority
5.00%	01/01/42		2,000		2,262
Delaware State Health Facilities Authority
5.00%	10/01/40		7,800		8,733
State of Delaware
5.00%	07/01/28		3,000		3,623
					26,102

District of Columbia — 1.6%

District of Columbia
5.00%	04/01/30		4,500		5,242
5.50%	04/01/36		15,000		16,737
District of Columbia Water & Sewer Authority
5.25%	10/01/29		5,000		5,955
					27,934

Florida — 1.8%

Brevard County Health Facilities Authority
7.00%	04/01/39		1,000		1,251
City of Tampa FL
5.00%	10/01/27		8,560		10,157
County of Miami-Dade FL Transit System Sales Surtax Revenue
5.00%	07/01/42		5,000		5,640
Hillsborough County Industrial Development Authority
5.00%	10/01/18		5,000		5,148
5.25%	10/01/15 - 10/01/24		9,590		9,861
					32,057


		Principal Amount		Fair Value


Georgia — 5.9%

Athens-Clarke County GA Unified Government Water & Sewerage Revenue
5.50%	01/01/38	$	7,000	$	8,023
Athens-Clarke County Unified Government Development Authority
3.61%	06/15/31		6,050		6,326	^(d)
Augusta GA Water & Sewerage Revenue (AGMC Insured)
5.25%	10/01/34		5,400		5,775	⁽ⁿ⁾
City of Atlanta GA Department of Aviation
5.00%	01/01/25		10,000		11,833
City of Atlanta GA Department of Aviation (AGMC Insured)
5.25%	01/01/33		4,000		4,192	⁽ⁿ⁾
City of Atlanta GA Water & Wastewater Revenue
6.25%	11/01/39		10,000		12,290
City of Atlanta GA Water & Wastewater Revenue (AGMC Insured)
5.75%	11/01/27 - 11/01/30		9,500		13,172	⁽ⁿ⁾
County of Fulton GA Water & Sewerage Revenue (FGIC Insured)
5.00%	01/01/30		5,000		5,194	⁽ⁿ⁾
DeKalb Newton & Gwinnett Counties Joint Development Authority
6.00%	07/01/34		8,500		9,869
Fayette County School District (AGMC Insured)
4.80%	03/01/22		2,520		2,786	⁽ⁿ⁾
4.85%	03/01/23		2,290		2,534	⁽ⁿ⁾
Henry County Hospital Authority (MBIA Insured)
5.00%	07/01/24		1,865		1,969	⁽ⁿ⁾
Municipal Electric Authority of Georgia
5.25%	01/01/19		2,490		2,987


		Principal Amount		Fair Value

Private Colleges & Universities Authority (MBIA Insured)
6.50%	11/01/15	$	3,100	$	3,411	^(l,n)
State of Georgia
4.50%	01/01/29		3,000		3,490
5.00%	08/01/22 - 01/01/26		4,790		5,652
5.00%	08/01/22		4,460		5,306	^(m)
					104,809

Hawaii — 2.1%

City & County of Honolulu HI
5.00%	04/01/33		10,000		11,430
State of Hawaii (AGMC Insured)
5.75%	02/01/14		6,500		6,876	⁽ⁿ⁾
State of Hawaii Airports System Revenue
5.25%	07/01/24		15,800		19,197
					37,503

Idaho — 1.4%

Idaho Health Facilities Authority
6.75%	11/01/37		4,000		4,733
Idaho Housing & Finance Assoc. (MBIA Insured)
5.00%	07/15/22 - 07/15/24		17,625		19,839	⁽ⁿ⁾
					24,572

Illinois — 2.1%

City of Chicago IL O’Hare International Airport Revenue
5.63%	01/01/35		5,000		5,884
5.75%	01/01/39		11,500		13,483
Illinois Finance Authority
5.50%	08/15/43		5,000		5,412	^(m)
Metropolitan Pier & Exposition Authority (MBIA Insured)
3.31%	06/15/22		4,305		4,118	^(d,n)
5.40%	06/15/19		4,000		4,603	⁽ⁿ⁾
Southwestern Illinois Development Authority (MBIA Insured)
5.00%	10/01/21		4,000		4,922	⁽ⁿ⁾
					38,422


		Principal Amount		Fair Value


Indiana — 1.1%

Indiana Finance Authority
5.00%	06/01/39	$	2,000	$	2,057
Indiana Municipal Power Agency
5.50%	01/01/27		2,500		2,986
5.75%	01/01/34		2,000		2,090
Indianapolis Local Public Improvement Bond Bank
5.75%	01/01/38		7,000		7,970
Merrillville Multi School Building Corp.
5.25%	07/15/28		5,000		5,539
					20,642

Kentucky — 1.4%

Kentucky Economic Development Finance Authority
6.38%	06/01/40		3,500		4,162
Kentucky State Property & Building Commission (AGC Insured)
5.25%	02/01/27		10,665		12,347	⁽ⁿ⁾
Louisville & Jefferson County Metropolitan Sewer District
5.00%	05/15/30		8,040		9,413
					25,922

Louisiana — 1.6%

Louisiana Public Facilities Authority
4.00%	07/01/42		4,000		3,945
5.00%	07/01/42		3,500		3,820
Louisiana Public Facilities Authority (MBIA Insured)
5.38%	05/15/16		7,870		8,018	^(m,n)
State of Louisiana
5.00%	09/01/19		10,050		12,443
					28,226

Maine — 0.3%

Maine Health & Higher Educational Facilities Authority
5.25%	07/01/21		1,790		2,077


		Principal Amount		Fair Value

Maine Turnpike Authority
5.00%	07/01/42	$	1,000	$	1,143
6.00%	07/01/34		1,250		1,500
					4,720

Maryland — 4.6%

County of Baltimore MD
5.00%	02/01/23		7,525		9,533
County of Montgomery MD
5.00%	07/01/21		12,905		16,553
County of Prince George’s MD
5.00%	10/01/22		6,820		7,063	^(m)
County of Baltimore MD
5.00%	09/15/24 - 09/15/25		15,080		18,905
Maryland Economic Development Corp.
5.75%	06/01/35		3,000		3,408
Maryland Health & Higher Educational Facilities Authority
5.00%	07/01/32 - 08/15/41		4,300		4,787
5.13%	11/15/34		7,200		7,500	^(m)
State of Maryland
5.00%	11/01/18		4,000		4,916
Washington Suburban Sanitary Commission
4.50%	06/01/26		8,470		9,695
					82,360

Massachusetts — 3.7%

Massachusetts Department of Transportation
5.00%	01/01/37		5,000		5,527
Massachusetts Development Finance Agency
5.00%	01/01/40		4,000		4,292
Massachusetts Health & Educational Facilities Authority
5.00%	07/01/34 - 07/15/35		20,000		22,071
5.50%	11/15/36		4,000		4,788
5.75%	07/01/39		7,500		8,533


		Principal Amount		Fair Value

Massachusetts Water Resources Authority
5.00%	08/01/41	$	3,000	$	3,436
6.50%	07/15/19		14,125		16,762	^(l)
					65,409

Michigan — 1.5%

City of Detroit MI Sewage Disposal System Revenue (AGMC Insured)
5.25%	07/01/21 - 07/01/22		4,545		5,154	⁽ⁿ⁾
City of Detroit MI Water Supply System Revenue
5.75%	07/01/37		5,000		5,648
Lansing Board of Water & Light
5.00%	07/01/37		3,500		3,979
State of Michigan (AGMC Insured)
5.25%	09/15/27		5,000		5,625	⁽ⁿ⁾
State of Michigan Trunk Line Revenue
5.50%	11/01/18		6,000		7,364
					27,770

Mississippi — 0.4%

State of Mississippi
5.50%	09/01/14		7,500		8,134

Missouri — 1.4%

Metropolitan St Louis Sewer District
5.00%	05/01/34 - 05/01/42		8,000		9,425
Missouri Highway & Transportation Commission
5.00%	05/01/21		4,610		5,657
Missouri Joint Municipal Electric Utility Commission
5.75%	01/01/29		4,500		4,895
Missouri State Environmental Improvement & Energy Resources Authority
5.00%	01/01/24		4,475		4,789	^(m)


		Principal Amount		Fair Value

Missouri State Environmental Improvement & Energy Resources Authority
5.00%	01/01/24	$	525	$	558
					25,324

Nevada — 0.1%

City of Las Vegas N.V. (AGMC Insured)
5.55%	06/01/16		1,520		1,544	⁽ⁿ⁾

New Jersey — 9.5%
Cape May County Municipal Utilities Authority (AGMC Insured)
5.75%	01/01/15 - 01/01/16		8,500		9,526	⁽ⁿ⁾
Essex County Improvement Authority (AGMC Insured)
5.25%	12/15/17		235		246	^(m,n)
Essex County Improvement Authority (AGMC Insured)
5.25%	12/15/17		9,765		10,173	⁽ⁿ⁾
New Jersey Economic Development Authority
5.00%	03/01/38		4,000		4,509
5.50%	12/15/29		5,000		5,833
New Jersey Educational Facilities Authority
5.25%	07/01/32		2,625		2,689	^(m)
6.00%	12/01/17		10,000		12,016
New Jersey Healthcare Facilities Financing Authority
5.63%	07/01/37		2,000		2,232
New Jersey Higher Education Student Assistance Authority
5.63%	06/01/30		7,500		8,371
New Jersey Institute of Technology
5.00%	07/01/42		2,000		2,273
New Jersey State Turnpike Authority
5.00%	01/01/35		2,500		2,839
5.25%	01/01/40		10,000		11,237


		Principal Amount		Fair Value

New Jersey State Turnpike Authority (AMBAC Insured)
6.50%	01/01/16	$	35,955	$	39,736	^(l,n)
6.50%	01/01/16		5,135		5,905	⁽ⁿ⁾
New Jersey Transportation Trust Fund Authority
5.00%	06/15/42		6,000		6,672
5.25%	06/15/36		6,100		6,956
5.50%	06/15/23 - 06/15/24		20,280		20,761	^(m)
New Jersey Transportation Trust Fund Authority
5.50%	06/15/41		7,435		8,585
New Jersey Transportation Trust Fund Authority (AGMC Insured)
5.75%	12/15/14		1,390		1,535	⁽ⁿ⁾
5.75%	12/15/14		4,610		5,096	^(l,n)
North Hudson Sewerage Authority
5.00%	06/01/42		2,000		2,240
					169,430

New Mexico — 1.4%

New Mexico Finance Authority
5.00%	06/15/18 - 12/15/26		21,200		24,890

New York — 7.3%

Brooklyn Arena Local Development Corp.
6.00%	07/15/30		4,500		5,300
City of New York NY
5.00%	08/01/30		15,000		17,937
Hempstead Town Industrial Development Agency
5.00%	10/01/30		1,945		2,031
Long Island Power Authority
6.00%	05/01/33		7,500		9,120
New York City Transitional Finance Authority Building Aid Revenue
5.50%	07/15/31		10,000		11,529
New York City Transitional Finance Authority Future Tax Secured Revenue
5.00%	11/01/21		5,000		6,305


		Principal Amount		Fair Value

New York Liberty Development Corp.
5.00%	11/15/44	$	5,000	$	5,612
5.13%	01/15/44		5,000		5,555
New York State Dormitory Authority
5.00%	07/01/23 - 07/01/42		11,825		13,736
5.50%	07/01/36 - 05/01/37		4,000		4,582
6.00%	07/01/40		2,000		2,404
6.50%	12/01/21		4,500		5,228
New York State Housing Finance Agency
3.75%	11/01/37		10,030		9,886
New York State Urban Development Corp.
5.50%	01/01/19		9,000		10,986
Triborough Bridge & Tunnel Authority
5.00%	11/15/26		10,000		11,761
Westchester County Healthcare Corp.
5.00%	11/01/30		4,500		5,019
6.13%	11/01/37		2,500		2,940
					129,931

North Carolina — 2.5%

City of Charlotte NC
5.00%	06/01/23		4,320		5,285
City of Charlotte NC Water & Sewer System Revenue
5.00%	07/01/38		5,000		5,737
North Carolina Eastern Municipal Power Agency
5.00%	01/01/26		5,000		5,707
North Carolina Medical Care Commission
4.00%	12/01/45		5,000		5,004
4.75%	11/01/43		6,000		6,349
5.00%	12/01/45		2,500		2,814
North Carolina Turnpike Authority
5.00%	07/01/30		3,230		3,820
State of North Carolina
4.75%	05/01/30		4,130		4,805
University of North Carolina at Greensboro
5.00%	04/01/36		4,000		4,583
					44,104


		Principal Amount		Fair Value


Ohio — 3.1%

American Municipal Power Inc.
4.38%	02/15/44	$	5,000	$	5,153
5.00%	02/15/38		5,000		5,443
City of Cincinnati OH Water System Revenue
5.00%	12/01/36		2,500		2,897
City of Cleveland OH Airport System Revenue
5.00%	01/01/29		2,000		2,288
City of Columbus OH Sewerage Revenue
4.50%	06/01/32		700		770
4.75%	06/01/31		5,000		5,588
County of Cuyahoga OH
6.00%	01/01/32		10,000		10,282	^(m)
County of Franklin OH
4.50%	12/01/37		1,750		1,850
County of Hamilton OH Sewer System Revenue (MBIA Insured)
5.00%	12/01/19		4,250		4,433	^(m,n)
Cuyahoga Community College District
5.00%	08/01/26 - 08/01/27		3,000		3,455
Ohio Higher Educational Facility Commission
5.00%	01/01/38		7,500		8,454
6.25%	05/01/38		5,000		5,716
					56,329

