Shareholder Report for Elfun Money Market Fund
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05904
Elfun Money
Market Fund
(Exact name of registrant as specified in charter)
1600 Summer Street
Stamford, Connecticut 06905
(Address of principal executive offices)(Zip code)
GE Asset
Management
1600 Summer Street
Stamford, Connecticut 06905
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: 12/31
Date of reporting period: 12/31/13
Item 1. Reports to Stockholders
Elfun Funds
Annual Report
December 31,
2013
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 represents past performance; past performance does not guarantee future results. Investment return and principal value
will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free 800-242-0134 or visit the Funds’ website at http://www.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.
©2014 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.
1
(Unaudited)
Ralph R. Layman
Executive Vice
President and
Chief Investment Officer Emeritus
Jonathan L. Passmore
Senior Vice
President
Michael J. Solecki
Senior Vice
President and Chief Investment Officer International Equities
The Elfun International Equity Fund is managed by a team of portfolio managers that includes Ralph R. Layman,
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 111.
| 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, 2013? |
| A. |
For the twelve-month period ended December 31, 2013, the Elfun International Equity Fund returned 21.81%. The MSCI EAFE Index, the Fund’s benchmark, returned 22.78% and the Fund’s Morningstar peer group of 818
Foreign Large Blend Funds returned an average of 19.29% over the same period. |
| Q. |
What factors affected the Fund’s performance? |
| A. |
International markets benefitted from improving economic trends and an increased appetite for risk on behalf of investors as fund flows into equities increased throughout the year. Central banks around the world
remained very
|
| |
accommodative in terms of their monetary policies including keeping interest rates very low, while any signs of inflation were generally absent. Economic data generally improved, albeit at a slow
pace, throughout the year which led to an improved investor outlook that global growth was in a synchronized uptrend. The exception was in emerging markets where even though the absolute level of gross domestic product (GDP) growth remained higher
than developed markets the rate of growth declined. While company earnings continued to increase throughout the year and provided a positive backdrop, a larger portion of the market’s returns was attributable to an expansion in the P/E
multiple. |
| Q. |
What were the primary drivers of Fund performance? |
| A. |
The majority of the Fund’s relative performance was due to stock selection with positive performance in seven out of the ten sectors. Stock selection was
particularly strong in the telecom, industrials, materials and healthcare sectors with additional contributions from holdings in the consumer discretionary, consumer staples and utilities sectors. Positive relative performance was also slightly
attributable to the Fund’s overweight in the IT sector as well as an underweight in the underperforming energy, utilities and staples sectors. The Fund’s holdings in the energy, IT and financials sectors detracted from performance. From a
|
2
(Unaudited)
| |
regional perspective the Pacific Basin and Japan were the strongest contributors to performance, while the Fund’s allocation to emerging markets and Canada detracted from performance.
|
| Q. |
Were there any significant changes to the Fund during the period? |
| A. |
There was some rotation amongst the Fund’s allocations over the past twelve months. The biggest absolute change to the Fund’s sector weights occurred in the materials, financial and consumer staples sectors.
The Fund decreased its holdings in the materials and consumer staples sectors and both sectors were an underweight allocation at year-end. The Fund’s weight increased in the financial sector, but the Fund remained its sector underweight as of
year-end. |
3
(Unaudited)
Understanding Your Fund’s Expenses
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, 2013.
Actual Expenses
The first section of the table
provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the
period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You
may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales
charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
July 1, 2013 –
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Account value at
the beginning of
the period ($) |
|
|
Account value
at the end of
the period ($) |
|
|
Expenses
paid during
the period ($)* |
|
|
|
|
|
| Actual Fund Return |
|
|
1,000.00 |
|
|
|
1,180.70 |
|
|
|
1.21 |
|
|
|
|
|
| Hypothetical 5% Return
(2.5% for the period) |
|
|
1,000.00 |
|
|
|
1,024.10 |
|
|
|
1.12 |
|
| * |
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.22%** (for the period July 1, 2013 – December 31, 2013), multiplied by the average account value over the period, multiplied by
184/365 (to reflect the one-half year period). |
| ** |
|
May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
4
(Unaudited)
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 objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common 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, 2013 (as a % of Fair Value)(b)(c)
|
|
|
|
|
| Toyota Motor Corp. |
|
|
2.94 |
% |
| Safran S.A. |
|
|
2.52 |
% |
| BNP Paribas S.A. |
|
|
2.45 |
% |
| Softbank Corp. |
|
|
2.30 |
% |
| AIA Group Ltd. |
|
|
2.26 |
% |
| HSBC Holdings PLC |
|
|
2.15 |
% |
| Roche Holding AG |
|
|
2.15 |
% |
| GlaxoSmithKline PLC |
|
|
2.07 |
% |
| Volkswagen AG |
|
|
2.05 |
% |
| Linde AG |
|
|
2.03 |
% |
Sector Allocation
as a % of Fair Value of $306,292 (in thousands) on December 31, 2013(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
| Number of funds in peer group |
|
|
818 |
|
|
|
731 |
|
|
|
500 |
|
| Peer group average annual total return |
|
|
19.29 |
% |
|
|
11.89 |
% |
|
|
6.41 |
% |
| Morningstar Category in peer group: Foreign Large Blend
|
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Inception date: 01/01/88) |
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
|
Ending value of a
$10,000
investment (a) |
|
|
|
|
|
|
| Elfun International
Equity Fund |
|
|
21.81% |
|
|
|
10.81% |
|
|
|
7.37% |
|
|
|
$20,369 |
|
|
|
|
|
|
| MSCI EAFE Index |
|
|
22.78% |
|
|
|
12.44% |
|
|
|
6.91% |
|
|
|
$19,509 |
|
| (a) |
Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest
as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| (c) |
Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
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.
5
|
|
|
| Elfun International Equity Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stock — 94.4%† |
|
| Australia — 1.0% |
|
|
|
|
| Brambles Ltd. |
|
|
77,295 |
|
|
$ |
632,740 |
|
|
|
| CSL Ltd. |
|
|
38,356 |
|
|
|
2,366,375 |
|
|
|
|
|
|
|
|
|
|
2,999,115 |
|
|
|
|
| Belgium — 0.9% |
|
|
|
|
| Anheuser-Busch InBev N.V. |
|
|
26,279 |
|
|
|
2,797,672 |
|
|
|
|
| Canada — 1.9% |
|
|
|
|
| Brookfield Asset Management Inc. |
|
|
36,164 |
|
|
|
1,402,993 |
|
|
|
| Cameco Corp. |
|
|
114,903 |
|
|
|
2,383,494 |
|
|
|
| Cenovus Energy Inc. |
|
|
69,743 |
|
|
|
1,995,470 |
|
|
|
|
|
|
|
|
|
|
5,781,957 |
|
|
|
|
| China — 1.9% |
|
|
|
|
| Baidu Inc. ADR |
|
|
32,450 |
|
|
|
5,772,206 |
|
|
(a) |
|
| France — 14.9% |
|
|
|
|
| AXA S.A. |
|
|
158,649 |
|
|
|
4,418,114 |
|
|
|
| BNP Paribas S.A. |
|
|
96,062 |
|
|
|
7,498,680 |
|
|
|
| Cap Gemini S.A. |
|
|
23,776 |
|
|
|
1,609,603 |
|
|
|
| Essilor International S.A. |
|
|
25,599 |
|
|
|
2,725,985 |
|
|
|
| European Aeronautic Defence and Space Company N.V. |
|
|
55,320 |
|
|
|
4,254,294 |
|
|
|
| Safran S.A. |
|
|
111,003 |
|
|
|
7,725,834 |
|
|
|
| Sanofi |
|
|
47,179 |
|
|
|
5,013,593 |
|
|
|
| Schneider Electric S.A. |
|
|
34,561 |
|
|
|
3,019,318 |
|
|
|
| Technip S.A. |
|
|
37,986 |
|
|
|
3,656,667 |
|
|
|
| Total S.A. |
|
|
61,659 |
|
|
|
3,783,402 |
|
|
|
| Vallourec S.A. |
|
|
38,928 |
|
|
|
2,124,177 |
|
|
|
|
|
|
|
|
|
|
45,829,667 |
|
|
|
|
| Germany — 8.7% |
|
|
|
|
| Bayer AG |
|
|
36,095 |
|
|
|
5,070,696 |
|
|
|
| Deutsche Bank AG |
|
|
56,582 |
|
|
|
2,703,510 |
|
|
|
| Fresenius SE & Company KGaA |
|
|
21,319 |
|
|
|
3,278,418 |
|
|
|
| HeidelbergCement AG |
|
|
52,324 |
|
|
|
3,976,306 |
|
|
|
| Linde AG |
|
|
29,734 |
|
|
|
6,229,785 |
|
|
|
| SAP AG |
|
|
65,058 |
|
|
|
5,585,882 |
|
|
|
|
|
|
|
|
|
|
26,844,597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 2.3% |
|
|
|
|
| AIA Group Ltd. |
|
|
1,379,708 |
|
|
$
|
6,921,895 |
|
|
|
|
| India — 1.5% |
|
|
|
|
| ICICI Bank Ltd. |
|
|
197,761 |
|
|
|
3,510,494 |
|
|
|
| Power Grid Corporation of India Ltd. |
|
|
613,561 |
|
|
|
989,950 |
|
|
|
|
|
|
|
|
|
|
4,500,444 |
|
|
|
|
| Italy — 1.4% |
|
|
|
|
| Intesa Sanpaolo S.p.A. |
|
|
719,391 |
|
|
|
1,778,364 |
|
|
|
| Luxottica Group S.p.A. |
|
|
46,832 |
|
|
|
2,513,527 |
|
|
|
|
|
|
|
|
|
|
4,291,891 |
|
|
|
|
| Japan — 24.3% |
|
|
|
|
| Astellas Pharma Inc. |
|
|
26,935 |
|
|
|
1,596,547 |
|
|
|
| Bridgestone Corp. |
|
|
66,908 |
|
|
|
2,533,598 |
|
|
|
| East Japan Railway Co. |
|
|
24,900 |
|
|
|
1,985,272 |
|
|
|
| FANUC Corp. |
|
|
21,700 |
|
|
|
3,974,359 |
|
|
|
| Fast Retailing Company Ltd. |
|
|
6,466 |
|
|
|
2,669,943 |
|
|
|
| JGC Corp. |
|
|
43,985 |
|
|
|
1,726,256 |
|
|
|
| Kubota Corp. |
|
|
116,000 |
|
|
|
1,919,262 |
|
|
|
| Mazda Motor Corp. |
|
|
366,000 |
|
|
|
1,894,334 |
|
|
(a) |
| Mitsubishi Estate Company Ltd. |
|
|
127,000 |
|
|
|
3,800,152 |
|
|
|
| Mitsubishi Heavy Industries Ltd. |
|
|
118,000 |
|
|
|
730,869 |
|
|
|
| Mitsubishi UFJ Financial Group Inc. |
|
|
730,900 |
|
|
|
4,826,075 |
|
|
|
| Mitsui Fudosan Company Ltd. |
|
|
153,624 |
|
|
|
5,532,247 |
|
|
|
| Murata Manufacturing Company Ltd. |
|
|
50,797 |
|
|
|
4,514,000 |
|
|
|
| Rakuten Inc. |
|
|
341,697 |
|
|
|
5,084,574 |
|
|
|
| Softbank Corp. |
|
|
80,301 |
|
|
|
7,028,868 |
|
|
|
| Sumitomo Mitsui Financial Group Inc. |
|
|
81,400 |
|
|
|
4,197,593 |
|
|
|
| Tokio Marine Holdings Inc. |
|
|
167,300 |
|
|
|
5,594,972 |
|
|
|
| Toyota Motor Corp. |
|
|
147,482 |
|
|
|
9,008,462 |
|
|
|
| Unicharm Corp. |
|
|
103,800 |
|
|
|
5,925,503 |
|
|
|
|
|
|
|
|
|
|
74,542,886 |
|
|
|
|
| Netherlands — 2.5% |
|
|
|
|
| ASML Holding N.V. |
|
|
31,088 |
|
|
|
2,914,677 |
|
|
|
| ING Groep N.V. |
|
|
346,183 |
|
|
|
4,817,929 |
|
|
(a) |
|
|
|
|
|
|
|
7,732,606 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
6
|
|
|
| Elfun International Equity Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Norway — 1.2% |
|
|
|
|
| Subsea 7 S.A. |
|
|
186,560 |
|
|
$
|
3,570,159 |
|
|
|
|
| South Korea — 1.1% |
|
|
|
|
| Samsung Electronics Company Ltd. |
|
|
2,498 |
|
|
|
3,247,507 |
|
|
|
|
| Sweden — 4.8% |
|
|
|
|
| Assa Abloy AB |
|
|
61,962 |
|
|
|
3,278,219 |
|
|
|
| Hexagon AB |
|
|
78,029 |
|
|
|
2,469,918 |
|
|
|
| Svenska Cellulosa AB SCA |
|
|
93,455 |
|
|
|
2,881,090 |
|
|
|
| Telefonaktiebolaget LM Ericsson |
|
|
503,014 |
|
|
|
6,148,071 |
|
|
|
|
|
|
|
|
|
|
14,777,298 |
|
|
|
|
| Switzerland — 6.1% |
|
|
|
|
| ABB Ltd. |
|
|
76,852 |
|
|
|
2,028,993 |
|
|
(a) |
| Givaudan S.A. |
|
|
1,101 |
|
|
|
1,577,190 |
|
|
(a) |
| Nestle S.A. |
|
|
51,606 |
|
|
|
3,789,140 |
|
|
|
| Roche Holding AG |
|
|
23,488 |
|
|
|
6,581,447 |
|
|
|
| Syngenta AG |
|
|
3,976 |
|
|
|
1,587,986 |
|
|
|
| The Swatch Group AG |
|
|
4,838 |
|
|
|
3,206,837 |
|
|
|
|
|
|
|
|
|
|
18,771,593 |
|
|
|
|
| Taiwan — 1.3% |
|
|
|
|
| Taiwan Semiconductor Manufacturing Company Ltd. |
|
|
1,125,400 |
|
|
|
3,983,750 |
|
|
|
| Taiwan Semiconductor Manufacturing Company
Ltd. ADR |
|
|
4,615 |
|
|
|
80,486 |
|
|
|
|
|
|
|
|
|
|
4,064,236 |
|
|
|
|
| United Kingdom — 18.6% |
|
|
|
|
| Aggreko PLC |
|
|
27,344 |
|
|
|
773,980 |
|
|
|
| Barclays PLC |
|
|
1,257,070 |
|
|
|
5,662,055 |
|
|
|
| BHP Billiton PLC |
|
|
118,342 |
|
|
|
3,663,311 |
|
|
(h) |
| Capita PLC |
|
|
160,653 |
|
|
|
2,761,924 |
|
|
|
| Diageo PLC |
|
|
159,246 |
|
|
|
5,275,020 |
|
|
|
| Experian PLC |
|
|
117,411 |
|
|
|
2,166,305 |
|
|
|
| GlaxoSmithKline PLC |
|
|
237,870 |
|
|
|
6,348,857 |
|
|
|
| HSBC Holdings PLC |
|
|
600,461 |
|
|
|
6,587,653 |
|
|
|
| International Consolidated Airlines Group S.A. |
|
|
424,011 |
|
|
|
2,818,903 |
|
|
(a) |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kingfisher PLC |
|
|
321,145 |
|
|
$
|
2,046,204 |
|
|
|
| National Grid PLC |
|
|
209,462 |
|
|
|
2,733,739 |
|
|
|
| Persimmon PLC |
|
|
77,441 |
|
|
|
1,589,161 |
|
|
(a) |
| Prudential PLC |
|
|
176,555 |
|
|
|
3,918,415 |
|
|
|
| Rio Tinto PLC |
|
|
38,709 |
|
|
|
2,185,890 |
|
|
|
| Royal Dutch Shell PLC |
|
|
1,674 |
|
|
|
59,971 |
|
|
|
| Vodafone Group PLC |
|
|
1,432,692 |
|
|
|
5,623,760 |
|
|
(a) |
| WPP PLC |
|
|
132,908 |
|
|
|
3,037,776 |
|
|
|
|
|
|
|
|
|
|
57,252,924 |
|
|
|
|
|
|
|
| Total Common Stock
(Cost $223,906,576) |
|
|
|
|
|
|
289,698,653 |
|
|
|
| Preferred Stock — 2.0% |
|
| Germany — 2.0% |
|
|
|
|
| Volkswagen AG
(Cost $4,285,576) |
|
|
22,353 |
|
|
|
6,288,087 |
|
|
|
|
|
|
|
| Total Investments in Securities
(Cost $228,192,152) |
|
|
|
|
|
|
295,986,740 |
|
|
|
| Short-Term Investments — 3.4% |
|
|
|
|
|
|
|
|
|
|
|
| GE Institutional Money Market Fund —
Investment Class
0.00% |
|
|
|
|
|
|
|
|
|
|
| (Cost $10,305,282) |
|
|
|
|
|
|
10,305,282 |
|
|
(d,k) |
|
|
|
|
| Total Investments
(Cost $238,497,434) |
|
|
|
|
|
|
306,292,022 |
|
|
|
|
|
|
|
| Other Assets and Liabilities,
net — 0.2% |
|
|
|
|
|
|
629,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
|
|
|
$ |
306,921,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
7
|
|
|
| Elfun International Equity Fund |
|
December 31, 2013 |
Other Information:
The Fund
had the following long futures contracts open at December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
Number
of
Contracts |
|
|
Current
Notional
Value |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
| EURO Stoxx 50 Index Futures |
|
March 2014 |
|
|
31 |
|
|
$ |
1,327,627 |
|
|
$ |
69,603 |
|
|
|
|
|
|
| FTSE 100 Index Futures |
|
March 2014 |
|
|
28 |
|
|
|
3,105,963 |
|
|
|
115,808 |
|
|
|
|
|
|
| Topix Index Futures |
|
March 2014 |
|
|
17 |
|
|
|
2,106,703 |
|
|
|
81,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
266,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund was invested in the following sectors at December 31, 2013 (unaudited):
|
|
|
|
|
| Sector |
|
Percentage
(based on
Fair Value) |
|
| Diversified Financial Services |
|
|
12.69% |
|
| Pharmaceuticals |
|
|
8.04% |
|
| Automobile Manufacturers |
|
|
5.61% |
|
| Wireless Telecommunication Services |
|
|
4.13% |
|
| Aerospace & Defense |
|
|
3.91% |
|
| Life & Health Insurance |
|
|
3.54% |
|
| Diversified Real Estate Activities |
|
|
3.51% |
|
| Household Products |
|
|
2.88% |
|
| Electrical Components & Equipment |
|
|
2.46% |
|
| Semiconductors |
|
|
2.39% |
|
| Oil & Gas Equipment & Services |
|
|
2.36% |
|
| Industrial Machinery |
|
|
2.23% |
|
| Industrial Gases |
|
|
2.03% |
|
| Communications Equipment |
|
|
2.01% |
|
| Diversified Metals & Mining |
|
|
1.91% |
|
| Integrated Oil & Gas |
|
|
1.91% |
|
| Internet Software & Services |
|
|
1.88% |
|
| Apparel, Accessories & Luxury Goods |
|
|
1.87% |
|
| Property & Casualty Insurance |
|
|
1.83% |
|
| Application Software |
|
|
1.82% |
|
|
|
|
|
|
| Distillers & Vintners |
|
|
1.72% |
|
| Internet Retail |
|
|
1.66% |
|
| Multi-Line Insurance |
|
|
1.44% |
|
| Construction Materials |
|
|
1.30% |
|
| Packaged Foods & Meats |
|
|
1.24% |
|
| Healthcare Services |
|
|
1.07% |
|
| Building Products |
|
|
1.07% |
|
| Advertising |
|
|
0.99% |
|
| Semiconductor Equipment |
|
|
0.95% |
|
| Airlines |
|
|
0.92% |
|
| Brewers |
|
|
0.91% |
|
| Human Resource & Employment Services |
|
|
0.90% |
|
| Multi-Utilities |
|
|
0.89% |
|
| Healthcare Supplies |
|
|
0.89% |
|
| Diversified Capital Markets |
|
|
0.88% |
|
| Apparel Retail |
|
|
0.87% |
|
| Tires & Rubber |
|
|
0.83% |
|
| Electronic Equipment & Instruments |
|
|
0.81% |
|
| Coal & Consumable Fuels |
|
|
0.78% |
|
| Biotechnology |
|
|
0.77% |
|
| Research & Consulting Services |
|
|
0.71% |
|
| Home Improvement Retail |
|
|
0.67% |
|
| Heavy Electrical Equipment |
|
|
0.66% |
|
| Railroads |
|
|
0.65% |
|
| Construction & Farm Machinery |
|
|
0.63% |
|
| Construction & Engineering |
|
|
0.56% |
|
| IT Consulting & Other Services |
|
|
0.53% |
|
| Home Building |
|
|
0.52% |
|
| Fertilizers & Agricultural Chemicals |
|
|
0.52% |
|
| Specialty Chemicals |
|
|
0.51% |
|
| Diversified Support Services |
|
|
0.46% |
|
| Electric Utilities |
|
|
0.32% |
|
|
|
|
|
|
|
|
|
96.64% |
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments |
|
Percentage
(based on
Fair Value) |
|
| Short-Term Investments |
|
|
3.36% |
|
|
|
|
|
|
|
|
|
3.36% |
|
|
|
|
|
|
|
|
|
100.00% |
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
8
(Unaudited)
David B. Carlson
Chief Investment
Officer — U.S. Equities
The Elfun Trusts is managed by David B. Carlson. See portfolio managers’ biographical information beginning on
page 111.
| Q. |
How did the Elfun Trusts fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2013? |
| A. |
For the twelve-month period ended December 31, 2013, the Elfun Trusts (the “Fund”) returned 34.98%. The S&P 500® Index (S&P 500 Index), the
Fund’s benchmark, returned 32.39% and the Fund’s Morningstar peer group of 1,770 U.S. Large Cap Growth Funds returned an average of 33.87% over the same period. |
| Q. |
What market factors affected the Fund’s performance? |
| A. |
Last year’ s 32% return for the S&P 500, the best return since 1997, was interesting due to the fact that economic growth and corporate profit growth was fairly modest, and in line with expectations at the
start of the year. S&P 500 profit growth was approximately 6%, but investors were willing to pay more for those earnings. Within the market, the more cyclical sectors, consumer-discretionary and industrials, outperformed the market and the
defensive sectors, utilities and telecomm, lagged. Also helping the equity market was a shift in investor flows as bond funds saw redemptions and equity funds saw inflows.
|
| Q. |
What were the primary drivers of Fund performance? |
| A. |
Elfun Trusts was positioned well for the sector performance evident last year. The best performing sector was consumer-discretionary (mostly retail and media) with a 43% return. Elfun Trusts was overweighted in this
sector and saw strong performance in holdings such as Liberty Global (cable TV), Las Vegas Sands (gaming) and Lowe’s (retail). Healthcare was another strong sector with a return of 42% and the Fund’s standout performer here was Gilead
Sciences. |
| |
The Fund’s biggest detractor to performance was its overweight in the technology sector, which lagged the market with a 28% return. Several of the Fund’s large tech holdings such as EBay, Qualcomm, EMC and
Apple all lagged the market return. The two worst performing sectors last year were telecomm, up 12% and utilities, up 13%. Elfun Trusts benefitted by having no holdings in these sectors. Since coming out of the financial crisis of 2008-09, we have
favored a pro-cyclical tilt and an underweight in the defensive sectors. We start the new year with a continuation of that emphasis. |
| Q. |
Were there any significant changes to the Fund during the period? |
| A. |
Changes to the Fund were modest and ended the year with 49 names in the Fund, up a few names from the start of the year. Once again, portfolio turnover remained low
coming in at 12% for the year. We continue to have a long term |
9
(Unaudited)
| |
time horizon and a growth tilt with our equity holdings. Technology is the largest sector in the Fund at 26% compared with a 19% weight in the benchmark. Within technology, the Fund is tilted
towards internet and software companies and underweighted in hardware related companies. The Fund continues a long standing overweight in the consumer discretionary sector with representation in the media and retail industries. Healthcare is also an
overweight with emphasis in biotech, pharma and medical devices. |
| |
Our common theme in all of the Fund’s holdings is a focus on industry leading companies with above-average growth and financial strength. As this economic expansion and market cycle age, we believe growth will slow
and companies with strong organic growth will be prized. We believe our stock selection positions the Fund well for the market environment we see ahead. |
10
(Unaudited)
Understanding Your Fund’s Expenses
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, 2013.
Actual Expenses
The first section of the table
provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading
“Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You
may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales
charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
July 1, 2013 –
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Account value at
the beginning of
the period ($) |
|
|
Account value
at the end of
the period ($) |
|
|
Expenses
paid during
the period ($)* |
|
|
|
|
|
| Actual Fund Return |
|
|
1,000.00 |
|
|
|
1,194.00 |
|
|
|
0.72 |
|
|
|
|
|
| Hypothetical 5% Return
(2.5% for the period) |
|
|
1,000.00 |
|
|
|
1,024.55 |
|
|
|
0.66 |
|
| * |
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.13%** (for the period July 1, 2013 – December 31, 2013), multiplied by the average account value over the period, multiplied by
184/365 (to reflect the one-half year period). |
| ** |
|
May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
11
(Unaudited)
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
objectives by investing in equity securities of U.S. companies, such as common and preferred stocks.
Top Ten Largest Holdings
as of December 31,
2013 (as a % of Fair Value)(b)(c)
|
|
|
|
|
| Gilead Sciences Inc. |
|
|
4.46% |
|
| Express Scripts Holding Co. |
|
|
4.38% |
|
| QUALCOMM Inc. |
|
|
4.32% |
|
| Schlumberger Ltd. |
|
|
4.07% |
|
| Baidu Inc. ADR |
|
|
4.06% |
|
| CME Group Inc. |
|
|
3.72% |
|
| State Street Corp. |
|
|
3.63% |
|
| Monsanto Co. |
|
|
3.61% |
|
| PepsiCo Inc. |
|
|
3.50% |
|
| Lowe’s Companies Inc. |
|
|
3.41% |
|
Sector Allocation
as a % of Fair Value of $2,322,957 (in thousands) on December 31, 2013(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
| Number of funds in peer group |
|
|
1,770 |
|
|
|
1,547 |
|
|
|
1,333 |
|
| Peer group average annual total return |
|
|
33.87 |
% |
|
|
18.59 |
% |
|
|
6.80 |
% |
| Morningstar Category in peer group: Large Cap Growth Funds |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Inception date: 5/27/35) |
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
|
Ending value of a
$10,000
investment (a) |
|
|
|
|
|
|
| Elfun Trusts |
|
|
34.98% |
|
|
|
20.17% |
|
|
|
7.81% |
|
|
|
$21,208 |
|
|
|
|
|
|
| S&P 500 Index |
|
|
32.39% |
|
|
|
17.94% |
|
|
|
7.40% |
|
|
|
$20,429 |
|
| (a) |
Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest
as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| (c) |
Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
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.
12
|
|
|
| Elfun Trusts |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stock — 96.7%† |
|
|
|
|
|
|
|
|
| Air Freight & Logistics — 1.9% |
|
|
|
|
| United Parcel Service Inc. |
|
|
430,000 |
|
|
$ |
45,184,400 |
|
|
|
|
| Application Software — 1.6% |
|
|
|
|
| Intuit Inc. |
|
|
500,000 |
|
|
|
38,160,000 |
|
|
|
|
| Asset Management & Custody Banks — 3.6% |
|
|
|
|
| State Street Corp. |
|
|
1,150,000 |
|
|
|
84,398,500 |
|
|
(e) |
|
| Automotive Retail — 0.4% |
|
|
|
|
| AutoZone Inc. |
|
|
20,000 |
|
|
|
9,558,800 |
|
|
(a) |
|
| Biotechnology — 6.2% |
|
|
|
|
| Alexion Pharmaceuticals Inc. |
|
|
60,000 |
|
|
|
7,983,600 |
|
|
(a) |
| Amgen Inc. |
|
|
280,000 |
|
|
|
31,964,800 |
|
|
|
| Gilead Sciences Inc. |
|
|
1,380,000 |
|
|
|
103,707,000 |
|
|
(a) |
|
|
|
|
|
|
|
143,655,400 |
|
|
|
|
| Broadcasting — 2.1% |
|
|
|
|
| Discovery Communications Inc. |
|
|
570,000 |
|
|
|
47,800,200 |
|
|
(a) |
|
| Cable & Satellite — 6.5% |
|
|
|
|
| Comcast Corp., Special Class A |
|
|
1,250,000 |
|
|
|
62,350,000 |
|
|
|
| Liberty Global PLC |
|
|
940,000 |
|
|
|
79,260,800 |
|
|
(a) |
| Sirius XM Holdings Inc. |
|
|
3,000,000 |
|
|
|
10,470,000 |
|
|
(a) |
|
|
|
|
|
|
|
152,080,800 |
|
|
|
|
| Casinos & Gaming — 1.2% |
|
|
|
|
| Las Vegas Sands Corp. |
|
|
350,000 |
|
|
|
27,604,500 |
|
|
|
|
| Communications Equipment — 5.2% |
|
|
|
|
| Cisco Systems Inc. |
|
|
900,000 |
|
|
|
20,205,000 |
|
|
|
| QUALCOMM Inc. |
|
|
1,350,000 |
|
|
|
100,237,500 |
|
|
|
|
|
|
|
|
|
|
120,442,500 |
|
|
|
|
| Computer Hardware — 2.9% |
|
|
|
|
| Apple Inc. |
|
|
120,000 |
|
|
|
67,333,200 |
|
|
|
|
| Computer Storage & Peripherals — 2.7% |
|
|
|
|
| EMC Corp. |
|
|
2,500,000 |
|
|
|
62,875,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Data Processing & Outsourced Services — 4.7% |
|
|
|
|
| Automatic Data Processing Inc. |
|
|
200,000 |
|
|
$
|
16,162,000 |
|
|
|
| Paychex Inc. |
|
|
375,000 |
|
|
|
17,073,750 |
|
|
|
| Visa Inc. |
|
|
340,000 |
|
|
|
75,711,200 |
|
|
|
|
|
|
|
|
|
|
108,946,950 |
|
|
|
|
| Diversified Financial Services — 2.9% |
|
|
|
|
| JPMorgan Chase & Co. |
|
|
1,150,000 |
|
|
|
67,252,000 |
|
|
|
|
| Environmental & Facilities Services — 0.2% |
|
|
|
|
| Stericycle Inc. |
|
|
45,000 |
|
|
|
5,227,650 |
|
|
(a) |
|
| Fertilizers & Agricultural Chemicals — 3.6% |
|
|
|
|
| Monsanto Co. |
|
|
720,000 |
|
|
|
83,916,000 |
|
|
|
|
| Healthcare Equipment — 3.0% |
|
|
|
|
| Abbott Laboratories |
|
|
200,000 |
|
|
|
7,666,000 |
|
|
|
| Covidien PLC |
|
|
900,000 |
|
|
|
61,290,000 |
|
|
|
|
|
|
|
|
|
|
68,956,000 |
|
|
|
|
| Healthcare Services — 4.4% |
|
|
|
|
| Express Scripts Holding Co. |
|
|
1,450,000 |
|
|
|
101,848,000 |
|
|
(a) |
|
| Healthcare Supplies — 0.6% |
|
|
|
|
| DENTSPLY International Inc. |
|
|
300,000 |
|
|
|
14,544,000 |
|
|
|
|
| Home Improvement Retail — 3.4% |
|
|
|
|
| Lowe’s Companies Inc. |
|
|
1,600,000 |
|
|
|
79,280,000 |
|
|
|
|
| Industrial Gases — 0.8% |
|
|
|
|
| Praxair Inc. |
|
|
150,000 |
|
|
|
19,504,500 |
|
|
|
|
| Industrial Machinery — 3.3% |
|
|
|
|
| Dover Corp. |
|
|
800,000 |
|
|
|
77,232,000 |
|
|
|
|
| Integrated Oil & Gas — 1.9% |
|
|
|
|
| Chevron Corp. |
|
|
350,000 |
|
|
|
43,718,500 |
|
|
|
|
| Internet Retail — 1.7% |
|
|
|
|
| Amazon.com Inc. |
|
|
100,000 |
|
|
|
39,879,000 |
|
|
(a) |
|
| Internet Software & Services — 9.2% |
|
|
|
|
| Baidu Inc. ADR |
|
|
530,000 |
|
|
|
94,276,400 |
|
|
(a) |
| eBay Inc. |
|
|
1,400,000 |
|
|
|
76,846,000 |
|
|
(a) |
| Google Inc. |
|
|
38,000 |
|
|
|
42,586,980 |
|
|
(a) |
|
|
|
|
|
|
|
213,709,380 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
13
|
|
|
| Elfun Trusts |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Banking & Brokerage — 2.4% |
|
|
|
|
| The Charles Schwab Corp. |
|
|
400,000 |
|
|
$
|
10,400,000 |
|
|
|
| The Goldman Sachs Group Inc. |
|
|
260,000 |
|
|
|
46,087,600 |
|
|
|
|
|
|
|
|
|
|
56,487,600 |
|
|
|
|
| Movies & Entertainment — 0.5% |
|
|
|
|
| The Walt Disney Co. |
|
|
150,000 |
|
|
|
11,460,000 |
|
|
|
|
| Oil & Gas Equipment & Services — 4.1% |
|
|
|
|
| Schlumberger Ltd. |
|
|
1,050,000 |
|
|
|
94,615,500 |
|
|
|
|
| Oil & Gas Exploration & Production — 1.1% |
|
|
|
|
| Anadarko Petroleum Corp. |
|
|
330,000 |
|
|
|
26,175,600 |
|
|
|
|
| Pharmaceuticals — 2.5% |
|
|
|
|
| Johnson & Johnson |
|
|
480,000 |
|
|
|
43,963,200 |
|
|
|
| Merck & Company Inc. |
|
|
100,000 |
|
|
|
5,005,000 |
|
|
|
| Pfizer Inc. |
|
|
300,000 |
|
|
|
9,189,000 |
|
|
|
|
|
|
|
|
|
|
58,157,200 |
|
|
|
|
| Reinsurance — 0.4% |
|
|
|
|
| Alleghany Corp. |
|
|
25,000 |
|
|
|
9,999,000 |
|
|
(a) |
|
| Soft Drinks — 3.5% |
|
|
|
|
| PepsiCo Inc. |
|
|
980,000 |
|
|
|
81,281,200 |
|
|
|
|
| Specialized Finance — 4.2% |
|
|
|
|
| CME Group Inc. |
|
|
1,100,000 |
|
|
|
86,306,000 |
|
|
|
| McGraw Hill Financial Inc. |
|
|
150,000 |
|
|
|
11,730,000 |
|
|
|
|
|
|
|
|
|
|
98,036,000 |
|
|
|
|
| Specialized REITs — 2.1% |
|
|
|
|
| American Tower Corp. |
|
|
600,000 |
|
|
|
47,892,000 |
|
|
|
|
| Specialty Chemicals — 0.1% |
|
|
|
|
| Rockwood Holdings Inc. |
|
|
30,000 |
|
|
|
2,157,600 |
|
|
|
|
| Specialty Stores — 1.8% |
|
|
|
|
| Dick’s Sporting Goods Inc. |
|
|
700,000 |
|
|
|
40,670,000 |
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,251,876,413) |
|
|
|
|
|
|
2,250,038,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasuries — 0.2% |
|
|
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
| 0.08% 01/09/14 |
|
|
|
|
|
|
|
|
|
|
| (Cost $5,999,900) |
|
$ |
6,000,000 |
|
|
$ |
5,999,900 |
|
|
(d) |
|
|
|
|
| Total Investments in Securities
(Cost $1,257,876,313) |
|
|
|
|
|
|
2,256,038,880 |
|
|
|
| Short-Term Investments — 2.9% |
|
|
|
|
|
|
|
| GE Institutional Money Market Fund — Investment Class
0.00%
(Cost $66,918,172) |
|
|
|
|
|
|
66,918,172 |
|
|
(d,k) |
|
|
|
|
| Total Investments
(Cost $1,324,794,485) |
|
|
|
|
|
|
2,322,957,052 |
|
|
|
|
|
|
|
| Other Assets and Liabilities,
net — 0.2% |
|
|
|
|
|
|
3,990,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
|
|
|
$ |
2,326,947,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
14
(Unaudited)
Greg Hartch
Executive Vice President
and Strategy and Business Development Leader
David Wiederecht
President and
Chief Investment
Officer — Investment Solutions
Jeffrey Palma
Senior Vice President
—
Tactical Asset Allocation — Investment Solutions
The Elfun Diversified Fund is managed by a team of portfolio managers that includes Greg Hartch*, Jeffrey Palma and
David Wiederecht. Messrs. Hartch, Palma and 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 111.