Oklahoma — 1.1%

Claremore Public Works Authority (AGMC Insured)
5.25%	06/01/34		6,315		6,814	^(m,n)
Oklahoma Municipal Power Authority (FGIC Insured)
4.50%	01/01/47		9,000		9,350	⁽ⁿ⁾
Oklahoma Turnpike Authority
5.00%	01/01/28		3,500		4,150
					20,314


		Principal Amount		Fair Value


Pennsylvania — 5.6%

Allentown Neighborhood Improvement Zone Development Authority
5.00%	05/01/42	$	5,000	$	5,274
City of Philadelphia PA Water & Sewer Revenue
5.00%	01/01/36 - 01/01/41		18,000		20,096
Commonwealth of Pennsylvania
5.00%	11/15/30		8,890		10,663
Pennsylvania Higher Educational Facilities Authority
5.25%	08/15/25		1,750		2,109
Pennsylvania Turnpike Commission
3.84%	12/01/34		12,000		11,790	^(d)
5.00%	06/01/29 - 12/01/42		17,500		19,327
Pennsylvania Turnpike Commission (AMBAC Insured)
5.25%	12/01/32		12,000		12,940	⁽ⁿ⁾
Pennsylvania Turnpike Commission
5.25%	06/01/39		9,500		10,407
State Public School Building Authority (AGMC Insured)
5.25%	06/01/27		8,000		8,163	^(m,n)
					100,769

Puerto Rico — 2.4%

Commonwealth of Puerto Rico
5.75%	07/01/38		7,000		7,075
6.00%	07/01/39		10,000		10,237
Puerto Rico Sales Tax Financing Corp.
4.49%	08/01/32		12,000		12,086	^(d)
5.25%	08/01/40		3,000		3,254
5.50%	08/01/42		10,000		10,313
					42,965

Rhode Island — 0.1%

Rhode Island Health & Educational Building Corp.
6.25%	09/15/34		1,300		1,510
6.50%	09/15/28		1,000		1,197
					2,707


		Principal Amount		Fair Value


South Carolina — 5.3%

Berkeley County School District
5.25%	12/01/24	$	15,000	$	15,579
Charleston Educational Excellence Finance Corp.
5.25%	12/01/27 - 12/01/30		21,850		24,108
Georgetown County School District
5.00%	03/01/18		3,640		4,388
Greenville County School District
5.25%	12/01/21		2,000		2,090	^(m)
Lexington County Health Services District Inc.
5.50%	11/01/13		1,920		1,994
Piedmont Municipal Power Agency
5.00%	01/01/25		2,315		2,711
Piedmont Municipal Power Agency (AGC Insured)
5.75%	01/01/34		5,500		6,599	⁽ⁿ⁾
South Carolina State Public Service Authority
5.00%	12/01/30 - 12/01/43		17,105		19,308
5.50%	01/01/38		14,970		17,464
					94,241

Tennessee — 1.4%

County of Shelby TN
5.00%	03/01/21		3,500		4,294
Metropolitan Government of Nashville & Davidson County TN
5.00%	05/15/25		10,000		11,812	^(m)
State of Tennessee
5.00%	05/01/19		1,000		1,217	^(m)
5.00%	10/01/30		1,500		1,835
Tennessee State School Bond Authority
5.00%	05/01/39		5,400		6,335
					25,493

Texas — 7.2%

City of Austin TX Water & Wastewater System Revenue (AMBAC Insured)
5.50%	11/15/16		5,450		6,418	⁽ⁿ⁾


		Principal Amount		Fair Value

City of Dallas TX Waterworks & Sewer System Revenue
5.00%	10/01/37 - 10/01/41	$	14,000	$	16,403
City of Houston TX Utility System Revenue
5.00%	11/15/33		5,470		6,301
City of Houston TX Utility System Revenue (AGMC Insured)
5.25%	05/15/22		10,000		10,608	⁽ⁿ⁾
City of Houston TX Utility System Revenue
5.25%	11/15/30 - 11/15/31		12,000		14,285
City of San Antonio TX Water System Revenue
5.00%	05/15/40		10,000		11,586
Dallas Fort Worth International Airport
5.00%	11/01/34		4,750		5,334
North Texas Tollway Authority
5.00%	09/01/31		3,500		4,115
5.75%	01/01/38 - 01/01/40		21,475		23,980
6.00%	01/01/38		5,000		5,884
State of Texas
5.00%	04/01/42		5,000		5,754
University of Texas System
5.00%	08/15/24 - 08/15/30		14,210		17,187
					127,855

Utah — 1.6%

County of Utah UT Transportation Sales Tax Revenue (AGMC Insured)
4.00%	12/01/37 - 12/01/39		16,730		17,698	⁽ⁿ⁾
Utah State Board of Regents
5.00%	11/01/30		4,000		4,620
Utah Transit Authority
5.00%	06/15/42		5,000		5,646
					27,964

Vermont — 0.3%

Vermont Educational & Health Buildings Financing Agency
5.00%	10/31/46		5,700		6,298

Principal
Amount

Fair
Value

Virginia — 0.4%

Virginia College Building Authority

4.38%

02/01/28

845

932

Virginia Resources Authority

5.25%

11/01/38

5,000

5,877

6,809

Washington — 0.8%

County of King WA

5.50%

12/01/13

10,000

10,478

^(l)

Port of Seattle WA

5.00%

08/01/31

3,000

3,532

14,010

Total Municipal Bonds and Notes
(Cost $1,615,627)

1,773,397

Short-Term Investments — 1.1%

Time Deposit — 1.1%

State Street Corp.

0.01%

01/02/13

18,577

^(e)

(Cost $18,577)

Total Investments
(Cost $1,634,204)

1,791,974

Liabilities in Excess of Other Assets,
net — (0.4)%

(6,798)

NET ASSETS — 100.0%

1,785,176

Senior Vice President and Chief Investment Officer — Insurance and Long Duration

Senior Vice President and Chief Investment Officer — Fixed Income Risk Assets

The Elfun Income Fund is managed by a team of portfolio managers that includes William M. Healey, Mark H. Johnson, and Vita Marie Pike. Mr. Healey, Mr. Johnson, and Ms. Pike are each responsible for a portion of the Fund, the size of which is determined by team consensus and adjusted on a periodic basis, if necessary. Although each portfolio manager manages his or her portion of the fund independent of the other team members, the team is highly collaborative and communicative. See portfolio managers’ biographical information beginning on page 106.

Q.	How did the Elfun Income Fund perform compared to its benchmark for the twelve-month period ended December 31, 2012?

For the twelve-month period ended December 31, 2012, the Elfun Income Fund returned 5.94%. The Barclays Capital U.S. Aggregate Bond Index, the Fund’s benchmark, returned 4.22% and the Fund’s Morningstar peer group of 1,225 U.S. Intermediate-Term Funds returned an average of 6.85% over the same period.

Q.	Discuss the factors that materially affected the Fund’s performance during the period.

After slowing in the second quarter, the U.S. economy bounced back in the third quarter and continued to show signs of improvement in the fourth quarter. The 10-year treasury traded within a 100 basis point yield range between a high of 2.4% in March to a low in July of 1.4% before ending the year at 1.75%, just 13 basis

points lower than where it began the year. The slowly improving U.S. economy combined with accommodative policies from the Federal Reserve and European Central Bank (ECB) supported investor appetite for riskier assets in the low rate environment. This resulted in tighter yield spreads from investment grade corporate bonds, commercial mortgage-backed securities (MBS), high yield and emerging market debt.

The major driver behind the Fund’s performance versus its benchmark in 2012 was very strong security selection in MBS, high grade corporates and emerging market debt. The emphasis on low coupon agency MBS, which were the focus of Federal Reserve buying, outperformed higher coupon MBS. The Fund’s performance benefited from an underweight in high quality financials and an overweight in BBB-rated energy, non-cyclical and auto issuers combined with an overweight in banks and insurance. Another strong positive contributor was the Fund’s non-index exposure to BB and single B-rated high yield, which outperformed the benchmark by nearly 10% due to spread compression of 170 basis points. Tighter spreads in U.S. dollar denominated emerging market debt and commercial MBS also provided excess return for the Fund.

Actual Expenses

Paid During Period,” to estimate the expenses paid on your account during this period.

Hypothetical Example for Comparison Purposes

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. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in debt securities. 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.

Quality Ratings

as of December 31, 2012 as a % of Fair Value^(b)(c)


Moody’s / S&P Rating *			Percentage of Fair Value
Aaa / AAA			24.50%
Aa / AA			51.13%
A / A			6.93%
Baa / BBB			12.79%
Ba / BB and lower			4.45%
NR / Other			0.20%
			100.00%

Moody’s Investors Services Inc and Standard & Poor’s are nationally recognized statistical rating organizations.

Sector Allocation

as a % of Fair Value of $424,854 (in thousands) as of December 31, 2012^(b)(c)

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/12


	One Year		Five Year		Ten Year
Number of funds in peer group		1,225		1,064		961
Peer group average annual total return		6.85%		5.57%		4.73%
Morningstar category in peer group: Intermediate-Term Bond

Change in Value of a $10,000 Investment^(a)

LOGO

Average Annual Total Return

for the periods ended December 31, 2012


(Inception date: 12/31/84)
	One Year		Five Year		Ten Year		Ending value of a $10,000 investment ^(a)

Elfun Income Fund		5.94%		5.56%		4.93%	$	16,177

Barclays U.S. Aggregate Bond Index		4.22%		5.94%		5.18%	$	16,575

See Notes to Performance on page 1 for further information, including an explanation of Morningstar peer categories.


		Principal Amount		Fair Value

Bonds and Notes — 91.9%^†

U.S. Treasuries — 26.8%

U.S. Treasury Bonds
3.00%	05/15/42	$	11,399	$	11,613	^(h)
3.13%	02/15/42		3,598		3,762
U.S. Treasury Notes
0.23%	07/31/14		8,400		8,386	^(d,h)
0.24%	09/30/14 - 10/31/14		25,284		25,289	^(d)
0.55%	01/31/17 - 02/28/17		22,825		23,124	^(d,h)
0.66%	09/30/17		23,464		23,422	^(d,h)
1.63%	08/15/22		1,984		1,971
3.13%	05/15/19		2		2
					97,569

Agency Mortgage Backed — 30.5%

Federal Home Loan Mortgage Corp.
2.38%	01/13/22		2,091		2,184
4.50%	06/01/33 - 02/01/35		62		66	^(h)
5.00%	07/01/35 - 06/01/41		2,167		2,426	^(h)
5.50%	05/01/20 - 04/01/39		988		1,095	^(h)
6.00%	04/01/17 - 11/01/37		1,817		2,009	^(h)
6.50%	07/01/29		2		3	^(h)
7.00%	10/01/16 - 08/01/36		218		256	^(h)
7.50%	11/01/29 - 09/01/33		20		24	^(h)
8.00%	11/01/30		11		13	^(h)
Federal National Mortgage Assoc.
2.72%	04/01/37		3		3	⁽ⁱ⁾
4.00%	05/01/19 - 03/01/41		3,935		4,223	^(h)
4.50%	05/01/18 - 04/01/41		15,421		16,695	^(h)
5.00%	07/01/20 - 06/01/41		4,038		4,526	^(h)
5.50%	03/01/14 - 01/01/39		4,917		5,391	^(h)
6.00%	02/01/14 - 08/01/35		3,123		3,506	^(h)
6.50%	06/01/14 - 08/01/36		502		571	^(h)
7.00%	10/01/16 - 02/01/34		56		63	^(h)
7.50%	02/01/15 - 03/01/34		229		274	^(h)
8.00%	11/01/14 - 11/01/33		109		132	^(h)
8.50%	04/01/30 - 05/01/31		16		21	^(h)
9.00%	12/01/17 - 12/01/22		26		29	^(h)
3.00%	TBA		9,295		9,739	^(c)
3.50%	TBA		12,420		13,236	^(c)


		Principal Amount		Fair Value

4.00%	TBA	$	5,365	$	5,751	^(c)
4.50%	TBA		805		870	^(c)
5.00%	TBA		2,664		2,883	^(c)
6.00%	TBA		5,492		5,998	^(c)
6.50%	TBA		878		977	^(c)
Government National Mortgage Assoc.
4.50%	08/15/33 - 03/20/41		3,649		4,018	^(h)
5.00%	08/15/33		143		156	^(h)
6.00%	04/15/27 - 09/15/36		621		704	^(h)
6.50%	04/15/19 - 09/15/36		431		499	^(h)
7.00%	11/15/27 - 10/15/36		175		207	^(h)
7.50%	03/15/23 - 10/15/33		67		74	^(h)
8.00%	09/15/27		36		39	^(h)
8.50%	10/15/17		24		25	^(h)
9.00%	11/15/16 - 12/15/21		53		58	^(h)
3.00%	TBA		2,975		3,162	^(c)
3.50%	TBA		8,380		9,105	^(c)
4.00%	TBA		5,580		6,098	^(c)
5.00%	TBA		3,267		3,564	^(c)
5.50%	TBA		435		477	^(c)
					111,150

Agency Collateralized Mortgage Obligations — 0.8%

Collateralized Mortgage Obligation Trust
0.70%	11/01/18		7		6	^(d,f)
Federal Home Loan Mortgage Corp.
0.08%	09/25/43		2,013		16	^(g,h)
Federal Home Loan Mortgage Corp. REMIC
3.50%	11/15/24 - 11/15/30		2,251		164	^(g,q)
4.50%	02/15/18 - 03/15/18		160		9	^(g,h,q)
5.00%	05/15/17 - 02/15/38		274		15	^(g,h,q)
5.50%	06/15/33		186		24	^(g,h,q)
6.39%	08/15/25		965		124	^(g,i)
8.00%	04/15/20		4		4	^(h)
Federal Home Loan Mortgage Corp. STRIPS
4.23%	08/01/27		3		2	^(d,f,h)
8.00%	02/01/23 - 07/01/24		10		2	^(g,h,q)


		Principal Amount		Fair Value

Federal National Mortgage Assoc. REMIC
1.21%	12/25/42	$	473	$	15		^(g,h)
2.71%	12/25/22		7		6		^(d,f,h)
4.50%	05/25/18		3		—	**	^(g,h,q)
5.00%	08/25/17 - 09/25/40		1,757		192		^(g,h,q)
5.79%	07/25/38		426		46		^(g,i)
5.84%	11/25/40		1,920		353		^(g,i)
6.29%	01/25/42		1,268		262		^(g,i)
Federal National Mortgage Assoc. STRIPS
1.68%	12/01/34		235		223		^(d,f,h)
4.50%	08/01/35 - 01/01/36		496		56		^(g,h,q)
5.00%	03/25/38 - 05/25/38		297		36		^(g,q)
5.50%	12/01/33		62		8		^(g,q)
6.00%	01/01/35		210		34		^(g,h,q)
7.50%	11/01/23		31		6		^(g,h,q)
8.00%	08/01/23 - 07/01/24		20		4		^(g,h,q)
8.50%	03/01/17 - 07/25/22		18		3		^(g,h,q)
9.00%	05/25/22		7		1		^(g,h,q)
Government National Mortgage Assoc.
4.50%	10/20/37 - 08/16/39		2,624		282		^(g,q)
5.00%	12/20/35 - 09/20/38		2,254		201		^(g,q)
5.94%	05/20/40		1,199		193		^(g,i)
5.96%	05/20/40		2,121		385		^(g,i)
6.39%	12/20/39		2,148		352		^(g,i)
					3,024

Asset Backed — 0.3%

Capital One Multi-Asset Execution Trust
0.83%	01/15/19		500		495		^(d,h,i)
Chase Funding Mortgage Loan Asset-Backed Certificates
3.99%	11/25/33		477		461		^(h)
Popular ABS Mortgage Pass- Through Trust 2005-5
5.30%	11/25/35		350		227
					1,183

Corporate Notes — 28.7%

ABB Finance USA Inc.
1.63%	05/08/17		367		372


		Principal Amount		Fair Value

AbbVie Inc.
1.20%	11/06/15	$	556	$	560	^(b)
1.75%	11/06/17		372		376	^(b)
2.00%	11/06/18		369		374	^(b)
4.40%	11/06/42		186		198	^(b)
AES Corp.
8.00%	10/15/17		401		463
AES Panama S.A.
6.35%	12/21/16		219		240	^(b)
Aetna Inc.
1.50%	11/15/17		302		303
2.75%	11/15/22		371		368
Agilent Technologies Inc.
3.20%	10/01/22		179		181
5.50%	09/14/15		347		387	^(h)
ALROSA Finance S.A.
7.75%	11/03/20		200		232	^(b,h)
Altria Group Inc.
4.25%	08/09/42		279		271
Amazon.com Inc.
1.20%	11/29/17		370		368
2.50%	11/29/22		370		365
America Movil SAB de C.V.
2.38%	09/08/16		948		985
American Axle & Manufacturing Inc.
7.88%	03/01/17		367		380
American Express Centurion Bank
0.90%	11/13/15		372		372	^(d)
American Express Credit Corp.
1.75%	06/12/15		256		261
American International Group Inc.
4.88%	06/01/22		556		635
Amgen Inc.
5.38%	05/15/43		343		404
5.65%	06/15/42		188		226	^(h)
Amsted Industries Inc.
8.13%	03/15/18		239		256	^(b,h)
Anadarko Petroleum Corp.
6.20%	03/15/40		186		229
Anheuser-Busch InBev Worldwide Inc.
2.50%	07/15/22		374		376
5.38%	11/15/14		228		247	^(h)


		Principal Amount		Fair Value

Archer-Daniels-Midland Co.
4.02%	04/16/43	$	234	$	224	^(b)
Arizona Public Service Co.
6.25%	08/01/16		358		420	^(h)
AstraZeneca PLC
4.00%	09/18/42		226		229
AT&T Inc.
0.65%	02/13/15		377		379	^(d)
2.95%	05/15/16		319		338	^(h)
4.35%	06/15/45		669		672	^(b)
5.55%	08/15/41		400		480
Autodesk Inc.
1.95%	12/15/17		375		373
Banco del Estado de Chile
3.88%	02/08/22		150		159	^(b)
Banco do Nordeste do Brasil S.A.
3.63%	11/09/15		200		207	^(b)
Banco Mercantil del Norte S.A.
6.86%	10/13/21		100		108	^(b)
Bank of America Corp.
5.42%	03/15/17		400		438
5.70%	01/24/22		558		671
5.75%	12/01/17		570		664
Barclays Bank PLC
2.25%	05/10/17		986		1,017	^(b)
7.63%	11/21/22		371		371
Berkshire Hathaway Finance Corp.
1.60%	05/15/17		396		404	^(h)
3.00%	05/15/22		454		473	^(h)
Bombardier Inc.
5.75%	03/15/22		43		44	^(b)
7.75%	03/15/20		299		339	^(b,h)
BP Capital Markets PLC
1.38%	11/06/17		371		371
1.85%	05/05/17		277		283
2.25%	11/01/16		604		628
2.50%	11/06/22		371		368
Calpine Corp.
7.25%	10/15/17		430		458	^(b,h)
Cargill Inc.
5.20%	01/22/13		131		131	^(b,h)
6.00%	11/27/17		247		297	^(b,h)
Case New Holland Inc.
7.88%	12/01/17		214		253	^(h)


		Principal Amount		Fair Value

Caterpillar Financial Services Corp.
1.25%	11/06/17	$	259	$	259
Caterpillar Inc.
1.50%	06/26/17		450		456
Catholic Health Initiatives
1.60%	11/01/17		74		75
2.95%	11/01/22		296		299
4.35%	11/01/42		130		133
CCO Holdings LLC
8.13%	04/30/20		373		418
Central American Bank for Economic Integration
5.38%	09/24/14		380		405	^(b,h)
CenturyLink Inc.
5.80%	03/15/22		93		98
7.65%	03/15/42		134		140
Cigna Corp.
2.75%	11/15/16		372		391
4.00%	02/15/22		153		167
5.38%	02/15/42		350		407
Cincinnati Bell Inc.
8.25%	10/15/17		398		429
Citigroup Inc.
4.45%	01/10/17		299		331	^(h)
5.00%	09/15/14		666		701	^(h)
5.88%	01/30/42		517		638	^(h)
6.13%	08/25/36		449		489	^(h)
CityCenter Holdings LLC
7.63%	01/15/16		215		230
CNA Financial Corp.
5.88%	08/15/20		326		385
CNPC HK Overseas Capital Ltd.
4.50%	04/28/21		200		224	^(b)
Columbus International Inc.
11.50%	11/20/14		100		111	^(b)
Corp Andina de Fomento
4.38%	06/15/22		372		403
Corp Nacional del Cobre de Chile
4.25%	07/17/42		222		226	^(b)
5.63%	09/21/35		76		92	^(b)
Covidien International Finance S.A.
1.35%	05/29/15		296		300


		Principal Amount		Fair Value

COX Communications Inc.
3.25%	12/15/22	$	139	$	143	^(b)
4.70%	12/15/42		92		94	^(b)
Credit Suisse AG
2.60%	05/27/16		405		427	^(b)
Crown Castle Towers LLC
6.11%	01/15/40		189		228	^(b)
CSX Corp.
4.10%	03/15/44		241		238
4.25%	06/01/21		389		437
CVS Caremark Corp.
3.25%	05/18/15		207		219
DaVita HealthCare Partners Inc.
5.75%	08/15/22		138		145
6.38%	11/01/18		358		384	(h)
DCP Midstream Operating LP
2.50%	12/01/17		370		368
DDR Corp. (REIT)
4.63%	07/15/22		262		286
Deere & Co.
3.90%	06/09/42		197		201
Denbury Resources Inc.
6.38%	08/15/21		304		334	^(h)
8.25%	02/15/20		231		260	^(h)
DENTSPLY International Inc.
2.75%	08/15/16		295		306	^(h)
4.13%	08/15/21		404		429
Devon Energy Corp.
3.25%	05/15/22		555		579
Diageo Capital PLC
1.50%	05/11/17		527		534
Diageo Investment Corp.
2.88%	05/11/22		556		574
DIRECTV Holdings LLC
4.75%	10/01/14		392		419
5.15%	03/15/42		469		474
Dominion Resources Inc.
1.95%	08/15/16		283		291
DPL Inc.
7.25%	10/15/21		58		62
DR Horton Inc.
4.38%	09/15/22		281		287


		Principal Amount		Fair Value

Duke Energy Corp.
1.63%	08/15/17	$	371	$	372
3.05%	08/15/22		1,116		1,136
Eastman Chemical Co.
2.40%	06/01/17		959		991
eBay Inc.
1.35%	07/15/17		260		263
2.60%	07/15/22		185		187
4.00%	07/15/42		222		216
Ecopetrol S.A.
7.63%	07/23/19		145		187
Empresa de Energia de Bogota S.A.
6.13%	11/10/21		71		80	^(b)
Empresa Nacional del Petroleo
4.75%	12/06/21		100		107	^(b)
Energy Transfer Equity LP
7.50%	10/15/20		269		311
Energy Transfer Partners LP
6.50%	02/01/42		344		421
6.70%	07/01/18		282		340
Enterprise Products Operating LLC
4.45%	02/15/43		186		188
European Investment Bank
0.41%	12/15/14		600		605	^(d)
4.88%	01/17/17		850		987	^(h)
Exelon Corp.
4.90%	06/15/15		505		550
Export Credit Bank of Turkey
5.38%	11/04/16		225		245	^(b)
Express Scripts Holding Co.
2.65%	02/15/17		904		940	^(b,h)
3.13%	05/15/16		596		628
3.90%	02/15/22		178		192	^(b,h)
4.75%	11/15/21		199		226	^(b,h)
Florida Power & Light Co.
4.13%	02/01/42		362		378
Ford Motor Credit Company LLC
3.00%	06/12/17		829		852
Forest Oil Corp.
7.25%	06/15/19		358		360
Fresenius Medical Care US Finance Inc.
5.75%	02/15/21		173		185	^(b)


		Principal Amount		Fair Value

Frontier Communications Corp.
7.13%	03/15/19	$	354	$	385
Gazprom Neft OAO Via GPN Capital S.A.
4.38%	09/19/22		200		205	^(b)
Georgia Power Co.
4.30%	03/15/42		198		208
Globo Comunicacao e Participacoes S.A.
6.25%	12/31/49		100		108	^(b,h,j)
Goldman Sachs Capital I
6.35%	02/15/34		205		213
Great Plains Energy Inc.
4.85%	06/01/21		403		444	^(h)
Hanesbrands Inc.
6.38%	12/15/20		196		216	^(h)
HCA Inc.
6.50%	02/15/20		309		348	^(h)
Heineken N.V.
0.73%	10/01/15		261		261	^(b,d)
1.40%	10/01/17		373		372	^(b)
Hewlett-Packard Co.
2.60%	09/15/17		402		392
6.00%	09/15/41		111		110
Host Hotels & Resorts LP (REIT)
4.75%	03/01/23		173		183
6.00%	11/01/20		464		510	^(h)
HSBC USA Inc.
1.63%	01/16/18		604		605
Hughes Satellite Systems Corp.
6.50%	06/15/19		356		392
Hyundai Capital America
1.63%	10/02/15		371		373	^(b)
2.13%	10/02/17		189		190	^(b)
Ingles Markets Inc.
8.88%	05/15/17		400		426	^(h)
Instituto Costarricense de Electricidad
6.95%	11/10/21		200		227	^(b,h)
Intel Corp.
1.35%	12/15/17		369		369
2.70%	12/15/22		369		368
4.25%	12/15/42		185		185