| * |
Effective February 6, 2014 Mr. Hartch relinquished his role as a portfolio manager for the Fund and will serve as GE Asset Management’s Chief Risk Officer. |
| Q. |
How did the Elfun Diversified Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2013? |
| A. |
For the twelve-month period ended December 31, 2013, the Elfun Diversified Fund returned 16.79%. 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 32.39%, 15.29%, and -2.02%, respectively. The Fund’s Morningstar peer group of 903 U.S. Moderate Allocation funds returned an
average of 16.10% over the same period. |
| Q. |
What market factors affected the Fund’s performance? |
| A. |
Against the still-challenging macro backdrop of the road to recovery from the financial crisis, 2013 proved to be another year of robust returns in global equity markets (aside from emerging markets, which lagged
considerably). U.S. equities surged by over 30% and global equities were up by over 20%. Risk asset performance produced strong returns in equity and credit markets as well as peripheral European bonds as credit spreads moved tighter and yields of
peripheral European bonds moved sharply lower - back to pre-crisis levels. Government bond yields in the U.S. and ‘core’ Europe moved higher, consistent with the notion that the worst is over from risk, policy, and growth perspectives. The
government shutdown and debt ceiling battle in Washington, DC did not cause lasting damage to growth early in the fourth quarter of 2013 and economic data has continued to suggest that the recovery is improving. Meanwhile, the Federal Open Market
Committee announced their decision to begin to ‘taper’ asset purchases in January by $10 billion, consistent with improving economic momentum. |
| |
This apparent contradiction between actual economic trends and outcomes in financial markets allows for a range of interpretations. However, several issues help
to explain this paradox. First, the absence of bad news has been interpreted as good news given a perceived decline in ‘tail risk’. The U.S.
|
15
(Unaudited)
| |
fiscal cliff, turmoil in the Middle East, German elections, the U.S. government shutdown, and U.S. debt ceiling debate were all events that likely would have destabilized the economy and markets
in recent years, yet none left a lasting impact in 2013. Second, the U.S. economy has shown signs of improvement, albeit modest ones. Indeed, real GDP growth in the U.S. registered only 2% to 2½% in 2013. Significantly though, this outcome came
against a backdrop of a fiscal drag from tax hikes and sequestration of 1% to 1½%. Moreover, housing showed signs of growth in activity and prices, while the ISM index reached a multi-year high. However, we believe one of the key underpinnings
for a sustainable recovery is a faster pace of employment and capital expenditure growth. Indeed, these factors, which need to be driven by a more active corporate sector, are critical for the economy’s ability to accelerate from current
levels. Finally, global central banks continued to provide significant accommodation in their respective policies. The clear desire for global monetary support (even in the face of the ‘tapering’ of Fed asset purchases) has supported risk
appetites. |
| |
In 2013, Europe appeared to have exited its recession a bit sooner than expected, though overall activity in the region remained weak. Growth in Europe of around 1% helped take some, though not all, pressure off of
government budgets and sovereign bond markets. In Japan, where policy took center stage last year, more work is needed. However, growth and expectations have improved dramatically. Finally, growth in China was around 7.5% – a slower rate than
has been the case in recent years. Given China’s more advanced economic and credit cycles, there is significant focus on the ability to manage this slowdown safely.
|
| |
The dominant driver of returns in equity markets over the last two years has been a rise in the PE multiple – a natural consequence of robust returns and modest earnings growth. As a result, equity markets are in a
somewhat unusual position compared to the last five years in that valuations are no longer below long-term averages. Instead, markets have moved from being ‘cheap’ to ‘fair value’. Valuations in non-U.S. equity markets have
converged closer to the U.S. as strong returns have come against a backdrop of softer earnings. |
| |
From the lows in bond yields registered in early May 2013, the rise in 10-year Treasury interest rates in the U.S. (more than 140 basis points) has been substantial. The main driver of this move has been the expectation
for Fed tapering which, as noted above, was announced at the December FOMC meeting. Corporate bond markets posted solid performance last year with spreads moving tighter to government bond markets through the year. A combination of GDP, earnings,
and cash flow growth, strong balance sheets, and favorable policy trends helped support this backdrop for strong excess returns in credit markets. |
| Q. |
What were the primary drivers of Fund performance? |
| A. |
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
|
16
(Unaudited)
| |
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. |
| |
Earlier this year, the Fund’s entire position in REITs was sold, based on valuations, in favor of core international equities. Throughout the year, within equities, we reduced the Fund’s exposure to value,
growth, equity yield, and mid-cap while exposure to international equities, fixed income, and cash was increased to rebalance the Fund and keep equity allocations close to their strategic targets. Although the Fund’s exposure to fixed income
was increased, at the end of the twelve-month period, the Fund remained underweight relative to our strategic target. |
| |
Our preference for equities over bonds has been driven by an expectation for bond yields to rise in the short to medium-term, equity valuations that are in line with long-term averages, and our view that the economic
recovery will be sustained. Nevertheless, we believe short-term setbacks in the equity markets are likely to continue to occur. We, therefore, favor being disciplined in rebalancing the Fund, rather than simply letting the Fund’s allocation to
equities increase significantly. Returns in both bond and equity markets may be more modest and range-bound going forward. We continue to believe it prudent to maintain a diversified portfolio and remain vigilant in the search for attractive
investment opportunities. By tactically 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. |
17
(Unaudited)
Understanding Your Fund’s Expenses
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, 2013.
Actual Expenses
The first section of the table
provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number
given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You
may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales
charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
July 1, 2013 –
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Account value at
the beginning of
the period ($) |
|
|
Account value
at the end of
the period ($) |
|
|
Expenses
paid during
the period ($)* |
|
|
|
|
|
| Actual Fund Return |
|
|
1,000.00 |
|
|
|
1,108.00 |
|
|
|
1.38 |
|
|
|
|
|
| Hypothetical 5% Return
(2.5% for the period) |
|
|
1,000.00 |
|
|
|
1,023.90 |
|
|
|
1.33 |
|
| * |
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.26%** (for the period July 1, 2013 – December 31, 2013), multiplied by the average account value over the period, multiplied by
184/365 (to reflect the one-half year period). |
| ** |
|
May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
18
(Unaudited)
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 and to adjust the asset class weightings based on market and economic conditions.
Top Ten Largest Equity Holdings
as of
December 31, 2013 as a % of Fair Value(b)(c)
|
|
|
|
|
| QUALCOMM Inc. |
|
|
1.31% |
|
| Apple Inc. |
|
|
1.05% |
|
| PepsiCo Inc. |
|
|
1.05% |
|
| Baidu Inc. ADR |
|
|
1.01% |
|
| Schlumberger Ltd. |
|
|
1.01% |
|
| EMC Corp. |
|
|
0.93% |
|
| Johnson & Johnson |
|
|
0.81% |
|
| Pfizer Inc. |
|
|
0.78% |
|
| Express Scripts Holding Co. |
|
|
0.76% |
|
| Google Inc. |
|
|
0.74% |
|
Sector Allocation
as a % of Fair Value of $245,532 (in thousands) on December 31, 2013(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
| Number of funds in peer group |
|
|
903 |
|
|
|
750 |
|
|
|
587 |
|
| Peer group average annual total return |
|
|
16.10 |
% |
|
|
12.38 |
% |
|
|
5.67 |
% |
| Morningstar Category in peer group: U.S. Moderate Allocation |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Inception date: 01/01/88) |
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
|
Ending value of a
$10,000 investment (a) |
|
|
|
|
|
|
| Elfun Diversified Fund |
|
|
16.79% |
|
|
|
11.49% |
|
|
|
5.41% |
|
|
|
$16,937 |
|
| S&P 500 Index |
|
|
32.39% |
|
|
|
17.94% |
|
|
|
7.40% |
|
|
|
$20,429 |
|
| Barclays U.S. Aggregate
Bond Index |
|
|
-2.02% |
|
|
|
4.44% |
|
|
|
4.55% |
|
|
|
$15,599 |
|
| MSCI All Country
World ex U.S. |
|
|
15.29% |
|
|
|
12.82% |
|
|
|
7.57% |
|
|
|
$20,738 |
|
| (a) |
Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest
as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| (c) |
Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
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.
19
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Domestic Equity — 35.0%† |
|
|
|
|
|
|
|
| Common Stock — 35.0% |
|
|
|
|
|
|
|
|
|
|
|
| Advertising — 0.1% |
|
|
|
|
| The Interpublic Group of Companies Inc. |
|
|
13,741 |
|
|
$ |
243,216 |
|
|
|
|
|
|
|
| Aerospace & Defense — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| General Dynamics Corp. |
|
|
859 |
|
|
|
82,077 |
|
|
|
| Honeywell International Inc. |
|
|
11,232 |
|
|
|
1,026,268 |
|
|
|
| The Boeing Co. |
|
|
3,650 |
|
|
|
498,189 |
|
|
|
|
|
|
|
|
|
|
1,606,534 |
|
|
|
|
|
| Agricultural Products — 0.3% |
|
|
|
|
|
|
|
| Archer-Daniels-Midland Co. |
|
|
17,790 |
|
|
|
772,086 |
|
|
|
|
|
| Air Freight & Logistics — 0.5% |
|
|
|
|
|
|
|
| United Parcel Service Inc. |
|
|
10,686 |
|
|
|
1,122,885 |
|
|
|
|
|
| Airlines — 0.1% |
|
|
|
|
|
|
|
| Delta Air Lines Inc. |
|
|
8,073 |
|
|
|
221,765 |
|
|
|
|
|
| Application Software — 0.3% |
|
|
|
|
|
|
|
| Intuit Inc. |
|
|
9,539 |
|
|
|
728,016 |
|
|
|
|
|
| Asset Management & Custody Banks — 1.2% |
|
|
|
|
|
|
|
| Ameriprise Financial Inc. |
|
|
9,010 |
|
|
|
1,036,600 |
|
|
|
| Invesco Ltd. |
|
|
25,172 |
|
|
|
916,261 |
|
|
|
| State Street Corp. |
|
|
13,238 |
|
|
|
971,537 |
|
|
(e) |
|
|
|
|
2,924,398 |
|
|
|
|
|
|
|
| Auto Parts & Equipment — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TRW Automotive Holdings Corp. |
|
|
5,797 |
|
|
|
431,239 |
|
|
(a) |
|
|
| Automobile Manufacturers — 0.3% |
|
|
|
|
|
|
|
| Ford Motor Co. |
|
|
46,361 |
|
|
|
715,350 |
|
|
|
|
|
|
|
| Automotive Retail — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AutoZone Inc. |
|
|
1,245 |
|
|
|
595,035 |
|
|
(a) |
|
|
|
|
| Biotechnology — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Alexion Pharmaceuticals Inc. |
|
|
2,725 |
|
|
|
362,589 |
|
|
(a) |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amgen Inc. |
|
|
12,378 |
|
|
$
|
1,413,072 |
|
|
|
| Gilead Sciences Inc. |
|
|
18,201 |
|
|
|
1,367,805 |
|
|
(a) |
|
|
|
|
|
|
|
3,143,466 |
|
|
|
|
|
|
|
| Broadcasting — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CBS Corp. |
|
|
4,294 |
|
|
|
273,699 |
|
|
|
| Discovery Communications Inc. |
|
|
7,495 |
|
|
|
628,531 |
|
|
(a) |
|
|
|
|
|
|
|
902,230 |
|
|
|
|
|
|
|
| Cable & Satellite — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Comcast Corp., Class A |
|
|
17,176 |
|
|
|
892,551 |
|
|
|
| Comcast Corp., Special Class A |
|
|
16,352 |
|
|
|
815,638 |
|
|
|
| Liberty Global PLC |
|
|
12,167 |
|
|
|
1,025,921 |
|
|
(a) |
|
|
|
|
|
|
|
2,734,110 |
|
|
|
|
|
|
|
| Casinos & Gaming — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Las Vegas Sands Corp. |
|
|
8,760 |
|
|
|
690,901 |
|
|
|
|
|
|
|
| Commodity Chemicals — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| LyondellBasell Industries N.V. |
|
|
13,956 |
|
|
|
1,120,388 |
|
|
|
|
|
| Communications Equipment — 1.7% |
|
|
|
|
|
|
|
| Cisco Systems Inc. |
|
|
52,324 |
|
|
|
1,174,674 |
|
|
|
| QUALCOMM Inc. |
|
|
37,148 |
|
|
|
2,758,239 |
|
|
|
|
|
|
|
|
|
|
3,932,913 |
|
|
|
|
|
|
|
| Computer Hardware — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Apple Inc. |
|
|
3,955 |
|
|
|
2,219,190 |
|
|
|
| Hewlett-Packard Co. |
|
|
13,757 |
|
|
|
384,921 |
|
|
|
|
|
|
|
|
|
|
2,604,111 |
|
|
|
|
|
| Computer Storage & Peripherals — 0.8% |
|
|
|
|
|
|
|
| EMC Corp. |
|
|
77,783 |
|
|
|
1,956,242 |
|
|
|
|
|
| Construction & Farm Machinery — 0.0%* |
|
|
|
|
|
|
|
| Cummins Inc. |
|
|
685 |
|
|
|
96,564 |
|
|
|
|
|
|
|
| Consumer Finance — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Express Co. |
|
|
8,044 |
|
|
|
729,832 |
|
|
|
|
|
| Data Processing & Outsourced Services — 0.5% |
|
|
|
|
|
|
|
| Paychex Inc. |
|
|
3,620 |
|
|
|
164,819 |
|
|
|
| Visa Inc. |
|
|
4,380 |
|
|
|
975,338 |
|
|
|
|
|
|
|
|
|
|
1,140,157 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
20
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Department Stores — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Macy’s Inc. |
|
|
6,441 |
|
|
$
|
343,949 |
|
|
|
|
|
| Diversified Financial Services — 1.6% |
|
|
|
|
|
|
|
| Citigroup Inc. |
|
|
21,845 |
|
|
|
1,138,343 |
|
|
|
| JPMorgan Chase & Co. |
|
|
20,651 |
|
|
|
1,207,670 |
|
|
|
| Wells Fargo & Co. |
|
|
30,705 |
|
|
|
1,394,007 |
|
|
|
|
|
|
|
|
|
|
3,740,020 |
|
|
|
|
|
|
|
| Drug Retail — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CVS Caremark Corp. |
|
|
10,606 |
|
|
|
759,071 |
|
|
|
|
|
|
|
| Electric Utilities — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NextEra Energy Inc. |
|
|
3,865 |
|
|
|
330,921 |
|
|
|
|
|
| Electrical Components & Equipment — 0.3% |
|
|
|
|
|
|
|
| Eaton Corp. PLC |
|
|
8,863 |
|
|
|
674,652 |
|
|
|
|
|
| Fertilizers & Agricultural Chemicals — 0.5% |
|
|
|
|
|
|
|
| Monsanto Co. |
|
|
10,220 |
|
|
|
1,191,141 |
|
|
|
|
|
| General Merchandise Stores — 0.2% |
|
|
|
|
|
|
|
| Dollar General Corp. |
|
|
7,300 |
|
|
|
440,336 |
|
|
(a) |
|
|
|
|
| Healthcare Distributors — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cardinal Health Inc. |
|
|
7,128 |
|
|
|
476,222 |
|
|
|
|
|
|
|
| Healthcare Equipment — 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
11,680 |
|
|
|
447,694 |
|
|
|
| Covidien PLC |
|
|
20,534 |
|
|
|
1,398,365 |
|
|
|
| Medtronic Inc. |
|
|
645 |
|
|
|
37,017 |
|
|
|
| Stryker Corp. |
|
|
2,576 |
|
|
|
193,561 |
|
|
|
|
|
|
|
|
|
|
2,076,637 |
|
|
|
|
|
|
|
| Healthcare Services — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Express Scripts Holding Co. |
|
|
22,932 |
|
|
|
1,610,744 |
|
|
(a) |
|
|
|
|
| Healthcare Supplies — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DENTSPLY International Inc. |
|
|
11,194 |
|
|
|
542,685 |
|
|
|
|
|
| Home Improvement Retail — 0.7% |
|
|
|
|
|
|
|
| Lowe’s Companies Inc. |
|
|
27,714 |
|
|
|
1,373,228 |
|
|
|
| The Home Depot Inc. |
|
|
3,258 |
|
|
|
268,264 |
|
|
|
|
|
|
|
|
|
|
1,641,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Products — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energizer Holdings Inc. |
|
|
2,148 |
|
|
$
|
232,500 |
|
|
|
| Kimberly-Clark Corp. |
|
|
3,018 |
|
|
|
315,260 |
|
|
|
| The Clorox Co. |
|
|
4,026 |
|
|
|
373,452 |
|
|
|
|
|
|
|
|
|
|
921,212 |
|
|
|
|
|
| Hypermarkets & Super Centers — 0.1% |
|
|
|
|
|
|
|
| Wal-Mart Stores Inc. |
|
|
2,764 |
|
|
|
217,499 |
|
|
|
|
|
| Independent Power Producers & Energy Traders — 0.3% |
|
|
|
|
|
|
|
| AES Corp. |
|
|
19,323 |
|
|
|
280,377 |
|
|
|
| Calpine Corp. |
|
|
8,588 |
|
|
|
167,552 |
|
|
(a) |
| NRG Energy Inc. |
|
|
7,300 |
|
|
|
209,656 |
|
|
|
|
|
|
|
|
|
|
657,585 |
|
|
|
|
|
|
|
| Industrial Gases — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Praxair Inc. |
|
|
2,027 |
|
|
|
263,571 |
|
|
|
|
|
|
|
| Industrial Machinery — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dover Corp. |
|
|
10,219 |
|
|
|
986,542 |
|
|
|
|
|
|
|
| Integrated Oil & Gas — 1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chevron Corp. |
|
|
10,076 |
|
|
|
1,258,593 |
|
|
|
| Exxon Mobil Corp. |
|
|
8,017 |
|
|
|
811,321 |
|
|
|
| Hess Corp. |
|
|
6,226 |
|
|
|
516,758 |
|
|
|
| Occidental Petroleum Corp. |
|
|
9,443 |
|
|
|
898,029 |
|
|
|
|
|
|
|
|
|
|
3,484,701 |
|
|
|
|
|
| Integrated Telecommunication Services — 0.6% |
|
|
|
|
|
|
|
| AT&T Inc. |
|
|
11,006 |
|
|
|
386,971 |
|
|
|
| Verizon Communications Inc. |
|
|
20,901 |
|
|
|
1,027,075 |
|
|
|
|
|
|
|
|
|
|
1,414,046 |
|
|
|
|
|
|
|
| Internet Retail — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amazon.com Inc. |
|
|
1,363 |
|
|
|
543,551 |
|
|
(a) |
|
|
| Internet Software & Services — 1.1% |
|
|
|
|
|
|
|
| eBay Inc. |
|
|
18,007 |
|
|
|
988,404 |
|
|
(a) |
| Google Inc. |
|
|
1,397 |
|
|
|
1,565,632 |
|
|
(a) |
|
|
|
|
|
|
|
2,554,036 |
|
|
|
|
|
| Investment Banking & Brokerage — 0.4% |
|
|
|
|
|
|
|
| The Charles Schwab Corp. |
|
|
12,654 |
|
|
|
329,004 |
|
|
|
| The Goldman Sachs Group Inc. |
|
|
3,212 |
|
|
|
569,359 |
|
|
|
|
|
|
|
|
|
|
898,363 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
21
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| IT Consulting & Other Services — 0.1% |
|
|
|
|
|
|
|
| International Business Machines Corp. |
|
|
1,883 |
|
|
$
|
353,194 |
|
|
|
|
|
| Life & Health Insurance — 0.4% |
|
|
|
|
|
|
|
| MetLife Inc. |
|
|
5,069 |
|
|
|
273,321 |
|
|
|
| Prudential Financial Inc. |
|
|
6,037 |
|
|
|
556,732 |
|
|
|
|
|
|
|
|
|
|
830,053 |
|
|
|
|
|
| Life Sciences Tools & Services — 0.1% |
|
|
|
|
|
|
|
| PerkinElmer Inc. |
|
|
5,582 |
|
|
|
230,146 |
|
|
|
|
|
|
|
| Managed Healthcare — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UnitedHealth Group Inc. |
|
|
7,154 |
|
|
|
538,696 |
|
|
|
|
|
| Movies & Entertainment — 0.6% |
|
|
|
|
|
|
|
| The Walt Disney Co. |
|
|
5,159 |
|
|
|
394,148 |
|
|
|
| Time Warner Inc. |
|
|
14,724 |
|
|
|
1,026,557 |
|
|
|
|
|
|
|
|
|
|
1,420,705 |
|
|
|
|
|
|
|
| Multi-Line Insurance — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American International Group Inc. |
|
|
14,084 |
|
|
|
718,988 |
|
|
|
| Hartford Financial Services Group Inc. |
|
|
20,030 |
|
|
|
725,687 |
|
|
|
|
|
|
|
|
|
|
1,444,675 |
|
|
|
|
|
|
|
| Multi-Utilities — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CMS Energy Corp. |
|
|
10,425 |
|
|
|
279,077 |
|
|
|
| Dominion Resources Inc. |
|
|
4,924 |
|
|
|
318,534 |
|
|
|
|
|
|
|
|
|
|
597,611 |
|
|
|
|
|
| Oil & Gas Equipment & Services — 1.4% |
|
|
|
|
|
|
|
| Cameron International Corp. |
|
|
7,085 |
|
|
|
421,770 |
|
|
(a) |
| Halliburton Co. |
|
|
13,011 |
|
|
|
660,308 |
|
|
|
| Schlumberger Ltd. |
|
|
23,539 |
|
|
|
2,121,100 |
|
|
|
|
|
|
|
|
|
|
3,203,178 |
|
|
|
|
|
| Oil & Gas Exploration & Production — 0.6% |
|
|
|
|
|
|
|
| Anadarko Petroleum Corp. |
|
|
7,405 |
|
|
|
587,365 |
|
|
|
| Marathon Oil Corp. |
|
|
21,540 |
|
|
|
760,362 |
|
|
|
|
|
|
|
|
|
|
1,347,727 |
|
|
|
|
|
| Packaged Foods & Meats — 0.3% |
|
|
|
|
|
|
|
| Kraft Foods Group Inc. |
|
|
2,462 |
|
|
|
132,751 |
|
|
|
| Mondelez International Inc. |
|
|
17,396 |
|
|
|
614,079 |
|
|
|
|
|
|
|
|
|
|
746,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actavis PLC |
|
|
945 |
|
|
$ |
158,760 |
|
|
(a) |
| Bristol-Myers Squibb Co. |
|
|
5,213 |
|
|
|
277,071 |
|
|
|
| Johnson & Johnson |
|
|
18,560 |
|
|
|
1,699,910 |
|
|
|
| Merck & Company Inc. |
|
|
25,751 |
|
|
|
1,288,838 |
|
|
|
| Pfizer Inc. |
|
|
53,781 |
|
|
|
1,647,312 |
|
|
|
|
|
|
|
|
|
|
5,071,891 |
|
|
|
|
|
| Property & Casualty Insurance — 0.4% |
|
|
|
|
|
|
|
| ACE Ltd. |
|
|
8,602 |
|
|
|
890,565 |
|
|
|
|
|
|
|
| Railroads — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CSX Corp. |
|
|
24,885 |
|
|
|
715,941 |
|
|
|
|
|
|
|
| Regional Banks — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Regions Financial Corp. |
|
|
51,527 |
|
|
|
509,602 |
|
|
|
|
|
| Research & Consulting Services — 0.0%* |
|
|
|
|
|
|
|
| Nielsen Holdings N.V. |
|
|
2,147 |
|
|
|
98,526 |
|
|
|
|
|
|
|
| Restaurants — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| McDonald’s Corp. |
|
|
2,659 |
|
|
|
258,003 |
|
|
|
|
|
|
|
| Retail REITs — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Simon Property Group Inc. |
|
|
1,329 |
|
|
|
202,221 |
|
|
|
|
|
| Semiconductor Equipment — 0.1% |
|
|
|
|
|
|
|
| Applied Materials Inc. |
|
|
11,594 |
|
|
|
205,098 |
|
|
|
|
|
|
|
| Semiconductors — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Analog Devices Inc. |
|
|
5,324 |
|
|
|
271,151 |
|
|
|
| Intel Corp. |
|
|
10,716 |
|
|
|
278,188 |
|
|
|
| Microchip Technology Inc. |
|
|
7,241 |
|
|
|
324,035 |
|
|
|
| Texas Instruments Inc. |
|
|
3,765 |
|
|
|
165,321 |
|
|
|
|
|
|
|
|
|
|
1,038,695 |
|
|
|
|
|
|
|
| Soft Drinks — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Coca-Cola Enterprises Inc. |
|
|
10,304 |
|
|
|
454,716 |
|
|
|
| PepsiCo Inc. |
|
|
26,692 |
|
|
|
2,213,834 |
|
|
|
|
|
|
|
|
|
|
2,668,550 |
|
|
|
|
|
|
|
| Specialized Finance — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CME Group Inc. |
|
|
18,458 |
|
|
|
1,448,215 |
|
|
|
| McGraw Hill Financial Inc. |
|
|
4,672 |
|
|
|
365,350 |
|
|
|
|
|
|
|
|
|
|
1,813,565 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
22
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialized REITs — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Tower Corp. |
|
|
18,435 |
|
|
$
|
1,471,481 |
|
|
|
| HCP Inc. |
|
|
3,621 |
|
|
|
131,515 |
|
|
|
| Rayonier Inc. |
|
|
2,587 |
|
|
|
108,913 |
|
|
|
|
|
|
|
|
|
|
1,711,909 |
|
|
|
|
|
| Specialty Chemicals — 0.1% |
|
|
|
|
|
|
|
| PPG Industries Inc. |
|
|
1,294 |
|
|
|
245,420 |
|
|
|
| Rockwood Holdings Inc. |
|
|
859 |
|
|
|
61,779 |
|
|
|
|
|
|
|
|
|
|
307,199 |
|
|
|
|
|
|
|
| Specialty Stores — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dick’s Sporting Goods Inc. |
|
|
15,087 |
|
|
|
876,555 |
|
|
|
|
|
|
|
| Systems Software — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Microsoft Corp. |
|
|
7,514 |
|
|
|
281,249 |
|
|
|
| Oracle Corp. |
|
|
12,453 |
|
|
|
476,452 |
|
|
|
|
|
|
|
|
|
|
757,701 |
|
|
|
|
|
|
|
| Tobacco — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Altria Group Inc. |
|
|
3,620 |
|
|
|
138,972 |
|
|
|
| Philip Morris International Inc. |
|
|
4,009 |
|
|
|
349,304 |
|
|
|
|
|
|
|
|
|
|
488,276 |
|
|
|
|
|
|
|
| Water Utilities — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Water Works Company Inc. |
|
|
3,162 |
|
|
|
133,626 |
|
|
|
|
|
|
|
| Total Common Stock
(Cost $61,681,200) |
|
|
|
|
|
|
82,641,152 |
|
|
|
| Preferred Stock — 0.0%* |
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.0%* |
|
|
|
|
|
|
|
| Wells Fargo & Co. |
|
|
3,647 |
|
|
|
85,960 |
|
|
|
|
|
|
|
| Total Preferred Stocks
(Cost $91,175) |
|
|
|
|
|
|
85,960 |
|
|
|
|
|
|
|
| Total Domestic Equity
(Cost $61,772,375) |
|
|
|
|
|
|
82,727,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Equity — 21.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stock — 21.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Advertising — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WPP PLC |
|
|
22,314 |
|
|
$
|
510,014 |
|
|
|
|
|
|
|
| Aerospace & Defense — 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| European Aeronautic Defence and Space Company N.V. |
|
|
9,289 |
|
|
|
714,355 |
|
|
|
| Safran S.A. |
|
|
18,636 |
|
|
|
1,297,070 |
|
|
|
|
|
|
|
|
|
|
2,011,425 |
|
|
|
|
|
|
|
| Airlines — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| International Consolidated Airlines Group S.A. |
|
|
71,191 |
|
|
|
473,291 |
|
|
(a) |
|
|
|
|
| Apparel Retail — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fast Retailing Company Ltd. |
|
|
1,014 |
|
|
|
418,701 |
|
|
|
|
|
| Apparel, Accessories & Luxury Goods — 0.4% |
|
|
|
|
|
|
|
| Luxottica Group S.p.A. |
|
|
7,862 |
|
|
|
421,962 |
|
|
|
| The Swatch Group AG |
|
|
812 |
|
|
|
538,229 |
|
|
|
|
|
|
|
|
|
|
960,191 |
|
|
|
|
|
|
|
| Application Software — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SAP AG |
|
|
10,923 |
|
|
|
937,849 |
|
|
|
|
|
| Automobile Manufacturers — 0.8% |
|
|
|
|
|
|
|
| Mazda Motor Corp. |
|
|
62,000 |
|
|
|
320,898 |
|
|
(a) |
| Toyota Motor Corp. |
|
|
24,830 |
|
|
|
1,516,661 |
|
|
|
|
|
|
|
|
|
|
1,837,559 |
|
|
|
|
|
|
|
| Biotechnology — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CSL Ltd. |
|
|
6,440 |
|
|
|
397,316 |
|
|
|
|
|
|
|
| Brewers — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Anheuser-Busch InBev N.V. |
|
|
4,412 |
|
|
|
469,703 |
|
|
|
|
|
|
|
| Building Products — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assa Abloy AB |
|
|
10,403 |
|
|
|
550,391 |
|
|
|
|
|
| Coal & Consumable Fuels — 0.2% |
|
|
|
|
|
|
|
| Cameco Corp. |
|
|
19,296 |
|
|
|
400,267 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
23
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Communications Equipment — 0.4% |
|
|
|
|
|
|
|
| Telefonaktiebolaget LM Ericsson |
|
|
84,462 |
|
|
$
|
1,032,334 |
|
|
|
|
|
| Construction & Engineering — 0.1% |
|
|
|
|
|
|
|
| JGC Corp. |
|
|
7,998 |
|
|
|
313,893 |
|
|
|
|
|
| Construction & Farm Machinery — 0.1% |
|
|
|
|
|
|
|
| Kubota Corp. |
|
|
19,000 |
|
|
|
314,362 |
|
|
|
|
|
| Construction Materials — 0.3% |
|
|
|
|
|