		Principal Amount		Fair Value

Invesco Finance PLC
3.13%	11/30/22	$	558	$	564
Jabil Circuit Inc.
4.70%	09/15/22		174		183
John Deere Capital Corp.
3.15%	10/15/21		308		325
JPMorgan Chase & Co.
3.25%	09/23/22		185		191
4.35%	08/15/21		393		439
4.50%	01/24/22		294		333
Kazakhstan Temir Zholy Finance BV
6.38%	10/06/20		200		242	^(b)
KazMunayGas National Company JSC
9.13%	07/02/18		100		132	^(b)
11.75%	01/23/15		100		119	^(b,h)
KFW
2.00%	10/04/22		929		931
4.50%	07/16/18		238		281	^(h)
Kinder Morgan Energy Partners LP
5.00%	08/15/42		186		197
Kinross Gold Corp.
6.88%	09/01/41		252		256
Korea National Oil Corp.
2.88%	11/09/15		278		290	^(b)
3.13%	04/03/17		396		415	^(b)
Kraft Foods Group Inc.
1.63%	06/04/15		248		252	^(b)
2.25%	06/05/17		394		408	^(b)
5.00%	06/04/42		335		377	^(b)
Levi Strauss & Co.
7.63%	05/15/20		361		393	^(h)
Liberty Mutual Group Inc.
6.50%	05/01/42		190		214	^(b)
Lincoln National Corp.
4.20%	03/15/22		134		144
Linn Energy LLC
6.25%	11/01/19		43		43	^(b)
8.63%	04/15/20		295		322	^(h)
LyondellBasell Industries N.V.
5.00%	04/15/19		200		221
Majapahit Holding BV
7.75%	10/17/16		100		118	^(b)


		Principal Amount		Fair Value

McDonald's Corp.
1.88%	05/29/19	$	395	$	402	^(h)
Memorial Sloan-Kettering Cancer Center
4.13%	07/01/52		165		163
Merck & Company Inc.
2.40%	09/15/22		372		372
MidAmerican Energy Holdings Co.
6.13%	04/01/36		330		417	^(h)
Morgan Stanley
4.75%	03/22/17		271		296
4.88%	11/01/22		556		576
5.50%	07/28/21		377		428
5.75%	01/25/21		201		230
6.63%	04/01/18		415		489
Murphy Oil Corp.
2.50%	12/01/17		555		558
3.70%	12/01/22		370		369
Mylan Inc.
7.88%	07/15/20		436		515	^(b,h)
National Agricultural Cooperative Federation
4.25%	01/28/16		231		247	^(b,h)
National JSC Naftogaz of Ukraine
9.50%	09/30/14		200		205
Newfield Exploration Co.
5.63%	07/01/24		330		356
5.75%	01/30/22		358		394	^(h)
NewMarket Corp.
4.10%	12/15/22		201		205	^(b)
News America Inc.
6.65%	11/15/37		206		266	^(h)
Nexen Inc.
6.40%	05/15/37		370		478
NextEra Energy Capital Holdings Inc.
2.60%	09/01/15		711		741
Nisource Finance Corp.
3.85%	02/15/23		450		462
Novartis Capital Corp.
2.40%	09/21/22		446		447
NYSE Euronext
2.00%	10/05/17		560		569


		Principal Amount		Fair Value

Odebrecht Drilling Norbe VIII/IX Ltd.
6.35%	06/30/21	$	190	$	213	^(b)
Oglethorpe Power Corp.
5.38%	11/01/40		200		234
Omnicom Group Inc.
3.63%	05/01/22		521		543	^(h)
ONEOK Partners LP
3.38%	10/01/22		99		101
6.13%	02/01/41		226		271
Oracle Corp.
1.20%	10/15/17		927		930
Pacific Gas & Electric Co.
6.05%	03/01/34		369		475	^(h)
PacifiCorp
6.25%	10/15/37		14		19
PAETEC Holding Corp.
8.88%	06/30/17		594		637	^(h)
Peabody Energy Corp.
6.25%	11/15/21		213		226
PepsiCo Inc.
2.75%	03/05/22		532		547	^(h)
Petrobras International Finance Co.
2.88%	02/06/15		159		163	^(h)
3.50%	02/06/17		495		519	^(h)
3.88%	01/27/16		159		168	^(h)
Petroleos de Venezuela S.A.
4.90%	10/28/14		68		65
Petroleos Mexicanos
5.50%	06/27/44		75		83
6.00%	03/05/20		150		179	^(h)
6.50%	06/02/41		71		89
Petroleum Company of Trinidad & Tobago Ltd.
6.00%	05/08/22		119		130
Philip Morris International Inc.
2.50%	05/16/16		403		424	^(h)
3.88%	08/21/42		185		186
Plains Exploration & Production Co.
6.50%	11/15/20		204		226
Power Sector Assets & Liabilities Management Corp.
7.39%	12/02/24		100		139	^(b,h)


		Principal Amount		Fair Value

Pride International Inc.
6.88%	08/15/20	$	403	$	510	^(h)
Prudential Financial Inc.
5.63%	05/12/41		198		226	^(h)
5.63%	06/15/43		383		397	⁽ⁱ⁾
Range Resources Corp.
5.75%	06/01/21		358		383	^(h)
Reynolds American Inc.
3.25%	11/01/22		575		578
Roche Holdings Inc.
6.00%	03/01/19		405		504	^(b,h)
Rowan Companies Inc.
5.40%	12/01/42		247		250
Royal Bank of Canada
1.20%	09/19/17		558		559
Royal Bank of Scotland Group PLC
6.40%	10/21/19		515		609
Russian Agricultural Bank OJSC Via RSHB Capital S.A.
5.30%	12/27/17		200		215	^(b)
Russian Railways via RZD Capital Ltd.
5.74%	04/03/17		100		112
Santander Holdings USA Inc.
3.00%	09/24/15		186		189
Schlumberger Investment S.A.
2.40%	08/01/22		557		552	^(b)
Seagate HDD Cayman
7.00%	11/01/21		43		46
Simon Property Group LP (REIT)
2.75%	02/01/23		263		263
Sinochem Overseas Capital Company Ltd.
4.50%	11/12/20		100		108	^(b)
Sinopec Group Overseas Development 2012 Ltd.
2.75%	05/17/17		395		410	^(b)
Smurfit Kappa Acquisitions
4.88%	09/15/18		200		204	^(b)
Takeda Pharmaceutical Company Ltd.
1.63%	03/17/17		741		752	^(b)
Teva Pharmaceutical Finance Co. BV
2.95%	12/18/22		604		611


		Principal Amount		Fair Value

Textron Inc.
6.20%	03/15/15	$	334	$	366
The ADT Corp.
2.25%	07/15/17		186		185	^(b)
3.50%	07/15/22		223		217	^(b)
4.88%	07/15/42		102		97	^(b)
The Coca-Cola Co.
3.30%	09/01/21		442		487
The Dow Chemical Co.
3.00%	11/15/22		186		186
4.38%	11/15/42		186		185
The Goldman Sachs Group Inc.
5.75%	01/24/22		686		811	^(h)
6.75%	10/01/37		376		426
The Korea Development Bank
3.25%	03/09/16		380		398
4.00%	09/09/16		220		238
The Potomac Edison Co.
5.35%	11/15/14		245		264	^(h)
The Sherwin-Williams Co.
1.35%	12/15/17		185		185
4.00%	12/15/42		185		185
The Williams Companies Inc.
3.70%	01/15/23		604		609
Time Warner Cable Inc.
6.75%	07/01/18		404		505
Total Capital International S.A.
1.55%	06/28/17		932		946
2.70%	01/25/23		558		568
Toyota Motor Credit Corp.
1.25%	10/05/17		373		376
1.75%	05/22/17		500		512
TransAlta Corp.
4.50%	11/15/22		371		376
Transnet SOC Ltd.
4.50%	02/10/16		200		213	^(b,h)
Transocean Inc.
3.80%	10/15/22		186		191
Turlock Corp.
1.50%	11/02/17		556		557	^(b)
2.75%	11/02/22		811		807	^(b)
U.S. Bancorp
3.44%	02/01/16		645		679


		Principal Amount		Fair Value

United Parcel Service Inc.
2.45%	10/01/22	$	371	$	371
United Technologies Corp.
1.80%	06/01/17		197		203	^(h)
4.50%	06/01/42		296		329	^(h)
UnitedHealth Group Inc.
0.73%	10/15/15		186		187	^(d)
1.40%	10/15/17		186		186
Vail Resorts Inc.
6.50%	05/01/19		563		606	^(h)
Verizon Communications Inc.
2.00%	11/01/16		989		1,024	^(h)
2.45%	11/01/22		185		185
3.85%	11/01/42		185		182
Viacom Inc.
2.50%	12/15/16		484		505	^(h)
Visteon Corp.
6.75%	04/15/19		313		333
Vodafone Group PLC
2.50%	09/26/22		372		371
Watson Pharmaceuticals Inc.
3.25%	10/01/22		559		571
Weatherford International Inc.
6.35%	06/15/17		201		230
Weatherford International Ltd.
4.50%	04/15/22		317		336
5.95%	04/15/42		297		322
WellPoint Inc.
1.88%	01/15/18		255		258
3.30%	01/15/23		566		581
3.70%	08/15/21		100		105
Woodside Finance Ltd.
4.50%	11/10/14		699		739	^(b,h)
WPP Finance 2010
3.63%	09/07/22		186		185
5.13%	09/07/42		186		182
Xstrata Finance Canada Ltd.
2.45%	10/25/17		742		749	^(b)
4.00%	10/25/22		334		338	^(b)
5.80%	11/15/16		347		392	^(b,h)
					104,450


		Principal Amount		Fair Value


Non-Agency Collateralized Mortgage Obligations — 3.0%

Banc of America Commercial Mortgage Trust 2006-4
5.68%	07/10/46	$	190	$	215
Banc of America Commercial Mortgage Trust 2007-4
5.73%	02/10/51		40		47		^(h)
Banc of America Commercial Mortgage Trust 2008-1
6.21%	02/10/51		180		218		^(h)
Banc of America Merrill Lynch Commercial Mortgage Inc.
5.19%	09/10/47		420		468
Bear Stearns Commercial Mortgage Securities
4.93%	02/13/42		430		464
5.40%	03/11/39		109		110		^(h)
5.57%	04/12/38		370		410
Citigroup Commercial Mortgage Trust
5.48%	10/15/49		200		190
COMM 2005-LP5 Mortgage Trust
4.98%	05/10/43		220		241
Credit Suisse First Boston Mortgage Securities Corp.
5.31%	10/25/35		216		4
CSMC Mortgage-Backed Trust Series 2006-1
5.51%	02/25/36		54		—	**
GS Mortgage Securities Corp. II
2.41%	11/10/45		999		152
3.00%	08/10/44		410		438		^(h)
3.55%	04/10/34		210		227		^(b)
5.31%	08/10/44		190		221		^(b)
Impac CMB Trust Series 2004-5
2.06%	10/25/34		260		248		^(d,h,i)
JP Morgan Chase Commercial Mortgage Securities Corp.
1.96%	12/15/47		1,290		158		⁽ⁱ⁾
4.27%	06/15/45		380		421
4.43%	12/15/47		220		213		^(b,i)
5.04%	03/15/46		250		270
5.34%	08/12/37		1,170		1,280		^(h)


		Principal Amount		Fair Value

5.44%	05/15/45 - 06/12/47	$	980	$	1,120
5.79%	02/12/51		390		465	^(h)
LB-UBS Commercial Mortgage Trust
4.95%	09/15/30		310		339
5.16%	02/15/31		410		458
5.87%	06/15/38		190		219
16.25%	12/15/39		3,224		36	^(b,d)
MASTR Alternative Loans Trust
5.00%	08/25/18		105		9	^(g,q)
Merrill Lynch
5.49%	07/12/46		190		173
Morgan Stanley Capital I Trust 2006-IQ11
5.70%	10/15/42		250		224
Morgan Stanley Capital I Trust 2006-TOP21
5.16%	10/12/52		450		500	^(h)
Morgan Stanley Capital I Trust 2006-TOP23
5.82%	08/12/41		160		185
Morgan Stanley Capital I Trust 2008-TOP29
6.27%	01/11/43		210		250
Morgan Stanley Capital I Trust 2012-C4
5.21%	03/15/45		190		219	^(b)
UBS-Barclays Commercial Mortgage Trust
4.89%	05/10/63		180		162	^(b,i)
Wachovia Bank Commercial Mortgage Trust
5.47%	01/15/45		360		397	^(h)
Wells Fargo Commercial Mortgage Trust
4.69%	10/15/45		90		96
Wells Fargo Mortgage Backed Securities Trust
5.50%	03/25/36		317		5
					10,852

Sovereign Bonds — 1.2%
Banco Nacional de Desenvolvimento Economico e Social
5.50%	07/12/20		100		118	^(b)


		Principal Amount		Fair Value

Gabonese Republic
8.20%	12/12/17	$	100	$	121
Government of Chile
3.63%	10/30/42		148		146
Government of Dominican Republic
7.50%	05/06/21		200		232	^(b)
Government of El Salvador
7.65%	06/15/35		160		183	^(b)
Government of Hungary
4.75%	02/03/15		50		52
7.63%	03/29/41		134		155	^(h)
Government of Indonesia
4.88%	05/05/21		200		230	^(b,h)
11.63%	03/04/19		53		80	^(b,h)
Government of Lebanon
4.00%	12/31/17		21		20
5.15%	11/12/18		69		69
6.10%	10/04/22		69		70
Government of Lithuania
6.75%	01/15/15		100		110	^(b,h)
Government of Mexico
4.75%	03/08/44		292		330
5.75%	10/12/49		72		87
6.05%	01/11/40		84		113	^(h)
Government of Panama
6.70%	01/26/36		59		84	^(h)
Government of Peru
6.55%	03/14/37		225		325	^(h)
7.35%	07/21/25		100		145	^(h)
Government of Philippines
4.00%	01/15/21		100		112
6.38%	01/15/32		100		137
Government of Poland
3.00%	03/17/23		62		62
5.00%	03/23/22		212		250
6.38%	07/15/19		37		46
Government of Romania
6.75%	02/07/22		146		177	^(b,h)
Government of South Africa
6.25%	03/08/41		100		133
Government of Sri Lanka
7.40%	01/22/15		100		107	^(b,h)


		Principal Amount		Fair Value

Government of Turkey
5.13%	03/25/22	$	100	$	115
6.88%	03/17/36		71		96
Government of Uruguay
6.88%	09/28/25		66		91
Government of Venezuela
10.75%	09/19/13		219		225	^(h)
Government of Vietnam
1.50%	03/12/16		22		20	⁽ⁱ⁾
Government of Zambia
5.38%	09/20/22		200		199	^(b)
Russian Foreign Bond — Eurobond
7.50%	03/31/30		55		71	^(j)
					4,511

Municipal Bonds and Notes — 0.6%

American Municipal Power Inc.
6.27%	02/15/50		275		329
Municipal Electric Authority of Georgia
6.64%	04/01/57		234		280	^(h)
New Jersey Transportation Trust Fund Authority
6.88%	12/15/39		165		190	^(h)
Port Authority of New York & New Jersey
4.46%	10/01/62		605		597
South Carolina State Public Service Authority
6.45%	01/01/50		200		269
State of California
5.70%	11/01/21		280		334	^(h)
					1,999

FNMA — 0.0%*
Lehman TBA
5.50%	TBA		239		—**	^(c,o,r)

Total Bonds and Notes (Cost $327,673)					334,738

Principal
Amount

Fair
Value

Short-Term Investments — 24.7%

GE Institutional Money Market Fund — Investment Class

0.06%

(Cost $64,620)

64,620

^(d,k)

Federal Agencies — 7.0%

Federal Home Loan Bank Discount Notes

0.07%

03/20/13

25,500

25,496

^(d)

Total Short-Term Investments
(Cost $90,116)

90,116

Total Investments
(Cost $417,789)

424,854

Liabilities in Excess of Other
Assets, net — (16.6)%

(60,447)

NET ASSETS — 100.0%

364,407

Other Information

The Fund had the following long futures contracts open at December 31, 2012:


Description	Expiration Date	Number of Contracts		Current Notional Value		Unrealized Appreciation/ (Depreciation)

2 Yr. U.S. Treasury Notes Futures	March 2013		27	$	5,953	$	2

5 Yr. U.S. Treasury Notes Futures	March 2013		248		30,855		(47)

30 Yr. U.S. Treasury Bonds Futures	March 2013		123		18,143		(233)

						$	(278)

The Fund had the following short futures contracts open at December 31, 2012:


Description	Expiration Date	Number of Contracts		Current Notional Value		Unrealized Appreciation

Ultra Long-Term U.S. Treasury Bond Futures	March 2013		103	$	(16,747)	$	328

10 Yr. U.S. Treasury Notes Futures	March 2013		188		(24,963)		127

						$	455

						$	177

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 Michael Nowakowski. As lead portfolio manager for the Money Market Fund, Mr. Martini has oversight authority over the Fund. See portfolio managers’ biographical information beginning on page 106.

Q.	How did the Elfun Money Market Fund perform compared to its benchmark for the twelve-month period ended December 31, 2012?

A.	For the twelve-month period ended December 31, 2012, the Elfun Money Market Fund returned 0.00%. The 90-day Treasury Bill, the Fund’s benchmark, returned 0.09% and the Fund’s Morningstar peer group of 948 U.S. Money Market Taxable funds returned an average of 0.04% over the same period.

Q.	Discuss the factors that materially affected the fund’s performance during the fiscal period.

Money market funds in 2012 were impacted by increased global monetary policy actions as well as a continued shrinking supply of investable assets. The Federal Reserve kept its federal funds target at 0 to 0.25% but moved from a “date-based” threshold to numerical thresholds for the path of future policy. The European Central Bank (ECB) engaged in long-term refinancing operations, and announced the Outright Monetary Transaction purchase program. Focusing on the Federal Reserve, they introduced a third round of quantitative ease, purchasing $40 billion of

mortgage-backed securities (MBS) per month. While “Operation Twist” expired at year-end, it was replaced with an outright U.S. Treasury purchase program of $45 billion per month. While the extra supply of treasuries from Operation Twist sales caused a dramatic increase in repurchase (repo) rates, a combination of program expirations and asset maturities started pressuring yields lower on all rates products. These factors included (1) over $100 billion U.S.Treasury Bills (UST) and Temporary Liquidity Guarantee Program(FDIC guaranteed) paper maturing, (2) the expectation of excess reserves rising $1 trillion in 2013 from MBS/UST monthly purchases, and (3) the December 31 expiration of the FDIC’s unlimited deposit insurance on non-interest bearing transaction accounts.

LIBOR rates declined through mid-October, thanks to the aforementioned global policy actions. In the second quarter, Moody’s downgrades of global financial institutions were as expected to better than expected, emboldening some investors to reconsider previously shunned Eurozone banks. French banks were the big beneficiary towards year-end, especially as the “safe-haven” regions of Canada, Australia and Scandinavia either didn’t offer product or posted quite unattractive levels.

Regarding money fund regulation, in August the SEC was unsuccessful in introducing reforms that would have structurally changed money market funds. However, the Financial Stability Oversight Council (FSOC), created under

the Dodd-Frank Act, voted in November to release money fund reform proposals for the SEC to either adopt or reject after a comment period (recently extended to mid-February). If any regulations are adopted, the time frame for compliance could be at least a year away.

Q.	Were there any significant changes to the Fund during the period?

After the last Eurozone bank asset matured in early 2012, exposure to the area remained at zero for the remainder of the year. While the ECB dramatically reduced tail risks with the introduction of 3 year Long Term Refinancing Operations and the Outright Monetary Transaction program, the macroeconomic outlook remained challenged, and continues to do so into 2013. The Fund’s weighted average maturity (WAM) and weighted average life (WAL) remained stable throughout the year. The U.S. government/treasury (ex-repo) allocation steadily increased in 2012, from 35% at December 31, 2011 to a high of 52% at June 30, 2012. This sector allocation ranged from 45 to 52% during the year. Concurrently, the allocation to Swiss, UK, and Australian credits, both financial and non-financial, declined. Last, the percent of the Fund invested in assets with 1-day and/or 7-day liquidity remained robust, well above minimum thresholds.

Actual Expenses

Paid During Period,” to estimate the expenses paid on your account during this period.

Hypothetical Example for Comparison Purposes

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. The Fund seeks its investment objective by investing primarily in short-term, U.S. dollar denominated money market instruments.

Fund yield At December 31, 2012


	Fund			Money Fund Report*
7-day current^†		0.00	%		0.06	%
7-day effective		0.00	%		0.06	%

Sector Allocation

as a % of Fair Value of $164,144 (in thousands) as of December 31, 2012^(b)

LOGO

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/12


	One Year			Five Year			Ten Year
Number of funds in peer group		948			829			615
Peer group average annual total return		0.04	%		0.45	%		1.51	%
Morningstar Category in peer group: Money Market Taxable

Change in Value of a $10,000 Investment^(a)

LOGO

Average Annual Total Return

For the periods ended December 31, 2012


(Inception date: 06/13/90)
	One Year		Five Year		Ten Year		Ending value of a $10,000 investment ^(a)

Elfun Money Market Fund^†		0.00%		0.64%		1.84%	$	12,009

90 Day U.S. T-Bill		0.09%		0.36%		1.66%	$	11,790

See Notes to Performance on page 1 for further information, including an explanation of Morningstar peer categories.

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.


		Principal Amount		Amortized Cost

Short-Term Investments — 99.8%^†

U.S. Treasuries — 11.6%
United States Treasury Bills
0.14%	01/03/13	$	130	$	130	^(d)
United States Treasury Notes
0.50%	05/31/13		4,250		4,256
0.63%	04/30/13		3,050		3,055
1.38%	01/15/13 - 05/15/13		11,550		11,575
					19,016

U.S. Government Agency Obligations — 33.2%
Fannie Mae Discount Notes
0.08%	03/20/13		900		900	^(d)
0.11%	01/17/13 - 02/06/13		6,150		6,150	^(d)
0.13%	02/13/13 - 03/06/13		8,850		8,848	^(d)
0.16%	04/01/13		850		850	^(d)
Federal Home Loan Bank Discount Notes
0.11%	05/17/13		1,700		1,699	^(d)
0.12%	03/13/13		2,300		2,299	^(d)
0.13%	01/09/13 - 02/01/13		7,500		7,500	^(d)
0.15%	01/18/13		2,250		2,250	^(d)
Federal Home Loan Banks
0.15%	02/06/13		1,250		1,250
0.25%	04/18/13		3,500		3,500
Federal Home Loan Mortgage Corp
0.16%	06/17/13		1,150		1,150	⁽ⁱ⁾
0.17%	03/21/13		5,550		5,550	⁽ⁱ⁾
Freddie Mac Discount Notes
0.07%	03/18/13		2,200		2,200	^(d)
0.13%	01/22/13		1,650		1,650	^(d)
0.14%	01/28/13		4,750		4,749	^(d)
0.15%	02/04/13		1,700		1,700	^(d)
0.16%	02/19/13		2,350		2,349	^(d)
					54,594

Commercial Paper — 21.9%
Australia & New Zealand Banking Group Ltd
0.18%	02/07/13		3,550		3,549	^(d)


		Principal Amount		Amortized Cost

BHP Billiton Finance USA Ltd
0.14%	01/28/13	$	750	$	750	^(b,d)
0.17%	01/14/13		2,350		2,350	^(d)
Chevron Corp
0.12%	01/17/13		3,500		3,500	^(d)
Commonwealth Bank of Australia
0.23%	05/08/13		3,300		3,300	⁽ⁱ⁾
DNB Bank ASA
0.23%	03/18/13		2,250		2,249	^(d)
Glaxosmithkline PLC
0.15%	01/04/13		3,200		3,200	^(d)
HSBC Bank PLC
0.20%	03/25/13		4,350		4,350	⁽ⁱ⁾
International Business Machines Corp
0.07%	01/03/13		1,800		1,800	^(d)
JPMorgan Chase & Co
0.25%	04/08/13		1,900		1,899	^(d)
KFW
0.20%	03/07/13		2,550		2,549	^(b,d)
Procter & Gamble Co/The
0.15%	01/10/13		1,650		1,650	^(d)
Svenska Handelsbanken AB
0.24%	02/01/13		1,700		1,700	^(b,d)
Wal-Mart Stores Inc
0.10%	01/24/13		3,150		3,150	^(d)
					35,996

Repurchase Agreement — 7.2%

Barclays Capital Inc. U.S. Treasury Repo
0.20% dated 12/31/12, to be repurchased at $3,900 on 01/01/13 collateralized by $ 3,978 U.S.Treasury Bond, 2.63% , maturing on 11/15/20 respectively. 01/02/13			3,900		3,900
Deutsche Bank Securities, Inc. Gov Agcy Repo
0.20% dated 12/31/12, to be repurchased at $500 on 01/01/13 collateralized by $ 510 U.S. Government Agency Bond, 3.75%, maturing 06/28/13 01/02/13			500		500


		Principal Amount		Amortized Cost

Goldman Sachs & Co. Gov Agcy Repo
0.20% dated 12/31/12, to be repurchased at $3,700 on 01/01/13 collateralized by $ 3,778 U.S. Government Agency Bond, 0.38%, maturing 01/29/14 01/02/13		$	3,700	$	3,700
HSBC Securities (USA) Inc. Gov Agcy Repo
0.16% dated 12/31/12, to be repurchased at $1,710 on 01/01/13 collateralized by $ 1,747 U.S. Government Agency Bond, 3.00%, maturing 08/08/19 01/02/13			1,710		1,710
J.P. Morgan Securities LLC 1Wk U.S. Treasury Repo
0.18% dated 12/31/12, to be repurchased at $1,000 on 01/01/13 collateralized by $ 1,024 U.S.Treasury Bond, 0.25% , maturing on 08/15/15 respectively. 01/02/13			1,000		1,000
J.P. Morgan Securities LLC U.S. Treasury Repo
0.18% dated 12/31/12, to be repurchased at $1,000 on 01/01/13 collateralized by $ 1,024 U.S.Treasury Bond, 0.25% , maturing on 08/15/15 respectively. 01/02/13			1,000		1,000
					11,810

Corporates — 7.5%

Inter-American Development Bank Discount Notes
0.14%	02/19/13		900		900	(d)
0.15%	02/07/13		2,850		2,850	(d)
Johnson & Johnson
0.70%	05/15/13		950		952
KFW
0.31%	02/22/13		900		900	(i)
Novartis Capital Corp
1.90%	04/24/13		1,100		1,105


		Principal Amount		Amortized Cost

Sanofi
0.51%	03/28/13	$	2,200	$	2,201	(i)
World Bank Discount Notes
0.10%	01/07/13		3,450		3,450	(d)
					12,358

Certificate of Deposit — 18.3%

Bank of Montreal
0.20%	01/03/13		2,450		2,450
Bank of Nova Scotia/Houston
0.29%	06/13/13		3,500		3,500	(i)
JPMorgan Chase & Co
0.22%	03/12/13		1,400		1,400
National Australia Bank Ltd/New York
0.24%	04/30/13		3,300		3,300	(i)
Nordea Bank AB
0.36%	02/19/13		2,400		2,400
Royal Bank of Canada/New York NY
0.43%	04/10/13		2,400		2,400	(i)
Skandinaviska Enskilda Banken AB
0.30%	04/08/13		2,550		2,550
Standard Chartered PLC
0.48%	01/10/13		3,250		3,250
Svenska Handelsbanken AB
0.28%	04/15/13		2,050		2,050
Toronto-Dominion Bank
0.20%	01/16/13		2,800		2,800
Westpac Banking Corp/NY
0.31%	02/11/13		4,100		4,100	(i)
					30,200

Time Deposit — 0.1%

State Street Corp
0.01%	01/02/13		170		170	(e)
Total Short-Term Investments (Cost $164,144)					164,144

Other Assets and Liabilities, net — 0.2%					385


NET ASSETS — 100.0%				$	164,529

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

(a)	Non-income producing security.