|
|
| HeidelbergCement AG |
|
|
8,785 |
|
|
|
667,607 |
|
|
|
|
|
|
|
| Distillers & Vintners — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diageo PLC |
|
|
26,736 |
|
|
|
885,630 |
|
|
|
| Diageo PLC ADR |
|
|
1,767 |
|
|
|
233,986 |
|
|
|
|
|
|
|
|
|
|
1,119,616 |
|
|
|
|
|
| Diversified Capital Markets — 0.2% |
|
|
|
|
|
|
|
| Deutsche Bank AG |
|
|
9,642 |
|
|
|
460,699 |
|
|
|
|
|
| Diversified Financial Services — 2.8% |
|
|
|
|
|
|
|
| Barclays PLC |
|
|
211,023 |
|
|
|
950,483 |
|
|
|
| BNP Paribas S.A. |
|
|
16,129 |
|
|
|
1,259,043 |
|
|
|
| HSBC Holdings PLC |
|
|
100,728 |
|
|
|
1,105,086 |
|
|
|
| ICICI Bank Ltd. |
|
|
33,210 |
|
|
|
589,517 |
|
|
|
| ING Groep N.V. |
|
|
58,123 |
|
|
|
808,915 |
|
|
(a) |
| Intesa Sanpaolo S.p.A. |
|
|
120,785 |
|
|
|
298,586 |
|
|
|
| Mitsubishi UFJ Financial Group Inc. |
|
|
122,700 |
|
|
|
810,178 |
|
|
|
| Sumitomo Mitsui Financial Group Inc. |
|
|
13,600 |
|
|
|
701,318 |
|
|
|
|
|
|
|
|
|
|
6,523,126 |
|
|
|
|
|
| Diversified Metals & Mining — 0.4% |
|
|
|
|
|
|
|
| BHP Billiton PLC |
|
|
19,869 |
|
|
|
615,051 |
|
|
|
| Rio Tinto PLC |
|
|
6,499 |
|
|
|
366,997 |
|
|
|
|
|
|
|
|
|
|
982,048 |
|
|
|
|
|
| Diversified Real Estate Activities — 0.8% |
|
|
|
|
|
|
|
| Brookfield Asset Management Inc. |
|
|
6,074 |
|
|
|
235,642 |
|
|
|
| Mitsubishi Estate Company Ltd. |
|
|
21,000 |
|
|
|
628,372 |
|
|
|
| Mitsui Fudosan Company Ltd. |
|
|
25,661 |
|
|
|
924,094 |
|
|
|
|
|
|
|
|
|
|
1,788,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Support Services — 0.1% |
|
|
|
|
|
|
|
| Aggreko PLC |
|
|
4,590 |
|
|
$
|
129,921 |
|
|
|
| Brambles Ltd. |
|
|
12,975 |
|
|
|
106,214 |
|
|
|
|
|
|
|
|
|
|
236,135 |
|
|
|
|
|
|
|
| Electric Utilities — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Power Grid Corporation of India Ltd. |
|
|
103,015 |
|
|
|
166,210 |
|
|
|
|
|
| Electrical Components & Equipment — 0.5% |
|
|
|
|
|
|
|
| Murata Manufacturing Company Ltd. |
|
|
8,600 |
|
|
|
764,226 |
|
|
|
| Schneider Electric S.A. |
|
|
5,803 |
|
|
|
506,962 |
|
|
|
|
|
|
|
|
|
|
1,271,188 |
|
|
|
|
|
| Electronic Equipment & Instruments — 0.2% |
|
|
|
|
|
|
|
| Hexagon AB |
|
|
13,101 |
|
|
|
414,697 |
|
|
|
|
|
| Fertilizers & Agricultural Chemicals — 0.1% |
|
|
|
|
|
|
|
| Syngenta AG |
|
|
668 |
|
|
|
266,794 |
|
|
|
|
|
|
|
| Healthcare Services — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fresenius SE & Company KGaA |
|
|
3,579 |
|
|
|
550,376 |
|
|
|
|
|
|
|
| Healthcare Supplies — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Essilor International S.A. |
|
|
4,298 |
|
|
|
457,685 |
|
|
|
|
|
| Heavy Electrical Equipment — 0.1% |
|
|
|
|
|
|
|
| ABB Ltd. |
|
|
12,906 |
|
|
|
340,735 |
|
|
(a) |
|
|
|
|
| Home Building — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Persimmon PLC |
|
|
13,004 |
|
|
|
266,854 |
|
|
(a) |
|
|
| Home Improvement Retail — 0.1% |
|
|
|
|
|
|
|
| Kingfisher PLC |
|
|
53,919 |
|
|
|
343,550 |
|
|
|
|
|
|
|
| Household Products — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Svenska Cellulosa AB SCA |
|
|
15,691 |
|
|
|
483,732 |
|
|
|
| Unicharm Corp. |
|
|
17,400 |
|
|
|
993,293 |
|
|
|
|
|
|
|
|
|
|
1,477,025 |
|
|
|
|
|
| Human Resource & Employment Services — 0.2% |
|
|
|
|
|
|
|
| Capita PLC |
|
|
26,973 |
|
|
|
463,716 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
24
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Gases — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Linde AG |
|
|
4,992 |
|
|
$
|
1,045,910 |
|
|
|
|
|
|
|
| Industrial Machinery — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FANUC Corp. |
|
|
3,600 |
|
|
|
659,341 |
|
|
|
| Mitsubishi Heavy Industries Ltd. |
|
|
20,000 |
|
|
|
123,876 |
|
|
|
| Vallourec S.A. |
|
|
6,536 |
|
|
|
356,648 |
|
|
|
|
|
|
|
|
|
|
1,139,865 |
|
|
|
|
|
|
|
| Integrated Oil & Gas — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cenovus Energy Inc. |
|
|
11,706 |
|
|
|
334,929 |
|
|
|
| Royal Dutch Shell PLC |
|
|
280 |
|
|
|
10,031 |
|
|
|
| Total S.A. |
|
|
10,353 |
|
|
|
635,261 |
|
|
|
|
|
|
|
|
|
|
980,221 |
|
|
|
|
|
|
|
| Internet Retail — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Rakuten Inc. |
|
|
57,400 |
|
|
|
854,133 |
|
|
|
|
|
| Internet Software & Services — 0.9% |
|
|
|
|
|
|
|
| Baidu Inc. ADR |
|
|
11,970 |
|
|
|
2,129,224 |
|
|
(a) |
|
|
| IT Consulting & Other Services — 0.1% |
|
|
|
|
|
|
|
| Cap Gemini S.A. |
|
|
3,953 |
|
|
|
267,613 |
|
|
|
|
|
| Life & Health Insurance — 0.8% |
|
|
|
|
|
|
|
| AIA Group Ltd. |
|
|
231,650 |
|
|
|
1,162,171 |
|
|
|
| Prudential PLC |
|
|
29,640 |
|
|
|
657,822 |
|
|
|
|
|
|
|
|
|
|
1,819,993 |
|
|
|
|
|
|
|
| Multi-Line Insurance — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AXA S.A. |
|
|
26,639 |
|
|
|
741,852 |
|
|
|
|
|
|
|
| Multi-Utilities — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| National Grid PLC |
|
|
35,168 |
|
|
|
458,986 |
|
|
|
|
|
| Oil & Gas Equipment & Services — 0.5% |
|
|
|
|
|
|
|
| Subsea 7 S.A. |
|
|
31,323 |
|
|
|
599,422 |
|
|
|
| Technip S.A. |
|
|
6,380 |
|
|
|
614,161 |
|
|
|
|
|
|
|
|
|
|
1,213,583 |
|
|
|
|
|
| Packaged Foods & Meats — 0.3% |
|
|
|
|
|
|
|
| Nestle S.A. |
|
|
8,662 |
|
|
|
636,002 |
|
|
|
|
|
|
|
| Pharmaceuticals — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Astellas Pharma Inc. |
|
|
4,527 |
|
|
|
268,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bayer AG |
|
|
6,061 |
|
|
$
|
851,461 |
|
|
|
| GlaxoSmithKline PLC |
|
|
39,940 |
|
|
|
1,066,016 |
|
|
|
| GlaxoSmithKline PLC ADR |
|
|
10,446 |
|
|
|
557,712 |
|
|
|
| Novartis AG ADR |
|
|
3,331 |
|
|
|
267,746 |
|
|
|
| Roche Holding AG |
|
|
3,943 |
|
|
|
1,104,847 |
|
|
|
| Sanofi |
|
|
7,923 |
|
|
|
841,957 |
|
|
|
|
|
|
|
|
|
|
4,958,073 |
|
|
|
|
|
| Property & Casualty Insurance — 0.4% |
|
|
|
|
|
|
|
| Tokio Marine Holdings Inc. |
|
|
28,100 |
|
|
|
939,741 |
|
|
|
|
|
|
|
| Railroads — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| East Japan Railway Co. |
|
|
4,200 |
|
|
|
334,865 |
|
|
|
|
|
| Research & Consulting Services — 0.2% |
|
|
|
|
|
|
|
| Experian PLC |
|
|
19,593 |
|
|
|
361,503 |
|
|
|
|
|
| Semiconductor Equipment — 0.2% |
|
|
|
|
|
|
|
| ASML Holding N.V. |
|
|
5,222 |
|
|
|
489,592 |
|
|
|
|
|
|
|
| Semiconductors — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Samsung Electronics Company Ltd. |
|
|
417 |
|
|
|
542,118 |
|
|
|
| Taiwan Semiconductor Manufacturing Company Ltd. |
|
|
189,484 |
|
|
|
670,745 |
|
|
|
| Taiwan Semiconductor Manufacturing Company Ltd. ADR |
|
|
775 |
|
|
|
13,516 |
|
|
|
|
|
|
|
|
|
|
1,226,379 |
|
|
|
|
|
|
|
| Specialty Chemicals — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Givaudan S.A. |
|
|
185 |
|
|
|
265,014 |
|
|
(a) |
|
|
|
|
| Tires & Rubber — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bridgestone Corp. |
|
|
11,201 |
|
|
|
424,147 |
|
|
|
|
|
| Wireless Telecommunication Services — 0.9% |
|
|
|
|
|
|
|
| Softbank Corp. |
|
|
13,400 |
|
|
|
1,172,922 |
|
|
|
| Vodafone Group PLC |
|
|
240,549 |
|
|
|
944,230 |
|
|
(a) |
|
|
|
|
|
|
|
2,117,152 |
|
|
|
|
|
|
|
| Total Common Stock
(Cost $40,305,552) |
|
|
|
|
|
|
50,827,313 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
25
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Preferred Stock — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Automobile Manufacturers — 0.4% |
|
|
|
|
|
|
|
| Volkswagen AG |
|
|
3,753 |
|
|
$
|
1,055,750 |
|
|
|
|
|
|
|
| Total Preferred Stocks
(Cost $746,764) |
|
|
|
|
|
|
1,055,750 |
|
|
|
|
|
|
|
| Total Foreign Equity
(Cost $41,052,316) |
|
|
|
|
|
|
51,883,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bonds and Notes — 28.8% |
|
|
|
|
|
|
|
|
|
|
| U.S. Treasuries — 4.2% |
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
| 3.63% |
|
08/15/43 |
|
$ |
1,721,100 |
|
|
|
1,625,364 |
|
|
(h) |
| 4.50% |
|
02/15/36 |
|
|
4,766,500 |
|
|
|
5,303,475 |
|
|
(h) |
| U.S. Treasury Notes |
|
|
|
|
|
|
|
| 0.25% |
|
10/31/15 |
|
|
1,195,600 |
|
|
|
1,193,919 |
|
|
|
| 1.25% |
|
10/31/18 |
|
|
991,600 |
|
|
|
972,155 |
|
|
|
| 2.50% |
|
08/15/23 |
|
|
897,300 |
|
|
|
861,688 |
|
|
|
|
|
|
|
|
|
|
|
|
9,956,601 |
|
|
|
|
|
| Agency Mortgage Backed — 9.3% |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. |
|
|
|
| 2.38% |
|
01/13/22 |
|
|
394,000 |
|
|
|
376,650 |
|
|
|
| 4.50% |
|
06/01/33 - 02/01/35 |
|
|
7,690 |
|
|
|
8,158 |
|
|
(h) |
| 5.00% |
|
07/01/35 - 06/01/41 |
|
|
323,870 |
|
|
|
355,371 |
|
|
(h) |
| 5.50% |
|
05/01/20 - 04/01/39 |
|
|
106,364 |
|
|
|
116,734 |
|
|
(h) |
| 6.00% |
|
04/01/17 - 11/01/37 |
|
|
248,271 |
|
|
|
277,564 |
|
|
(h) |
| 6.50% |
|
11/01/28 - 07/01/29 |
|
|
9,075 |
|
|
|
10,129 |
|
|
(h) |
| 7.00% |
|
10/01/16 - 08/01/36 |
|
|
35,573 |
|
|
|
40,139 |
|
|
(h) |
| 7.50% |
|
09/01/33 |
|
|
1,292 |
|
|
|
1,393 |
|
|
(h) |
| 8.00% |
|
07/01/26 - 11/01/30 |
|
|
4,970 |
|
|
|
5,715 |
|
|
(h) |
| 8.50% |
|
04/01/30 |
|
|
9,045 |
|
|
|
10,778 |
|
|
(h) |
| Federal National Mortgage
Assoc. |
|
|
|
|
|
|
|
|
|
|
| 2.35% |
|
04/01/37 |
|
|
566 |
|
|
|
590 |
|
|
(i) |
| 3.00% |
|
05/01/43 - 06/01/43 |
|
|
1,659,801 |
|
|
|
1,577,779 |
|
|
|
| 3.50% |
|
11/01/42 - 02/01/43 |
|
|
2,036,047 |
|
|
|
2,025,432 |
|
|
|
| 4.00% |
|
05/01/19 - 03/01/41 |
|
|
306,720 |
|
|
|
316,476 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
| 4.00% |
|
01/01/41 |
|
$ |
240,257 |
|
|
$ |
247,467 |
|
|
|
| 4.50% |
|
05/01/18 - 01/01/41 |
|
|
621,881 |
|
|
|
659,307 |
|
|
(h) |
| 4.50% |
|
10/01/39 - 04/01/41 |
|
|
1,317,657 |
|
|
|
1,396,299 |
|
|
|
| 5.00% |
|
07/01/20 - 06/01/41 |
|
|
542,445 |
|
|
|
594,414 |
|
|
(h) |
| 5.00% |
|
03/01/39 - 05/01/39 |
|
|
67,053 |
|
|
|
73,097 |
|
|
|
| 5.50% |
|
04/01/14 - 08/01/35 |
|
|
103,165 |
|
|
|
113,215 |
|
|
(h) |
| 5.50% |
|
11/01/35 - 01/01/39 |
|
|
404,854 |
|
|
|
445,416 |
|
|
|
| 6.00% |
|
02/01/14 - 08/01/35 |
|
|
301,965 |
|
|
|
338,929 |
|
|
(h) |
| 6.50% |
|
12/01/14 - 08/01/36 |
|
|
61,386 |
|
|
|
67,240 |
|
|
(h) |
| 7.00% |
|
01/01/16 - 12/01/33 |
|
|
5,338 |
|
|
|
5,698 |
|
|
(h) |
| 7.50% |
|
05/01/15 - 12/01/33 |
|
|
13,393 |
|
|
|
14,624 |
|
|
(h) |
| 8.00% |
|
11/01/14 - 01/01/33 |
|
|
17,204 |
|
|
|
19,202 |
|
|
(h) |
| 9.00% |
|
12/01/17 - 12/01/22 |
|
|
4,604 |
|
|
|
5,061 |
|
|
(h) |
| 3.00% |
|
TBA |
|
|
734,000 |
|
|
|
696,784 |
|
|
(c) |
| 3.50% |
|
TBA |
|
|
3,850,000 |
|
|
|
3,824,434 |
|
|
(c) |
| 4.00% |
|
TBA |
|
|
835,000 |
|
|
|
859,528 |
|
|
(c) |
| 4.50% |
|
TBA |
|
|
994,000 |
|
|
|
1,053,605 |
|
|
(c) |
| 5.00% |
|
TBA |
|
|
875,000 |
|
|
|
950,264 |
|
|
(c) |
| 6.00% |
|
TBA |
|
|
1,840,000 |
|
|
|
2,040,819 |
|
|
(c) |
| 6.50% |
|
TBA |
|
|
490,000 |
|
|
|
545,546 |
|
|
(c) |
| Government National Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
06/20/43 |
|
|
288,916 |
|
|
|
279,642 |
|
|
|
| 3.50% |
|
05/20/43 |
|
|
719,250 |
|
|
|
726,714 |
|
|
|
| 4.00% |
|
01/20/41 - 04/20/43 |
|
|
948,460 |
|
|
|
987,783 |
|
|
|
| 4.50% |
|
08/15/33 - 03/20/41 |
|
|
246,197 |
|
|
|
264,434 |
|
|
(h) |
| 4.50% |
|
05/20/40 |
|
|
237,060 |
|
|
|
254,145 |
|
|
|
| 5.00% |
|
08/15/33 |
|
|
18,066 |
|
|
|
19,779 |
|
|
(h) |
| 6.00% |
|
07/15/33 - 09/15/36 |
|
|
16,728 |
|
|
|
18,801 |
|
|
(h) |
| 6.50% |
|
04/15/28 - 07/15/36 |
|
|
23,785 |
|
|
|
26,548 |
|
|
(h) |
| 7.00% |
|
04/15/28 - 10/15/36 |
|
|
13,497 |
|
|
|
15,204 |
|
|
(h) |
| 7.50% |
|
07/15/23 - 04/15/28 |
|
|
16,903 |
|
|
|
17,420 |
|
|
(h) |
| 8.00% |
|
05/15/30 |
|
|
517 |
|
|
|
595 |
|
|
(h) |
| 8.50% |
|
10/15/17 |
|
|
7,889 |
|
|
|
8,338 |
|
|
(h) |
| 9.00% |
|
11/15/16 - 12/15/21 |
|
|
8,788 |
|
|
|
9,414 |
|
|
(h) |
| 5.00% |
|
TBA |
|
|
102,000 |
|
|
|
110,554 |
|
|
(c) |
| 5.50% |
|
TBA |
|
|
50,000 |
|
|
|
54,914 |
|
|
(c) |
|
|
|
|
|
|
|
|
|
21,868,142 |
|
|
|
|
|
| Agency Collateralized Mortgage Obligations — 0.1% |
|
|
|
|
|
|
|
| Collateralized Mortgage
Obligation Trust |
|
|
|
|
|
|
|
|
|
|
| 0.15% |
|
11/01/18 |
|
|
545 |
|
|
|
544 |
|
|
(d,f,h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
26
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
| 0.08% |
|
09/25/43 |
|
$
|
257,828 |
|
|
$
|
2,366 |
|
|
(g,h,i) |
| Federal Home Loan Mortgage Corp. REMIC |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
11/15/24 - 11/15/30 |
|
|
312,487 |
|
|
|
35,954 |
|
|
(g) |
| 4.50% |
|
02/15/18 - 03/15/18 |
|
|
14,382 |
|
|
|
519 |
|
|
(g,h) |
| 5.00% |
|
05/15/18 - 10/15/18 |
|
|
12,826 |
|
|
|
453 |
|
|
(g,h) |
| 5.50% |
|
06/15/33 |
|
|
17,698 |
|
|
|
3,583 |
|
|
(g,h) |
| 6.43% |
|
08/15/25 |
|
|
140,953 |
|
|
|
19,253 |
|
|
(g,i) |
| 7.50% |
|
07/15/27 |
|
|
12,904 |
|
|
|
2,623 |
|
|
(g,h) |
| 8.00% |
|
04/15/20 |
|
|
270 |
|
|
|
292 |
|
|
(h) |
| Federal Home Loan Mortgage Corp. STRIPS |
|
|
|
|
|
|
|
|
|
|
| 2.11% |
|
08/01/27 |
|
|
566 |
|
|
|
521 |
|
|
(d,f,h) |
| 8.00% |
|
02/01/23 - 07/01/24 |
|
|
2,307 |
|
|
|
522 |
|
|
(g,h) |
| Federal National Mortgage Assoc. REMIC |
|
|
|
|
|
|
|
|
|
|
| 1.24% |
|
12/25/42 |
|
|
61,157 |
|
|
|
2,671 |
|
|
(g,h,i) |
| 2.11% |
|
12/25/22 |
|
|
926 |
|
|
|
878 |
|
|
(d,f,h) |
| 3.50% |
|
09/25/42 |
|
|
94,405 |
|
|
|
18,249 |
|
|
(g) |
| 5.00% |
|
02/25/32 - 09/25/40 |
|
|
221,211 |
|
|
|
26,756 |
|
|
(g) |
| 5.84% |
|
07/25/38 |
|
|
45,777 |
|
|
|
6,477 |
|
|
(g,i) |
| 7.34% |
|
05/25/18 |
|
|
115,005 |
|
|
|
12,281 |
|
|
(g,h,i) |
| 8.00% |
|
05/25/22 |
|
|
3 |
|
|
|
64 |
|
|
(g,h) |
| Federal National Mortgage Assoc. STRIPS |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
08/01/35 - 01/01/36 |
|
|
49,540 |
|
|
|
8,439 |
|
|
(g) |
| 5.00% |
|
03/25/38 - 05/25/38 |
|
|
30,716 |
|
|
|
5,672 |
|
|
(g) |
| 5.50% |
|
12/01/33 |
|
|
8,215 |
|
|
|
1,560 |
|
|
(g) |
| 6.00% |
|
01/01/35 |
|
|
22,405 |
|
|
|
4,065 |
|
|
(g) |
| 7.50% |
|
11/01/23 |
|
|
23,577 |
|
|
|
5,494 |
|
|
(g,h) |
| 8.00% |
|
08/01/23 - 07/01/24 |
|
|
4,737 |
|
|
|
904 |
|
|
(g,h) |
| 8.50% |
|
03/01/17 - 07/25/22 |
|
|
1,602 |
|
|
|
251 |
|
|
(g,h) |
| 9.00% |
|
05/25/22 |
|
|
878 |
|
|
|
183 |
|
|
(g,h) |
| Government National Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
10/20/37 - 08/16/39 |
|
|
341,223 |
|
|
|
42,482 |
|
|
(g) |
| 5.00% |
|
12/20/35 - 09/20/38 |
|
|
215,540 |
|
|
|
18,775 |
|
|
(g) |
| 6.08% |
|
02/20/40 |
|
|
124,403 |
|
|
|
23,431 |
|
|
(g,i) |
|
|
|
|
|
|
|
|
|
245,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset Backed — 0.0%* |
|
|
|
|
|
|
|
|
|
|
|
| Ford Credit Auto Lease Trust 2013-A |
|
|
|
|
|
|
|
|
|
|
| 1.28% |
|
06/15/16 |
|
$
|
30,000 |
|
|
$
|
30,016 |
|
|
|
|
|
|
| Corporate Notes — 12.6% |
|
|
|
|
|
|
|
|
|
|
| 21st Century Fox America Inc. |
|
|
|
|
|
|
|
| 4.00% |
|
10/01/23 |
|
|
38,000 |
|
|
|
37,558 |
|
|
(b) |
| 5.40% |
|
10/01/43 |
|
|
24,000 |
|
|
|
24,301 |
|
|
(b) |
| 6.65% |
|
11/15/37 |
|
|
55,000 |
|
|
|
64,199 |
|
|
(h) |
| ABB Finance USA Inc. |
|
|
|
|
|
|
|
| 1.63% |
|
05/08/17 |
|
|
76,000 |
|
|
|
75,849 |
|
|
|
| AbbVie Inc. |
|
|
|
|
|
|
|
| 1.75% |
|
11/06/17 |
|
|
68,000 |
|
|
|
67,884 |
|
|
|
| 2.00% |
|
11/06/18 |
|
|
99,000 |
|
|
|
97,932 |
|
|
|
| 2.90% |
|
11/06/22 |
|
|
88,000 |
|
|
|
82,250 |
|
|
|
| AES Corp. |
|
|
|
|
|
|
|
| 8.00% |
|
10/15/17 |
|
|
6,000 |
|
|
|
7,050 |
|
|
(h) |
| AES Panama S.A. |
|
|
|
|
|
|
|
| 6.35% |
|
12/21/16 |
|
|
43,000 |
|
|
|
45,473 |
|
|
(b,h) |
| Agilent Technologies Inc. |
|
|
|
|
|
|
|
| 5.50% |
|
09/14/15 |
|
|
58,000 |
|
|
|
62,530 |
|
|
(h) |
| Agrium Inc. |
|
|
|
|
|
|
|
| 3.50% |
|
06/01/23 |
|
|
88,000 |
|
|
|
81,975 |
|
|
(h) |
| 4.90% |
|
06/01/43 |
|
|
122,000 |
|
|
|
112,972 |
|
|
(h) |
| Altria Group Inc. |
|
|
|
|
|
|
|
| 2.95% |
|
05/02/23 |
|
|
39,000 |
|
|
|
35,421 |
|
|
(h) |
| 4.50% |
|
05/02/43 |
|
|
39,000 |
|
|
|
34,460 |
|
|
(h) |
| 5.38% |
|
01/31/44 |
|
|
66,000 |
|
|
|
66,273 |
|
|
|
| Amazon.com Inc. |
|
|
|
|
|
|
|
| 1.20% |
|
11/29/17 |
|
|
68,000 |
|
|
|
66,578 |
|
|
(h) |
| 2.50% |
|
11/29/22 |
|
|
78,000 |
|
|
|
70,311 |
|
|
(h) |
| America Movil SAB de C.V. |
|
|
|
|
|
|
|
| 2.38% |
|
09/08/16 |
|
|
200,000 |
|
|
|
205,834 |
|
|
(h) |
| American Axle & Manufacturing Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
03/15/21 |
|
|
52,000 |
|
|
|
55,250 |
|
|
|
| 7.75% |
|
11/15/19 |
|
|
15,000 |
|
|
|
17,063 |
|
|
|
| American Honda Finance Corp. |
|
|
|
|
|
|
|
| 2.13% |
|
10/10/18 |
|
|
182,000 |
|
|
|
181,251 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
27
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American International Group Inc. |
|
|
|
|
|
|
|
| 3.38% |
|
08/15/20 |
|
$
|
94,000 |
|
|
$
|
94,547 |
|
|
|
| 4.88% |
|
06/01/22 |
|
|
70,000 |
|
|
|
75,238 |
|
|
(h) |
| American Seafoods Group LLC |
|
|
|
|
|
|
|
|
|
|
| 10.75% |
|
05/15/16 |
|
|
125,000 |
|
|
|
129,375 |
|
|
(b) |
| American Tower Corp. (REIT) |
|
|
|
|
|
|
|
| 3.40% |
|
02/15/19 |
|
|
94,000 |
|
|
|
95,697 |
|
|
|
| 3.50% |
|
01/31/23 |
|
|
37,000 |
|
|
|
33,735 |
|
|
(h) |
| American Tower Trust I (REIT) |
|
|
|
|
|
|
|
| 1.55% |
|
03/15/43 |
|
|
117,000 |
|
|
|
114,190 |
|
|
(b,h) |
| Amsted Industries Inc. |
|
|
|
|
|
|
|
| 8.13% |
|
03/15/18 |
|
|
38,000 |
|
|
|
40,043 |
|
|
(b,h) |
| Anadarko Petroleum Corp. |
|
|
|
|
|
|
|
| 6.20% |
|
03/15/40 |
|
|
131,000 |
|
|
|
144,904 |
|
|
|
| Anheuser-Busch InBev Finance Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.63% |
|
01/17/23 |
|
|
41,000 |
|
|
|
37,652 |
|
|
(h) |
| Anheuser-Busch InBev Worldwide Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
07/15/22 |
|
|
241,000 |
|
|
|
222,917 |
|
|
(h) |
| 5.38% |
|
11/15/14 |
|
|
43,000 |
|
|
|
44,786 |
|
|
(h) |
| Archer-Daniels-Midland Co. |
|
|
|
|
|
|
|
| 4.02% |
|
04/16/43 |
|
|
49,000 |
|
|
|
41,658 |
|
|
|
| Arizona Public Service Co. |
|
|
|
|
|
|
|
| 6.25% |
|
08/01/16 |
|
|
59,000 |
|
|
|
66,196 |
|
|
(h) |
| Ascension Health |
|
|
|
|
|
|
|
| 4.85% |
|
11/15/53 |
|
|
65,000 |
|
|
|
62,908 |
|
|
|
| Ashland Inc. |
|
|
|
|
|
|
|
| 3.00% |
|
03/15/16 |
|
|
74,000 |
|
|
|
75,480 |
|
|
|
| 3.88% |
|
04/15/18 |
|
|
71,000 |
|
|
|
71,887 |
|
|
|
| AT&T Inc. |
|
|
|
|
|
|
|
| 0.88% |
|
02/13/15 |
|
|
70,000 |
|
|
|
70,148 |
|
|
(h) |
| 2.38% |
|
11/27/18 |
|
|
190,000 |
|
|
|
190,163 |
|
|
|
| 4.35% |
|
06/15/45 |
|
|
100,000 |
|
|
|
84,659 |
|
|
|
| Autodesk Inc. |
|
|
|
|
|
|
|
| 1.95% |
|
12/15/17 |
|
|
80,000 |
|
|
|
79,139 |
|
|
(h) |
| Banco do Nordeste do Brasil S.A. |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
11/09/15 |
|
|
100,000 |
|
|
|
100,375 |
|
|
(b,h) |
| Bank of America Corp. |
|
|
|
|
|
|
|
| 2.00% |
|
01/11/18 |
|
|
268,000 |
|
|
|
267,525 |
|
|
(h) |
| 2.60% |
|
01/15/19 |
|
|
116,000 |
|
|
|
116,512 |
|
|
|
| 3.30% |
|
01/11/23 |
|
|
127,000 |
|
|
|
120,176 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.88% |
|
03/22/17 |
|
$
|
77,000 |
|
|
$
|
82,183 |
|
|
(h) |
| 4.10% |
|
07/24/23 |
|
|
129,000 |
|
|
|
129,547 |
|
|
|
| Barclays Bank PLC |
|
|
|
|
|
|
|
| 2.25% |
|
05/10/17 |
|
|
300,000 |
|
|
|
309,150 |
|
|
(b) |
| Barrick Gold Corp. |
|
|
|
|
|
|
|
| 4.10% |
|
05/01/23 |
|
|
40,000 |
|
|
|
36,156 |
|
|
|
| Berkshire Hathaway Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.90% |
|
10/15/20 |
|
|
115,000 |
|
|
|
114,044 |
|
|
|
| 3.00% |
|
05/15/22 |
|
|
49,000 |
|
|
|
46,974 |
|
|
(h) |
| Berkshire Hathaway Inc. |
|
|
|
|
|
|
|
| 1.55% |
|
02/09/18 |
|
|
76,000 |
|
|
|
75,145 |
|
|
|
| 4.50% |
|
02/11/43 |
|
|
134,000 |
|
|
|
123,876 |
|
|
|
| BHP Billiton Finance USA Ltd. |
|
|
|
|
|
|
|
| 2.05% |
|
09/30/18 |
|
|
48,000 |
|
|
|
47,994 |
|
|
|
| 3.85% |
|
09/30/23 |
|
|
48,000 |
|
|
|
48,208 |
|
|
|
| 5.00% |
|
09/30/43 |
|
|
48,000 |
|
|
|
48,804 |
|
|
|
| Bombardier Inc. |
|
|
|
|
|
|
|
| 4.25% |
|
01/15/16 |
|
|
29,000 |
|
|
|
30,305 |
|
|
(b) |
| 7.75% |
|
03/15/20 |
|
|
354,000 |
|
|
|
401,790 |
|
|
(b,h) |
| BP Capital Markets PLC |
|
|
|
|
|
|
|
| 1.38% |
|
05/10/18 |
|
|
167,000 |
|
|
|
162,082 |
|
|
(h) |
| 2.25% |
|
11/01/16 |
|
|
30,000 |
|
|
|
31,046 |
|
|
(h) |
| 2.50% |
|
11/06/22 |
|
|
171,000 |
|
|
|
155,693 |
|
|
(h) |
| BPCE S.A. |
|
|
|
|
|
|
|
| 2.50% |
|
12/10/18 |
|
|
250,000 |
|
|
|
248,661 |
|
|
|
| Brocade Communications Systems Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
01/15/23 |
|
|
156,000 |
|
|
|
144,300 |
|
|
(b,h) |
| Buckeye Partners LP |
|
|
|
|
|
|
|
| 2.65% |
|
11/15/18 |
|
|
95,000 |
|
|
|
93,604 |
|
|
|
| Burlington Northern Santa Fe LLC |
|
|
|
|
|
|
|
|
|
|
| 3.85% |
|
09/01/23 |
|
|
94,000 |
|
|
|
92,462 |
|
|
|
| Cameron International Corp. |
|
|
|
|
|
|
|
| 4.00% |
|
12/15/23 |
|
|
48,000 |
|
|
|
47,433 |
|
|
|
| Cargill Inc. |
|
|
|
|
|
|
|
| 6.00% |
|
11/27/17 |
|
|
1,000 |
|
|
|
1,142 |
|
|
(b,h) |
| Case New Holland Inc. |
|
|
|
|
|
|
|
| 7.88% |
|
12/01/17 |
|
|
40,000 |
|
|
|
47,200 |
|
|
(h) |
| Catholic Health Initiatives |
|
|
|
|
|
|
|
| 2.60% |
|
08/01/18 |
|
|
30,000 |
|
|
|
30,098 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
28
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2.95% |
|
11/01/22 |
|
$
|
37,000 |
|
|
$
|
33,627 |
|
|
|
| 4.20% |
|
08/01/23 |
|
|
25,000 |
|
|
|
24,514 |
|
|
|
| 4.35% |
|
11/01/42 |
|
|
24,000 |
|
|
|
20,820 |
|
|
|
| Celgene Corp. |
|
|
|
|
|
|
|
| 2.30% |
|
08/15/18 |
|
|
47,000 |
|
|
|
46,742 |
|
|
|
| Central American Bank for Economic Integration |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
09/24/14 |
|
|
60,000 |
|
|
|
61,813 |
|
|
(b,h) |
| Cequel Capital Corp. |
|
|
|
|
|
|
|
| 5.13% |
|
12/15/21 |
|
|
77,000 |
|
|
|
72,187 |
|
|
(b) |
| Chesapeake Energy Corp. |
|
|
|
|
|
|
|
| 3.25% |
|
03/15/16 |
|
|
77,000 |
|
|
|
77,770 |
|
|
|
| Cigna Corp. |
|
|
|
|
|
|
|
| 2.75% |
|
11/15/16 |
|
|
69,000 |
|
|
|
71,817 |
|
|
(h) |
| 4.00% |
|
02/15/22 |
|
|
156,000 |
|
|
|
158,788 |
|
|
(h) |
| Citigroup Inc. |
|
|
|
|
|
|
|
| 1.25% |
|
01/15/16 |
|
|
73,000 |
|
|
|
73,242 |
|
|
|
| 1.75% |
|
05/01/18 |
|
|
228,000 |
|
|
|
224,191 |
|
|
(h) |
| 3.50% |
|
05/15/23 |
|
|
94,000 |
|
|
|
87,588 |
|
|
(h) |
| 5.00% |
|
09/15/14 |
|
|
127,000 |
|
|
|
130,618 |
|
|
(h) |
| 6.68% |
|
09/13/43 |
|
|
98,000 |
|
|
|
112,762 |
|
|
|
| CNA Financial Corp. |
|
|
|
|
|
|
|
| 5.88% |
|
08/15/20 |
|
|
60,000 |
|
|
|
68,402 |
|
|
(h) |
| CNH Capital LLC |
|
|
|
|
|
|
|
| 3.25% |
|
02/01/17 |
|
|
54,000 |
|
|
|
54,945 |
|
|
(b) |
| 3.88% |
|
11/01/15 |
|
|
44,000 |
|
|
|
45,430 |
|
|
|
| Cogeco Cable Inc. |
|
|
|
|
|
|
|
| 4.88% |
|
05/01/20 |
|
|
75,000 |
|
|
|
72,375 |
|
|
(b,h) |
| Comcast Corp. |
|
|
|
|
|
|
|
| 4.50% |
|
01/15/43 |
|
|
59,000 |
|
|
|
53,296 |
|
|
(h) |
| Constellation Brands Inc. |
|
|
|
|
|
|
|
| 7.25% |
|
09/01/16 |
|
|
74,000 |
|
|
|
83,990 |
|
|
(h) |
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
12/01/23 |
|
|
250,000 |
|
|
|
251,754 |
|
|
|
| Corning Inc. |
|
|
|
| 3.70% |
|
11/15/23 |
|
|
66,000 |
|
|
|
65,001 |
|
|
|
| Corp Andina de Fomento |
|
|
|
|
|
|
|
| 4.38% |
|
06/15/22 |
|
|
68,000 |
|
|
|
67,332 |
|
|
|
| Corp Lindley S.A. |
|
|
|
|
|
|
|
| 4.63% |
|
04/12/23 |
|
|
17,000 |
|
|
|
15,683 |
|
|
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corp Nacional del Cobre de Chile |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
07/17/42 |
|
$
|
42,000 |
|
|
$
|
33,589 |
|
|
(b) |
| 5.63% |
|
09/21/35 |
|
|
12,000 |
|
|
|
11,866 |
|
|
(b,h) |
| Corporate Office Properties LP (REIT) |
|
|
|
|
|
|
|
|
|
|
| 3.60% |
|
05/15/23 |
|
|
174,000 |
|
|
|
157,704 |
|
|
|
| COX Communications Inc. |
|
|
|
|
|
|
|
| 2.95% |
|
06/30/23 |
|
|
113,000 |
|
|
|
98,744 |
|
|
(b,h) |
| 3.25% |
|
12/15/22 |
|
|
25,000 |
|
|
|
22,622 |
|
|
(b) |
| 4.70% |
|
12/15/42 |
|
|
17,000 |
|
|
|
14,277 |
|
|
(b) |
| Crown Castle Towers LLC |
|
|
|
|
|
|
|
| 6.11% |
|
01/15/40 |
|
|
55,000 |
|
|
|
61,673 |
|
|
(b,h) |
| CVS Caremark Corp. |
|
|
|
|
|
|
|
| 2.25% |
|
12/05/18 |
|
|
67,000 |
|
|
|
66,980 |
|
|
|
| 5.30% |
|
12/05/43 |
|
|
48,000 |
|
|
|
49,640 |
|
|
|
| Daimler Finance North America LLC |
|
|
|
|
|
|
|
|
|
|
| 1.88% |
|
01/11/18 |
|
|
150,000 |
|
|
|
147,756 |
|
|
(b,h) |
| 2.38% |
|
08/01/18 |
|
|
150,000 |
|
|
|
149,668 |
|
|
(b) |
| DaVita Healthcare Partners Inc. |
|
|
|
|
|
|
|
| 6.38% |
|
11/01/18 |
|
|
68,000 |
|
|
|
71,400 |
|
|
(h) |
| Denbury Resources Inc. |
|
|
|
|
|
|
|
| 6.38% |
|
08/15/21 |
|
|
60,000 |
|
|
|
63,900 |
|
|
(h) |
| 8.25% |
|
02/15/20 |
|
|
34,000 |
|
|
|
37,443 |
|
|
(h) |
| Deutsche Bank AG |
|
|
|
|
|
|
|
| 4.30% |
|
05/24/28 |
|
|
200,000 |
|
|
|
181,067 |
|
|
(h,i) |
| Diageo Capital PLC |
|
|
|
|
|
|
|
| 1.13% |
|
04/29/18 |
|
|
78,000 |
|
|
|
75,199 |
|
|
(h) |
| Diageo Investment Corp. |
|
|
|
|
|
|
|
| 2.88% |
|
05/11/22 |
|
|
105,000 |
|
|
|
100,089 |
|
|
(h) |
| Diamond Offshore Drilling Inc. |
|
|
|
|
|
|
|
| 4.88% |
|
11/01/43 |
|
|
85,000 |
|
|
|
83,423 |
|
|
|
| DigitalGlobe Inc. |
|
|
|
|
|
|
|
| 5.25% |
|
02/01/21 |
|
|
73,000 |
|
|
|
71,175 |
|
|
(b,h) |
| DIRECTV Holdings LLC |
|
|
|
|
|
|
|
| 3.80% |
|
03/15/22 |
|
|
102,000 |
|
|
|
97,985 |
|
|
(h) |
| 5.15% |
|
03/15/42 |
|
|
61,000 |
|
|
|
54,784 |
|
|
(h) |
| Dominion Resources Inc. |
|
|
|
|
|
|
|
| 1.95% |
|
08/15/16 |
|
|
54,000 |
|
|
|
54,894 |
|
|
(h) |
| DPL Inc. |
|
|
|
|
|
|
|
| 7.25% |
|
10/15/21 |
|
|
75,000 |
|
|
|
75,937 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
29
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Duke Energy Corp. |
|
|
|
|
|
|
|
| 1.63% |
|
08/15/17 |
|
$
|
69,000 |
|
|
$
|
68,564 |
|
|
(h) |
| 3.05% |
|
08/15/22 |
|
|
132,000 |
|
|
|
125,380 |
|
|
(h) |
| Eastman Chemical Co. |
|
|
|
|
|
|
|
| 2.40% |
|
06/01/17 |
|
|
103,000 |
|
|
|
104,104 |
|
|
(h) |
| Eaton Corp. |
|
|
|
|
|
|
|
| 1.50% |
|
11/02/17 |
|
|
102,000 |
|
|
|
99,994 |
|
|
|
| 2.75% |
|
11/02/22 |
|
|
94,000 |
|
|
|
87,689 |
|
|
|
| eBay Inc. |
|
|
|
|
|
|
|
| 2.60% |
|
07/15/22 |
|
|
95,000 |
|
|
|
87,374 |
|
|
|
| 4.00% |
|
07/15/42 |
|
|
41,000 |
|
|
|
34,721 |
|
|
|
| Ecopetrol S.A. |
|
|
|
|
|
|
|
| 7.38% |
|
09/18/43 |
|
|
38,000 |
|
|
|
41,192 |
|
|
|
| 7.63% |
|
07/23/19 |
|
|
28,000 |
|
|
|
33,180 |
|
|
|
| EMC Corp. |
|
|
|
|
|
|
|
| 1.88% |
|
06/01/18 |
|
|
84,000 |
|
|
|
83,046 |
|
|
(h) |
| Empresa Nacional del Petroleo |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
12/06/21 |
|
|
100,000 |
|
|
|
99,437 |
|
|
(b) |
| Energy Transfer Partners LP |
|
|
|
|
|
|
|
| 3.60% |
|
02/01/23 |
|
|
63,000 |
|
|
|
58,340 |
|
|
(h) |
| 6.50% |
|
02/01/42 |
|
|
62,000 |
|
|
|
66,635 |
|
|
(h) |
| Enterprise Products Operating LLC |
|
|
|
|
|
|
|
|
|
|
| 4.45% |
|
02/15/43 |
|
|
57,000 |
|
|
|
50,349 |
|
|
|
| Erickson Air-Crane Inc. |
|
|
|
|
|
|
|
| 8.25% |
|
05/01/20 |
|
|
30,000 |
|
|
|
31,050 |
|
|
(b) |
| Eskom Holdings SOC Ltd. |
|
|
|
|
|
|
|
| 6.75% |
|
08/06/23 |
|
|
200,000 |
|
|
|
204,500 |
|
|
(b) |
| European Investment Bank |
|
|
|
|
|
|
|
| 0.88% |
|
12/15/14 |
|
|
135,000 |
|
|
|
135,780 |
|
|
(h) |
| 4.88% |
|
01/17/17 |
|
|
150,000 |
|
|
|
167,370 |
|
|
(h) |
| Exelon Corp. |
|
|
|
|
|
|
|
| 4.90% |
|
06/15/15 |
|
|
111,000 |
|
|
|
117,028 |
|
|
(h) |
| Express Scripts Holding Co. |
|
|
|
|
|
|
|
|
|
|
| 2.65% |
|
02/15/17 |
|
|
46,000 |
|
|
|
47,411 |
|
|
|
| 3.13% |
|
05/15/16 |
|
|
171,000 |
|
|
|
178,475 |
|
|
(h) |
| Five Corners Funding Trust |
|
|
|
|
|
|
|
| 4.42% |
|
11/15/23 |
|
|
142,000 |
|
|
|
139,973 |
|
|
(b) |
| Flextronics International Ltd. |
|
|
|
|
|
|
|
| 4.63% |
|
02/15/20 |
|
|
30,000 |
|
|
|
29,250 |
|
|
|
| Florida Power & Light Co. |
|
|
|
|
|
|
|
| 4.13% |
|
02/01/42 |
|
|
42,000 |
|
|
|
38,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FMG Resources August 2006 Pty Ltd. |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
11/01/15 |
|
$
|
16,000 |
|
|
$
|
16,600 |
|
|
(b) |
| Forest Oil Corp. |
|
|
|
|
|
|
|
| 7.25% |
|
06/15/19 |
|
|
36,000 |
|
|
|
35,055 |
|
|
|
| Freeport-McMoRan Copper & Gold Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
03/15/18 |
|
|
74,000 |
|
|
|
73,819 |
|
|
|
| 5.45% |
|
03/15/43 |
|
|
67,000 |
|
|
|
64,121 |
|
|
|
| Fresenius Medical Care US Finance Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
02/15/21 |
|
|
84,000 |
|
|
|
89,040 |
|
|
(b) |
| Frontier Communications Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.13% |
|
03/15/19 |
|
|
71,000 |
|
|
|
76,502 |
|
|
(h) |
| Genworth Holdings Inc. |
|
|
|
|
|
|
|
| 7.70% |
|
06/15/20 |
|
|
35,000 |
|
|
|
41,671 |
|
|
|
| Glencore Funding LLC |
|
|
|
|
|
|
|
| 2.50% |
|
01/15/19 |
|
|
118,000 |
|
|
|
114,262 |
|
|
(b) |
| 4.13% |
|
05/30/23 |
|
|
164,000 |
|
|
|
153,260 |
|
|
(b) |
| Goldman Sachs Capital I |
|
|
|
|
|
|
|
| 6.35% |
|
02/15/34 |
|
|
43,000 |
|
|
|
43,387 |
|
|
(h) |
| Great Plains Energy Inc. |
|
|
|
|
|
|
|
| 4.85% |
|
06/01/21 |
|
|
80,000 |
|
|
|
84,291 |
|
|
|
| GXS Worldwide Inc. |
|
|
|
|
|
|
|
| 9.75% |
|
06/15/15 |
|
|
52,000 |
|
|
|
53,690 |
|
|
|
| HCA Inc. |
|
|
|
| 6.50% |
|
02/15/20 |
|
|
119,000 |
|
|
|
130,751 |
|
|
(h) |
| Hexion US Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.63% |
|
04/15/20 |
|
|
88,000 |
|
|
|
90,200 |
|
|
|
| Hilton Worldwide Finance LLC |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
10/15/21 |
|
|
88,000 |
|
|
|
91,300 |
|
|
(b) |
| Host Hotels & Resorts LP (REIT) |
|
|
|
|
|
|
|
|
|
|
| 3.75% |
|
10/15/23 |
|
|
96,000 |
|
|
|
89,009 |
|
|
|
| Hughes Satellite Systems Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
06/15/19 |
|
|
49,000 |
|
|
|
53,042 |
|
|
(h) |
| Huntsman International LLC |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
11/15/20 |
|
|
77,000 |
|
|
|
75,845 |
|
|
|
| Hyundai Capital America |
|
|
|
|
|
|
|
|
|
|
| 1.63% |
|
10/02/15 |
|
|
68,000 |
|
|
|
68,340 |
|
|
(b) |
| 2.13% |
|
10/02/17 |
|
|
35,000 |
|
|
|
34,761 |
|
|
(b) |
| iGATE Corp. |
|
|
|
|
|
|
|
|
|
|
| 9.00% |
|
05/01/16 |
|
|
74,000 |
|
|
|
78,625 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
30
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industry & Construction Bank St Petersburg OJSC Via |
|
|
|
|
|
|
|
|
|
|
| 5.01% |
|
09/29/15 |
|
$
|
100,000 |
|
|
$
|
102,250 |
|
|
(i) |
| ING Bank N.V. |
|
|
|
|
|
|
|
|
|
|
| 5.80% |
|
09/25/23 |
|
|
200,000 |
|
|
|
209,119 |
|
|
(b) |
| ING U.S. Inc. |
|
|
|
|
|
|
|
| 5.70% |
|
07/15/43 |
|
|
82,000 |
|
|
|
85,673 |
|
|
|
| Ingersoll-Rand Global Holding Company Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.88% |
|
01/15/19 |
|
|
44,000 |
|
|
|
43,368 |
|
|
(b) |
| 4.25% |
|
06/15/23 |
|
|
93,000 |
|
|
|
90,834 |
|
|
(b) |
| Ingles Markets Inc. |
|
|
|
|
|
|
|
| 5.75% |
|
06/15/23 |
|
|
140,000 |
|
|
|
137,200 |
|
|
|
| IntercontinentalExchange Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
10/15/18 |
|
|
48,000 |
|
|
|
48,353 |
|
|
|
| 4.00% |
|
10/15/23 |
|
|
96,000 |
|
|
|
96,569 |
|
|
|
| Invesco Finance PLC |
|
|
|
|
|
|
|
|
|
|
| 3.13% |
|
11/30/22 |
|
|
107,000 |
|
|
|
99,007 |
|
|
(h) |
| JB Poindexter & Company Inc. |
|
|
|
|
|
|
|
|
|
|
| 9.00% |
|
04/01/22 |
|
|
23,000 |
|
|
|
24,553 |
|
|
(b) |
| Jefferies Group Inc. |
|
|
|
|
|
|
|
| 5.13% |
|
01/20/23 |
|
|
83,000 |
|
|
|
83,952 |
|
|
|
| 6.50% |
|
01/20/43 |
|
|
26,000 |
|
|
|
25,781 |
|
|
|
| JPMorgan Chase & Co. |
|
|
|
|
|
|
|
|
|
|
| 3.20% |
|
01/25/23 |
|
|
204,000 |
|
|
|
193,397 |
|
|
(h) |
| 3.38% |
|
05/01/23 |
|
|
39,000 |
|
|
|
36,348 |
|
|
(h) |
| KazMunayGas National Company JSC |
|
|
|
|
|
|
|
|
|
|
| 11.75% |
|
01/23/15 |
|
|
100,000 |
|
|
|
109,750 |
|
|
(b) |
| Kerr-McGee Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.95% |
|
07/01/24 |
|
|
96,000 |
|
|
|
111,520 |
|
|
|
| KFW |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
10/04/22 |
|
|
246,000 |
|
|
|
225,295 |
|
|
|
| 4.50% |
|
07/16/18 |
|
|
102,000 |
|
|
|
114,220 |
|
|
(h) |
| Kinder Morgan Energy Partners LP |
|
|
|
|
|
|
|
|
|
|
| 2.65% |
|
02/01/19 |
|
|
46,000 |
|
|
|
45,490 |
|
|
|
| 3.50% |
|
09/01/23 |
|
|
101,000 |
|
|
|
92,737 |
|
|
|
| 4.15% |
|
02/01/24 |
|
|
187,000 |
|
|
|
180,917 |
|
|
|
| Kinross Gold Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
09/01/41 |
|
|
47,000 |
|
|
|
42,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Korea National Oil Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.88% |
|
11/09/15 |
|
$
|
100,000 |
|
|
$
|
102,992 |
|
|
(b,h) |
| Kraft Foods Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.63% |
|
06/04/15 |
|
|
45,000 |
|
|
|
45,572 |
|
|
|
| 2.25% |
|
06/05/17 |
|
|
274,000 |
|
|
|
277,445 |
|
|
|
| 5.00% |
|
06/04/42 |
|
|
63,000 |
|
|
|
62,105 |
|
|
|
| Kratos Defense & Security Solutions Inc. |
|
|
|
|
|
|
|
|
|
|
| 10.00% |
|
06/01/17 |
|
|
129,000 |
|
|
|
139,159 |
|
|
|
| Liberty Mutual Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
06/15/23 |
|
|
87,000 |
|
|
|
84,001 |
|
|
(b) |
| Linn Energy LLC |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
11/01/19 |
|
|
83,000 |
|
|
|
83,830 |
|
|
(b) |
| 8.63% |
|
04/15/20 |
|
|
56,000 |
|
|
|
60,480 |
|
|
|
| Lowe’s Companies Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
09/15/43 |
|
|
48,000 |
|
|
|
49,077 |
|
|
|
| LYB International Finance BV |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
07/15/23 |
|
|
45,000 |
|
|
|
44,417 |
|
|
|
| 5.25% |
|
07/15/43 |
|
|
22,000 |
|
|
|
22,115 |
|
|
|
| Macquarie Group Ltd. |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
12/03/18 |
|
|
71,000 |
|
|
|
70,714 |
|
|
(b) |
| Majapahit Holding BV |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
06/28/17 |
|
|
100,000 |
|
|
|
109,500 |
|
|
(b) |
| Memorial Sloan-Kettering Cancer Center |
|
|
|
|
|
|
|
|
|
|
| 4.13% |
|
07/01/52 |
|
|
30,000 |
|
|
|
24,679 |
|
|
|
| Merck & Company Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.80% |
|
05/18/23 |
|
|
122,000 |
|
|
|
112,946 |
|
|
|
| 4.15% |
|
05/18/43 |
|
|
49,000 |
|
|
|
44,766 |
|
|
|
| MetLife Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
11/13/43 |
|
|
73,000 |
|
|
|
71,645 |
|
|
|
| MetroPCS Wireless Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
04/01/21 |
|
|
135,000 |
|
|
|
140,062 |
|
|
(b) |
| Microsoft Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
05/01/23 |
|
|
156,000 |
|
|
|
141,134 |
|
|
|
| MidAmerican Energy Holdings Co. |
|
|
|
|
|
|
|
|
|
|
| 6.13% |
|
04/01/36 |
|
|
45,000 |
|
|
|
51,123 |
|
|
(h) |
| Monsanto Co. |
|
|
|
|
|
|
|
|
|
|
| 4.65% |
|
11/15/43 |
|
|
48,000 |
|
|
|
46,824 |
|
|
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
| 2.13% |
|
04/25/18 |
|
|
149,000 |
|
|
|
147,715 |
|
|
|
| 4.75% |
|
03/22/17 |
|
|
50,000 |
|
|
|
54,566 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
31
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
11/01/22 |
|
$
|
75,000 |
|
|
$
|
76,775 |
|
|
|
| 5.00% |
|
11/24/25 |
|
|
95,000 |
|
|
|
95,284 |
|
|
|
| 5.55% |
|
04/27/17 |
|
|
162,000 |
|
|
|
180,714 |
|
|
|
| Mylan Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.40% |
|
11/29/43 |
|
|
32,000 |
|
|
|
32,258 |
|
|
|
| 7.88% |
|
07/15/20 |
|
|
23,000 |
|
|
|
26,025 |
|
|
(b,h) |
| Nationwide Financial Services Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
03/25/21 |
|
|
45,000 |
|
|
|
48,247 |
|
|
(b,h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NCL Corp. Ltd. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/15/18 |
|
|
7,000 |
|
|
|
7,210 |
|
|
|
| Newfield Exploration Co. |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
07/01/24 |
|
|
10,000 |
|
|
|
9,950 |
|
|
|
| 5.75% |
|
01/30/22 |
|
|
68,000 |
|
|
|
70,040 |
|
|
|
| Nexen Energy ULC |
|
|
|
|
|
|
|
|
|
|
| 6.40% |
|
05/15/37 |
|
|
51,000 |
|
|
|
58,054 |
|
|
(h) |
| NextEra Energy Capital Holdings Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.60% |
|
09/01/15 |
|
|
129,000 |
|
|
|
132,426 |
|
|
(h) |
| Northeast Utilities |
|
|
|
|
|
|
|
|
|
|
| 1.45% |
|
05/01/18 |
|
|
81,000 |
|
|
|
78,452 |
|
|
(h) |
| Northrop Grumman Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.75% |
|
06/01/18 |
|
|
122,000 |
|
|
|
119,018 |
|
|
(h) |
| 4.75% |
|
06/01/43 |
|
|
91,000 |
|
|
|
86,239 |
|
|
(h) |
| Novartis Capital Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
09/21/22 |
|
|
82,000 |
|
|
|
75,180 |
|
|
(h) |
| NYSE Euronext |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
10/05/17 |
|
|
103,000 |
|
|
|
103,134 |
|
|
(h) |
| Omnicom Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
05/01/22 |
|
|
60,000 |
|
|
|
58,104 |
|
|
(h) |
| Oracle Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.20% |
|
10/15/17 |
|
|
112,000 |
|
|
|
110,214 |
|
|
(h) |
| 3.63% |
|
07/15/23 |
|
|
62,000 |
|
|
|
61,502 |
|
|
|
| Pacific Gas & Electric Co. |
|
|
|
|
|
|
|
|
|
|
| 6.05% |
|
03/01/34 |
|
|
52,000 |
|
|
|
59,566 |
|
|
(h) |
| PacifiCorp |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
10/15/37 |
|
|
132,000 |
|
|
|
157,380 |
|
|
(h) |
| Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
01/15/19 |
|
|
45,000 |
|
|
|
42,112 |
|
|
|
| Petrobras International Finance Co. |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
02/06/17 |
|
|
116,000 |
|
|
|
117,062 |
|
|
(h) |
| 3.88% |
|
01/27/16 |
|
|
34,000 |
|
|
|
35,002 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
07/18/18 - 01/30/23 |
|
$
|
406,000 |
|
|
$
|
403,897 |
|
|
|
| 5.50% |
|
01/21/21 |
|
|
132,000 |
|
|
|
141,900 |
|
|
|
| Petroleum Company of Trinidad & Tobago Ltd. |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
05/08/22 |
|
|
70,833 |
|
|
|
74,906 |
|
|
|
| Philip Morris International Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
05/16/16 |
|
|
80,000 |
|
|
|
83,023 |
|
|
(h) |
| 4.13% |
|
03/04/43 |
|
|
39,000 |
|
|
|
34,141 |
|
|
|
| Plains Exploration & Production Co. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
11/15/20 |
|
|
37,000 |
|
|
|
40,862 |
|
|
|
| Power Sector Assets & Liabilities Management Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
05/27/19 |
|
|
200,000 |
|
|
|
237,500 |
|
|
|
| 7.39% |
|
12/02/24 |
|
|
100,000 |
|
|
|
122,000 |
|
|
(b,h) |
| Prudential Financial Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.20% |
|
03/15/44 |
|
|
25,000 |
|
|
|
24,188 |
|
|
(i) |
| 5.63% |
|
06/15/43 |
|
|
46,000 |
|
|
|
45,080 |
|
|
(i) |
| Public Service Electric & Gas Co. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
05/15/23 |
|
|
117,000 |
|
|
|
105,203 |
|
|
(h) |
| Range Resources Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
06/01/21 |
|
|
68,000 |
|
|
|
72,080 |
|
|
(h) |
| Realty Income Corp. (REIT) |
|
|
|
|
|
|
|
|
|
|
| 4.65% |
|
08/01/23 |
|
|
89,000 |
|
|
|
89,632 |
|
|
|
| Revlon Consumer Products Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
02/15/21 |
|
|
30,000 |
|
|
|
29,588 |
|
|
|
| Rockwell Collins Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.70% |
|
12/15/23 |
|
|
76,000 |
|
|
|
75,028 |
|
|
|
| Roper Industries Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.05% |
|
10/01/18 |
|
|
122,000 |
|
|
|
118,562 |
|
|
(h) |
| Royal Bank of Canada |
|
|
|
|
|
|
|
|
|
|
| 1.20% |
|
09/19/18 |
|
|
323,000 |
|
|
|
320,039 |
|
|
(h) |
| RSI Home Products Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
03/01/18 |
|
|
75,000 |
|
|
|
78,562 |
|
|
(b) |
| Russian Agricultural Bank OJSC Via RSHB Capital S.A. |
|
|
|
|
|
|
|
|
|
|
| 7.75% |
|
05/29/18 |
|
|
100,000 |
|
|
|
112,625 |
|
|
(b,h) |
| Russian Railways via RZD Capital PLC |
|
|
|
|
|
|
|
|
|
|
| 5.74% |
|
04/03/17 |
|
|
100,000 |
|
|
|
108,375 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
32
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sabine Pass Liquefaction LLC |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
02/01/21 |
|
$
|
115,000 |
|
|
$
|
112,412 |
|
|
(b,h) |
| Sanofi |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.25% |
|
04/10/18 |
|
|
78,000 |
|
|
|
75,942 |
|
|
|
| SCF Capital Ltd. |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
10/27/17 |
|
|
200,000 |
|
|
|
201,040 |
|
|
(b,h) |
| Schaeffler Holding Finance BV |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
08/15/18 |
|
|
200,000 |
|
|
|
212,000 |
|
|
(b,q) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schlumberger Investment S.A. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
08/01/22 |
|
|
104,000 |
|
|
|
95,319 |
|
|
(b) |
| Shell International Finance BV |
|
|
|
|
|
|
|
|
|
|
| 3.40% |
|
08/12/23 |
|
|
141,000 |
|
|
|
137,426 |
|
|
|
| Sinochem Overseas Capital Company Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
11/12/20 |
|
|
200,000 |
|
|
|
204,064 |
|
|
(b,h) |
| Sinopec Capital 2013 Ltd. |
|
|
|
|
|
|
|
|
|
|
| 3.13% |
|
04/24/23 |
|
|
200,000 |
|
|
|
178,479 |
|
|
(b,h) |
| Sprint Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
09/15/21 |
|
|
52,000 |
|
|
|
55,835 |
|
|
(b) |
| Statoil ASA |
|
|
|
|
|
|
|
|
|
|
| 3.70% |
|
03/01/24 |
|
|
143,000 |
|
|
|
141,974 |
|
|
|
| 4.80% |
|
11/08/43 |
|
|
48,000 |
|
|
|
48,494 |
|
|
|
| SunTrust Banks Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.35% |
|
11/01/18 |
|
|
96,000 |
|
|
|
95,491 |
|
|
|
| T-Mobile USA Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
09/01/18 |
|
|
61,000 |
|
|
|
64,202 |
|
|
(b) |
| Talisman Energy Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
02/01/38 |
|
|
58,000 |
|
|
|
58,977 |
|
|
|
| Teck Resources Ltd. |
|
|
|
|
|
|
|
|
|
|
| 5.40% |
|
02/01/43 |
|
|
59,000 |
|
|
|
53,817 |
|
|
|
| Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
|
|
| 3.19% |
|
04/27/18 |
|
|
150,000 |
|
|
|
152,763 |
|
|
(h) |
| 5.46% |
|
02/16/21 |
|
|
47,000 |
|
|
|
49,592 |
|
|
|
| Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
06/01/20 |
|
|
196,000 |
|
|
|
191,590 |
|
|
|
| Textron Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.20% |
|
03/15/15 |
|
|
62,000 |
|
|
|
65,770 |
|
|
(h) |
| The Allstate Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
08/15/53 |
|
|
52,000 |
|
|
|
52,390 |
|
|
(i) |
| The Coca-Cola Co. |
|
|
|
|
|
|
|
|
|
|
| 3.30% |
|
09/01/21 |
|
|
88,000 |
|
|
|
88,141 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| The Goldman Sachs Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
01/22/18 |
|
$
|
92,000 |
|
|
$
|
92,350 |
|
|
|
| 2.90% |
|
07/19/18 |
|
|
137,000 |
|
|
|
139,421 |
|
|
|
| 3.63% |
|
01/22/23 |
|
|
77,000 |
|
|
|
74,563 |
|
|
|
| 6.75% |
|
10/01/37 |
|
|
74,000 |
|
|
|
82,328 |
|
|
|
| The Hertz Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
04/01/18 |
|
|
52,000 |
|
|
|
53,300 |
|
|
|
| The Home Depot Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.25% |
|
09/10/18 |
|
|
143,000 |
|
|
|
144,967 |
|
|
|
| 3.75% |
|
02/15/24 |
|
|
48,000 |
|
|
|
47,776 |
|
|
|
| 4.88% |
|
02/15/44 |
|
|
48,000 |
|
|
|
48,603 |
|
|
|
| The Korea Development Bank |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
03/09/16 |
|
|
122,000 |
|
|
|
126,718 |
|
|
(h) |
| The McClatchy Co. |
|
|
|
|
|
|
|
|
|
|
| 9.00% |
|
12/15/22 |
|
|
75,000 |
|
|
|
82,500 |
|
|
|
| The Mosaic Co. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
11/15/23 |
|
|
95,000 |
|
|
|
93,822 |
|
|
|
| 5.45% |
|
11/15/33 |
|
|
47,000 |
|
|
|
47,886 |
|
|
|
| The Potomac Edison Co. |
|
|
|
|
|
|
|
|
|
|
| 5.35% |
|
11/15/14 |
|
|
40,000 |
|
|
|
41,544 |
|
|
(h) |
| The Southern Co. |
|
|
|
|
|
|
|
|
|
|
| 2.45% |
|
09/01/18 |
|
|
115,000 |
|
|
|
116,745 |
|
|
|
| Thermo Fisher Scientific Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
02/01/19 |
|
|
67,000 |
|
|
|
66,376 |
|
|
|
| 4.15% |
|
02/01/24 |
|
|
105,000 |
|
|
|
104,002 |
|
|
|
| Thomson Reuters Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.30% |
|
02/23/17 |
|
|
47,000 |
|
|
|
46,793 |
|
|
|
| 5.65% |
|
11/23/43 |
|
|
39,000 |
|
|
|
39,707 |
|
|
|
| Time Warner Cable Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
11/15/40 |
|
|
62,000 |
|
|
|
53,633 |
|
|
|
| Time Warner Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.35% |
|
12/15/43 |
|
|
117,000 |
|
|
|
118,489 |
|
|
|
| Tops Holding Corp. |
|
|
|
|
|
|
|
|
|
|
| 8.88% |
|
12/15/17 |
|
|
149,000 |
|
|
|
163,714 |
|
|
(b,h) |
| Total Capital Canada Ltd. |
|
|
|
|
|
|
|
|
|
|
| 1.45% |
|
01/15/18 |
|
|
73,000 |
|
|
|
72,168 |
|
|
|
| Total Capital International S.A. |
|
|
|
|
|
|
|
|
|
|
| 1.55% |
|
06/28/17 |
|
|
424,000 |
|
|
|
424,091 |
|
|
(h) |
| Transocean Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.80% |
|
10/15/22 |
|
|
131,000 |
|
|
|
124,165 |
|
|
|
| tw telecom holdings inc. |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
09/01/23 |
|
|
35,000 |
|
|
|
36,400 |
|
|
(b) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
33
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Bancorp |
|
|
|
|
|
|
|
|
|
|
| 3.44% |
|
02/01/16 |
|
$
|
118,000 |
|
|
$
|
123,084 |
|
|
(h) |
| Unit Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.63% |
|
05/15/21 |
|
|
73,000 |
|
|
|
77,015 |
|
|
|
| United Rentals North America Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
07/15/18 |
|
|
74,000 |
|
|
|
79,087 |
|
|
|
| Vail Resorts Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
05/01/19 |
|
|
82,000 |
|
|
|
86,920 |
|
|
(h) |
| Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
10/15/20 |
|
|
125,000 |
|
|
|
131,719 |
|
|
(b) |
| Verizon Communications Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.45% |
|
11/01/22 |
|
|
96,000 |
|
|
|
84,984 |
|
|
|
| 4.50% |
|
09/15/20 |
|
|
143,000 |
|
|
|
153,091 |
|
|
|
| 5.15% |
|
09/15/23 |
|
|
123,000 |
|
|
|
132,064 |
|
|
|
| 6.55% |
|
09/15/43 |
|
|
67,000 |
|
|
|
78,387 |
|
|
|
| Viacom Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
12/15/16 |
|
|
88,000 |
|
|
|
91,009 |
|
|
(h) |
| 5.85% |
|
09/01/43 |
|
|
97,000 |
|
|
|
101,969 |
|
|
|
| Viasystems Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.88% |
|
05/01/19 |
|
|
73,000 |
|
|
|
78,931 |
|
|
(b) |
| Wal-Mart Stores Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.95% |
|
12/15/18 |
|
|
96,000 |
|
|
|
95,654 |
|
|
|
| Weatherford International Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
04/15/22 |
|
|
110,000 |
|
|
|
110,693 |
|
|
(h) |
| 5.95% |
|
04/15/42 |
|
|
56,000 |
|
|
|
56,109 |
|
|
(h) |
| 6.75% |
|
09/15/40 |
|
|
19,000 |
|
|
|
20,550 |
|
|
|
| Weingarten Realty Investors |
|
|
|
|
|
|
|
|
|
|
| 4.45% |
|
01/15/24 |
|
|
67,000 |
|
|
|
65,625 |
|
|
|
| WellPoint Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.10% |
|
01/15/44 |
|
|
91,000 |
|
|
|
90,240 |
|
|
|
| Wells Fargo & Co. |
|
|
|
|
|
|
|
|
|
|
| 3.45% |
|
02/13/23 |
|
|
101,000 |
|
|
|
95,489 |
|
|
|
| 5.38% |
|
11/02/43 |
|
|
123,000 |
|
|
|
125,953 |
|
|
|
| Windstream Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
08/01/23 |
|
|
73,000 |
|
|
|
68,255 |
|
|
|
| WM Wrigley Jr Co. |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
10/20/17 |
|
|
48,000 |
|
|
|
47,867 |
|
|
(b) |
| 2.90% |
|
10/21/19 |
|
|
96,000 |
|
|
|
95,206 |
|
|
(b) |
| Woodside Finance Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
11/10/14 |
|
|
131,000 |
|
|
|
135,053 |
|
|
(b,h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WPX Energy Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
01/15/17 |
|
$
|
75,000 |
|
|
$
|
80,062 |
|
|
|
| Wynn Las Vegas LLC |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
03/15/22 |
|
|
43,000 |
|
|
|
43,430 |
|
|
|
| XLIT Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.30% |
|
12/15/18 |
|
|
95,000 |
|
|
|
93,308 |
|
|
|
| 5.25% |
|
12/15/43 |
|
|
45,000 |
|
|
|
45,301 |
|
|
|
| Xstrata Finance Canada Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.70% |
|
10/25/17 |
|
|
93,000 |
|
|
|
94,056 |
|
|
(b) |
| Zoetis Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
02/01/23 |
|
|
67,000 |
|
|
|
62,690 |
|
|
|
|
|
|
|
|
|
|
|
|
29,627,826 |
|
|
|
|
| Non-Agency Collateralized Mortgage Obligations — 1.8% |
|
|
|
|
| Banc of America Commercial Mortgage Trust 2006-4 |
|
|
|
|
|
|
|
|
|
|
| 5.68% |
|
07/10/46 |
|
|
30,000 |
|
|
|
32,713 |
|
|
|
| Banc of America Commercial Mortgage Trust 2007-1 |
|
|
|
|
|
|
|
|
|
|
| 5.48% |
|
01/15/49 |
|
|
160,000 |
|
|
|
167,058 |
|
|
(h,i) |
| Banc of America Commercial Mortgage Trust 2007-4 |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
02/10/51 |
|
|
25,000 |
|
|
|
27,610 |
|
|
(h,i) |
| Banc of America Commercial Mortgage Trust 2008-1 |
|
|
|
|
|
|
|
|
|
|
| 6.21% |
|
02/10/51 |
|
|
240,000 |
|
|
|
273,739 |
|
|
(h,i) |
| Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1 |
|
|
|
|
|
|
|
|
|
|
| 5.29% |
|
11/10/42 |
|
|
70,000 |
|
|
|
73,430 |
|
|
(h,i) |
| Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-6 |
|
|
|
|
|
|
|
|
|
|
| 5.18% |
|
09/10/47 |
|
|
80,000 |
|
|
|
85,163 |
|
|
(h,i) |
| Bear Stearns Commercial Mortgage Securities Trust
2005-T18 |
|
|
|
|
|
|
|
|
|
|
| 4.93% |
|
02/13/42 |
|
|
75,831 |
|
|
|
78,554 |
|
|
(h,i) |
| Bear Stearns Commercial Mortgage Securities Trust 2006-PW11 |
|
|
|
|
|
|
|
|
|
|
| 5.39% |
|
03/11/39 |
|
|
66 |
|
|
|
67 |
|
|
(h,i) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
34
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bear Stearns Commercial Mortgage Securities Trust 2006-T22 |
|
|
|
|
|
|
|
|
|
|
| 5.58% |
|
04/12/38 |
|
$
|
80,000 |
|
|
$
|
86,681 |
|
|
(h,i) |
| 5.58% |
|
04/12/38 |
|
|
40,000 |
|
|
|
43,067 |
|
|
(i) |
| Bear Stearns Commercial Mortgage Securities Trust 2007-PW17 |
|
|
|
|
|
|
|
|
|
|
| 5.89% |
|
06/11/50 |
|
|
90,000 |
|
|
|
101,393 |
|
|
(i) |
| Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 |
|
|
|
|
|
|
|
|
|
|
| 6.09% |
|
06/11/50 |
|
|
80,000 |
|
|
|
90,057 |
|
|
(i) |
| COMM 2005-LP5 Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
| 4.98% |
|
05/10/43 |
|
|
40,000 |
|
|
|
41,688 |
|
|
(h,i) |
| COMM 2006-C8 Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
| 5.35% |
|
12/10/46 |
|
|
100,000 |
|
|
|
109,237 |
|
|
(h) |
| Commercial Mortgage Trust 2007-GG9 |
|
|
|
|
|
|
|
|
|
|
| 5.48% |
|
03/10/39 |
|
|
235,000 |
|
|
|
248,939 |
|
|
|
| Credit Suisse Commercial Mortgage Trust 2006-C1 |
|
|
|
|
|
|
|
|
|
|
| 5.46% |
|
02/15/39 |
|
|
160,000 |
|
|
|
169,946 |
|
|
(i) |
| Credit Suisse Commercial Mortgage Trust 2006-C5 |
|
|
|
|
|
|
|
|
|
|
| 5.34% |
|
12/15/39 |
|
|
40,000 |
|
|
|
42,706 |
|
|
|
| Credit Suisse First Boston Mortgage Securities Corp. 2005-9 |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
10/25/35 |
|
|
24,464 |
|
|
|
219 |
|
|
(i) |
| GS Mortgage Securities Corp. II 2013-KYO |
|
|
|
|
|
|
|
|
|
|
| 2.77% |
|
11/08/29 |
|
|
40,000 |
|
|
|
39,753 |
|
|
(b,i) |
| GS Mortgage Securities Trust
2006-GG8 |
|
|
|
|
|
|
|
|
|
|
| 5.59% |
|
11/10/39 |
|
|
140,000 |
|
|
|
153,452 |
|
|
|
| GS Mortgage Securities Trust
2011-GC5 |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
08/10/44 |
|
|
80,000 |
|
|
|
83,206 |
|
|
(h) |
| 5.31% |
|
08/10/44 |
|
|
30,000 |
|
|
|
32,578 |
|
|
(b,i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JP Morgan Chase Commercial Mortgage Securities Trust
2005-LDP1 |
|
|
|
|
|
|
|
|
|
|
| 5.04% |
|
03/15/46 |
|
$
|
40,000 |
|
|
$
|
41,256 |
|
|
(h,i) |
| JP Morgan Chase Commercial Mortgage Securities Trust
2007-CB18 |
|
|
|
|
|
|
|
|
|
|
| 5.44% |
|
06/12/47 |
|
|
100,000 |
|
|
|
109,897 |
|
|
(h) |
|
|
|
|
| JP Morgan Chase Commercial Mortgage Securities Trust
2007-CB20 |
|
|
|
|
|
|
|
|
|
|
| 5.79% |
|
02/12/51 |
|
|
155,000 |
|
|
|
173,756 |
|
|
(h,i) |
| JP Morgan Chase Commercial Mortgage Securities Trust
2007-LD11 |
|
|
|
|
|
|
|
|
|
|
| 5.81% |
|
06/15/49 |
|
|
150,000 |
|
|
|
166,848 |
|
|
(h,i) |
| JP Morgan Chase Commercial Mortgage Securities Trust
2012-CBX |
|
|
|
|
|
|
|
|
|
|
| 4.27% |
|
06/15/45 |
|
|
55,000 |
|
|
|
56,499 |
|
|
|
| JPMBB Commercial Mortgage Securities Trust 2013-C12 |
|
|
|
|
|
|
|
|
|
|
| 4.03% |