(b)

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, 2012, these securities amounted to $4,270, $25,035 and $8,499 or 2.00%, 6.87% and 5.17% of the net assets of the Elfun Diversified Fund, Elfun Income Fund and Elfun Money Market Fund, respectively. These securities have been determined to be liquid using procedures established by the Fund’s Board of Trustees (Unaudited).

(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 security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.

(g)	Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.

(h)	At December 31, 2012, all or a portion of this security is reserved and/or 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, 2012.

(j)	Step coupon bond. Security becomes interest bearing at a future date.

(k)	GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GE Institutional Money Market 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, AGC, AGMC, MBIA, FSA or FGIC. The Elfun Tax-Exempt Fund had insurance concentrations of 5% or greater as of December 31, 2012 (as a percentage of net assets) as follows:


AGMC		7.60%

(o)	Securities in default.

(p)	Sponsored by SSGA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

(q)	Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based.

(r)	Fair Valued Securities

†	Percentages are based on net assets as of December 31, 2012.

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 (GAAP) 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.

Subsequent events after the balance sheet date through the date the financial statements were issued, have been evaluated in the preparation of the financial statements.

There are no items to report.

The following summarizes the significant accounting policies of the Funds:

Securities Valuation and Transactions All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities 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.

Repurchase Agreements Some of the Funds engage in repurchase agreement transactions with respect to instruments that are consistent with the Fund’s invest-

ment 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% for domestic securities and 105% international securities 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.

Foreign Currency Accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions.

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.

The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized 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 or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign 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.

Derivatives 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. Certain Funds entered into derivative transactions to gain market exposure for residual and accumulating cash positions, and for managing the duration of fixed-income investments.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Certain Funds invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. The Elfun International Equity Fund entered into futures contracts for the purpose of gaining market exposure and investing residual cash positions. The Elfun Diversified Fund entered into futures contracts for the purposes of gaining market exposure, investing residual cash positions and managing duration of fixed income investments. The Elfun Income Fund entered into futures contracts for the purpose of managing duration of fixed income investments. 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. 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. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Funds each day, depending on the daily fluctuation in the fair value of the underlying security. The Funds record an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the

anticipated benefits of the futures contracts and may incur a loss. The Funds recognize a realized gain or loss on the expiration or closing of a futures contract.

When-Issued Securities and Forward Commitments Certain Funds purchase or sell securities on a when-issued or 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 transaction. 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 commitments. In connection with such purchases, the Funds maintain cash or liquid assets in an amount equal to the 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 commitments 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 The Elfun Diversified Fund entered into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage the Funds’ 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 Funds’ financial statements. Such amounts 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 Funds’ risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contracts’ 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 are 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 involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of 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 upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned.

Investment Income Corporate actions (including cash dividends) are recorded on 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. Withholding taxes in foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are charged to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the

fund are generally paid directly by the fund, however, expenses may be paid by GEAM and reimbursed by the fund.

Federal Income Taxes 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.

3.	Securities Valuation

The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing 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 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. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

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, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Funds use to measure different financial investments at fair value.

A Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services 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 service uses other available information as applicable such as benchmark curves, benchmarking of similar securities, sector groupings, and matrix pricing. Thus, certain securities may not be priced using quoted prices, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services

may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.

A Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.

Portfolio Securities and any short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2.

If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

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. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of any Fund in the appropriate circumstances.

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. In these circumstances the Fund classifies the investment securities in Level 2. This independent fair value pricing service uses a

proprietary model to identify affected securities, 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.

All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quota-

tions were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

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.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following tables present the Funds’ investments measured at fair value on a recurring basis at December 31, 2012:

The following tables present the changes in Level 3 investments measured on a recurring basis for the period ended December 31, 2012 (Dollars in thousands):

The Elfun International Equity Fund and the Elfun Diversified Fund utilized the fair value pricing service on December 31, 2012 due to events occurring after the close of foreign local markets and before the close of regular trading on the NYSE. This resulted in certain foreign securities being classified as Level 2 at the end of the period which were classified as Level 1 at December 31, 2011. The value of securities that were transferred to Level 2 from Level 1 as a result was $173,801 and $24,545, respectively (dollars in thousands).

There were no other transfers between Level 1 and Level 2. Transfers between fair value levels are considered to occur at the beginning of the period.

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of December 31, 2012:

Shown below are the effects of derivative instruments on each Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

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, 2012, were as follows:

At December 31, 2012, information on the tax components of capital was as follows:

As of December 31, 2012, 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.

These amounts will be available to offset future taxable capital gains. Under the Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2012, the Funds utilized prior year capital loss carryovers as follows:

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The following Fund elected to defer qualified late-year losses for the year ended December 31, 2012 as follows:

The tax character of distributions paid during the year ended December 31, 2012, were as follows:

The tax composition of distributions paid during the year ended December 31, 2011, were as follows:

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 (collectively, the “Funds”), as of December 31, 2012, and the related statement 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 Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2012 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, 2012, the results of its operations, changes in its net assets and financial highlights for each of the years described above, in conformity with U.S. generally accepted accounting principles.

The following funds intend to make an election under Internal Revenue Code Section 853. The election will allow shareholders to treat their attributable share of foreign taxes paid by the Funds to be paid by them directly. For the fiscal year ended December 31, 2012, the total amount of income received by the Funds from sources within foreign countries and possessions of the United States and the total amount of taxes paid by the Funds follows:

Of the dividends paid from net investment income by the Elfun Tax-Exempt Fund during the calendar year ended December 31, 2011, 97.02% represent exempt interest dividends for Federal income tax purposes.

For the year ended December 31, 2012, the Fund hereby designates as capital gain dividends the amounts set forth, or the amount ultimately treated as capital gain net income.

For the fiscal year ended December 31, 2012, certain dividends paid by the fund may be subject to a maximum income tax rate of 15%. The following represents the amounts that may be considered qualified dividend income:

For corporate shareholders the following represent the percentages of respective fund distributions that may be eligible for the dividends received deduction:

The amounts presented herein may differ from amounts presented elsewhere in the financial statements due to differences between tax and financial accounting principles. Please consult a tax advisor if you have any questions about Federal or State income tax laws or on how to prepare your tax returns. If you have specific questions about your Fund account, please consult your investment representative or call 1-800-242-0134.

The Board of Trustees of the Elfun Funds¹ (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 11, 2012.

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 strategies and sizes, which was prepared by independent third party provider 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 numerous 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 relevant to the Funds; (v) access to significant technological resources from which the Funds may benefit; and (vi) a favorable history and reputation. 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”).

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 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 the reasons for certain Funds’ relative underperformance.

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 previously had been 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 also noted that the Board had in prior years reviewed with GEAM personnel 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, to the Funds, and that such assumptions and methods used in cost allocation had not changed for this year. The Board members also discussed with GEAM personnel that the basis for their belief that the methods of allocation used by GEAM continue to be 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.

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 peer groupings of mutual funds prepared by Morningstar. 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 investment advisory agreement was in the best interests of the Funds and their shareholders.

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 Funds is set forth below.

Interested Trustees and Executive Officers

Dmitri Stockton

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 48

Position(s) Held with Fund Chairman of the Board

Term of Office and Length of Time Served Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years President and Chief Executive Officer of GEAM since May 2011; President and Chief Executive Officer of GE Capital’s Global Banking unit from January 2009 to April 2011; President and CEO of GE Money’s Central and Eastern European Banking Group from January 2005 to December 2008.

Number of Portfolios in Fund Complex Overseen by Trustee 8

Other Directorships Held by Trustee Director of GEAM since May 2011; Member of the Board of GE Foundation since November 2009; Member of the Executive Advisory Council at North Carolina A&T State University School of Business and Economics since March 2011; Trustee of GE Savings & Security Funds and General Electric Pension Trust since May 2011 and Member of the National Board of Directors of A Better Chance since January 2012.

George A. Bicher

Address c/o GEAM 1600 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 – 1 year

Principal Occupation(s) During Past 5 Years Chief Risk Officer of GEAM since March 2011; formerly, Senior Vice President and Portfolio Manager of GEAM from 2009 to 2011; Director of U.S. Equity Research and Portfolio

Manager of GEAM from 2006 to 2009; U.S. equity research analyst of GEAM from 2002 to 2006.

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 and Director of GEAM since March 2011.

Joon Won Choe

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 43

Position(s) Held with Fund Vice President & Assistant Secretary

Term of Office and Length of Time Served Until successor is elected and qualified – Vice President and Secretary – 2 years

Principal Occupation(s) During Past 5 Years Senior Vice President and Deputy General Counsel of GEAM since March 2011; Vice President and Secretary of GE Institutional Funds and GE Investments Funds, Inc. since September 2010; Vice President and Assistant Secretary of GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel of GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010; and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer N/A

Other Directorships Held by Officer N/A

Paul M. Colonna

Address c/o GEAM, 1600 Summer St. Stamford, CT 06905

Age 44

Position Held with Fund Trustee

Term of Office and Length of Time Served Until successor is elected and qualified – 5 years

Principal Occupation(s) During Past 5 Years President and Chief Investment Officer - Public Investments of GEAM since March 2012; President and Chief Investment Officer - Fixed Income from March 2007 to March 2012; Executive Vice President of GEAM from February 2007 to March 2007;

Senior Vice President - Total Return Management of GEAM from March 2005 to March 2007.

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 GEAM since March 2007; and Director of GE Asset Management Limited (GEAML) since December 2007.

Michael J. Cosgrove

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 63

Position(s) Held with Fund Trustee

Term of Office and Length of Time Served Until successor is elected and qualified – 25 years

Principal Occupation(s) During Past 5 Years President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds & Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1998.

Number of Portfolios in Fund Complex Overseen by Trustee 25

Other Directorships Held by Trustee Chairman of the Board and President of GE Institutional Funds and GE Investments Funds, Inc. since 1997; Trustee of GE Savings & Security Funds, and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investment Distributors, Inc. since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999; GE Asset Management Funds Plc since 1998; GE Asset Management Canada Company since 1998 and GE Asset Management Limited since 1998; and Chairman of the Board and President of GE Funds from 1993 to February 2011; and Trustee, GE Volunteers from 1993 to June 2010.

Gregory B. Hartch

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 43

Position(s) Held with Fund Trustee

Term of Office and Length of Time Served Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years Executive Vice President and the Strategy and Business Development Leader of GEAM; he became an Executive Vice President in 2013 and has served as the Strategy and Business Development Leader since December 2011; formerly Senior Vice President– Tactical Asset Allocation from 2010 to December 2011; Managing Director – International Real Estate from 2007 to 2010; and Director of Fixed Income Research from 2004 to 2007.

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 January 2012.

Jessica Holscott

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 37

Position(s) Held with Fund Trustee

Term of Office and Length of Time Served Until successor is elected and qualified – less than 1 year

Principal Occupation(s) During Past 5 Years Executive Vice President and Chief Financial Officer of GEAM since August 2012; Staff Executive and Analyst for General Electric’s Chief Financial Officer from April 2011 to August 2012; General Electric Investor Relations from July 2009 to August April 2011; Chief Financial Officer, NBC Local Media from 2007 to July 2009.

Number of Portfolios in Fund Complex Overseen by Trustee 25

Other Directorships Held by Trustee Trustee of GE Savings and Security Funds and General Electric Pension Trust since August 2012; Director of GEAM since August 2012.

Arthur A. Jensen

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 46

Position(s) Held with Fund Treasurer

Term of Office and Length of Time Served Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years Treasurer of GE Institutional Funds, GE Investments Funds, Inc. and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer N/A

Other Directorships Held by Officer N/A

Jeanne M. LaPorta

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 47

Position(s) Held with Fund Vice President

Term of Office and Length of Time Served Until successor is elected and qualified – 9 years

Principal Occupation(s) During Past 5 Years Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Investments Funds, Inc. and GE Institutional Funds since July 2003; Vice President of GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of GE Funds from September 2003 to July 2007 and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer N/A

Other Directorships Held by Officer N/A

Ralph R. Layman

Address c/o GEAM 1600 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 – 21 years

Principal Occupation(s) During Past 5 Years Executive Vice President and Chief Investment Officer – Emeritus of GEAM since March 2012; President and Chief Investment Officer – Public Equities from July 2009 to March 2012; President – International Equities from March 2007 to July 2009; Executive Vice President – International Investments from 1992 to March 2007 and Senior Vice President International Investments from 1991 to 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 1993; Director of GE Asset Management Limited (GEAML) since September 1995 and Director of GEAM since July 2009.