|
07/15/45 |
|
|
25,000 |
|
|
|
25,023 |
|
|
(i) |
| LB Commercial Mortgage Trust
2007-C3 |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
07/15/44 |
|
|
80,000 |
|
|
|
88,807 |
|
|
(i) |
| LB-UBS Commercial Mortgage Trust 2004-C8 |
|
|
|
|
|
|
|
|
|
|
| 0.80% |
|
12/15/39 |
|
|
471,339 |
|
|
|
2,049 |
|
|
(b,g,i) |
| LB-UBS Commercial Mortgage Trust 2005-C5 |
|
|
|
|
|
|
|
|
|
|
| 4.95% |
|
09/15/30 |
|
|
49,722 |
|
|
|
51,936 |
|
|
|
| LB-UBS Commercial Mortgage Trust 2006-C1 |
|
|
|
|
|
|
|
|
|
|
| 5.16% |
|
02/15/31 |
|
|
80,000 |
|
|
|
85,443 |
|
|
(h) |
| LB-UBS Commercial Mortgage Trust 2006-C4 |
|
|
|
|
|
|
|
|
|
|
| 5.86% |
|
06/15/38 |
|
|
29,620 |
|
|
|
32,216 |
|
|
(i) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
35
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| LB-UBS Commercial Mortgage Trust 2007-C6 |
|
|
|
|
|
|
|
|
|
|
| 6.11% |
|
07/15/40 |
|
$
|
100,000 |
|
|
$
|
109,641 |
|
|
(i) |
| MASTR Alternative Loan Trust 2003-5 |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/25/18 |
|
|
10,748 |
|
|
|
910 |
|
|
(g,h) |
| ML-CFC Commercial Mortgage Trust 2006-3 |
|
|
|
|
|
|
|
|
|
|
| 5.46% |
|
07/12/46 |
|
|
110,000 |
|
|
|
119,331 |
|
|
(i) |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 |
|
|
|
|
|
|
|
|
|
|
| 4.08% |
|
07/15/46 |
|
|
80,000 |
|
|
|
79,946 |
|
|
(i) |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 |
|
|
|
|
|
|
|
|
|
|
| 4.17% |
|
12/15/48 |
|
|
50,000 |
|
|
|
42,123 |
|
|
(b,i) |
| Morgan Stanley Capital I Trust 2005-T17 |
|
|
|
|
|
|
|
|
|
|
| 4.84% |
|
12/13/41 |
|
|
110,000 |
|
|
|
112,741 |
|
|
(i) |
| Morgan Stanley Capital I Trust 2006-IQ11 |
|
|
|
|
|
|
|
|
|
|
| 5.67% |
|
10/15/42 |
|
|
40,000 |
|
|
|
36,902 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2006-T21 |
|
|
|
|
|
|
|
|
|
|
| 5.16% |
|
10/12/52 |
|
|
100,000 |
|
|
|
106,615 |
|
|
(h,i) |
| 5.27% |
|
10/12/52 |
|
|
55,000 |
|
|
|
58,672 |
|
|
(i) |
| Morgan Stanley Capital I Trust 2006-T23 |
|
|
|
|
|
|
|
|
|
|
| 5.81% |
|
08/12/41 |
|
|
30,000 |
|
|
|
32,986 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2007-IQ16 |
|
|
|
|
|
|
|
|
|
|
| 6.09% |
|
12/12/49 |
|
|
80,000 |
|
|
|
89,770 |
|
|
(i) |
| Morgan Stanley Capital I Trust 2008-T29 |
|
|
|
|
|
|
|
|
|
|
| 6.28% |
|
01/11/43 |
|
|
50,000 |
|
|
|
56,580 |
|
|
(h,i) |
| Wachovia Bank Commercial Mortgage Trust 2006-C23 |
|
|
|
|
|
|
|
|
|
|
| 5.47% |
|
01/15/45 |
|
|
80,000 |
|
|
|
86,189 |
|
|
(h,i) |
| Wachovia Bank Commercial Mortgage Trust 2006-C28 |
|
|
|
|
|
|
|
|
|
|
| 5.60% |
|
10/15/48 |
|
|
140,000 |
|
|
|
150,283 |
|
|
(i) |
| Wachovia Bank Commercial Mortgage Trust 2006-C29 |
|
|
|
|
|
|
|
|
|
|
| 5.34% |
|
11/15/48 |
|
|
90,000 |
|
|
|
98,694 |
|
|
|
| WFRBS Commercial Mortgage Trust 2011-C4 |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
06/15/44 |
|
|
40,000 |
|
|
|
40,591 |
|
|
(b,i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WFRBS Commercial Mortgage Trust 2013-C15 |
|
|
|
|
|
|
|
|
|
|
| 4.49% |
|
08/15/46 |
|
$
|
35,000 |
|
|
$
|
29,624 |
|
|
(b,i) |
| WFRBS Commercial Mortgage Trust 2013-C16 |
|
|
|
|
|
|
|
|
|
|
| 4.99% |
|
09/15/46 |
|
|
65,000 |
|
|
|
57,338 |
|
|
(b,i) |
| WFRBS Commercial Mortgage Trust 2013-C17 |
|
|
|
|
|
|
|
|
|
|
| 4.26% |
|
12/15/46 |
|
|
55,000 |
|
|
|
55,396 |
|
|
|
|
|
|
|
|
|
|
|
|
4,179,318 |
|
|
|
|
|
|
| Sovereign Bonds — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
| Banco Nacional de Desenvolvimento Economico e Social |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
07/12/20 |
|
|
100,000 |
|
|
|
102,000 |
|
|
(b,h) |
| Government of Argentina |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
12/31/38 |
|
|
9 |
|
|
|
4 |
|
|
(j) |
| Government of Chile |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
10/30/42 |
|
|
27,000 |
|
|
|
21,208 |
|
|
|
| Government of Croatia |
|
|
|
|
|
|
|
|
|
|
| 6.75% |
|
11/05/19 |
|
|
122,000 |
|
|
|
132,065 |
|
|
(b) |
| Government of Dominican Republic |
|
|
|
|
|
|
|
|
|
|
| 7.50% |
|
05/06/21 |
|
|
100,000 |
|
|
|
108,500 |
|
|
(b,h) |
| Government of El Salvador |
|
|
|
|
|
|
|
|
|
|
| 7.65% |
|
06/15/35 |
|
|
54,000 |
|
|
|
52,596 |
|
|
(b,h) |
| Government of Hungary |
|
|
|
|
|
|
|
|
|
|
| 4.13% |
|
02/19/18 |
|
|
64,000 |
|
|
|
64,704 |
|
|
|
| 6.25% |
|
01/29/20 |
|
|
36,000 |
|
|
|
38,835 |
|
|
(h) |
| Government of Mexico |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
03/08/44 |
|
|
176,000 |
|
|
|
158,620 |
|
|
(h) |
| 5.75% |
|
10/12/10 |
|
|
14,000 |
|
|
|
12,950 |
|
|
(h) |
| Government of Panama |
|
|
|
|
|
|
|
|
|
|
| 4.30% |
|
04/29/53 |
|
|
23,000 |
|
|
|
17,422 |
|
|
|
| 6.70% |
|
01/26/36 |
|
|
11,000 |
|
|
|
12,293 |
|
|
(h) |
| Government of Peru |
|
|
|
|
|
|
|
|
|
|
| 6.55% |
|
03/14/37 |
|
|
39,000 |
|
|
|
44,850 |
|
|
(h) |
| Government of Poland |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
03/17/23 |
|
|
45,000 |
|
|
|
40,972 |
|
|
|
| 5.00% |
|
03/23/22 |
|
|
65,000 |
|
|
|
69,469 |
|
|
|
| 5.13% |
|
04/21/21 |
|
|
15,000 |
|
|
|
16,294 |
|
|
(h) |
| Government of Romania |
|
|
|
|
|
|
|
|
|
|
| 4.38% |
|
08/22/23 |
|
|
22,000 |
|
|
|
21,230 |
|
|
(b) |
| 6.75% |
|
02/07/22 |
|
|
28,000 |
|
|
|
31,780 |
|
|
(b) |
| Government of Sri Lanka |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
10/04/20 |
|
|
100,000 |
|
|
|
98,500 |
|
|
(b) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
36
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Government of Turkey |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
03/23/23 |
|
$
|
200,000 |
|
|
$
|
164,500 |
|
|
|
| 6.88% |
|
03/17/36 |
|
|
50,000 |
|
|
|
49,050 |
|
|
|
| Government of Uruguay |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
09/28/25 |
|
|
25,682 |
|
|
|
29,342 |
|
|
|
| Russian Foreign Bond - Eurobond |
|
|
|
|
|
|
|
|
|
|
| 7.50% |
|
03/31/30 |
|
|
9,665 |
|
|
|
11,261 |
|
|
(j) |
|
|
|
|
|
|
|
|
|
1,298,445 |
|
|
|
|
| Municipal Bonds and Notes — 0.2% |
|
|
|
|
| American Municipal Power Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.27% |
|
02/15/50 |
|
|
50,000 |
|
|
|
52,599 |
|
|
(h) |
| Denver City & County School District No 1 |
|
|
|
|
|
|
|
|
|
|
| 4.24% |
|
12/15/37 |
|
|
70,000 |
|
|
|
62,388 |
|
|
(h) |
| Municipal Electric Authority of Georgia |
|
|
|
|
|
|
|
|
|
|
| 6.64% |
|
04/01/57 |
|
|
54,000 |
|
|
|
56,762 |
|
|
|
| New Jersey Transportation Trust Fund Authority |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
12/15/39 |
|
|
15,000 |
|
|
|
16,178 |
|
|
(h) |
| Port Authority of New York & New Jersey |
|
|
|
|
|
|
|
|
|
|
| 4.46% |
|
10/01/62 |
|
|
95,000 |
|
|
|
80,929 |
|
|
|
| South Carolina State Public Service Authority |
|
|
|
|
|
|
|
|
|
|
| 6.45% |
|
01/01/50 |
|
|
40,000 |
|
|
|
42,750 |
|
|
(h) |
| State of California |
|
|
|
|
|
|
|
|
|
|
| 5.70% |
|
11/01/21 |
|
|
55,000 |
|
|
|
61,683 |
|
|
|
|
|
|
|
|
|
|
|
|
373,289 |
|
|
|
|
| FNMA — 0.0% * |
|
|
|
|
| Lehman TBA |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
TBA |
|
|
59,721 |
|
|
|
—** |
|
|
(c,o,r) |
|
|
|
|
| Total Bonds and Notes
(Cost $68,587,497) |
|
|
|
|
|
|
67,578,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Exchange Traded Funds — 3.7% |
|
|
|
|
| Financial Select Sector
SPDR Fund |
|
|
8,281 |
|
|
|
181,023 |
|
|
(p) |
| Industrial Select Sector SPDR Fund |
|
|
14,413 |
|
|
|
753,223 |
|
|
(p) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vanguard FTSE Emerging Markets ETF |
|
|
187,956 |
|
|
$
|
7,732,510 |
|
|
|
|
|
|
|
|
|
|
Total Exchange Traded Funds
(Cost $8,470,334) |
|
|
|
|
|
|
8,666,756 |
|
|
|
|
|
|
|
|
| |
|
Total Investments in Securities
(Cost $179,882,522) |
|
|
|
|
|
|
210,855,830 |
|
|
|
| |
|
Short-Term Investments — 14.7% |
|
|
|
|
|
|
|
GE Institutional Money Market Fund - Investment Class
0.00%
(Cost $34,675,675) |
|
|
|
|
|
|
34,675,675 |
|
|
(d,k) |
|
|
|
|
|
|
|
Total Investments
(Cost $214,558,197) |
|
|
|
|
|
|
245,531,505 |
|
|
|
|
|
|
|
|
|
|
Liabilities in Excess of Other Assets, net — (4.1)% |
|
|
|
|
|
|
(9,628,520) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — 100.0% |
|
|
|
|
|
$ |
235,902,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Information:
The Fund had the following long futures contracts open at December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
Number
of
Contracts |
|
|
Current
Notional
Value |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
| EURO Stoxx 50 Index Futures |
|
March 2014 |
|
|
4 |
|
|
$ |
171,307 |
|
|
$ |
9,025 |
|
|
|
|
|
|
| FTSE 100 Index Futures |
|
March 2014 |
|
|
4 |
|
|
|
443,709 |
|
|
|
16,583 |
|
|
|
|
|
|
| S&P 500 Emini Index Futures |
|
March 2014 |
|
|
24 |
|
|
|
2,209,320 |
|
|
|
72,893 |
|
|
|
|
|
|
| S&P Mid 400 Emini Index Futures |
|
March 2014 |
|
|
53 |
|
|
|
7,098,820 |
|
|
|
223,776 |
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
37
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
Number
of
Contracts |
|
|
Current
Notional
Value |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
| Topix Index Futures |
|
March 2014 |
|
|
3 |
|
|
$ |
371,771 |
|
|
$ |
14,385 |
|
|
|
|
|
|
| 2 Yr. U.S. Treasury Notes Futures |
|
March 2014 |
|
|
38 |
|
|
|
8,352,875 |
|
|
|
(15,350) |
|
|
|
|
|
|
| 5 Yr. U.S. Treasury Notes Futures |
|
March 2014 |
|
|
54 |
|
|
|
6,442,875 |
|
|
|
(70,636) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
250,676 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following short futures contracts open at December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
Number
of
Contracts |
|
|
Current
Notional
Value |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
| U.S. Long Bond Futures |
|
March 2014 |
|
|
23 |
|
|
$ |
(2,951,187) |
|
|
$ |
54,402 |
|
|
|
|
|
|
| Ultra Long-Term U.S. Treasury Bond Futures |
|
March 2014 |
|
|
23 |
|
|
|
(3,133,750) |
|
|
|
60,292 |
|
|
|
|
|
|
| 10 Yr. U.S. Treasury Notes Futures |
|
March 2014 |
|
|
16 |
|
|
|
(1,968,750) |
|
|
|
35,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
150,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
400,834 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund was invested in the following countries at December 31, 2013 (unaudited):
|
|
|
|
|
| Country |
|
Percentage
(based on
Fair Value) |
|
| United States |
|
|
74.34% |
|
| Japan |
|
|
5.08% |
|
| United Kingdom |
|
|
4.58% |
|
| France |
|
|
3.47% |
|
| Germany |
|
|
2.72% |
|
| Switzerland |
|
|
1.45% |
|
|
|
|
|
|
|
|
|
|
|
| Country |
|
Percentage
(based on
Fair Value) |
|
| China |
|
|
1.05% |
|
| Sweden |
|
|
1.01% |
|
| Canada |
|
|
0.96% |
|
| Netherlands |
|
|
0.80% |
|
| Hong Kong |
|
|
0.47% |
|
| Mexico |
|
|
0.38% |
|
| South Korea |
|
|
0.36% |
|
| Australia |
|
|
0.36% |
|
| Norway |
|
|
0.32% |
|
| India |
|
|
0.31% |
|
| Italy |
|
|
0.29% |
|
| Taiwan |
|
|
0.28% |
|
| Russian Federation |
|
|
0.22% |
|
| Belgium |
|
|
0.19% |
|
| Supranational |
|
|
0.18% |
|
| Brazil |
|
|
0.16% |
|
| Philippines |
|
|
0.15% |
|
| Turkey |
|
|
0.09% |
|
| South Africa |
|
|
0.08% |
|
| Spain |
|
|
0.08% |
|
| Chile |
|
|
0.07% |
|
| Cayman Islands |
|
|
0.06% |
|
| Croatia |
|
|
0.05% |
|
| Poland |
|
|
0.05% |
|
| Kazakhstan |
|
|
0.05% |
|
| Indonesia |
|
|
0.04% |
|
| Dominican Republic |
|
|
0.04% |
|
| Hungary |
|
|
0.04% |
|
| Sri Lanka |
|
|
0.04% |
|
| Panama |
|
|
0.03% |
|
| Trinidad And Tobago |
|
|
0.03% |
|
| Colombia |
|
|
0.03% |
|
| Peru |
|
|
0.03% |
|
| Romania |
|
|
0.02% |
|
| El Salvador |
|
|
0.02% |
|
| Uruguay |
|
|
0.01% |
|
| Singapore |
|
|
0.01% |
|
| Bermuda |
|
|
0.00% |
|
| Argentina |
|
|
0.00% |
|
|
|
|
|
|
|
|
|
100.00% |
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
38
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2013
(unaudited):
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Securities |
|
|
|
|
|
|
|
|
|
| Industry |
|
Domestic |
|
|
Foreign |
|
|
Total |
|
| Diversified Financial Services |
|
|
1.56% |
|
|
|
2.65% |
|
|
|
4.21% |
|
| Pharmaceuticals |
|
|
2.05% |
|
|
|
2.03% |
|
|
|
4.08% |
|
| Exchange Traded Funds |
|
|
3.53% |
|
|
|
0.00% |
|
|
|
3.53% |
|
| Communications Equipment |
|
|
1.60% |
|
|
|
0.42% |
|
|
|
2.02% |
|
| Internet Software & Services |
|
|
1.04% |
|
|
|
0.87% |
|
|
|
1.91% |
|
| Integrated Oil & Gas |
|
|
1.42% |
|
|
|
0.40% |
|
|
|
1.82% |
|
| Oil & Gas Equipment & Services |
|
|
1.30% |
|
|
|
0.50% |
|
|
|
1.80% |
|
| Aerospace & Defense |
|
|
0.65% |
|
|
|
0.82% |
|
|
|
1.47% |
|
| Automobile Manufacturers |
|
|
0.29% |
|
|
|
1.18% |
|
|
|
1.47% |
|
| Biotechnology |
|
|
1.29% |
|
|
|
0.15% |
|
|
|
1.44% |
|
| Asset Management & Custody Banks |
|
|
1.19% |
|
|
|
0.00% |
|
|
|
1.19% |
|
| Cable & Satellite |
|
|
1.11% |
|
|
|
0.00% |
|
|
|
1.11% |
|
| Soft Drinks |
|
|
1.09% |
|
|
|
0.00% |
|
|
|
1.09% |
|
| Life & Health Insurance |
|
|
0.34% |
|
|
|
0.74% |
|
|
|
1.08% |
|
| Computer Hardware |
|
|
1.06% |
|
|
|
0.00% |
|
|
|
1.06% |
|
| Household Products |
|
|
0.37% |
|
|
|
0.61% |
|
|
|
0.98% |
|
| Semiconductors |
|
|
0.42% |
|
|
|
0.50% |
|
|
|
0.92% |
|
| Multi-Line Insurance |
|
|
0.59% |
|
|
|
0.30% |
|
|
|
0.89% |
|
| Healthcare Services |
|
|
0.66% |
|
|
|
0.22% |
|
|
|
0.88% |
|
| Industrial Machinery |
|
|
0.40% |
|
|
|
0.47% |
|
|
|
0.87% |
|
| Wireless Telecommunication Services |
|
|
0.00% |
|
|
|
0.86% |
|
|
|
0.86% |
|
| Healthcare Equipment |
|
|
0.85% |
|
|
|
0.00% |
|
|
|
0.85% |
|
| Home Improvement Retail |
|
|
0.67% |
|
|
|
0.14% |
|
|
|
0.81% |
|
| Computer Storage & Peripherals |
|
|
0.80% |
|
|
|
0.00% |
|
|
|
0.80% |
|
| Electrical Components & Equipment |
|
|
0.27% |
|
|
|
0.52% |
|
|
|
0.79% |
|
| Property & Casualty Insurance |
|
|
0.36% |
|
|
|
0.38% |
|
|
|
0.74% |
|
| Specialized Finance |
|
|
0.74% |
|
|
|
0.00% |
|
|
|
0.74% |
|
| Diversified Real Estate Activities |
|
|
0.00% |
|
|
|
0.73% |
|
|
|
0.73% |
|
| Specialized REITs |
|
|
0.70% |
|
|
|
0.00% |
|
|
|
0.70% |
|
| Application Software |
|
|
0.30% |
|
|
|
0.38% |
|
|
|
0.68% |
|
| Fertilizers & Agricultural Chemicals |
|
|
0.49% |
|
|
|
0.10% |
|
|
|
0.59% |
|
| Movies & Entertainment |
|
|
0.58% |
|
|
|
0.00% |
|
|
|
0.58% |
|
| Integrated Telecommunication Services |
|
|
0.58% |
|
|
|
0.00% |
|
|
|
0.58% |
|
| Internet Retail |
|
|
0.22% |
|
|
|
0.35% |
|
|
|
0.57% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industry |
|
Domestic |
|
|
Foreign |
|
|
Total |
|
| Packaged Foods & Meats |
|
|
0.30% |
|
|
|
0.26% |
|
|
|
0.56% |
|
| Oil & Gas Exploration & Production |
|
|
0.55% |
|
|
|
0.00% |
|
|
|
0.55% |
|
| Industrial Gases |
|
|
0.11% |
|
|
|
0.42% |
|
|
|
0.53% |
|
| Data Processing & Outsourced Services |
|
|
0.46% |
|
|
|
0.00% |
|
|
|
0.46% |
|
| Air Freight & Logistics |
|
|
0.46% |
|
|
|
0.00% |
|
|
|
0.46% |
|
| Commodity Chemicals |
|
|
0.46% |
|
|
|
0.00% |
|
|
|
0.46% |
|
| Distillers & Vintners |
|
|
0.00% |
|
|
|
0.46% |
|
|
|
0.46% |
|
| Multi-Utilities |
|
|
0.24% |
|
|
|
0.19% |
|
|
|
0.43% |
|
| Railroads |
|
|
0.29% |
|
|
|
0.14% |
|
|
|
0.43% |
|
| Healthcare Supplies |
|
|
0.22% |
|
|
|
0.19% |
|
|
|
0.41% |
|
| Diversified Metals & Mining |
|
|
0.00% |
|
|
|
0.40% |
|
|
|
0.40% |
|
| Apparel, Accessories & Luxury Goods |
|
|
0.00% |
|
|
|
0.39% |
|
|
|
0.39% |
|
| Broadcasting |
|
|
0.37% |
|
|
|
0.00% |
|
|
|
0.37% |
|
| Investment Banking & Brokerage |
|
|
0.37% |
|
|
|
0.00% |
|
|
|
0.37% |
|
| Specialty Stores |
|
|
0.36% |
|
|
|
0.00% |
|
|
|
0.36% |
|
| Agricultural Products |
|
|
0.31% |
|
|
|
0.00% |
|
|
|
0.31% |
|
| Drug Retail |
|
|
0.31% |
|
|
|
0.00% |
|
|
|
0.31% |
|
| Systems Software |
|
|
0.31% |
|
|
|
0.00% |
|
|
|
0.31% |
|
| Advertising |
|
|
0.10% |
|
|
|
0.21% |
|
|
|
0.31% |
|
| Consumer Finance |
|
|
0.30% |
|
|
|
0.00% |
|
|
|
0.30% |
|
| Airlines |
|
|
0.09% |
|
|
|
0.19% |
|
|
|
0.28% |
|
| Semiconductor Equipment |
|
|
0.08% |
|
|
|
0.20% |
|
|
|
0.28% |
|
| Casinos & Gaming |
|
|
0.28% |
|
|
|
0.00% |
|
|
|
0.28% |
|
| Construction Materials |
|
|
0.00% |
|
|
|
0.27% |
|
|
|
0.27% |
|
| Independent Power Producers & Energy Traders |
|
|
0.27% |
|
|
|
0.00% |
|
|
|
0.27% |
|
| IT Consulting & Other Services |
|
|
0.14% |
|
|
|
0.11% |
|
|
|
0.25% |
|
| Automotive Retail |
|
|
0.24% |
|
|
|
0.00% |
|
|
|
0.24% |
|
| Specialty Chemicals |
|
|
0.13% |
|
|
|
0.10% |
|
|
|
0.23% |
|
| Building Products |
|
|
0.00% |
|
|
|
0.22% |
|
|
|
0.22% |
|
| Managed Healthcare |
|
|
0.22% |
|
|
|
0.00% |
|
|
|
0.22% |
|
| Regional Banks |
|
|
0.21% |
|
|
|
0.00% |
|
|
|
0.21% |
|
| Electric Utilities |
|
|
0.13% |
|
|
|
0.07% |
|
|
|
0.20% |
|
| Tobacco |
|
|
0.20% |
|
|
|
0.00% |
|
|
|
0.20% |
|
| Healthcare Distributors |
|
|
0.19% |
|
|
|
0.00% |
|
|
|
0.19% |
|
| Brewers |
|
|
0.00% |
|
|
|
0.19% |
|
|
|
0.19% |
|
| Human Resource & Employment Services |
|
|
0.00% |
|
|
|
0.19% |
|
|
|
0.19% |
|
| Diversified Capital Markets |
|
|
0.00% |
|
|
|
0.19% |
|
|
|
0.19% |
|
| Research & Consulting Services |
|
|
0.04% |
|
|
|
0.15% |
|
|
|
0.19% |
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
39
|
|
|
| Elfun Diversified Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industry |
|
Domestic |
|
|
Foreign |
|
|
Total |
|
| General Merchandise Stores |
|
|
0.18% |
|
|
|
0.00% |
|
|
|
0.18% |
|
| Auto Parts & Equipment |
|
|
0.18% |
|
|
|
0.00% |
|
|
|
0.18% |
|
| Tires & Rubber |
|
|
0.00% |
|
|
|
0.17% |
|
|
|
0.17% |
|
| Apparel Retail |
|
|
0.00% |
|
|
|
0.17% |
|
|
|
0.17% |
|
| Electronic Equipment & Instruments |
|
|
0.00% |
|
|
|
0.17% |
|
|
|
0.17% |
|
| Construction & Farm Machinery |
|
|
0.04% |
|
|
|
0.13% |
|
|
|
0.17% |
|
| Coal & Consumable Fuels |
|
|
0.00% |
|
|
|
0.16% |
|
|
|
0.16% |
|
| Department Stores |
|
|
0.14% |
|
|
|
0.00% |
|
|
|
0.14% |
|
| Heavy Electrical Equipment |
|
|
0.00% |
|
|
|
0.14% |
|
|
|
0.14% |
|
| Construction & Engineering |
|
|
0.00% |
|
|
|
0.13% |
|
|
|
0.13% |
|
| Home Building |
|
|
0.00% |
|
|
|
0.11% |
|
|
|
0.11% |
|
| Restaurants |
|
|
0.10% |
|
|
|
0.00% |
|
|
|
0.10% |
|
| Diversified Support Services |
|
|
0.00% |
|
|
|
0.10% |
|
|
|
0.10% |
|
| Life Sciences Tools & Services |
|
|
0.09% |
|
|
|
0.00% |
|
|
|
0.09% |
|
| Hypermarkets & Super Centers |
|
|
0.09% |
|
|
|
0.00% |
|
|
|
0.09% |
|
| Retail REITs |
|
|
0.08% |
|
|
|
0.00% |
|
|
|
0.08% |
|
| Water Utilities |
|
|
0.05% |
|
|
|
0.00% |
|
|
|
0.05% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58.35% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bonds and Notes |
|
|
|
| Sector |
|
Percentage
(based on
Fair Value) |
|
| Corporate Notes |
|
|
12.07% |
|
| Agency Mortgage Backed |
|
|
8.91% |
|
| U.S. Treasuries |
|
|
4.05% |
|
| Non-Agency Collateralized Mortgage Obligations |
|
|
1.70% |
|
| Sovereign Bonds |
|
|
0.53% |
|
| Municipal Bonds and Notes |
|
|
0.15% |
|
| Agency Collateralized Mortgage Obligations |
|
|
0.10% |
|
| Asset Backed |
|
|
0.01% |
|
| FNMA |
|
|
0.00% |
|
|
|
|
|
|
|
|
|
27.52% |
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments |
|
|
|
| Short-Term Investments |
|
|
14.13% |
|
|
|
|
|
|
|
|
|
14.13% |
|
|
|
|
|
|
|
|
|
100.00% |
|
|
|
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
40
(Unaudited)
Michael J.Caufield
Senior Vice
President
The Elfun Tax-Exempt Income Fund is managed by Michael J. Caufield. See
portfolio managers’ biographical information beginning on page 111.
| 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, 2013? |
| A. |
For the twelve-month period ended December 31, 2013, the Elfun Tax-Exempt Income Fund returned -4.06%. The Barclays U.S. Municipal Bond Index, (the Index) the Fund’s benchmark, returned -2.55% and the Fund’s Morningstar peer group of 250 U.S. Long-term Municipal Bond funds returned an average of -4.58% over the same period. |
| Q. |
What market conditions affected the Fund’s performance? |
| A. |
Tax-exempt yields closed 2012 at generational lows which could not realistically be sustained and the trend towards higher rates began an orderly transition through the first half of 2013. Fixed income investors
who responded negatively to initial Federal Reserve announcements regarding the tapering of its asset purchase program in mid-May, appeared to be further unsettled by the move by the City of Detroit to seek relief from future pension and benefit
obligations by filing for protection under Chapter 9 of the Federal Bankruptcy Act. Many individual investors while concerned by the potential uncertainty of an untested
|
| |
court challenge viewed the resurgence in the equity market as a viable alternative and began a trend of mutual funds withdrawals which lasted into year end. The impact of mutual fund redemptions
was a significant factor, spreading throughout the sector, with investors redeeming over $40 billion in just a 6 week period. The overwhelming claim on limited market liquidity drove relative value spreads sharply wider, creating a short term
displacement in tax-exempt values. Intermediate high-grade securities, the most liquid asset held by open-end mutual funds were broadly sold to meet investor redemption needs. Unfortunately this sector, representing the Fund’s largest
weighting, was impacted greater than any other segment of the yield curve, as yields rose by over 120 basis points within a very short time frame. Tax exempt investors, gravitated towards shorter term maturities as a placeholder for available cash,
stabilizing the front-end of the curve at the expense of longer term assets. |
| Q. |
What were the primary drivers of Fund performance? |
| A. |
Curve positioning was a primary contributing factor to underperformance over the last twelve months. Given the income bias of the Fund and the relative steepness of the municipal yield curve, the diverse
positioning of the Fund across the curve differed significantly from the concentrated front-end weighting of the Index. We viewed the |
| |
historical steepness of the yield curve as
|
41
(Unaudited)
| |
too punitive to the Fund’s dividend, as well as our long-term investment approach to accommodate an Index neutral strategy. With less than 30% of the Fund’s assets invested shorter than
ten years representing a 25% underweight to the Index, the Fund lagged benchmark returns. In addition, the Fund’s exposure to the 15-20 year maturity range accounted for a significant portion of returns and was a key performance variable
limiting returns. We believe the relative steepness of the tax-exempt yield curve fairly compensated the Fund for the related interest rate risk and that our curve positioning supports the Fund’s long term income objectives. |
| Q. |
Were there any significant changes to the Fund during the period? |
| A. |
During the second half of the year the Fund maintained a defensive cash position ranging between 5% and 7%, a noted departure from the fully invested profile of the Fund historically. While reducing exposure to lower
imbedded coupon and credit risk was done opportunistically throughout the reporting period, the Fund’s duration remained at a slightly higher level than the Index given the relative steepness of the yield curve. Credit quality was diversified
into A rated securities as a widening of credit spreads represented compelling value, allowing the Fund to strengthen the dividend in the portfolio.
|
42
(Unaudited)
Understanding Your Fund’s Expenses
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, 2013.
Actual Expenses
The first section of the table
provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number
given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You
may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales
charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
July 1, 2013 –
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Account value at
the beginning of
the period ($) |
|
|
Account value
at the end of
the period ($) |
|
|
Expenses
paid during
the period ($)* |
|
|
|
|
|
| Actual Fund Return |
|
|
1,000.00 |
|
|
|
992.30 |
|
|
|
1.41 |
|
|
|
|
|
| Hypothetical 5% Return
(2.5% for the period) |
|
|
1,000.00 |
|
|
|
1,023.79 |
|
|
|
1.43 |
|
| * |
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.28%** (for the period July 1, 2013 – December 31, 2013), multiplied by the average account value over the period, multiplied by 184/365 (to
reflect the one-half year period). |
| ** |
|
May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
43
(Unaudited)
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, 2013 as a % of Fair Value(b)
|
|
|
|
|
| Aaa / AAA |
|
|
9.41% |
|
| Aa / AA |
|
|
46.03% |
|
| A / A |
|
|
33.11% |
|
| Baa / BBB |
|
|
7.10% |
|
| Ba / BB and lower |
|
|
0.73% |
|
| NR / Other |
|
|
3.62% |
|
| |
|
|
100.00% |
|
Sector Allocation
as a % of Fair Value of $1,548,615 (in thousands) on December 31, 2013(b)
Morningstar Performance Comparison
Based on average annual returns for periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
| Number of funds in peer group |
|
|
250 |
|
|
|
231 |
|
|
|
224 |
|
| Peer group average annual total return |
|
|
-4.58 |
% |
|
|
6.51 |
% |
|
|
3.50 |
% |
| Morningstar Category in peer group: U.S. Long-term Municipal Bond |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Inception date: 01/01/80) |
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
|
Ending value of a
$10,000
investment (a) |
|
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
|
-4.06% |
|
|
|
5.70% |
|
|
|
4.16% |
|
|
|
$15,031 |
|
|
|
|
|
|
| Barclays U.S. Municipal Bond Index |
|
|
-2.55% |
|
|
|
5.89% |
|
|
|
4.29% |
|
|
|
$15,220 |
|
| (a) |
Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest
as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
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.
44
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds and Notes — 96.7%† |
|
|
|
|
|
|
| Alabama — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
| Montgomery BMC Special Care Facilities Financing Authority (MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/15/20 |
|
$ |
8,375,000 |
|
|
$ |
8,712,178 |
|
|
(m,n) |
|
|
|
| Alaska — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
| Alaska Housing Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
12/01/27 |
|
|
2,500,000 |
|
|
|
2,697,200 |
|
|
|
|
|
|
| Arizona — 3.3% |
|
|
|
|
|
|
|
|
|
|
|
| Arizona Health
Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/01/42 |
|
|
2,000,000 |
|
|
|
1,797,300 |
|
|
|
| City of Phoenix |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/19 |
|
|
5,000,000 |
|
|
|
5,593,600 |
|
|
|
| Glendale Western Loop 101 Public Facilities Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
07/01/38 |
|
|
10,000,000 |
|
|
|
10,000,000 |
|
|
(m) |
| Maricopa County Industrial Development Authority |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
07/01/26 |
|
|
5,000,000 |
|
|
|
5,084,450 |
|
|
|
| Phoenix Civic
Improvement Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/40 |
|
|
4,750,000 |
|
|
|
4,743,017 |
|
|
|
| Phoenix Civic Improvement Corp. (FGIC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
07/01/23 -07/01/24 |
|
|
7,260,000 |
|
|
|
8,748,260 |
|
|
(n) |
| Salt River Project Agricultural Improvement &
Power District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
12/01/21 |
|
|
10,000,000 |
|
|
|
11,466,500 |
|
|
(h) |
| 5.00% |
|
12/01/28 |
|
|
2,470,000 |
|
|
|
2,704,156 |
|
|
|
| University Medical
Center Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
07/01/39 |
|
|
1,000,000 |
|
|
|
1,078,140 |
|
|
|
|
|
|
|
|
|
|
|
|
51,215,423 |
|
|
|
|
|
|
| California — 10.1% |
|
|
|
|
|
|
|
|
|
|
|
| Bay Area Toll Authority |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
04/01/31 |
|
|
4,000,000 |
|
|
|
3,911,960 |
|
|
|
| 5.00% |
|
04/01/31 |
|
|
10,000,000 |
|
|
|
11,034,800 |
|
|
(h,m) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California Educational Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/32 |
|
$
|
5,255,000 |
|
|
$
|
6,109,883 |
|
|
|
| 5.25% |
|
10/01/39 |
|
|
6,000,000 |
|
|
|
6,333,540 |
|
|
|
| 6.13% |
|
10/01/36 |
|
|
1,500,000 |
|
|
|
1,694,205 |
|
|
|
| California Health Facilities Financing Authority |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
08/15/26 |
|
|
5,000,000 |
|
|
|
5,582,100 |
|
|
|
| 6.00% |
|
07/01/39 |
|
|
5,000,000 |
|
|
|
5,371,050 |
|
|
|
| 6.50% |
|
10/01/33 |
|
|
3,500,000 |
|
|
|
3,918,705 |
|
|
|
| California State Department of Water Resources |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/01/21 |
|
|
5,300,000 |
|
|
|
6,243,135 |
|
|
(h) |
| 5.00% |
|
12/01/21 |
|
|
1,285,000 |
|
|
|
1,528,251 |
|
|
|
| California State Public Works Board |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/28 - 09/01/38 |
|
|
6,500,000 |
|
|
|
6,629,355 |
|
|
|
| 5.13% |
|
10/01/31 |
|
|
2,000,000 |
|
|
|
2,061,000 |
|
|
|
| 5.25% |
|
09/01/29 |
|
|
10,160,000 |
|
|
|
10,857,382 |
|
|
|
| 6.00% |
|
04/01/26 |
|
|
8,475,000 |
|
|
|
9,764,556 |
|
|
|
| City of Sacramento |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
09/01/42 |
|
|
5,825,000 |
|
|
|
5,958,975 |
|
|
|
| Coast Community College District (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/33 |
|
|
8,750,000 |
|
|
|
9,067,975 |
|
|
(n) |
| Foothill-De Anza Community College District
(AMBAC Insured) |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
08/01/31 |
|
|
2,600,000 |
|
|
|
2,704,416 |
|
|
(n) |
| Los Angeles
Harbor Department |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/26 |
|
|
8,000,000 |
|
|
|
8,746,160 |
|
|
|
| Marin Water District
Financing Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/44 |
|
|
6,000,000 |
|
|
|
6,205,380 |
|
|
|
| Metropolitan Water District of Southern California |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/35 |
|
|
5,000,000 |
|
|
|
5,224,400 |
|
|
|
| Newport Mesa Unified
School District |
|
|
|
|
|
|
|
|
|
|
| 4.45% |
|
08/01/41 |
|
|
5,000,000 |
|
|
|
877,200 |
|
|
|
| San Diego Community
College District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/41 |
|
|
10,000,000 |
|
|
|
10,311,200 |
|
|
(h) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
45
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| State of California |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/01/31 - 11/01/43 |
|
$
|
16,220,000 |
|
|
$
|
16,628,697 |
|
|
|
| 5.25% |
|
04/01/35 |
|
|
4,500,000 |
|
|
|
4,742,685 |
|
|
|
| University of California |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/15/38 |
|
|
4,000,000 |
|
|
|
4,169,800 |
|
|
|
| University of California (AMBAC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/15/34 |
|
|
2,225,000 |
|
|
|
2,216,412 |
|
|
(n) |
|
|
|
|
|
|
|
|
|
157,893,222 |
|
|
|
|
|
|
| Colorado — 1.9% |
|
|
|
|
|
|
|
|
|
|
|
| Colorado Health
Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/01/41 |
|
|
5,000,000 |
|
|
|
4,841,300 |
|
|
|
| Metro Wastewater
Reclamation District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
04/01/27 |
|
|
4,000,000 |
|
|
|
4,444,040 |
|
|
|
| Regional Transportation District |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
11/01/36 |
|
|
4,405,000 |
|
|
|
4,310,204 |
|
|
|
| 5.00% |
|
11/01/27 - 11/01/28 |
|
|
12,090,000 |
|
|
|
13,414,203 |
|
|
|
| 5.38% |
|
06/01/31 |
|
|
2,500,000 |
|
|
|
2,627,500 |
|
|
|
|
|
|
|
|
|
|
|
|
29,637,247 |
|
|
|
|
|
|
| Connecticut — 4.5% |
|
|
|
|
|
|
|
|
|
|
|
| Connecticut State Health & Educational Facility Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/40 |
|
|
5,500,000 |
|
|
|
5,575,955 |
|
|
|
| South Central Connecticut Regional Water Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/33 - 08/01/43 |
|
|
17,515,000 |
|
|
|
18,116,920 |
|
|
|
| South Central Connecticut Regional Water Authority
(MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/27 |
|
|
3,000,000 |
|
|
|
3,041,400 |
|
|
(n) |
| State of Connecticut |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/22 - 01/01/24 |
|
|
9,705,000 |
|
|
|
11,166,272 |
|
|
|
| State of Connecticut Special
Tax Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/01/26 - 10/01/29 |
|
|
29,250,000 |
|
|
|
31,965,257 |
|
|
|
| Town of Fairfield |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/21 |
|
|
1,000,000 |
|
|
|
1,182,190 |
|
|
|
|
|
|
|
|
|
|
|
|
71,047,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Delaware — 1.7% |
|
|
|
|
|
|
|
|
|
|
|
| City of Wilmington |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/25 |
|
$
|
5,000,000 |
|
|
$
|
5,685,250 |
|
|
|
|
|
|
|
| County of New Castle |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/15/33 - 07/15/39 |
|
|
10,000,000 |
|
|
|
10,500,600 |
|
|
|
| Delaware State Health
Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/40 |
|
|
6,800,000 |
|
|
|
6,892,616 |
|
|
|
|
|
|
|
| State of Delaware |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/28 |
|
|
3,000,000 |
|
|
|
3,347,910 |
|
|
|
|
|
|
|
|
|
|
|
|
26,426,376 |
|
|
|
|
|
|
| District of Columbia — 1.8% |
|
|
|
|
|
|
|
|
|
|
|
| District of Columbia |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
04/01/30 - 10/01/30 |
|
|
7,215,000 |
|
|
|
7,546,899 |
|
|
|
| 5.50% |
|
04/01/36 |
|
|
15,000,000 |
|
|
|
15,828,600 |
|
|
|
| District of Columbia Water & Sewer Authority |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
10/01/29 |
|
|
5,000,000 |
|
|
|
5,430,850 |
|
|
|
|
|
|
|
|
|
|
|
|
28,806,349 |
|
|
|
|
|
|
| Florida — 0.7% |
|
|
|
|
|
|
|
| Brevard County Health Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
04/01/39 |
|
|
1,000,000 |
|
|
|
1,077,210 |
|
|
|
| City of Tampa Water & Wastewater System Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/27 |
|
|
8,560,000 |
|
|
|
9,429,268 |
|
|
|
|
|
|
|
|
|
|
|
|
10,506,478 |
|
|
|
|
|
|
| Georgia — 6.4% |
|
|
|
|
|
|
|
|
|
|
|
| Athens-Clarke County Unified Government
Development Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
06/15/31 |
|
|
6,050,000 |
|
|
|
6,273,910 |
|
|
|
| Athens-Clarke County Unified Government Water &
Sewerage Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
01/01/38 |
|
|
7,000,000 |
|
|
|
7,503,020 |
|
|
|
| Augusta Water & Sewerage Revenue (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
10/01/34 |
|
|
5,400,000 |
|
|
|
5,535,486 |
|
|
(n) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
46
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| City of Atlanta
Department of Aviation |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/25 |
|
$
|
10,000,000 |
|
|
$
|
10,916,000 |
|
|
|
| City of Atlanta Department of Aviation (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
01/01/33 |
|
|
4,000,000 |
|
|
|
4,072,160 |
|
|
(n) |
| City of Atlanta Water & Wastewater Revenue |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
11/01/39 |
|
|
10,000,000 |
|
|
|
11,240,000 |
|
|
|
| City of Atlanta Water & Wastewater Revenue (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
11/01/27 - 11/01/30 |
|
|
9,500,000 |
|
|
|
11,185,080 |
|
|
(n) |
| County of Fulton Water & Sewerage Revenue
(FGIC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/30 |
|
|
5,000,000 |
|
|
|
5,000,000 |
|
|
(m,n) |
| DeKalb Newton & Gwinnett Counties Joint
Development Authority |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
07/01/34 |
|
|
8,500,000 |
|
|
|
9,041,535 |
|
|
|
| Fayette County School District (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 4.80% |
|
03/01/22 |
|
|
2,520,000 |
|
|
|
2,757,434 |
|
|
(m,n) |
| 4.85% |
|
03/01/23 |
|
|
2,290,000 |
|
|
|
2,508,214 |
|
|
(m,n) |
| Henry County Hospital Authority (MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/24 |
|
|
1,865,000 |
|
|
|
1,901,237 |
|
|
(n) |
| Municipal Electric
Authority of Georgia |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
01/01/19 |
|
|
2,490,000 |
|
|
|
2,892,758 |
|
|
|
| Private Colleges & Universities Authority (MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
11/01/15 |
|
|
2,125,000 |
|
|
|
2,284,991 |
|
|
(l,n) |
| State of Georgia |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
07/01/32 |
|
|
3,350,000 |
|
|
|
3,366,784 |
|
|
|
| 4.50% |
|
01/01/29 |
|
|
3,000,000 |
|
|
|
3,226,020 |
|
|
|
| 5.00% |
|
08/01/22 |
|
|
4,460,000 |
|
|
|
5,128,063 |
|
|
(m) |
| 5.00% |
|
08/01/22 - 01/01/26 |
|
|
4,790,000 |
|
|
|
5,360,144 |
|
|
|
|
|
|
|
|
|
|
|
|
100,192,836 |
|
|
|
|
|
|
| Hawaii — 1.8% |
|
|
|
|
|
|
|
|
|
|
|
| City & County of Honolulu |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
04/01/33 |
|
|
10,000,000 |
|
|
|
10,545,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| State of Hawaii
Airports System Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
07/01/24 |
|
$
|
15,800,000 |
|
|
$
|
17,791,906 |
|
|
|
|
|
|
|
|
|
|
|
|
28,337,606 |
|
|
|
|
|
|
| Idaho — 1.5% |
|
|
|
|
|
|
|
|
|
|
|
| Idaho Health Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 6.75% |
|
11/01/37 |
|
|
4,000,000 |
|
|
|
4,382,080 |
|
|
|
| Idaho Housing & Finance Assoc. (MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/15/22 - 07/15/24 |
|
|
17,625,000 |
|
|
|
18,731,244 |
|
|
(n) |
|
|
|
|
|
|
|
|
|
23,113,324 |
|
|
|
|
|
|
| Illinois — 2.3% |
|
|
|
|
|
|
|
|
|
|
|
| City of Chicago O’Hare International Airport Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
01/01/35 |
|
|
5,000,000 |
|
|
|
5,257,500 |
|
|
|
| 5.75% |
|
01/01/39 |
|
|
11,500,000 |
|
|
|
12,079,255 |
|
|
|
| Illinois Finance Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/15/43 |
|
|
1,000,000 |
|
|
|
978,760 |
|
|
|
| 5.50% |
|
08/15/43 |
|
|
5,000,000 |
|
|
|
5,159,450 |
|
|
(m) |
| Metropolitan Pier & Exposition Authority (MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 4.30% |
|
06/15/22 |
|
|
4,305,000 |
|
|
|
3,939,290 |
|
|
(n) |
| 5.40% |
|
06/15/19 |
|
|
4,000,000 |
|
|
|
4,421,120 |
|
|
(n) |
| Southwestern Illinois Development Authority
(MBIA Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/21 |
|
|
4,000,000 |
|
|
|
4,590,120 |
|
|
(n) |
|
|
|
|
|
|
|
|
|
36,425,495 |
|
|
|
|
|
|
| Indiana — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
| Indiana Municipal Power Agency |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
01/01/27 |
|
|
2,500,000 |
|
|
|
2,772,775 |
|
|
|
| 5.75% |
|
01/01/34 |
|
|
2,000,000 |
|
|
|
2,000,000 |
|
|
|
| Indianapolis Local Public Improvement Bond Bank |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
01/01/38 |
|
|
7,000,000 |
|
|
|
7,422,100 |
|
|
|
| Merrillville Multi School Building Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
07/15/28 |
|
|
5,000,000 |
|
|
|
5,198,150 |
|
|
|
|
|
|
|
|
|
|
|
|
17,393,025 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
47
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Iowa — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
| Iowa Finance Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
12/01/19 |
|
$
|
7,000,000 |
|
|
$
|
6,712,930 |
|
|
|
|
|
|
| Kentucky — 1.5% |
|
|
|
|
|
|
|
|
|
|
|
| Kentucky Economic Development
Finance Authority |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
06/01/40 |
|
|
3,500,000 |
|
|
|
3,653,580 |
|
|
|
| Kentucky State Property & Building Commission
(AGC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
02/01/27 |
|
|
10,665,000 |
|
|
|
11,437,786 |
|
|
(n) |
| Louisville & Jefferson County Metropolitan Sewer District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/15/30 |
|
|
8,040,000 |
|
|
|
8,571,605 |
|
|
|
|
|
|
|
|
|
|
|
|
23,662,971 |
|
|
|
|
|
|
| Louisiana — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
| Louisiana Public Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/42 |
|
|
4,715,000 |
|
|
|
4,568,835 |
|
|
|
| State of Louisiana |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
09/01/19 |
|
|
10,050,000 |
|
|
|
11,844,428 |
|
|
|
|
|
|
|
|
|
|
|
|
16,413,263 |
|
|
|
|
|
|
| Maine — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
| Maine Health & Higher Educational Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
07/01/21 |
|
|
1,790,000 |
|
|
|
2,004,496 |
|
|
|
| Maine Turnpike Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/42 |
|
|
1,000,000 |
|
|
|
1,035,650 |
|
|
|
| 6.00% |
|
07/01/34 |
|
|
1,250,000 |
|
|
|
1,385,025 |
|
|
|
|
|
|
|
|
|
|
|
|
4,425,171 |
|
|
|
|
|
|
| Maryland — 2.5% |
|
|
|
|
|
|
|
|
|
|
|
| County of Baltimore |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/01/23 |
|
|
7,525,000 |
|
|
|
8,761,583 |
|
|
|
| County of Prince George’s |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
09/15/24 - 09/15/25 |
|
|
8,790,000 |
|
|
|
10,003,005 |
|
|
|
| Maryland Economic
Development Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
06/01/35 |
|
|
3,000,000 |
|
|
|
3,009,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Maryland Health & Higher Educational Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/34 - 08/15/41 |
|
$
|
3,300,000 |
|
|
$
|
3,275,490 |
|
|
|
| State of Maryland |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/01/18 |
|
|
4,000,000 |
|
|
|
4,702,600 |
|
|
|
| Washington Suburban
Sanitary Commission |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
06/01/26 |
|
|
8,470,000 |
|
|
|
9,099,829 |
|
|
|
|
|
|
|
|
|
|
|
|
38,852,017 |
|
|
|
|
|
|
| Massachusetts — 4.8% |
|
|
|
|
|
|
|
|
|
|
|
| Massachusetts Department of Transportation |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/37 |
|
|
5,000,000 |
|
|
|
5,074,850 |
|
|
|
| Massachusetts Development Finance Agency |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/40 - 07/01/43 |
|
|
11,000,000 |
|
|
|
11,349,550 |
|
|
|
| Massachusetts Health & Educational Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/34 - 07/15/35 |
|
|
20,000,000 |
|
|
|
20,617,480 |
|
|
|
| 5.50% |
|
11/15/36 |
|
|
4,000,000 |
|
|
|
4,416,440 |
|
|
|
| 5.75% |
|
07/01/39 |
|
|
7,500,000 |
|
|
|
7,704,375 |
|
|
|
| Massachusetts
School Building Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/15/28 - 05/15/43 |
|
|
8,170,000 |
|
|
|
8,810,816 |
|
|
|
| Massachusetts
Water Resources Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/41 |
|
|
3,000,000 |
|
|
|
3,120,600 |
|
|
|
| 6.50% |
|
07/15/19 |
|
|
12,260,000 |
|
|
|
14,151,105 |
|
|
(l) |
|
|
|
|
|
|
|
|
|
75,245,216 |
|
|
|
|
|
|
| Michigan — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
| Lansing Board of Water & Light |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/37 |
|
|
3,500,000 |
|
|
|
3,574,445 |
|
|
|
| State of Michigan (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
09/15/27 |
|
|
5,000,000 |
|
|
|
5,352,200 |
|
|
(n) |
| State of Michigan
Trunk Line Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
11/01/18 |
|
|
6,000,000 |
|
|
|
7,064,520 |
|
|
|
|
|
|
|
|
|
|
|
|
15,991,165 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
48
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Minnesota — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
| St Paul Port Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
12/01/22 |
|
$
|
9,630,000 |
|
|
$
|
11,043,684 |
|
|
|
| State of Mississippi |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
09/01/14 |
|
|
7,500,000 |
|
|
|
7,760,925 |
|
|
|
|
|
|
|
|
|
|
|
|
18,804,609 |
|
|
|
|
|
|
| Missouri — 1.5% |
|
|
|
|
|
|
|
|
|
|
|
| Bi-State Development Agency of the Missouri-Illinois Metropolitan District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/44 |
|
|
5,000,000 |
|
|
|
5,098,900 |
|
|
|
| Metropolitan St Louis
Sewer District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/01/34 |
|
|
3,000,000 |
|
|
|
3,210,360 |
|
|
|
| Missouri Highway & Transportation Commission |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/01/21 |
|
|
4,610,000 |
|
|
|
5,352,763 |
|
|
|
| Missouri Joint Municipal Electric Utility Commission |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
01/01/29 |
|
|
4,500,000 |
|
|
|
4,654,980 |
|
|
|
| Missouri State Environmental Improvement & Energy Resources Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/24 |
|
|
525,000 |
|
|
|
535,285 |
|
|
|
| 5.00% |
|
01/01/24 |
|
|
4,475,000 |
|
|
|
4,580,431 |
|
|
(m) |
|
|
|
|
|
|
|
|
|
23,432,719 |
|
|
|
|
|
| Nevada — 0.1% |
|
|
|
|
|
|
|
| City of Las Vegas (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.55% |
|
06/01/16 |
|
|
1,425,000 |
|
|
|
1,449,396 |
|
|
(n) |
|
|
| New Jersey — 6.6% |
|
|
|
| Cape May County Municipal Utilities Authority (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
01/01/15 -01/01/16 |
|
|
8,500,000 |
|
|
|
9,142,745 |
|
|
(n) |
| Essex County Improvement Authority (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
12/15/17 |
|
|
9,765,000 |
|
|
|
9,795,174 |
|
|
(n) |
| New Jersey Economic Development Authority |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
12/15/29 |
|
|
5,000,000 |
|
|
|
5,370,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Jersey Educational Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
12/01/17 |
|
$
|
10,000,000 |
|
|
$
|
11,696,000 |
|
|
(h,l) |
| New Jersey Healthcare Facilities Financing Authority |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
07/01/37 |
|
|
2,000,000 |
|
|
|
2,031,080 |
|
|
|
| New Jersey Higher Education Student Assistance Authority |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
06/01/30 |
|
|
7,500,000 |
|
|
|
7,805,475 |
|
|
|
| New Jersey Institute of Technology |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/42 |
|
|
2,000,000 |
|
|
|
2,035,980 |
|
|
|
| New Jersey State Turnpike Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/38 |
|
|
5,000,000 |
|
|
|
5,118,100 |
|
|
|
| 5.25% |
|
01/01/40 |
|
|
10,000,000 |
|
|
|
10,413,100 |
|
|
(h) |
| New Jersey State Turnpike Authority (AMBAC Insured) |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
01/01/16 |
|
|
20,040,000 |
|
|
|
21,249,235 |
|
|
(l,n) |
| 6.50% |
|
01/01/16 |
|
|
5,135,000 |
|
|
|
5,724,652 |
|
|
(n) |
| New Jersey Transportation Trust Fund Authority |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
06/15/36 |
|
|
6,100,000 |
|
|
|
6,312,524 |
|
|
|
| New Jersey Transportation Trust Fund Authority (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
12/15/14 |
|
|
4,610,000 |
|
|
|
4,851,933 |
|
|
(l,n) |
| 5.75% |
|
12/15/14 |
|
|
1,390,000 |
|
|
|
1,462,127 |
|
|
(n) |
|
|
|
|
|
|
|
|
|
103,009,075 |
|
|
|
|
|
| New Mexico — 1.5% |
|
|
|
|
|
|
|
| New Mexico Finance Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
06/15/18 -06/15/23 |
|
|
9,200,000 |
|
|
|
10,654,839 |
|
|
|
| 5.00% |
|
12/15/26 |
|
|
12,000,000 |
|
|
|
12,948,360 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
23,603,199 |
|
|
|
|
|
| New York — 8.7% |
|
|
|
|
|
|
|
| Brooklyn Arena Local Development Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
07/15/30 |
|
|
4,500,000 |
|
|
|
4,717,260 |
|
|
|
| Long Island Power Authority |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
05/01/33 |
|
|
7,500,000 |
|
|
|
8,310,300 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
49
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Metropolitan Transportation Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/15/29 |
|
$
|
17,170,000 |
|
|
$
|
18,412,765 |
|
|
|
| New York City Transitional Finance Authority
Building Aid Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
07/15/31 |
|
|
10,000,000 |
|
|
|
10,961,700 |
|
|
(h) |
| New York City Transitional Finance Authority Future Tax Secured Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/01/21 - 11/01/30 |
|
|
10,220,000 |
|
|
|
11,460,275 |
|
|
|
| New York City Water & Sewer System |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
06/15/34 |
|
|
4,500,000 |
|
|
|
4,742,235 |
|
|
|
| New York Liberty Development Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/15/44 |
|
|
5,000,000 |
|
|
|
4,991,900 |
|
|
|
| 5.13% |
|
01/15/44 |
|
|
5,000,000 |
|
|
|
5,081,550 |
|
|
|
| New York State Dormitory Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/23 - 03/15/25 |
|
|
7,565,000 |
|
|
|
8,321,387 |
|
|
|
| 5.50% |
|
07/01/36 - 05/01/37 |
|
|
4,000,000 |
|
|
|
4,196,890 |
|
|
|
| 6.00% |
|
07/01/40 |
|
|
2,000,000 |
|
|
|
2,156,640 |
|
|
|
| 6.50% |
|
12/01/21 |
|
|
4,500,000 |
|
|
|
4,636,305 |
|
|
|
| New York State Thruway Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/01/19 |
|
|
6,250,000 |
|
|
|
7,174,500 |
|
|
|
| New York State Urban Development Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
01/01/19 |
|
|
9,000,000 |
|
|
|
10,604,700 |
|
|
|
| Triborough Bridge &
Tunnel Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/15/26 |
|
|
10,000,000 |
|
|
|
10,987,700 |
|
|
(h) |
| 5.00% |
|
11/15/38 |
|
|
10,000,000 |
|
|
|
10,385,900 |
|
|
|
| Westchester County Healthcare Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/01/30 |
|
|
6,000,000 |
|
|
|
6,057,600 |
|
|
|
| 6.13% |
|
11/01/37 |
|
|
2,500,000 |
|
|
|
2,710,150 |
|
|
|
|
|
|
|
|
|
|
|
|
135,909,757 |
|
|
|
|
|
| North Carolina — 2.2% |
|
|
|
|
|
|
|
| City of Charlotte |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
06/01/23 |
|
|
4,320,000 |
|
|
|
4,917,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| City of Charlotte Water & Sewer System Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/38 |
|
$
|
5,000,000 |
|
|
$
|
5,203,450 |
|
|
|
| North Carolina Eastern Municipal Power Agency |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/26 |
|
|
5,000,000 |
|
|
|
5,352,200 |
|
|
|
| North Carolina Medical Care Commission |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
11/01/43 |
|
|
4,000,000 |
|
|
|
3,780,520 |
|
|
|
| North Carolina State University at Raleigh |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/01/42 |
|
|
2,500,000 |
|
|
|
2,629,725 |
|
|
|
| North Carolina Turnpike Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/30 |
|
|
3,230,000 |
|
|
|
3,471,765 |
|
|
|
| State of North Carolina |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
05/01/30 |
|
|
4,130,000 |
|
|
|
4,334,187 |
|
|
|
| University of North Carolina at Greensboro |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
04/01/36 |
|
|
4,000,000 |
|
|
|
4,169,760 |
|
|
|
|
|
|
|
|
|
|
|
|
33,859,193 |
|
|
|
|
|
| Ohio — 5.0% |
|
|
|
|
|
|
|
| American Municipal
Power Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/15/38 |
|
|
5,000,000 |
|
|
|
5,066,400 |
|
|
|
| City of Cincinnati Water System Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
12/01/36 |
|
|
2,500,000 |
|
|
|
2,650,475 |
|
|
|
| City of Cleveland Airport System Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/29 - 01/01/31 |
|
|
4,225,000 |
|
|
|
4,218,094 |
|
|
|
| City of Columbus |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
07/01/26 - 08/15/30 |
|
|
28,790,000 |
|
|
|
32,389,991 |
|
|
|
| City of Columbus Sewerage Revenue |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
06/01/32 |
|
|
700,000 |
|
|
|
709,730 |
|
|
|
| 4.75% |
|
06/01/31 |
|
|
5,000,000 |
|
|
|
5,155,950 |
|
|
|
| County of Franklin |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
12/01/37 |
|
|
1,750,000 |
|
|
|
1,633,293 |
|
|
|
| Cuyahoga Community College District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/26 |
|
|
1,800,000 |
|
|
|
1,948,482 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
50
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Northeast Ohio Regional Sewer District |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/15/38 |
|
$
|
13,000,000 |
|
|
$
|
13,551,850 |
|
|
|
| Ohio Higher Educational Facility Commission |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
05/01/38 |
|
|
5,000,000 |
|
|
|
5,288,400 |
|
|
|
| Ohio State Turnpike Commission |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
02/15/39 |
|
|
6,000,000 |
|
|
|
6,210,420 |
|
|
|
|
|
|
|
|
|
|
|
|
78,823,085 |
|
|
|
|
|
| Oklahoma — 1.2% |
|
|
|
|
|
|
|
| Claremore Public Works Authority (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
06/01/34 |
|
|
6,315,000 |
|
|
|
6,506,408 |
|
|
(m,n) |
| Oklahoma Municipal Power Authority (FGIC Insured) |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
01/01/47 |
|
|
9,000,000 |
|
|
|
8,358,570 |
|
|
(n) |
| Oklahoma Turnpike Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/28 |
|
|
3,500,000 |
|
|
|
3,811,535 |
|
|
|
|
|
|
|
|
|
|
|
|
18,676,513 |
|
|
|
|
|
| Pennsylvania — 5.2% |
|
|
|
|
|
|
|
| Allentown Neighborhood Improvement Zone Development Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/01/42 |
|
|
6,000,000 |
|
|
|
5,283,000 |
|
|
|
| City of Philadelphia Water & Wastewater Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/36 - 01/01/41 |
|
|
20,000,000 |
|
|
|
20,158,300 |
|
|
|
| Delaware River Port Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/37 |
|
|
5,000,000 |
|
|
|
5,098,450 |
|
|
|
| Pennsylvania Higher Educational Facilities Authority |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
08/15/25 |
|
|
1,750,000 |
|
|
|
1,926,190 |
|
|
|
| Pennsylvania Turnpike Commission |
|
|
|
| 5.00% |
|
06/01/29 |
|
|
10,000,000 |
|
|
|
10,280,500 |
|
|
(h) |
| 5.00% |
|
12/01/32 |
|
|
1,500,000 |
|
|
|
1,532,340 |
|
|
|
| 5.14% |
|
12/01/34 |
|
|
12,000,000 |
|
|
|
11,297,040 |
|
|
(h) |
| 5.25% |
|
06/01/39 |
|
|
9,500,000 |
|
|
|
9,624,260 |
|
|
|
| Pennsylvania Turnpike Commission (AMBAC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
12/01/32 |
|
|
12,000,000 |
|
|
|
12,101,520 |
|
|
(h,n) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Westmoreland County
Municipal Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/15/37 |
|
$
|
5,000,000 |
|
|
$
|
4,979,150 |
|
|
|
|
|
|
|
|
|
|
|
|
82,280,750 |
|
|
|
|
|
| Puerto Rico — 1.9% |
|
|
|
|
|
|
|
| Commonwealth of Puerto Rico |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
07/01/39 |
|
|
8,000,000 |
|
|
|
5,406,960 |
|
|
(h) |
| Puerto Rico
Electric Power Authority |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
07/01/36 |
|
|
5,000,000 |
|
|
|
3,212,250 |
|
|
|
| 6.75% |
|
07/01/36 |
|
|
5,000,000 |
|
|
|
3,597,000 |
|
|
|
| Puerto Rico Sales Tax
Financing Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
08/01/42 |
|
|
5,000,000 |
|
|
|
3,745,500 |
|
|
|
| 6.50% |
|
08/01/44 |
|
|
5,000,000 |
|
|
|
3,960,050 |
|
|
|
| 8.23% |
|
08/01/32 |
|
|
15,000,000 |
|
|
|
10,590,900 |
|
|
|
|
|
|
|
|
|
|
|
|
30,512,660 |
|
|
|
|
|
| Rhode Island — 0.2% |
|
|
|
|
|
|
|
| Rhode Island Health & Educational Building Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
09/15/34 |
|
|
1,300,000 |
|
|
|
1,402,557 |
|
|
|
| 6.50% |
|
09/15/28 |
|
|
1,000,000 |
|
|
|
1,109,970 |
|
|
|
|
|
|
|
|
|
|
|
|
2,512,527 |
|
|
|
|
|
| South Carolina — 3.3% |
|
|
|
|
|
|
|
| Charleston Educational Excellence Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
12/01/27 - 12/01/30 |
|
|
21,850,000 |
|
|
|
23,865,444 |
|
|
(m) |
| Piedmont Municipal
Power Agency |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/01/25 |
|
|
2,315,000 |
|
|
|
2,513,094 |
|
|
|
| Piedmont Municipal Power Agency (AGC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
01/01/34 |
|
|
5,500,000 |
|
|
|
6,020,575 |
|
|
(n) |
| South Carolina State Public Service Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
12/01/30 |
|
|
3,755,000 |
|
|
|
3,949,960 |
|
|
|
| 5.50% |
|
01/01/38 |
|
|
14,970,000 |
|
|
|
16,045,744 |
|
|
|
|
|
|
|
|
|
|
|
|
52,394,817 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
51
|
|
|
| Elfun Tax-Exempt Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tennessee — 1.6% |
|
|
|
|
|
|
|
| County of Shelby |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
03/01/21 |
|
$
|
3,500,000 |
|
|
$
|
4,055,100 |
|
|
|
| Metropolitan Government of Nashville & Davidson County |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/15/25 |
|
|
10,000,000 |
|
|
|
11,439,100 |
|
|
(m) |
| State of Tennessee |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
05/01/19 |
|
|
1,000,000 |
|
|
|
1,171,450 |
|
|
(m) |
| Tennessee State School
Bond Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/01/43 |
|
|
8,000,000 |
|
|
|
8,323,520 |
|
|
|
|
|
|
|
|
|
|
|
|
24,989,170 |
|
|
|
|
|
| Texas — 4.6% |
|
|
|
|
|
|
|
| City of Austin Water & Wastewater System Revenue (AMBAC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
11/15/16 |
|
|
5,450,000 |
|
|
|
6,193,979 |
|
|
(n) |
| City of Houston Utility
System Revenue |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/15/33 |
|
|
5,470,000 |
|
|
|
5,784,908 |
|
|
|
| 5.25% |
|
11/15/30 - 11/15/31 |
|
|
12,000,000 |
|
|
|
13,190,780 |
|
|
|
| City of Houston Utility System Revenue (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
05/15/22 |
|
|
10,000,000 |
|
|
|
10,172,700 |
|
|
(n) |
| Dallas/Fort Worth
International Airport |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
11/01/29 |
|
|
5,000,000 |
|
|
|
5,302,850 |
|
|
|
| North Texas Tollway Authority |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
09/01/31 |
|
|
3,500,000 |
|
|
|
3,690,820 |
|
|
|
| 5.75% |
|
01/01/38 - 01/01/40 |
|
|
21,475,000 |
|
|
|
22,367,096 |
|
|
(h) |
| 6.00% |
|
01/01/38 |
|
|
5,000,000 |
|
|
|
5,432,800 |
|
|
|
|
|
|
|
|
|
|
|
|
72,135,933 |
|
|
|
|
|
| Utah — 1.0% |
|
|
|
|
|
|
|
| County of Utah Transportation Sales Tax Revenue (AGMC Insured) |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
12/01/37 - 12/01/38 |
|
|
12,480,000 |
|
|
|
11,396,778 |
|
|
(n) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utah State Board of Regents |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
11/01/30 |
|
$
|
4,000,000 |
|
|
$
|
4,212,040 |
|
|
|
|
|
|
|
|
|
|
|
|
15,608,818 |
|
|
|
|
|
| Vermont — 0.4% |
|
|
|
|
|
|
|
| Vermont Educational & Health Buildings Financing Agency |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
10/31/46 |
|
|
5,700,000 |
|
|
|
5,795,475 |
|
|
|
|
|
| Virginia — 1.0% |
|
|
|
|
|
|
|
| City of Richmond |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
01/15/38 |
|
|
9,000,000 |
|
|
|
9,473,940 |
|
|
|
| Virginia College Building Authority |
|
|
|
|
|
|
|
|
|
|
| 4.38% |
|
02/01/28 |
|
|
845,000 |
|
|
|
864,418 |
|
|
|
| Virginia Resources Authority |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
11/01/38 |
|
|
5,000,000 |
|
|
|
5,262,250 |
|
|
|
|
|
|
|
|
|
|
|
|
15,600,608 |
|
|
|
|
|
| Washington — 0.2% |
|
|
|
|
|
|
|
| Port of Seattle |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/01/31 |
|
|
3,000,000 |
|
|
|
3,160,110 |
|
|
|
|
|
|
|
| Total Municipal Bonds
and Notes
(Cost $1,481,763,054) |
|
|
|
|
|
|
1,516,265,900 |
|
|
|
| Short-Term Investments — 2.0% |
|
|
|
|
|
|
| Time Deposit — 2.0% |
|
|
|
|
|
|
|
|
|
|
|
| State Street Corp. |
|
|
|
|
|
|
|
|
|
|
| 0.01% |
|
01/02/14 |
|
|
|
|
|
|
|
|
|
|
| (Cost $32,348,657) |
|
|
32,348,657 |
|
|
|
32,348,657 |
|
|
(e) |
|
|
|
|
| Total Investments
(Cost $1,514,111,711) |
|
|
|
|
|
|
1,548,614,557 |
|
|
|
|
|
|
|
| Other Assets and Liabilities,
net — 1.3% |
|
|
|
|
|
|
19,918,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
|
|
|
$ |
1,568,532,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
52
(Unaudited)
William M. Healey
Senior Vice
President and Chief Investment Officer — Core Fixed Income Investments
Mark H. Johnson
Senior Vice President
and Chief Investment Officer — Long Duration Fixed Income & Insurance Investments
Vita Marie Pike
Senior Vice President
and Chief Investment Officer — Risk Assets Fixed Income Investments
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 111.
| |
How did the Elfun Income Fund perform compared to its benchmark for the twelve-month period ended December 31, 2013? |
| |
For the twelve-month period ended December 31, 2013, the Elfun Income Fund posted a total return -0.95%. The Barclays U.S. Aggregate Bond Index, the Fund’s benchmark, returned -2.02% and the Fund’s Morningstar
peer group of 1,105 U.S. Intermediate-Term Bond Funds returned an average of -1.38% over the same period. |
| |
Discuss the factors that materially affected the Fund’s performance during the period. |
| |
The primary drivers of the Fund’s performance during the period were a rise in interest rates and tighter credit spreads. The U.S. Treasury 10-year note yield ended the year at 3.03%, up 127 basis points from the
end of 2012. Rising interest rates drove bond prices down which resulted in
|
| |
negative total returns for both the Fund and its benchmark. However, the Fund’s duration was shorter than the benchmark when interest rates increased the most which benefited its relative
performance. Credit related sectors outperformed duration-adjusted treasuries during the period due to a compression in yield spreads and higher coupon income. The Fund was generally overweight in these assets which added value but the main source
of Fund performance came from strong security selection in all non-treasury sectors, predominantly high grade and high yield corporate debt and agency mortgage-backed securities. |
| |
Were there any significant changes to the Fund during the period? |
| |
The Fund’s duration relative to its benchmark was strategically biased short and was tactically traded from neutral to 1 year below the benchmark duration
during the period. The duration of the Fund began the year one-half year shorter than the benchmark and ended the year neutral. While the Fund maintained an overweight to non-treasury sectors, the Fund’s relative allocations changed throughout
the period to take advantage of yield spread changes. The allocation to high grade corporate bonds began the year roughly 4% underweight and ended the year 4% overweight. The overweight in commercial mortgage-backed securities was increased from 1%
to 4% at year-end. The Fund’s non-index exposure to |
53
(Unaudited)
| |
high yield bonds moved from 4% to 10% by mid-year and finished at 6%. The Fund’s exposure to emerging market debt started at 3%, rose to 7% by mid-year and ended at 5%. The Fund’s net
increase in spread sector exposure was offset by a decrease in its relative allocation to treasury securities (including cash) from approximately -5% to -16%.
|
54
(Unaudited)
Understanding Your Fund’s Expenses
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, 2013.