Matthew J. Simpson

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 51

Position(s) Held with Fund Trustee

Term of Office and Length of Time Served 5 years

Principal Occupation(s) During Past 5 Years Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional 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; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Trustee 25

Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee of GE Institutional Funds since July 2007; Director of GE Investments Funds, Inc. and GEAM since July 2007; and Trustee of GE Funds from July 2007 to February 2011.

Donald W. Torey

Address c/o GEAM 1600 Summer St. Stamford, CT 06905

Age 55

Position(s) Held with Fund Trustee

Term of Office and Length of Time Served Until successor is elected and qualified – 19 years

Principal Occupation(s) During Past 5 years President and Chief Investment Officer – Alternative Investments of GEAM since March 2007; Executive Vice President of GEAM from 1997 to March 2007; Executive Vice President – Alternative Investments from 1997 to March 2007.

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 and Director of GEAM since 1997.

David Wiederecht

Address c/o GEAM, 1600 Summer St. Stamford, CT 06905

Age 56

Position Held with Fund Trustee

Term of Office and Length of Time Served Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 Years President and Chief Investment Officer – Investment Solutions since February 2008; Portfolio Manager – GE Institutional Funds since September 2010; Managing Director – Alternative Investments from 2004 to 2008; Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004.

Number of Portfolios in Fund Complex Overseen by Trustee 8

Other Directorships Held by Trustee Trustee of GE Savings & Security Funds and General Electric Pension Trust since 2008; Director of GEAM since August 2008 and Director of Edmunds Holding Company since 1999.

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.

Portfolio Manager Biographies

The following sets forth biographical information for those individuals who are primarily responsible for managing the specified Fund’s investments. The portfolio managers may change from time to time.

David B. Carlson is Chief Investment Officer – U.S. Equities at GEAM. He manages the overall U.S. equity investments for GEAM. Mr. Carlson has served as the portfolio manager for Elfun Trusts since 1988. Mr. Carlson joined GEAM 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 GEAM. He is the Chief Investment Officer and portfolio manager of the Elfun Tax-Exempt Income Fund and has served as portfolio manager since October 2000. Mr. Caufield is also the Senior Portfolio Manager for all municipal strategies. Mr. Caufield joined GEAM in 1987 as Vice President, manager of fixed income research & analysis and was promoted to Senior Vice President in 1994.

James C. Gannon is an assistant portfolio manager of GEAM. He has served on the portfolio management team for the Elfun Money Market Fund since December 2000 and has also worked on the Interest Rates desk Since 2007. Since joining GEAM in 1995, Mr. Gannon served in various positions at GEAM including Trade operations specialist in fixed income, and became an assistant portfolio manager in February 2003.

Greg Hartch is an Executive Vice President and the Strategy and Business Development Leader at GEAM. He has served as a portfolio manager for the Elfun Diversified Fund since January 2011. Mr. Hartch joined GEAM in 2002 and has held various positions at GEAM including Senior Vice President – Alternative Assets from 2002 to 2004, Director of Fixed Income Research from 2004 to 2007, Managing Director – International Real Estate from 2007 to 2010 and Senior Vice President - Tactical Asset Allocation from 2010 to 2011. He has served as the Strategy and Business Development Leader since 2011 and became an Executive Vice President in 2013.

Mark H. Johnson is a Senior Vice President and Chief Investment Officer – Insurance and Long Duration of GE Asset Managemen. He has been a member of the portfolio management team for the Elfun Income Fund since September 2007. Mr. Johnson joined GE in 1998 and GEAM as a Vice President and portfolio manager in 2002. He became Senior Vice President in September 2007 and Chief Investment Officer – Insurance and Long Duration in April 2012. Prior to joining GEAM, Mr. Johnson held positions at various insurance companies and public accounting firms.

Ralph R. Layman is an Executive Vice President and Chief Investment Officer Emeritus and a Director of GEAM. Mr. Layman has led the team of portfolio managers for the Elfun International Equity Fund since 1991. Mr. Layman joined GEAM in 1991 as a Senior Vice President for International Investments, became an Executive Vice President in 1992, served as President – International Equities from March 2007 to July 2009, President and Chief Investment Officer – Public Equities from July 2009 to March 2012, and has served as Chief Investment Officer Emeritus since March 2012.

Michael E. Martini is a Vice President and portfolio manager at GEAM. He has served on the portfolio management team for the Elfun Money Market Fund since joining GEAM in March of 2008. Prior to joining GEAM, 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.

Michael Nowakowski is an Assistant Portfolio Manager at GEAM. He has served on the portfolio management team for the Money Market Fund since July 2011. His responsibilities include cash management, including daily money market trade execution, forecasting and technical projects. Mr. Nowakowski joined GEAM in 2007 as a Data Analyst working on the fixed income Insurance portfolio. Mr. Nowakowski later became the Team Lead of Portfolio Analytics for Total Return and Insurance fixed income.

Portfolio

Manager Biographies (continued)

Jonathan L. Passmore is a Senior Vice President of GEAM. He has served as a portfolio manager of the Elfun International Equity Fund since January 2002. Prior to joining GEAM in January 2001, he was with Merrill Lynch for six years, most recently as Director, international equities.

Vita Marie Pike is a Senior Vice President and Chief Investment Officer – Fixed Income Risk Assets of GEAM. She has served on the portfolio management team for the Elfun Income Fund since June 2004. Ms. Pike joined GE in 2001 and GEAM in January 2002 as a Vice President and Senior Portfolio Manager and became Senior Vice President in November 2010 and Chief Investment Officer – Fixed Income Risk Assets in April 2012. Prior to joining GEAM she was with Alliance Capital for over nine years serving in a number of different capacities including portfolio manager.

Michael J. Solecki is a Senior Vice President and Chief Investment Officer – International Equities at GEAM. He has served as a portfolio manager of the Elfun International Equity Fund since August 1999. He joined GEAM in 1990 as an international equity analyst. He became a Vice President for international equity portfolios in 1996, Senior Vice President in 2000, Co-Chief Investment Officer – International equities in March 2009 and Chief Investment Officer – International Equities in March 2012.

David Wiederecht is the President and Chief Investment Officer – Investment Solutions and a Director at GEAM. He has served as a portfolio manager to the Elfun Diversified Fund since January 2011. Mr. Wiederecht joined GEAM in 1988 and has held various positions at GEAM including Vice President – Alternative Investments/Private Equity/Hedge Fund from 1998 to 2004, Managing Director – Alternative Investments from 2004 to 2008, and President and Chief Investment Officer – Investment Strategies since 2008.

Portfolio Managers

Elfun International Equity Fund

Team led by Ralph R. Layman

Elfun Trusts

David B. Carlson

Elfun Diversified Fund

Gregory B. Hartch

David Wiederecht

Elfun Tax-Exempt Income Fund

Michael Caufield

Elfun Income Fund

William M. Healey

Mark H. Johnson

Vita Marie Pike

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 Mutual Funds

BNY Mellon Asset Servicing

P.O. Box 9838

Providence, RI 02940

Dmitri Stockton, Trustee, President and Chief Executive Officer, GE Asset Management Incorporated

Paul M. Colonna, Trustee, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, Trustee, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Trustee, Executive Vice President – Strategy and Business Development Leader

Ralph R. Layman, Trustee, Executive Vice President, Chief Investment Officer Emeritus

Matthew J. Simpson, Trustee, Executive Vice President, General Counsel and Secretary

Donald W. Torey, Trustee, President and Chief Investment Officer – Alternative Investments and Real Estate

David Wiederecht, Trustee, President and Chief Investment Officer – Investment Solutions

* Effective August 1, 2012, Ms. Holscott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

Your Elfun Mutual Fund accounts can now be accessed on the Internet at www.elfun.org.

Many more features will be added to the web site in the future for your convenience.

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.

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.

If you’d like to write to us, address your inquiries regarding your account(s) to:

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.

Morningstar is an independent fund rating company that seeks to provide a non-biased rating system used in making investment decisions. A fund is rated in its broad asset class on a scale of one to five stars through the evaluation of the historical balance of risk and return after 3 years of performance.

Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top ten percent of the funds in each category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The ratings are subject to change every month. The overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten year (if applicable) Morningstar Rating metrics.

Investment return and principal value of an investment will fluctuate and you may have a gain or loss when you sell your shares. Returns assume changes in share price and reinvestment of dividends and capital gains.

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.

The registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as Exhibit 1 to this Form N-CSR and is included in the following link:

The Board of Trustees of the Registrant has determined that Donald W. Torey and Jessica Holscott are designated as audit committee financial experts for the Funds; and further that it is the finding of the Board of Trustees that Mr. Torey and Ms. Holscott qualify as audit committee financial experts. Each audit committee member is deemed to be an “interested person” of the Funds as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

(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 provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods were $13,300 in 2011 and $13,300 in 2012.

(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.

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 Fund’s 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 Fund’s 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:

(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 there under.

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 PARAGRAPHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during 2011 or 2012 for audit related, tax or other services as indicated in sections (b) through (d) of this Item.

(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 2011 and $0 in 2012.

(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to Service Affiliates that were not pre-approved.

The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). The Registrant’s audit committee members are: Donald W. Torey and Jessica Holscott.

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.

(b) Attached hereto as Exhibit 2 and Exhibit 3 are the Certifications of Dmitri L. Stockton and Arthur A. Jensen as principal executive officer and principal financial officer, respectively of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)).

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.

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.

(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.


	Account value at the beginning of the period ($)		Account value at the end of the period ($)		Expenses paid during the period ($)*

Actual Fund Return		1,000.00		1,142.10		2.53

Hypothetical 5% Return (2.5% for the period)		1,000.00		1,022.77		2.39


	Account value at the beginning of the period ($)		Account value at the end of the period ($)		Expenses paid during the period ($)*

Actual Fund Return		1,000.00		1,077.80		0.78

Hypothetical 5% Return (2.5% for the period)		1,000.00		1,024.38		0.76


	Account value at the beginning of the period ($)		Account value at the end of the period ($)		Expenses paid during the period ($)*

Actual Fund Return		1,000.00		1,060.90		2.33

Hypothetical 5% Return (2.5% for the period)		1,000.00		1,022.82		2.29


Notes to Performance			1

Manager Reviews and Schedules of Investments

Elfun International Equity Fund			2

Elfun Trusts			9

Elfun Diversified Fund			15

Elfun Tax-Exempt Income Fund			38

Elfun Income Fund			51

Elfun Money Market Fund			66

Notes to Schedules of Investments			72

Financial Statements

Financial Highlights			74

Statements of Assets and Liabilities			78

Statements of Operations			80

Statements of Changes in Net Assets			82

Notes to Financial Statements			84

Report of Independent Registered Public Accounting Firm			97

Tax Information			98

Advisory Agreement Renewal			99

Additional Information			102

Investment Team			106

Shareholder Services			109


Elfun International Equity Fund		(in thousands) — December 31, 2012


ADR	—	American Depositary Receipt
AGC	—	Assured Guaranty Corporation
AGMC	—	Assured Guaranty Municipal Company
AMBAC	—	AMBAC Indemnity Corporation
FGIC	—	Financial Guaranty Insurance Corporation
FSA	—	Financial Security Assurance
GDR	—	Global Depositary Receipt
MBIA	—	Municipal Bond Investors Assurance Corporation
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


Elfun International Equity Fund	2012			2011			2010			2009			2008
Inception date		—			—			—			—			1/1/88
Net asset value, beginning of year		$15.43			$18.92			$18.24			$14.65			$28.32
Income (loss) from investment operations:
Net investment income		0.35			0.44			0.36			0.43			0.77
Net realized and unrealized gains (losses) on investments		2.88			(3.48	)		0.69			3.63			(13.26	)
Total income (loss) from investment operations		3.23			(3.04	)		1.05			4.06			(12.49	)
Less distributions from:
Net investment income		0.35			0.44			0.37			0.44			0.74
Net realized gains		—			—			—			0.03			0.44
Return of capital		0.00	*		0.01			—			—			—
Total distributions		0.35			0.45			0.37			0.47			1.18
Net asset value, end of year		$18.31			$15.43			$18.92			$18.24			$14.65
TOTAL RETURN^(a)		20.95	%		(16.02	)%		5.77	%		27.69	%		(44.15	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)		$260,728			$240,572			$309,473			$301,332			$248,781
Ratios to average net assets:
Net investment income		1.98	%		2.34	%		2.05	%		2.66	%		3.10	%
Net expenses		0.45	%^(b)		0.30	%^(b)		0.32	%^(b)		0.27	%^(b)		0.44	%^(b)
Gross expenses		0.45	%		0.31	%		0.34	%		0.28	%		0.45	%
Portfolio turnover rate		47	%		39	%		42	%		45	%		41	%