Actual Expenses
The first section of the table
provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading
“Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You
may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales
charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
July 1, 2013 –
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Account value at
the beginning of
the period ($) |
|
|
Account value
at the end
of the period ($) |
|
|
Expenses
paid during
the period ($)* |
|
|
|
|
|
| Actual Fund Return |
|
|
1,000.00 |
|
|
|
1,014.70 |
|
|
|
1.57 |
|
|
|
|
|
| Hypothetical 5% Return
(2.5% for the period) |
|
|
1,000.00 |
|
|
|
1,023.64 |
|
|
|
1.58 |
|
| * |
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.31%** (for the period July 1, 2013 – December 31, 2013), multiplied by the average account value over the period, multiplied by 184/365 (to
reflect the one-half year period). |
| ** |
|
May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
55
(Unaudited)
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, 2013 as a % of Fair Value(b)(c)
|
|
|
|
|
| Moody’s / S&P Rating |
|
Percentage of
Fair Value |
|
| Aaa / AAA |
|
|
16.81% |
|
| Aa / AA |
|
|
43.64% |
|
| A / A |
|
|
9.15% |
|
| Baa / BBB |
|
|
21.91% |
|
| Ba / BB and lower |
|
|
8.38% |
|
| NR / Other |
|
|
0.11% |
|
| |
|
|
100.00% |
|
Sector Allocation
as a % of Fair Value of $356,125 (in thousands) on December 31, 2013(b)(c)
Morningstar Performance Comparison
Based on average annual returns for periods ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
| Number of funds in peer group |
|
|
1,105 |
|
|
|
961 |
|
|
|
865 |
|
| Peer group average annual total return |
|
|
-1.38 |
% |
|
|
6.38 |
% |
|
|
4.07 |
% |
| Morningstar Category in peer group: U.S. Intermediate-Term Bond |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the Periods Ended December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Inception date: 12/31/84) |
|
|
|
|
|
|
|
|
|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
|
Ending value of a
$10,000
investment (a) |
|
|
|
|
|
|
| Elfun Income Fund |
|
|
-0.95% |
|
|
|
5.76% |
|
|
|
4.41% |
|
|
$ |
15,398 |
|
|
|
|
|
|
| Barclays U.S. Aggregate
Bond Index |
|
|
-2.02% |
|
|
|
4.44% |
|
|
|
4.55% |
|
|
$ |
15,599 |
|
| (a) |
Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest
as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| (c) |
Fair Value basis is inclusive of short-term investment in GE Institutional Money Market Fund Investment Class. |
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.
56
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bonds and Notes — 97.1%† |
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasuries — 14.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
08/15/43 |
|
$ |
6,208,100 |
|
|
$ |
5,862,774 |
|
|
|
| 4.50% |
|
02/15/36 |
|
|
22,816,200 |
|
|
|
25,386,582 |
|
|
(h) |
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
| 0.25% |
|
10/31/15 |
|
|
5,934,200 |
|
|
|
5,925,857 |
|
|
|
| 0.88% |
|
01/31/17 |
|
|
182,800 |
|
|
|
182,972 |
|
|
(h) |
| 1.25% |
|
10/31/18 |
|
|
2,741,400 |
|
|
|
2,687,644 |
|
|
|
| 2.50% |
|
08/15/23 |
|
|
7,494,500 |
|
|
|
7,197,058 |
|
|
|
| 3.13% |
|
05/15/19 |
|
|
1,800 |
|
|
|
1,918 |
|
|
|
|
|
|
|
|
|
|
|
|
47,244,805 |
|
|
|
|
|
|
| Agency Mortgage Backed — 30.1% |
|
|
|
|
|
|
|
|
|
|
|
| Federal Home Loan
Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
01/13/22 |
|
|
2,091,000 |
|
|
|
1,998,923 |
|
|
(h) |
| 4.50% |
|
06/01/33 - 02/01/35 |
|
|
42,784 |
|
|
|
45,378 |
|
|
(h) |
| 5.00% |
|
07/01/35 |
|
|
289,372 |
|
|
|
318,076 |
|
|
(h) |
| 5.00% |
|
06/01/41 |
|
|
1,478,247 |
|
|
|
1,621,621 |
|
|
|
| 5.50% |
|
05/01/20 - 04/01/39 |
|
|
681,975 |
|
|
|
748,266 |
|
|
(h) |
| 6.00% |
|
04/01/17 - 11/01/37 |
|
|
1,249,324 |
|
|
|
1,394,211 |
|
|
(h) |
| 6.50% |
|
07/01/29 |
|
|
2,280 |
|
|
|
2,541 |
|
|
(h) |
| 7.00% |
|
10/01/16 - 08/01/36 |
|
|
179,427 |
|
|
|
201,703 |
|
|
(h) |
| 7.50% |
|
11/01/29 - 09/01/33 |
|
|
9,125 |
|
|
|
10,071 |
|
|
(h) |
| 8.00% |
|
11/01/30 |
|
|
9,878 |
|
|
|
11,309 |
|
|
(h) |
| Federal National
Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
| 2.35% |
|
04/01/37 |
|
|
2,951 |
|
|
|
3,078 |
|
|
(i) |
| 3.00% |
|
05/01/43 - 06/01/43 |
|
|
9,059,232 |
|
|
|
8,611,555 |
|
|
|
| 3.50% |
|
11/01/42 - 02/01/43 |
|
|
4,501,811 |
|
|
|
4,480,863 |
|
|
|
| 4.00% |
|
05/01/19 - 06/01/19 |
|
|
120,124 |
|
|
|
127,205 |
|
|
(h) |
| 4.00% |
|
01/01/41 - 03/01/41 |
|
|
2,811,681 |
|
|
|
2,896,199 |
|
|
|
| 4.50% |
|
05/01/18 - 02/01/40 |
|
|
3,252,068 |
|
|
|
3,446,564 |
|
|
(h) |
| 4.50% |
|
11/01/40 - 04/01/41 |
|
|
7,726,943 |
|
|
|
8,188,671 |
|
|
|
| 5.00% |
|
07/01/20 -08/01/35 |
|
|
469,398 |
|
|
|
513,029 |
|
|
(h) |
| 5.00% |
|
03/01/39 - 06/01/41 |
|
|
2,652,339 |
|
|
|
2,907,538 |
|
|
|
| 5.50% |
|
03/01/14 - 04/01/38 |
|
|
1,455,654 |
|
|
|
1,603,120 |
|
|
(h) |
| 5.50% |
|
11/01/35 - 01/01/39 |
|
|
1,532,281 |
|
|
|
1,684,323 |
|
|
|
| 6.00% |
|
02/01/14 - 08/01/35 |
|
|
2,229,263 |
|
|
|
2,498,161 |
|
|
(h) |
| 6.50% |
|
06/01/14 -08/01/36 |
|
|
354,224 |
|
|
|
390,931 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
10/01/16 - 02/01/34 |
|
$
|
45,250 |
|
|
$
|
48,885 |
|
|
(h) |
| 7.50% |
|
02/01/15 - 12/01/33 |
|
|
124,065 |
|
|
|
139,240 |
|
|
(h) |
| 8.00% |
|
11/01/14 - 01/01/33 |
|
|
40,301 |
|
|
|
45,445 |
|
|
(h) |
| 8.50% |
|
04/01/30 |
|
|
5,716 |
|
|
|
6,738 |
|
|
(h) |
| 9.00% |
|
12/01/17 - 12/01/22 |
|
|
18,715 |
|
|
|
20,562 |
|
|
(h) |
| 3.50% |
|
TBA |
|
|
17,045,000 |
|
|
|
16,931,811 |
|
|
(c) |
| 4.00% |
|
TBA |
|
|
5,365,000 |
|
|
|
5,522,597 |
|
|
(c) |
| 4.50% |
|
TBA |
|
|
805,000 |
|
|
|
852,954 |
|
|
(c) |
| 5.00% |
|
TBA |
|
|
4,764,000 |
|
|
|
5,116,544 |
|
|
(c) |
| 6.00% |
|
TBA |
|
|
6,342,000 |
|
|
|
7,034,170 |
|
|
(c) |
| 6.50% |
|
TBA |
|
|
878,000 |
|
|
|
977,530 |
|
|
(c) |
| Government National
Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
06/20/43 |
|
|
954,892 |
|
|
|
924,241 |
|
|
|
| 3.50% |
|
05/20/43 |
|
|
3,861,136 |
|
|
|
3,901,202 |
|
|
|
| 4.00% |
|
01/20/41 - 04/20/43 |
|
|
5,114,468 |
|
|
|
5,326,531 |
|
|
|
| 4.50% |
|
08/15/33 - 03/20/41 |
|
|
2,361,709 |
|
|
|
2,536,147 |
|
|
(h) |
| 4.50% |
|
05/20/40 |
|
|
357,745 |
|
|
|
383,528 |
|
|
|
| 5.00% |
|
08/15/33 |
|
|
113,107 |
|
|
|
123,834 |
|
|
(h) |
| 6.00% |
|
04/15/27 - 09/15/36 |
|
|
494,071 |
|
|
|
557,097 |
|
|
(h) |
| 6.50% |
|
04/15/19 - 09/15/36 |
|
|
191,886 |
|
|
|
214,577 |
|
|
(h) |
| 7.00% |
|
11/15/27 - 10/15/36 |
|
|
135,434 |
|
|
|
152,539 |
|
|
(h) |
| 7.50% |
|
03/15/23 - 11/15/31 |
|
|
56,138 |
|
|
|
59,704 |
|
|
(h) |
| 8.00% |
|
09/15/27 - 06/15/30 |
|
|
35,135 |
|
|
|
37,255 |
|
|
(h) |
| 8.50% |
|
10/15/17 |
|
|
15,778 |
|
|
|
16,676 |
|
|
(h) |
| 9.00% |
|
11/15/16 - 12/15/21 |
|
|
37,213 |
|
|
|
39,864 |
|
|
(h) |
| 5.00% |
|
TBA |
|
|
1,167,000 |
|
|
|
1,264,873 |
|
|
(c) |
| 5.50% |
|
TBA |
|
|
435,000 |
|
|
|
477,752 |
|
|
(c) |
|
|
|
|
|
|
|
|
|
96,415,632 |
|
|
|
|
|
| Agency Collateralized Mortgage Obligations — 0.4% |
|
|
|
|
|
|
|
| Collateralized Mortgage Obligation Trust |
|
|
|
|
|
|
|
|
|
|
| 0.15% |
|
11/01/18 |
|
|
4,562 |
|
|
|
4,553 |
|
|
(d,f) |
| Federal Home Loan
Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
| 0.08% |
|
09/25/43 |
|
|
1,761,167 |
|
|
|
16,159 |
|
|
(g,h,i) |
| Federal Home Loan Mortgage Corp. REMIC |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
11/15/24 - 11/15/30 |
|
|
1,639,405 |
|
|
|
189,043 |
|
|
(g) |
| 4.50% |
|
02/15/18 - 03/15/18 |
|
|
84,098 |
|
|
|
3,172 |
|
|
(g,h) |
| 5.00% |
|
05/15/18 - 10/15/18 |
|
|
74,091 |
|
|
|
2,679 |
|
|
(g,h) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
57
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/15/38 |
|
$
|
50,066 |
|
|
$
|
3,783 |
|
|
(g) |
| 5.50% |
|
06/15/33 |
|
|
125,851 |
|
|
|
25,481 |
|
|
(g,h) |
| 6.43% |
|
08/15/25 |
|
|
664,929 |
|
|
|
90,824 |
|
|
(g,i) |
| 8.00% |
|
04/15/20 |
|
|
2,594 |
|
|
|
2,801 |
|
|
(h) |
| Federal Home Loan Mortgage Corp. STRIPS |
|
|
|
|
|
|
|
|
|
|
| 2.11% |
|
08/01/27 |
|
|
2,042 |
|
|
|
1,880 |
|
|
(d,f,h) |
| 8.00% |
|
02/01/23 - 07/01/24 |
|
|
7,644 |
|
|
|
1,728 |
|
|
(g,h) |
| Federal National Mortgage Assoc. REMIC |
|
|
|
|
|
|
|
|
|
|
| 1.24% |
|
12/25/42 |
|
|
428,098 |
|
|
|
18,695 |
|
|
(g,h,i) |
| 2.11% |
|
12/25/22 |
|
|
5,399 |
|
|
|
5,120 |
|
|
(d,f,h) |
| 3.50% |
|
09/25/42 |
|
|
464,478 |
|
|
|
89,784 |
|
|
(g) |
| 5.00% |
|
02/25/32 |
|
|
40,538 |
|
|
|
687 |
|
|
(g,h) |
| 5.00% |
|
02/25/40 - 09/25/40 |
|
|
1,107,501 |
|
|
|
140,398 |
|
|
(g) |
| 5.84% |
|
07/25/38 |
|
|
218,530 |
|
|
|
30,918 |
|
|
(g,i) |
| 8.00% |
|
05/25/22 |
|
|
11 |
|
|
|
255 |
|
|
(g,h) |
| Federal National Mortgage Assoc. STRIPS |
|
|
|
|
|
|
|
|
|
|
| 2.11% |
|
12/01/34 |
|
|
144,220 |
|
|
|
131,451 |
|
|
(d,f,h) |
| 4.50% |
|
08/01/35 - 01/01/36 |
|
|
303,930 |
|
|
|
51,601 |
|
|
(g,h) |
| 5.00% |
|
03/25/38 - 05/25/38 |
|
|
182,220 |
|
|
|
33,578 |
|
|
(g) |
| 5.50% |
|
12/01/33 |
|
|
39,582 |
|
|
|
7,517 |
|
|
(g) |
| 6.00% |
|
01/01/35 |
|
|
149,152 |
|
|
|
27,144 |
|
|
(g,h) |
| 7.50% |
|
11/01/23 |
|
|
24,188 |
|
|
|
5,636 |
|
|
(g,h) |
| 8.00% |
|
08/01/23 - 07/01/24 |
|
|
15,162 |
|
|
|
2,861 |
|
|
(g,h) |
| 8.50% |
|
03/01/17 - 07/25/22 |
|
|
12,708 |
|
|
|
1,976 |
|
|
(g,h) |
| 9.00% |
|
05/25/22 |
|
|
5,118 |
|
|
|
1,066 |
|
|
(g,h) |
| Government National
Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
10/20/37 - 08/16/39 |
|
|
1,968,622 |
|
|
|
235,466 |
|
|
(g) |
| 5.00% |
|
12/20/35 - 09/20/38 |
|
|
1,355,306 |
|
|
|
122,365 |
|
|
(g) |
| 6.08% |
|
02/20/40 |
|
|
552,038 |
|
|
|
103,977 |
|
|
(g,i) |
|
|
|
|
|
|
|
|
|
1,352,598 |
|
|
|
|
|
|
| Asset Backed — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
| Capital One Multi-Asset Execution Trust 2006-B1 |
|
|
|
|
|
|
|
|
|
|
| 0.45% |
|
01/15/19 |
|
|
500,000 |
|
|
|
494,657 |
|
|
(h,i) |
| Chase Funding Mortgage Loan Asset-Backed Certificates 2004-1 |
|
|
|
|
|
|
|
|
|
|
| 3.99% |
|
11/25/33 |
|
|
362,518 |
|
|
|
372,491 |
|
|
(h,j) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ford Credit Auto Lease Trust 2013-A |
|
|
|
|
|
|
|
|
|
|
| 1.28% |
|
06/15/16 |
|
$
|
150,000 |
|
|
$
|
150,080 |
|
|
(h) |
| Hertz Vehicle Financing LLC 2010-1A |
|
|
|
|
|
|
|
|
|
|
| 5.02% |
|
02/25/15 |
|
|
156,667 |
|
|
|
157,337 |
|
|
(b,h) |
|
|
|
|
|
|
|
|
|
1,174,565 |
|
|
|
|
|
|
| Corporate Notes — 41.6% |
|
|
|
|
|
|
|
|
|
|
|
| 21st Century Fox America Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
10/01/23 |
|
|
170,000 |
|
|
|
168,021 |
|
|
(b) |
| 5.40% |
|
10/01/43 |
|
|
106,000 |
|
|
|
107,331 |
|
|
(b) |
| 6.65% |
|
11/15/37 |
|
|
248,000 |
|
|
|
289,481 |
|
|
(h) |
| ABB Finance USA Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.63% |
|
05/08/17 |
|
|
392,000 |
|
|
|
391,221 |
|
|
|
| AbbVie Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.75% |
|
11/06/17 |
|
|
372,000 |
|
|
|
371,363 |
|
|
|
| 2.00% |
|
11/06/18 |
|
|
730,000 |
|
|
|
722,123 |
|
|
|
| 2.90% |
|
11/06/22 |
|
|
241,000 |
|
|
|
225,252 |
|
|
|
| AES Corp. |
|
|
|
|
|
|
|
|
|
|
| 8.00% |
|
10/15/17 |
|
|
401,000 |
|
|
|
471,175 |
|
|
|
| AES Panama S.A. |
|
|
|
|
|
|
|
|
|
|
| 6.35% |
|
12/21/16 |
|
|
287,000 |
|
|
|
303,502 |
|
|
(b) |
| Agilent Technologies Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
09/14/15 |
|
|
347,000 |
|
|
|
374,103 |
|
|
(h) |
| Agrium Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
06/01/23 |
|
|
203,000 |
|
|
|
189,102 |
|
|
|
| 4.90% |
|
06/01/43 |
|
|
629,000 |
|
|
|
582,456 |
|
|
|
| Altria Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.95% |
|
05/02/23 |
|
|
210,000 |
|
|
|
190,726 |
|
|
|
| 4.50% |
|
05/02/43 |
|
|
210,000 |
|
|
|
185,552 |
|
|
|
| 5.38% |
|
01/31/44 |
|
|
297,000 |
|
|
|
298,230 |
|
|
|
| Amazon.com Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.20% |
|
11/29/17 |
|
|
370,000 |
|
|
|
362,264 |
|
|
|
| 2.50% |
|
11/29/22 |
|
|
405,000 |
|
|
|
365,078 |
|
|
|
| America Movil SAB de C.V. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
09/08/16 |
|
|
1,148,000 |
|
|
|
1,181,487 |
|
|
(h) |
| American Axle & Manufacturing Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
03/15/21 |
|
|
279,000 |
|
|
|
296,438 |
|
|
|
| 7.75% |
|
11/15/19 |
|
|
81,000 |
|
|
|
92,138 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
58
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Honda Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.13% |
|
10/10/18 |
|
$
|
805,000 |
|
|
$
|
801,686 |
|
|
|
| American International Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.38% |
|
08/15/20 |
|
|
428,000 |
|
|
|
430,489 |
|
|
|
| 4.88% |
|
06/01/22 |
|
|
206,000 |
|
|
|
221,414 |
|
|
(h) |
| American Seafoods Group LLC |
|
|
|
|
|
|
|
|
|
|
| 10.75% |
|
05/15/16 |
|
|
385,000 |
|
|
|
398,475 |
|
|
(b) |
| American Tower Corp. (REIT) |
|
|
|
|
|
|
|
|
|
|
| 3.40% |
|
02/15/19 |
|
|
428,000 |
|
|
|
435,727 |
|
|
|
| 3.50% |
|
01/31/23 |
|
|
203,000 |
|
|
|
185,084 |
|
|
|
| American Tower Trust I (REIT) |
|
|
|
|
|
|
|
|
|
|
| 1.55% |
|
03/15/43 |
|
|
627,000 |
|
|
|
611,939 |
|
|
(b,h) |
| Amsted Industries Inc. |
|
|
|
|
|
|
|
|
|
|
| 8.13% |
|
03/15/18 |
|
|
239,000 |
|
|
|
251,846 |
|
|
(b,h) |
| Anadarko Petroleum Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.20% |
|
03/15/40 |
|
|
437,000 |
|
|
|
483,381 |
|
|
|
| Anheuser-Busch InBev Finance Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.63% |
|
01/17/23 |
|
|
212,000 |
|
|
|
194,690 |
|
|
(h) |
| Anheuser-Busch InBev
Worldwide Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
07/15/22 |
|
|
799,000 |
|
|
|
739,049 |
|
|
|
| 5.38% |
|
11/15/14 |
|
|
228,000 |
|
|
|
237,469 |
|
|
(h) |
| Archer-Daniels-Midland Co. |
|
|
|
|
|
|
|
|
|
|
| 4.02% |
|
04/16/43 |
|
|
234,000 |
|
|
|
198,940 |
|
|
|
| Arizona Public Service Co. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
08/01/16 |
|
|
358,000 |
|
|
|
401,664 |
|
|
(h) |
| Ascension Health |
|
|
|
|
|
|
|
|
|
|
| 4.85% |
|
11/15/53 |
|
|
326,000 |
|
|
|
315,507 |
|
|
|
| Ashland Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
03/15/16 |
|
|
399,000 |
|
|
|
406,980 |
|
|
|
| 3.88% |
|
04/15/18 |
|
|
379,000 |
|
|
|
383,737 |
|
|
|
| AT&T Inc. |
|
|
|
|
|
|
|
|
|
|
| 0.88% |
|
02/13/15 |
|
|
377,000 |
|
|
|
377,796 |
|
|
|
| 2.38% |
|
11/27/18 |
|
|
849,000 |
|
|
|
849,728 |
|
|
|
| 4.35% |
|
06/15/45 |
|
|
726,000 |
|
|
|
614,626 |
|
|
|
| Autodesk Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.95% |
|
12/15/17 |
|
|
400,000 |
|
|
|
395,694 |
|
|
|
| Banco de Costa Rica |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
08/12/18 |
|
|
200,000 |
|
|
|
199,000 |
|
|
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banco de Reservas de LA
Republica Dominicana |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
02/01/23 |
|
$
|
150,000 |
|
|
$
|
138,000 |
|
|
(b) |
| Banco del Estado de Chile |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
11/09/17 |
|
|
150,000 |
|
|
|
147,337 |
|
|
|
| Banco do Nordeste do Brasil S.A. |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
11/09/15 |
|
|
200,000 |
|
|
|
200,750 |
|
|
(b) |
| Banco Latinoamericano de
Comercio Exterior S.A. |
|
|
|
|
|
|
|
|
|
|
| 3.75% |
|
04/04/17 |
|
|
300,000 |
|
|
|
306,000 |
|
|
(b) |
| Bank of America Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
01/11/18 |
|
|
533,000 |
|
|
|
532,054 |
|
|
(h) |
| 2.60% |
|
01/15/19 |
|
|
510,000 |
|
|
|
512,251 |
|
|
|
| 3.30% |
|
01/11/23 |
|
|
680,000 |
|
|
|
643,462 |
|
|
(h) |
| 3.88% |
|
03/22/17 |
|
|
418,000 |
|
|
|
446,139 |
|
|
(h) |
| 4.10% |
|
07/24/23 |
|
|
353,000 |
|
|
|
354,498 |
|
|
|
| 5.75% |
|
12/01/17 |
|
|
570,000 |
|
|
|
648,724 |
|
|
(h) |
| Barclays Bank PLC |
|
|
|
|
|
|
|
|
|
|
| 2.25% |
|
05/10/17 |
|
|
1,186,000 |
|
|
|
1,222,173 |
|
|
(b,h) |
| Barrick Gold Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.10% |
|
05/01/23 |
|
|
212,000 |
|
|
|
191,625 |
|
|
|
| Berkshire Hathaway Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.90% |
|
10/15/20 |
|
|
510,000 |
|
|
|
505,761 |
|
|
|
| 3.00% |
|
05/15/22 |
|
|
269,000 |
|
|
|
257,878 |
|
|
(h) |
| Berkshire Hathaway Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.55% |
|
02/09/18 |
|
|
419,000 |
|
|
|
414,284 |
|
|
|
| 4.50% |
|
02/11/43 |
|
|
419,000 |
|
|
|
387,343 |
|
|
|
| BHP Billiton Finance USA Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.05% |
|
09/30/18 |
|
|
212,000 |
|
|
|
211,974 |
|
|
|
| 3.85% |
|
09/30/23 |
|
|
212,000 |
|
|
|
212,920 |
|
|
|
| 5.00% |
|
09/30/43 |
|
|
212,000 |
|
|
|
215,549 |
|
|
|
| Bombardier Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
01/15/16 |
|
|
160,000 |
|
|
|
167,200 |
|
|
(b) |
| 7.75% |
|
03/15/20 |
|
|
299,000 |
|
|
|
339,365 |
|
|
(b,h) |
| BP Capital Markets PLC |
|
|
|
|
|
|
|
|
|
|
| 1.38% |
|
05/10/18 |
|
|
632,000 |
|
|
|
613,387 |
|
|
|
| 2.25% |
|
11/01/16 |
|
|
159,000 |
|
|
|
164,543 |
|
|
(h) |
| 2.50% |
|
11/06/22 |
|
|
861,000 |
|
|
|
783,927 |
|
|
(h) |
| BPCE S.A. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
12/10/18 |
|
|
387,000 |
|
|
|
384,928 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
59
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brocade Communications Systems Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
01/15/23 |
|
$
|
152,000 |
|
|
$
|
140,600 |
|
|
(b) |
| Buckeye Partners LP |
|
|
|
|
|
|
|
|
|
|
| 2.65% |
|
11/15/18 |
|
|
425,000 |
|
|
|
418,755 |
|
|
|
| Burlington Northern Santa Fe LLC |
|
|
|
|
|
|
|
|
|
|
| 3.85% |
|
09/01/23 |
|
|
428,000 |
|
|
|
420,998 |
|
|
|
| Caixa Economica Federal |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
11/06/17 |
|
|
150,000 |
|
|
|
139,313 |
|
|
|
| Cameron International Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
12/15/23 |
|
|
212,000 |
|
|
|
209,498 |
|
|
|
| Cargill Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
11/27/17 |
|
|
247,000 |
|
|
|
282,027 |
|
|
(b,h) |
| Case New Holland Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.88% |
|
12/01/17 |
|
|
214,000 |
|
|
|
252,520 |
|
|
(h) |
| Catholic Health Initiatives |
|
|
|
|
|
|
|
|
|
|
| 2.60% |
|
08/01/18 |
|
|
125,000 |
|
|
|
125,410 |
|
|
|
| 2.95% |
|
11/01/22 |
|
|
203,000 |
|
|
|
184,496 |
|
|
|
| 4.20% |
|
08/01/23 |
|
|
105,000 |
|
|
|
102,957 |
|
|
|
| 4.35% |
|
11/01/42 |
|
|
130,000 |
|
|
|
112,775 |
|
|
|
| Celgene Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.30% |
|
08/15/18 |
|
|
214,000 |
|
|
|
212,825 |
|
|
|
| Central American Bank for
Economic Integration |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
09/24/14 |
|
|
380,000 |
|
|
|
391,484 |
|
|
(b,h) |
| Cequel Capital Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.13% |
|
12/15/21 |
|
|
401,000 |
|
|
|
375,937 |
|
|
(b) |
| Chesapeake Energy Corp. |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
03/15/16 |
|
|
400,000 |
|
|
|
404,000 |
|
|
|
| Cigna Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.75% |
|
11/15/16 |
|
|
372,000 |
|
|
|
387,186 |
|
|
|
| 4.00% |
|
02/15/22 |
|
|
583,000 |
|
|
|
593,418 |
|
|
(h) |
| Citigroup Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.25% |
|
01/15/16 |
|
|
400,000 |
|
|
|
401,328 |
|
|
|
| 1.75% |
|
05/01/18 |
|
|
419,000 |
|
|
|
412,000 |
|
|
(h) |
| 3.50% |
|
05/15/23 |
|
|
506,000 |
|
|
|
471,486 |
|
|
|
| 5.00% |
|
09/15/14 |
|
|
666,000 |
|
|
|
684,971 |
|
|
(h) |
| 6.68% |
|
09/13/43 |
|
|
436,000 |
|
|
|
501,674 |
|
|
|
| CNA Financial Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
08/15/20 |
|
|
326,000 |
|
|
|
371,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CNH Capital LLC |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
02/01/17 |
|
$
|
234,000 |
|
|
$
|
238,095 |
|
|
(b) |
| 3.88% |
|
11/01/15 |
|
|
239,000 |
|
|
|
246,768 |
|
|
|
| CNPC HK Overseas Capital Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
04/28/21 |
|
|
200,000 |
|
|
|
203,285 |
|
|
(b) |
| Cogeco Cable Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
05/01/20 |
|
|
400,000 |
|
|
|
386,000 |
|
|
(b) |
| Comcast Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
01/15/43 |
|
|
313,000 |
|
|
|
282,739 |
|
|
|
| Commonwealth Bank of Australia |
|
|
|
|
|
|
|
|
|
|
| 0.75% |
|
01/13/17 |
|
|
547,000 |
|
|
|
547,273 |
|
|
(b) |
| Constellation Brands Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
09/01/16 |
|
|
400,000 |
|
|
|
454,000 |
|
|
(h) |
| Cooperatieve Centrale
Raiffeisen- Boerenleenbank BA |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
12/01/23 |
|
|
637,000 |
|
|
|
641,470 |
|
|
|
| 5.75% |
|
12/01/43 |
|
|
432,000 |
|
|
|
457,957 |
|
|
|
| Corning Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.70% |
|
11/15/23 |
|
|
297,000 |
|
|
|
292,505 |
|
|
|
| Corp Andina de Fomento |
|
|
|
|
|
|
|
|
|
|
| 4.38% |
|
06/15/22 |
|
|
372,000 |
|
|
|
368,347 |
|
|
|
| Corp Lindley S.A. |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
04/12/23 |
|
|
86,000 |
|
|
|
79,335 |
|
|
(b) |
| Corp Nacional del Cobre de Chile |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
07/17/42 |
|
|
222,000 |
|
|
|
177,542 |
|
|
(b) |
| 5.63% |
|
09/21/35 |
|
|
76,000 |
|
|
|
75,149 |
|
|
(b) |
| Corporate Office Properties LP (REIT) |
|
|
|
|
|
|
|
|
|
|
| 3.60% |
|
05/15/23 |
|
|
610,000 |
|
|
|
552,870 |
|
|
|
| COX Communications Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.95% |
|
06/30/23 |
|
|
443,000 |
|
|
|
387,112 |
|
|
(b,h) |
| 3.25% |
|
12/15/22 |
|
|
149,000 |
|
|
|
134,828 |
|
|
(b) |
| 4.70% |
|
12/15/42 |
|
|
92,000 |
|
|
|
77,264 |
|
|
(b) |
| Credit Suisse AG |
|
|
|
|
|
|
|
|
|
|
| 2.60% |
|
05/27/16 |
|
|
405,000 |
|
|
|
421,266 |
|
|
(b) |
| Crown Castle Towers LLC |
|
|
|
|
|
|
|
|
|
|
| 6.11% |
|
01/15/40 |
|
|
189,000 |
|
|
|
211,932 |
|
|
(b) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
60
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CVS Caremark Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.25% |
|
12/05/18 |
|
$
|
297,000 |
|
|
$
|
296,913 |
|
|
|
| 5.30% |
|
12/05/43 |
|
|
212,000 |
|
|
|
219,243 |
|
|
|
| Daimler Finance North America LLC |
|
|
|
|
|
|
|
|
|
|
| 1.88% |
|
01/11/18 |
|
|
395,000 |
|
|
|
389,092 |
|
|
(b) |
| 2.38% |
|
08/01/18 |
|
|
325,000 |
|
|
|
324,281 |
|
|
(b) |
| DaVita Healthcare Partners Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
11/01/18 |
|
|
358,000 |
|
|
|
375,900 |
|
|
(h) |
| Denbury Resources Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
08/15/21 |
|
|
304,000 |
|
|
|
323,760 |
|
|
(h) |
| 8.25% |
|
02/15/20 |
|
|
231,000 |
|
|
|
254,389 |
|
|
(h) |
| Deutsche Bank AG |
|
|
|
|
|
|
|
|
|
|
| 4.30% |
|
05/24/28 |
|
|
220,000 |
|
|
|
199,174 |
|
|
(i) |
| Diageo Capital PLC |
|
|
|
|
|
|
|
|
|
|
| 1.13% |
|
04/29/18 |
|
|
419,000 |
|
|
|
403,955 |
|
|
(h) |
| Diageo Investment Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.88% |
|
05/11/22 |
|
|
556,000 |
|
|
|
529,996 |
|
|
(h) |
| Diamond Offshore Drilling Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
11/01/43 |
|
|
382,000 |
|
|
|
374,914 |
|
|
|
| DigitalGlobe Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
02/01/21 |
|
|
399,000 |
|
|
|
389,025 |
|
|
(b,h) |
| DIRECTV Holdings LLC |
|
|
|
|
|
|
|
|
|
|
| 3.80% |
|
03/15/22 |
|
|
527,000 |
|
|
|
506,255 |
|
|
|
| 5.15% |
|
03/15/42 |
|
|
401,000 |
|
|
|
360,139 |
|
|
|
| Dominion Resources Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.95% |
|
08/15/16 |
|
|
783,000 |
|
|
|
795,956 |
|
|
(h) |
| DPL Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
10/15/21 |
|
|
23,000 |
|
|
|
23,288 |
|
|
|
| Duke Energy Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.63% |
|
08/15/17 |
|
|
371,000 |
|
|
|
368,655 |
|
|
|
| 3.05% |
|
08/15/22 |
|
|
202,000 |
|
|
|
191,869 |
|
|
(h) |
| Eastman Chemical Co. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
06/01/17 |
|
|
744,000 |
|
|
|
751,973 |
|
|
|
| Eaton Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.50% |
|
11/02/17 |
|
|
556,000 |
|
|
|
545,065 |
|
|
|
| 2.75% |
|
11/02/22 |
|
|
453,000 |
|
|
|
422,585 |
|
|
|
| eBay Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.60% |
|
07/15/22 |
|
|
235,000 |
|
|
|
216,136 |
|
|
|
| 4.00% |
|
07/15/42 |
|
|
222,000 |
|
|
|
188,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ecopetrol S.A. |
|
|
|
|
|
|
|
|
|
|
| 7.38% |
|
09/18/43 |
|
$
|
170,000 |
|
|
$
|
184,280 |
|
|
|
| 7.63% |
|
07/23/19 |
|
|
145,000 |
|
|
|
171,825 |
|
|
|
| EMC Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.88% |
|
06/01/18 |
|
|
420,000 |
|
|
|
415,229 |
|
|
|
| Empresa Nacional del Petroleo |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
12/06/21 |
|
|
256,000 |
|
|
|
254,559 |
|
|
(b) |
| Energy Transfer Partners LP |
|
|
|
|
|
|
|
|
|
|
| 3.60% |
|
02/01/23 |
|
|
375,000 |
|
|
|
347,264 |
|
|
|
| 6.50% |
|
02/01/42 |
|
|
344,000 |
|
|
|
369,715 |
|
|
|
| Enterprise Products Operating LLC |
|
|
|
|
|
|
|
|
|
|
| 4.45% |
|
02/15/43 |
|
|
253,000 |
|
|
|
223,479 |
|
|
|
| Erickson Air-Crane Inc. |
|
|
|
|
|
|
|
|
|
|
| 8.25% |
|
05/01/20 |
|
|
159,000 |
|
|
|
164,565 |
|
|