Elfun Trusts	2012			2011			2010			2009			2008
Inception date		—			—			—			—			5/27/35
Net asset value, beginning of year		$ 40.35			$41.38			$38.50			$30.23			$48.73
Income (loss) from investment operations:
Net investment income		0.77			0.48			0.40			0.35			0.49
Net realized and unrealized gains (losses) on investments		7.77			0.06			4.64			9.83			(17.35	)
Total income (loss) from investment operations		8.54			0.54			5.04			10.18			(16.86	)
Less distributions from:
Net investment income		0.76			0.48			0.41			0.37			0.49
Return of Capital		—			—			—			0.03			0.02
Net realized gains		4.07			1.09			1.75			1.51			1.13
Total distributions		4.83			1.57			2.16			1.91			1.64
Net asset value, end of year		$ 44.06			$40.35			$41.38			$38.50			$30.23
TOTAL RETURN^(a)		21.27	%		1.33	%		13.07	%		33.62	%		(34.53	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)		$1,820,262			$1,647,396			$1,731,716			$1,639,896			$1,314,686
Ratios to average net assets:
Net investment income		1.60	%		1.09	%		1.00	%		1.05	%		1.10	%
Net expenses		0.19	%^(b)		0.21	%^(b)		0.21	%^(b)		0.23	%^(b)		0.21	%^(b)
Gross expenses		0.19	%		0.21	%		0.22	%		0.24	%		0.22	%
Portfolio turnover rate		11	%		16	%		14	%		8	%		20	%



Statements of Assets and Liabilities *December 31, 2012* *(Amounts in thousands)*	ELFUN INTERNATIONAL EQUITY FUND			ELFUN TRUSTS

ASSETS
Investments in securities, at Fair Value (cost $215,489; $1,258,982; $177,631; $1,615,627; $327,673 and $0, respectively)	$	253,362		$	1,768,581
Short-Term Investments (at amortized cost)		—			—
Short-Term affiliated investments (at amortized cost)		6,703			51,166
Restricted Cash		549			—
Foreign currency (cost $14; $0; $0; $0; $0; and $0, respectively)		14			—
Income receivables		397			1,447
Receivable for fund shares sold		46			141
Variation margin receivable		8			—
Other assets		3			23
Total assets		261,082			1,821,358
LIABILITIES
Distribution payable to shareholders		2			—
Payable for investments purchased		—			—
Payable for fund shares redeemed		98			760
Payable to GEAM		51			107
Accrued other expenses		165			229
Variation margin payable		38			—
Unrealized depreciation on forward foreign currency contracts		—			—
Other liabilities		—			—
Total liabilities		354			1,096
NET ASSETS	$	260,728		$	1,820,262
NET ASSETS CONSIST OF:
Capital paid in		288,295			1,310,524
Undistributed (distribution in excess of) net investment income		—			212
Accumulated net realized gain (loss)		(65,575	)		(73	)
Net unrealized appreciation/(depreciation) on:
Investments		37,873			509,599
Futures		131			—
Foreign currency related transactions		4			—
NET ASSETS	$	260,728		$	1,820,262
Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized)		14,241			41,310
Net asset value, offering and redemption price per share	$	18.31		$	44.06



ELFUN DIVERSIFIED FUND	ELFUN TAX-EXEMPT INCOME FUND			ELFUN INCOME FUND		ELFUN MONEY MARKET FUND



$193,516	$	1,773,397		$	334,738	$	—
—		18,577			25,496		164,144
30,991		—			64,620		—
50		—			—		—
—		—			—		—
472		24,126			1,687		83
33		493			156		905
236		—			65		—
454		15			3		9
225,752		1,816,608			426,765		165,141

—		1,903			118		—
11,656		28,395			61,939		—
149		842			143		527
20		116			17		5
296		176			141		80
—		—			—		—
13		—			—		—
450		—			—		—
12,584		31,432			62,358		612
$213,168	$	1,785,176		$	364,407	$	164,529

200,892		1,627,435			356,797		164,461
13		70			296		—
(3,804)		(99	)		72		68

15,885		157,770			7,065		—
194		—			177		—
(12)		—			—		—
$213,168	$	1,785,176		$	364,407	$	164,529

11,646		144,956			31,278		164,731
$ 18.30	$	12.32		$	11.65	$	1.00



Statements of Operations *For the year ended December 31, 2012* *(Amounts in thousands)*	ELFUN INTERNATIONAL EQUITY FUND			ELFUN TRUSTS

INVESTMENT INCOME
Income:
Dividends	$	6,616		$	32,636
Interest		11			6
Interest from affiliated investments		3			28
Less: Foreign taxes withheld		(564	)		—
Total income		6,066			32,670
Expenses:
Advisory and administration fees		761			2,776
Blue Sky fees		12			14
Transfer agent fees		104			344
Custody and accounting expenses		152			78
Professional fees		26			37
Other expenses		73			198
Total expenses		1,128			3,447
Less: Fees waived by the adviser		(6	)		(51	)
Net expenses		1,122			3,396
Net investment income		4,944			29,274
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

Realized gain (loss) on:
Investments		(5,399	)		155,090
Futures		136			—
Foreign currency related transactions		(54	)		—

Increase (decrease) in unrealized appreciation (depreciation) on:
Investments		47,770			159,262
Futures		49			—
Foreign currency related transactions		(11	)		—
Net realized and unrealized gain (loss) on investments		42,491			314,352
Net increase in net assets resulting from operations	$	47,435		$	343,626



Statements of Changes in Net Assets *For the year ended* *December 31, 2012 and 2011 (Amounts in thousands)*	ELFUN INTERNATIONAL EQUITY FUND						ELFUN TRUSTS FUND

	2012			2011			2012			2011
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,944		$	6,796		$	29,274		$	18,893
Net realized gain (loss) on investments, futures and foreign currency related transactions		(5,317	)		(6,842	)		155,090			43,276
Net increase (decrease) in unrealized appreciation (depreciation) on investments, futures and foreign currency related transactions		47,808			(47,893	)		159,262			(37,997	)
Net increase (decrease) from operations		47,435			(47,939	)		343,626			24,172
Distributions to shareholders from:
Net investment income		(4,895	)		(6,736	)		(29,088	)		(18,959	)
Net realized gains		—			—			(154,897	)		(43,352	)
Return of capital		(12	)		(199	)		—			—
Total distributions		(4,907	)		(6,935	)		(183,985	)		(62,311	)
Increase (decrease) in net assets from operations and distributions		42,528			(54,874	)		159,641			(38,139	)
Share transactions:
Proceeds from sale of shares		3,744			11,753			30,935			38,252
Value of distributions reinvested		4,366			6,085			143,256			48,056
Cost of units redeemed		(30,482	)		(31,865	)		(160,966	)		(132,489	)
Net increase (decrease) from shares transactions		(22,372	)		(14,027	)		13,225			(46,181	)
Total increase (decrease) in net assets		20,156			(68,901	)		172,866			(84,320	)

NET ASSETS
Beginning of period		240,572			309,473			1,647,396			1,731,716
End of period	$	260,728		$	240,572		$	1,820,262		$	1,647,396
Undistributed (Distributions in Excess of) Net Investment Income (end of period)	$	—		$	(15	)	$	212		$	(69	)


CHANGES IN FUND SHARES

Shares sold		218			624			671			894
Issued for distribution reinvested		240			401			3,276			1,198

Shares redeemed		(1,806	)		(1,792	)		(3,460	)		(3,118	)
Net increase (decrease) in fund shares		(1,348	)		(767	)		487			(1,026	)


(Dollars in thousands)
Fund	Investments	Level 1			Level 2		Level 3		Total
Elfun International Equity Fund	Investments in Securities ^†
	Common Stock	$	11,238		$	237,309	$	—	$	248,547
	Preferred Stock		—			4,815		—		4,815
	Short-Term Investments		6,703			—		—		6,703


	Total Investments in Securities	$	17,941		$	242,124	$	—	$	260,065
	Other Financial Instruments *
	Futures Contracts — Unrealized Appreciation	$	145		$	—	$	—	$	145
	Futures Contracts — Unrealized Depreciation		(14	)		—		—		(14	)


	Total Other Financial Instruments	$	131		$	—	$	—	$	131
Elfun Trusts	Investments in Securities ^†
	Common Stock	$	1,768,581		$	—	$	—	$	1,768,581
	Short-Term Investments		51,166			—		—		51,166


	Total Investments in Securities	$	1,819,747		$	—	$	—	$	1,819,747


Elfun Money Market Fund	Corporates			Total
Balance at 12/31/11	$	3,501		$	3,501
Accrued discounts/premiums		(1	)		(1	)
Realized gain (loss)		—			—
Change in unrealized gain (loss)		100			100
Purchases		—			—
Sales		(3,600	)		(3,600	)
Issuances		—			—
Settlements		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance at 12/31/12	$	—		$	—
Change in unrealized depreciation relating to securities still held at 12/31/12	$	—		$	—


(Amounts in Thousands):	U.S. Government Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Elfun International Equity Fund	$	—	$	—	$	155,389	$	136,820
Elfun Trusts		—		—		188,125		351,429
Elfun Diversified Fund		227,214		216,744		108,233		140,265
Elfun Tax-Exempt Income Fund		—		—		562,794		497,108
Elfun Income Fund		1,135,624		1,091,971		170,459		220,478


(Amounts in thousands)
			Gross Unrealized Tax					Net Tax Appreciation/ (Depreciation)					Undistributed
Fund	Cost of Investments For Tax Purposes		Appreciation		Depreciation			Investments		Derivatives/ Currency			Income		Accumulated Capital Loss			Late-Year Losses
Elfun International Equity Fund	$	225,921	$	42,241	$	(8,097	)	$	34,144	$	145		$	—	$	(61,857	)	$	—
Elfun Trusts		1,310,222		541,446		(31,921	)		509,525		—			212		—			—
Elfun Diversified Fund		210,164		17,912		(3,569	)		14,343		(5	)		—		(2,062	)		—
Elfun Tax-Exempt Income Fund		1,634,226		158,802		(1,054	)		157,748		—			70		12			(90	)
Elfun Income Fund		418,448		8,608		(2,202	)		6,406		—			1,204		—			—
Elfun Money Market Fund		164,144		—		—			—		—			68		—			—


	Amounts (In thousands)
Fund	Short-Term		Long-Term		Expires
Elfun International Equity Fund	$	33,349	$	—		12/31/17
		13,483		—		12/31/18
		8,869		6,156		N/A
Elfun Diversified Fund		2,062		—		12/31/17


Fund (Amounts in thousands)	Amount
Elfun Diversified Fund	$	7,429
Elfun Tax-Exempt Income Fund		7,301
Elfun Money Market Fund		9


Fund (Amounts in thousands)	Capital		Ordinary
Elfun Tax-Exempt Income Fund	$	90	$	—


Fund (Amounts in thousands)	Exempt Interest		Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Elfun International Equity Fund	$	—	$	4,895	$	—	$	12	$	4,907
Elfun Trusts		—		29,234		154,751		—		183,985
Elfun Diversified Fund		—		3,892		—		—		3,892
Elfun Tax-Exempt Income Fund		72,267		2,220		2,493		—		76,980
Elfun Income Fund		—		18,842		—		—		18,842


Fund (In thousands)	Exempt Interest		Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Elfun International Equity Fund	$	—	$	6,736	$	—	$	199	$	6,935
Elfun Trusts		—		18,959		43,352		—		62,311
Elfun Diversified Fund		—		5,284		—		—		5,284
Elfun Tax-Exempt Income Fund		74,163		1,967		—		—		76,130
Elfun Income Fund		—		14,565		—		—		14,565
Elfun Money Market Fund		—		135		—		—		135


Fund (Amounts in thousands)	Undistributed Net Investment Income			Accumulated Net Realized Gain (Loss)			Capital paid In
Elfun International Equity Fund	$	(22	)	$	29		$	(7	)
Elfun Trusts		95			(99	)		4
Elfun Diversified Fund		141			(120	)		(21	)
Elfun Tax-Exempt Income Fund		70			(70	)		—
Elfun Income Fund		261			(261	)		—
Elfun Money Market Fund		—			77			(77	)


	Total Foreign Source Income		Total Foreign Taxes Paid
Elfun International Equity Fund	$	6,616,138	$	513,702


Fund	Gross Amount
Elfun Trusts	$	154,751,317
Elfun Tax-Exempt Income Fund		2,492,732


Fund	Qualified Dividend Income
Elfun International Equity Fund	$	4,907,346
Elfun Trusts		29,445,633
Elfun Diversified Fund		3,057,414


Fund name	Dividends Received Deduction
Elfun Trusts		100.00	%
Elfun Diversified Fund		50.96	%


• 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


FUND (CATEGORY)	NUMBER OF FUNDS IN CATEGORY	STAR RATING
*Elfun International Equity* — (Foreign Large Blend)
Overall	853
3 year	741
5 year	567
10 year	317
*Elfun Trusts* — (Large Growth)
Overall	1748
3 year	1477
5 year	1279
10 year	804
*Elfun Diversified* — (Moderate Allocation)
Overall	1019
3 year	843
5 year	736
10 year	393
*Elfun Tax-Exempt Income* — (Muni National Long)
Overall	250
3 year	227
5 year	211
10 year	181
*Elfun Income* — (Intermediate-Term Bond)
Overall	1238
3 year	1017
5 year	872
10 year	582


By:		/S/ DMITRI L. STOCKTON
		Dmitri L. Stockton
		Trustee, President and Chief Executive Officer, GE Asset Management Incorporated

Date:		February 27, 2013