(b) |
| Eskom Holdings SOC Ltd. |
|
|
|
|
|
|
|
|
|
|
| 6.75% |
|
08/06/23 |
|
|
200,000 |
|
|
|
204,500 |
|
|
(b) |
| European Investment Bank |
|
|
|
|
|
|
|
|
|
|
| 0.88% |
|
12/15/14 |
|
|
850,000 |
|
|
|
854,913 |
|
|
|
| 4.88% |
|
01/17/17 |
|
|
850,000 |
|
|
|
948,430 |
|
|
(h) |
| Exelon Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.90% |
|
06/15/15 |
|
|
505,000 |
|
|
|
532,423 |
|
|
|
| Export Credit Bank of Turkey |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
11/04/16 |
|
|
325,000 |
|
|
|
333,872 |
|
|
(b) |
| Export-Import Bank of Malaysia Bhd |
|
|
|
|
|
|
|
|
|
|
| 2.88% |
|
12/14/17 |
|
|
200,000 |
|
|
|
202,078 |
|
|
|
| Express Scripts Holding Co. |
|
|
|
|
|
|
|
|
|
|
| 2.65% |
|
02/15/17 |
|
|
599,000 |
|
|
|
617,374 |
|
|
|
| 3.13% |
|
05/15/16 |
|
|
434,000 |
|
|
|
452,971 |
|
|
|
| Five Corners Funding Trust |
|
|
|
|
|
|
|
|
|
|
| 4.42% |
|
11/15/23 |
|
|
637,000 |
|
|
|
627,905 |
|
|
(b) |
| Flextronics International Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
02/15/20 |
|
|
160,000 |
|
|
|
156,000 |
|
|
|
| Florida Power & Light Co. |
|
|
|
|
|
|
|
|
|
|
| 4.13% |
|
02/01/42 |
|
|
222,000 |
|
|
|
204,317 |
|
|
(h) |
| FMG Resources August 2006 Pty Ltd. |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
11/01/15 |
|
|
82,000 |
|
|
|
85,075 |
|
|
(b) |
| Ford Motor Credit Company LLC |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
08/02/21 |
|
|
530,000 |
|
|
|
600,866 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
61
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forest Oil Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
06/15/19 |
|
$
|
189,000 |
|
|
$
|
184,039 |
|
|
|
| Freeport-McMoRan Copper & Gold Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
03/15/18 |
|
|
397,000 |
|
|
|
396,030 |
|
|
|
| 5.45% |
|
03/15/43 |
|
|
355,000 |
|
|
|
339,748 |
|
|
|
| Fresenius Medical Care US Finance Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
02/15/21 |
|
|
173,000 |
|
|
|
183,380 |
|
|
(b,h) |
| Frontier Communications Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.13% |
|
03/15/19 |
|
|
354,000 |
|
|
|
381,435 |
|
|
|
| Genworth Holdings Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.70% |
|
06/15/20 |
|
|
189,000 |
|
|
|
225,023 |
|
|
|
| Georgian Railway JSC |
|
|
|
|
|
|
|
|
|
|
| 7.75% |
|
07/11/22 |
|
|
200,000 |
|
|
|
207,740 |
|
|
(b) |
| Glencore Funding LLC |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
01/15/19 |
|
|
609,000 |
|
|
|
589,706 |
|
|
(b) |
| 4.13% |
|
05/30/23 |
|
|
433,000 |
|
|
|
404,645 |
|
|
(b) |
| Goldman Sachs Capital I |
|
|
|
|
|
|
|
|
|
|
| 6.35% |
|
02/15/34 |
|
|
205,000 |
|
|
|
206,846 |
|
|
|
| Great Plains Energy Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.85% |
|
06/01/21 |
|
|
403,000 |
|
|
|
424,617 |
|
|
(h) |
| GXS Worldwide Inc. |
|
|
|
|
|
|
|
|
|
|
| 9.75% |
|
06/15/15 |
|
|
280,000 |
|
|
|
289,100 |
|
|
(h) |
| HCA Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
02/15/20 |
|
|
309,000 |
|
|
|
339,514 |
|
|
(h) |
| Hexion US Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.63% |
|
04/15/20 |
|
|
200,000 |
|
|
|
205,000 |
|
|
|
| Hilton Worldwide Finance LLC |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
10/15/21 |
|
|
390,000 |
|
|
|
404,625 |
|
|
(b) |
| Host Hotels & Resorts LP (REIT) |
|
|
|
|
|
|
|
|
|
|
| 3.75% |
|
10/15/23 |
|
|
523,000 |
|
|
|
484,916 |
|
|
(h) |
| Hughes Satellite Systems Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
06/15/19 |
|
|
356,000 |
|
|
|
385,370 |
|
|
|
| Huntsman International LLC |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
11/15/20 |
|
|
399,000 |
|
|
|
393,015 |
|
|
|
| Hyundai Capital America |
|
|
|
|
|
|
|
|
|
|
| 1.63% |
|
10/02/15 |
|
|
371,000 |
|
|
|
372,857 |
|
|
(b) |
| 2.13% |
|
10/02/17 |
|
|
189,000 |
|
|
|
187,708 |
|
|
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| iGATE Corp. |
|
|
|
|
|
|
|
|
|
|
| 9.00% |
|
05/01/16 |
|
$
|
400,000 |
|
|
$
|
425,000 |
|
|
|
| Industry & Construction Bank St Petersburg
OJSC Via |
|
|
|
|
|
|
|
|
|
|
| 5.01% |
|
09/29/15 |
|
|
400,000 |
|
|
|
409,000 |
|
|
(i) |
| ING Bank N.V. |
|
|
|
|
|
|
|
|
|
|
| 5.80% |
|
09/25/23 |
|
|
517,000 |
|
|
|
540,572 |
|
|
(b) |
| ING U.S. Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.70% |
|
07/15/43 |
|
|
386,000 |
|
|
|
403,291 |
|
|
|
| Ingersoll-Rand Global Holding Company Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.88% |
|
01/15/19 |
|
|
217,000 |
|
|
|
213,881 |
|
|
(b) |
| 4.25% |
|
06/15/23 |
|
|
208,000 |
|
|
|
203,156 |
|
|
(b) |
| Ingles Markets Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
06/15/23 |
|
|
720,000 |
|
|
|
705,600 |
|
|
|
| Instituto Costarricense de Electricidad |
|
|
|
|
|
|
|
|
|
|
| 6.95% |
|
11/10/21 |
|
|
200,000 |
|
|
|
205,250 |
|
|
(b,h) |
| IntercontinentalExchange Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
10/15/18 |
|
|
212,000 |
|
|
|
213,559 |
|
|
|
| 4.00% |
|
10/15/23 |
|
|
424,000 |
|
|
|
426,513 |
|
|
|
| Invesco Finance PLC |
|
|
|
|
|
|
|
|
|
|
| 3.13% |
|
11/30/22 |
|
|
573,000 |
|
|
|
530,194 |
|
|
|
| JB Poindexter & Company Inc. |
|
|
|
|
|
|
|
|
|
|
| 9.00% |
|
04/01/22 |
|
|
120,000 |
|
|
|
128,100 |
|
|
(b,h) |
| Jefferies Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.13% |
|
01/20/23 |
|
|
168,000 |
|
|
|
169,926 |
|
|
(h) |
| 6.50% |
|
01/20/43 |
|
|
140,000 |
|
|
|
138,822 |
|
|
(h) |
| JPMorgan Chase & Co. |
|
|
|
|
|
|
|
|
|
|
| 3.20% |
|
01/25/23 |
|
|
838,000 |
|
|
|
794,446 |
|
|
(h) |
| 3.38% |
|
05/01/23 |
|
|
209,000 |
|
|
|
194,788 |
|
|
|
| KazAgro National Management Holding JSC |
|
|
|
|
|
|
|
|
|
|
| 4.63% |
|
05/24/23 |
|
|
200,000 |
|
|
|
183,400 |
|
|
(b) |
| KazMunayGas National
Company JSC |
|
|
|
|
|
|
|
|
|
|
| 11.75% |
|
01/23/15 |
|
|
100,000 |
|
|
|
109,750 |
|
|
(b) |
| Kerr-McGee Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.95% |
|
07/01/24 |
|
|
425,000 |
|
|
|
493,706 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
62
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| KFW |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
10/04/22 |
|
$
|
929,000 |
|
|
$
|
850,808 |
|
|
(h) |
| 4.50% |
|
07/16/18 |
|
|
238,000 |
|
|
|
266,512 |
|
|
(h) |
| Kinder Morgan Energy Partners LP |
|
|
|
|
|
|
|
|
|
|
| 2.65% |
|
02/01/19 |
|
|
214,000 |
|
|
|
211,627 |
|
|
|
| 3.50% |
|
09/01/23 |
|
|
507,000 |
|
|
|
465,519 |
|
|
(h) |
| 4.15% |
|
02/01/24 |
|
|
643,000 |
|
|
|
622,084 |
|
|
|
| Kinross Gold Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
09/01/41 |
|
|
252,000 |
|
|
|
225,812 |
|
|
(h) |
| Korea National Oil Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.88% |
|
11/09/15 |
|
|
278,000 |
|
|
|
286,317 |
|
|
(b,h) |
| 3.13% |
|
04/03/17 |
|
|
396,000 |
|
|
|
407,846 |
|
|
(b,h) |
| Kraft Foods Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.63% |
|
06/04/15 |
|
|
248,000 |
|
|
|
251,150 |
|
|
(h) |
| 2.25% |
|
06/05/17 |
|
|
394,000 |
|
|
|
398,954 |
|
|
(h) |
| 5.00% |
|
06/04/42 |
|
|
335,000 |
|
|
|
330,240 |
|
|
(h) |
| Kratos Defense & Security
Solutions Inc. |
|
|
|
|
|
|
|
|
|
|
| 10.00% |
|
06/01/17 |
|
|
500,000 |
|
|
|
539,375 |
|
|
(h) |
| Liberty Mutual Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
06/15/23 |
|
|
434,000 |
|
|
|
419,040 |
|
|
(b,h) |
| Linn Energy LLC |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
11/01/19 |
|
|
444,000 |
|
|
|
448,440 |
|
|
(b,h) |
| 8.63% |
|
04/15/20 |
|
|
295,000 |
|
|
|
318,600 |
|
|
(h) |
| Lowe’s Companies Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
09/15/43 |
|
|
212,000 |
|
|
|
216,759 |
|
|
|
| LYB International Finance BV |
|
|
|
|
|
|
|
|
|
|
| 4.00% |
|
07/15/23 |
|
|
216,000 |
|
|
|
213,204 |
|
|
(h) |
| 5.25% |
|
07/15/43 |
|
|
108,000 |
|
|
|
108,566 |
|
|
|
| Macquarie Group Ltd. |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
12/03/18 |
|
|
319,000 |
|
|
|
317,715 |
|
|
(b) |
| Majapahit Holding BV |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
06/28/17 |
|
|
400,000 |
|
|
|
438,000 |
|
|
(b,h) |
| 7.75% |
|
10/17/16 |
|
|
100,000 |
|
|
|
109,875 |
|
|
(b,h) |
| Memorial Sloan-Kettering Cancer Center |
|
|
|
|
|
|
|
|
|
|
| 4.13% |
|
07/01/52 |
|
|
165,000 |
|
|
|
135,737 |
|
|
(h) |
| Merck & Company Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.80% |
|
05/18/23 |
|
|
632,000 |
|
|
|
585,095 |
|
|
(h) |
| 4.15% |
|
05/18/43 |
|
|
252,000 |
|
|
|
230,225 |
|
|
(h) |
| MetLife Inc. |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
11/13/43 |
|
|
329,000 |
|
|
|
322,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MetroPCS Wireless Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
04/01/21 |
|
$
|
241,000 |
|
|
$
|
250,038 |
|
|
(b,h) |
| Microsoft Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
05/01/23 |
|
|
840,000 |
|
|
|
759,951 |
|
|
(h) |
| MidAmerican Energy Holdings Co. |
|
|
|
|
|
|
|
|
|
|
| 6.13% |
|
04/01/36 |
|
|
330,000 |
|
|
|
374,901 |
|
|
(h) |
| Monsanto Co. |
|
|
|
|
|
|
|
|
|
|
| 4.65% |
|
11/15/43 |
|
|
213,000 |
|
|
|
207,782 |
|
|
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
| 2.13% |
|
04/25/18 |
|
|
410,000 |
|
|
|
406,464 |
|
|
(h) |
| 4.75% |
|
03/22/17 |
|
|
271,000 |
|
|
|
295,747 |
|
|
(h) |
| 4.88% |
|
11/01/22 |
|
|
406,000 |
|
|
|
415,606 |
|
|
(h) |
| 5.00% |
|
11/24/25 |
|
|
426,000 |
|
|
|
427,274 |
|
|
|
| 5.55% |
|
04/27/17 |
|
|
840,000 |
|
|
|
937,038 |
|
|
(h) |
| Mylan Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.40% |
|
11/29/43 |
|
|
142,000 |
|
|
|
143,146 |
|
|
|
| 7.88% |
|
07/15/20 |
|
|
436,000 |
|
|
|
493,352 |
|
|
(b,h) |
| National Agricultural
Cooperative Federation |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
01/28/16 |
|
|
231,000 |
|
|
|
243,391 |
|
|
(b,h) |
| Nationwide Financial Services Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
03/25/21 |
|
|
235,000 |
|
|
|
251,957 |
|
|
(b,h) |
| NCL Corp. Ltd. |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
02/15/18 |
|
|
222,000 |
|
|
|
228,660 |
|
|
|
| Newfield Exploration Co. |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
07/01/24 |
|
|
330,000 |
|
|
|
328,350 |
|
|
(h) |
| 5.75% |
|
01/30/22 |
|
|
358,000 |
|
|
|
368,740 |
|
|
(h) |
| Nexen Energy ULC |
|
|
|
|
|
|
|
|
|
|
| 6.40% |
|
05/15/37 |
|
|
274,000 |
|
|
|
311,898 |
|
|
(h) |
| NextEra Energy Capital Holdings Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.60% |
|
09/01/15 |
|
|
711,000 |
|
|
|
729,882 |
|
|
|
| Northeast Utilities |
|
|
|
|
|
|
|
|
|
|
| 1.45% |
|
05/01/18 |
|
|
421,000 |
|
|
|
407,756 |
|
|
(h) |
| Northrop Grumman Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.75% |
|
06/01/18 |
|
|
554,000 |
|
|
|
540,461 |
|
|
(h) |
| 4.75% |
|
06/01/43 |
|
|
210,000 |
|
|
|
199,013 |
|
|
(h) |
| Novartis Capital Corp. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
09/21/22 |
|
|
446,000 |
|
|
|
408,906 |
|
|
(h) |
| NYSE Euronext |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
10/05/17 |
|
|
560,000 |
|
|
|
560,729 |
|
|
(h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
63
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Omnicom Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
05/01/22 |
|
$
|
324,000 |
|
|
$
|
313,761 |
|
|
(h) |
| Oracle Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.20% |
|
10/15/17 |
|
|
609,000 |
|
|
|
599,291 |
|
|
(h) |
| 3.63% |
|
07/15/23 |
|
|
302,000 |
|
|
|
299,574 |
|
|
|
| Pacific Gas & Electric Co. |
|
|
|
|
|
|
|
|
|
|
| 6.05% |
|
03/01/34 |
|
|
369,000 |
|
|
|
422,688 |
|
|
(h) |
| PacifiCorp |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
10/15/37 |
|
|
8,000 |
|
|
|
9,538 |
|
|
|
| Perrigo Co. PLC |
|
|
|
|
|
|
|
|
|
|
| 2.30% |
|
11/08/18 |
|
|
425,000 |
|
|
|
419,487 |
|
|
(b) |
| 4.00% |
|
11/15/23 |
|
|
425,000 |
|
|
|
416,965 |
|
|
(b) |
| Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
01/15/19 |
|
|
637,000 |
|
|
|
596,125 |
|
|
(h) |
| Petrobras International Finance Co. |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
02/06/17 |
|
|
602,000 |
|
|
|
607,509 |
|
|
(h) |
| 3.88% |
|
01/27/16 |
|
|
159,000 |
|
|
|
163,684 |
|
|
(h) |
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
| 3.50% |
|
07/18/18 - 01/30/23 |
|
|
988,000 |
|
|
|
952,554 |
|
|
|
| 4.88% |
|
01/18/24 |
|
|
335,000 |
|
|
|
335,000 |
|
|
|
| 5.50% |
|
01/21/21 |
|
|
259,000 |
|
|
|
278,425 |
|
|
|
| 6.00% |
|
03/05/20 |
|
|
150,000 |
|
|
|
166,650 |
|
|
(h) |
| 6.50% |
|
06/02/41 |
|
|
71,000 |
|
|
|
74,195 |
|
|
|
| Petroleum Company of
Trinidad & Tobago Ltd. |
|
|
|
|
|
|
|
|
|
|
| 6.00% |
|
05/08/22 |
|
|
318,750 |
|
|
|
337,078 |
|
|
|
| Petronas Capital Ltd. |
|
|
|
|
|
|
|
|
|
|
| 7.88% |
|
05/22/22 |
|
|
100,000 |
|
|
|
126,102 |
|
|
(b) |
| Philip Morris International Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
05/16/16 |
|
|
403,000 |
|
|
|
418,230 |
|
|
(h) |
| 4.13% |
|
03/04/43 |
|
|
209,000 |
|
|
|
182,963 |
|
|
(h) |
| Plains Exploration & Production Co. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
11/15/20 |
|
|
204,000 |
|
|
|
225,294 |
|
|
(h) |
| Power Sector Assets & Liabilities Management Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
05/27/19 |
|
|
167,000 |
|
|
|
198,313 |
|
|
|
| 7.39% |
|
12/02/24 |
|
|
100,000 |
|
|
|
122,000 |
|
|
(b,h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Prudential Financial Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.20% |
|
03/15/44 |
|
$
|
134,000 |
|
|
$
|
129,645 |
|
|
(h,i) |
| 5.63% |
|
06/15/43 |
|
|
257,000 |
|
|
|
251,860 |
|
|
(h,i) |
| Public Service Electric & Gas Co. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
05/15/23 |
|
|
632,000 |
|
|
|
568,274 |
|
|
(h) |
| Range Resources Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
06/01/21 |
|
|
358,000 |
|
|
|
379,480 |
|
|
(h) |
| Realty Income Corp. (REIT) |
|
|
|
|
|
|
|
|
|
|
| 4.65% |
|
08/01/23 |
|
|
432,000 |
|
|
|
435,067 |
|
|
(h) |
| Republic of Angola Via Northern Lights III BV |
|
|
|
|
|
|
|
|
|
|
| 7.00% |
|
08/16/19 |
|
|
399,000 |
|
|
|
431,419 |
|
|
|
| Revlon Consumer Products Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
02/15/21 |
|
|
771,000 |
|
|
|
760,399 |
|
|
|
| Rockwell Collins Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.70% |
|
12/15/23 |
|
|
339,000 |
|
|
|
334,666 |
|
|
|
| Roper Industries Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.05% |
|
10/01/18 |
|
|
629,000 |
|
|
|
611,277 |
|
|
(h) |
| Royal Bank of Canada |
|
|
|
|
|
|
|
|
|
|
| 1.20% |
|
09/19/18 |
|
|
663,000 |
|
|
|
656,922 |
|
|
(h) |
| RSI Home Products Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
03/01/18 |
|
|
399,000 |
|
|
|
417,952 |
|
|
(b,h) |
| Russian Agricultural Bank OJSC Via RSHB Capital S.A. |
|
|
|
|
|
|
|
|
|
|
| 7.75% |
|
05/29/18 |
|
|
400,000 |
|
|
|
450,500 |
|
|
(b,h) |
| Russian Railways via RZD Capital PLC |
|
|
|
|
|
|
|
|
|
|
| 5.74% |
|
04/03/17 |
|
|
325,000 |
|
|
|
352,219 |
|
|
|
| Sabine Pass Liquefaction LLC |
|
|
|
|
|
|
|
|
|
|
| 5.63% |
|
02/01/21 |
|
|
160,000 |
|
|
|
156,400 |
|
|
(b,h) |
| Sanofi |
|
|
|
|
|
|
|
|
|
|
| 1.25% |
|
04/10/18 |
|
|
422,000 |
|
|
|
410,865 |
|
|
(h) |
| SCF Capital Ltd. |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
10/27/17 |
|
|
600,000 |
|
|
|
603,120 |
|
|
(b,h) |
| Schaeffler Holding Finance BV |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
08/15/18 |
|
|
240,000 |
|
|
|
254,400 |
|
|
(b,q) |
| Schlumberger Investment S.A. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
08/01/22 |
|
|
557,000 |
|
|
|
510,506 |
|
|
(b,h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
64
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shell International Finance BV |
|
|
|
|
|
|
|
|
|
|
| 3.40% |
|
08/12/23 |
|
$
|
642,000 |
|
|
$
|
625,728 |
|
|
|
| Sinochem Overseas Capital
Company Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
11/12/20 |
|
|
200,000 |
|
|
|
204,064 |
|
|
(b,h) |
| Sinopec Capital 2013 Ltd. |
|
|
|
|
|
|
|
|
|
|
| 3.13% |
|
04/24/23 |
|
|
336,000 |
|
|
|
299,845 |
|
|
(b,h) |
| Sinopec Group Overseas
Development 2012 Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.75% |
|
05/17/17 |
|
|
395,000 |
|
|
|
403,880 |
|
|
(b,h) |
| Smurfit Kappa Acquisitions |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
09/15/18 |
|
|
440,000 |
|
|
|
456,500 |
|
|
(b,h) |
| Sprint Corp. |
|
|
|
|
|
|
|
|
|
|
| 7.25% |
|
09/15/21 |
|
|
235,000 |
|
|
|
252,331 |
|
|
(b) |
| State Grid Overseas Investment 2013 Ltd. |
|
|
|
|
|
|
|
|
|
|
| 1.75% |
|
05/22/18 |
|
|
253,000 |
|
|
|
245,406 |
|
|
(b,h) |
| State Oil Company of the Azerbaijan Republic |
|
|
|
|
|
|
|
|
|
|
| 5.45% |
|
02/09/17 |
|
|
200,000 |
|
|
|
212,740 |
|
|
|
| Statoil ASA |
|
|
|
|
|
|
|
|
|
|
| 3.70% |
|
03/01/24 |
|
|
638,000 |
|
|
|
633,422 |
|
|
|
| 4.80% |
|
11/08/43 |
|
|
213,000 |
|
|
|
215,192 |
|
|
|
| SunTrust Banks Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.35% |
|
11/01/18 |
|
|
425,000 |
|
|
|
422,748 |
|
|
|
| T-Mobile USA Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
09/01/18 |
|
|
274,000 |
|
|
|
288,385 |
|
|
(b) |
| Talisman Energy Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
02/01/38 |
|
|
313,000 |
|
|
|
318,275 |
|
|
(h) |
| Teck Resources Ltd. |
|
|
|
|
|
|
|
|
|
|
| 5.40% |
|
02/01/43 |
|
|
315,000 |
|
|
|
287,326 |
|
|
(h) |
| Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
|
|
| 3.19% |
|
04/27/18 |
|
|
261,000 |
|
|
|
265,807 |
|
|
(h) |
| 5.46% |
|
02/16/21 |
|
|
212,000 |
|
|
|
223,690 |
|
|
|
| Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
06/01/20 |
|
|
158,000 |
|
|
|
154,445 |
|
|
|
| Textron Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.20% |
|
03/15/15 |
|
|
334,000 |
|
|
|
354,312 |
|
|
(h) |
| The Allstate Corp. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
08/15/53 |
|
|
235,000 |
|
|
|
236,763 |
|
|
(i) |
| The Coca-Cola Co. |
|
|
|
|
|
|
|
|
|
|
| 3.30% |
|
09/01/21 |
|
|
442,000 |
|
|
|
442,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| The Goldman Sachs Group Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.38% |
|
01/22/18 |
|
$
|
501,000 |
|
|
$
|
502,904 |
|
|
|
| 2.90% |
|
07/19/18 |
|
|
394,000 |
|
|
|
400,964 |
|
|
|
| 3.63% |
|
01/22/23 |
|
|
403,000 |
|
|
|
390,246 |
|
|
|
| 6.75% |
|
10/01/37 |
|
|
406,000 |
|
|
|
451,693 |
|
|
|
| The Hertz Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
04/01/18 |
|
|
277,000 |
|
|
|
283,925 |
|
|
|
| The Home Depot Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.25% |
|
09/10/18 |
|
|
637,000 |
|
|
|
645,761 |
|
|
|
| 3.75% |
|
02/15/24 |
|
|
212,000 |
|
|
|
211,011 |
|
|
|
| 4.88% |
|
02/15/44 |
|
|
212,000 |
|
|
|
214,665 |
|
|
|
| The Korea Development Bank |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
03/09/16 |
|
|
380,000 |
|
|
|
394,694 |
|
|
(h) |
| 4.00% |
|
09/09/16 |
|
|
220,000 |
|
|
|
233,907 |
|
|
(h) |
| The McClatchy Co. |
|
|
|
|
|
|
|
|
|
|
| 9.00% |
|
12/15/22 |
|
|
409,000 |
|
|
|
449,900 |
|
|
|
| The Mosaic Co. |
|
|
|
|
|
|
|
|
|
|
| 4.25% |
|
11/15/23 |
|
|
425,000 |
|
|
|
419,728 |
|
|
|
| 5.45% |
|
11/15/33 |
|
|
212,000 |
|
|
|
215,996 |
|
|
|
| The Potomac Edison Co. |
|
|
|
|
|
|
|
|
|
|
| 5.35% |
|
11/15/14 |
|
|
245,000 |
|
|
|
254,458 |
|
|
(h) |
| The Southern Co. |
|
|
|
|
|
|
|
|
|
|
| 2.45% |
|
09/01/18 |
|
|
513,000 |
|
|
|
520,785 |
|
|
|
| Thermo Fisher Scientific Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.40% |
|
02/01/19 |
|
|
297,000 |
|
|
|
294,235 |
|
|
|
| 4.15% |
|
02/01/24 |
|
|
467,000 |
|
|
|
462,563 |
|
|
|
| Thomson Reuters Corp. |
|
|
|
|
|
|
|
|
|
|
| 1.30% |
|
02/23/17 |
|
|
212,000 |
|
|
|
211,065 |
|
|
|
| 5.65% |
|
11/23/43 |
|
|
174,000 |
|
|
|
177,155 |
|
|
|
| Time Warner Cable Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
11/15/40 |
|
|
276,000 |
|
|
|
238,753 |
|
|
|
| Time Warner Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.35% |
|
12/15/43 |
|
|
519,000 |
|
|
|
525,607 |
|
|
|
| Tops Holding Corp. |
|
|
|
|
|
|
|
|
|
|
| 8.88% |
|
12/15/17 |
|
|
803,000 |
|
|
|
882,296 |
|
|
(b,h) |
| Total Capital Canada Ltd. |
|
|
|
|
|
|
|
|
|
|
| 1.45% |
|
01/15/18 |
|
|
399,000 |
|
|
|
394,455 |
|
|
(h) |
| Total Capital International S.A. |
|
|
|
|
|
|
|
|
|
|
| 1.55% |
|
06/28/17 |
|
|
1,007,000 |
|
|
|
1,007,217 |
|
|
(h) |
See Notes to Schedules of Investments and Notes to Financial Statements.
65
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Transnet SOC Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
02/10/16 |
|
$
|
519,000 |
|
|
$
|
542,294 |
|
|
(b,h) |
| Transocean Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.80% |
|
10/15/22 |
|
|
167,000 |
|
|
|
158,287 |
|
|
(h) |
| tw telecom holdings inc. |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
09/01/23 |
|
|
157,000 |
|
|
|
163,280 |
|
|
(b) |
| U.S. Bancorp |
|
|
|
|
|
|
|
|
|
|
| 3.44% |
|
02/01/16 |
|
|
645,000 |
|
|
|
672,791 |
|
|
(h) |
| Union Bank NA |
|
|
|
|
|
|
|
|
|
|
| 2.63% |
|
09/26/18 |
|
|
475,000 |
|
|
|
483,528 |
|
|
|
| Unit Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.63% |
|
05/15/21 |
|
|
400,000 |
|
|
|
422,000 |
|
|
(h) |
| United Rentals North America Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
07/15/18 |
|
|
399,000 |
|
|
|
426,431 |
|
|
(h) |
| Vail Resorts Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.50% |
|
05/01/19 |
|
|
431,000 |
|
|
|
456,860 |
|
|
(h) |
| Vale Overseas Ltd. |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
01/11/16 |
|
|
232,000 |
|
|
|
252,590 |
|
|
(h) |
| Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
10/15/20 |
|
|
400,000 |
|
|
|
421,500 |
|
|
(b,h) |
| Verizon Communications Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.45% |
|
11/01/22 |
|
|
425,000 |
|
|
|
376,229 |
|
|
|
| 4.50% |
|
09/15/20 |
|
|
635,000 |
|
|
|
679,809 |
|
|
|
| 5.15% |
|
09/15/23 |
|
|
425,000 |
|
|
|
456,319 |
|
|
|
| 6.55% |
|
09/15/43 |
|
|
297,000 |
|
|
|
347,478 |
|
|
|
| Viacom Inc. |
|
|
|
|
|
|
|
|
|
|
| 2.50% |
|
12/15/16 |
|
|
484,000 |
|
|
|
500,547 |
|
|
(h) |
| 5.85% |
|
09/01/43 |
|
|
214,000 |
|
|
|
224,962 |
|
|
|
| Viasystems Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.88% |
|
05/01/19 |
|
|
400,000 |
|
|
|
432,500 |
|
|
(b,h) |
| Wal-Mart Stores Inc. |
|
|
|
|
|
|
|
|
|
|
| 1.95% |
|
12/15/18 |
|
|
424,000 |
|
|
|
422,470 |
|
|
|
| Weatherford International Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
04/15/22 |
|
|
314,000 |
|
|
|
315,979 |
|
|
(h) |
| 5.95% |
|
04/15/42 |
|
|
297,000 |
|
|
|
297,576 |
|
|
(h) |
| 6.75% |
|
09/15/40 |
|
|
105,000 |
|
|
|
113,563 |
|
|
(h) |
| Weingarten Realty Investors |
|
|
|
|
|
|
|
|
|
|
| 4.45% |
|
01/15/24 |
|
|
297,000 |
|
|
|
290,905 |
|
|
|
| WellPoint Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.10% |
|
01/15/44 |
|
|
428,000 |
|
|
|
424,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wells Fargo & Co. |
|
|
|
|
|
|
|
|
|
|
| 3.45% |
|
02/13/23 |
|
$
|
551,000 |
|
|
$
|
520,935 |
|
|
(h) |
| 5.38% |
|
11/02/43 |
|
|
541,000 |
|
|
|
553,987 |
|
|
|
| Windstream Corp. |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
08/01/23 |
|
|
400,000 |
|
|
|
374,000 |
|
|
(h) |
| WM Wrigley Jr Co. |
|
|
|
|
|
|
|
|
|
|
| 2.00% |
|
10/20/17 |
|
|
213,000 |
|
|
|
212,408 |
|
|
(b) |
| 2.90% |
|
10/21/19 |
|
|
425,000 |
|
|
|
421,487 |
|
|
(b) |
| Woodside Finance Ltd. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
11/10/14 |
|
|
699,000 |
|
|
|
720,624 |
|
|
(b,h) |
| WPX Energy Inc. |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
01/15/17 |
|
|
399,000 |
|
|
|
425,932 |
|
|
(h) |
| Wynn Las Vegas LLC |
|
|
|
|
|
|
|
|
|
|
| 5.38% |
|
03/15/22 |
|
|
215,000 |
|
|
|
217,150 |
|
|
(h) |
| XLIT Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.30% |
|
12/15/18 |
|
|
425,000 |
|
|
|
417,430 |
|
|
|
| 5.25% |
|
12/15/43 |
|
|
201,000 |
|
|
|
202,346 |
|
|
|
| Xstrata Finance Canada Ltd. |
|
|
|
|
|
|
|
|
|
|
| 2.70% |
|
10/25/17 |
|
|
471,000 |
|
|
|
476,346 |
|
|
(b,h) |
| Zhaikmunai LLP |
|
|
|
|
|
|
|
|
|
|
| 7.13% |
|
11/13/19 |
|
|
400,000 |
|
|
|
418,480 |
|
|
(b,h) |
| Zoetis Inc. |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
02/01/23 |
|
|
357,000 |
|
|
|
334,035 |
|
|
|
|
|
|
|
|
|
|
|
|
133,130,420 |
|
|
|
|
|
| Non-Agency Collateralized Mortgage Obligations — 7.0% |
|
|
|
| Banc of America Commercial Mortgage Trust 2006-4 |
|
|
|
|
|
|
|
|
|
|
| 5.68% |
|
07/10/46 |
|
|
190,000 |
|
|
|
207,184 |
|
|
|
| Banc of America Commercial Mortgage Trust 2007-1 |
|
|
|
|
|
|
|
|
|
|
| 5.48% |
|
01/15/49 |
|
|
880,000 |
|
|
|
918,821 |
|
|
(i) |
| Banc of America Commercial Mortgage Trust 2007-4 |
|
|
|
|
|
|
|
|
|
|
| 5.75% |
|
02/10/51 |
|
|
40,000 |
|
|
|
44,176 |
|
|
(h,i) |
| Banc of America Commercial Mortgage Trust 2008-1 |
|
|
|
|
|
|
|
|
|
|
| 6.21% |
|
02/10/51 |
|
|
180,000 |
|
|
|
205,304 |
|
|
(h,i) |
| Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1 |
|
|
|
|
|
|
|
|
|
|
| 5.29% |
|
11/10/42 |
|
|
390,000 |
|
|
|
409,111 |
|
|
(i) |
See Notes to Schedules of Investments and Notes to Financial Statements.
66
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-6 |
|
|
|
|
|
|
|
|
|
|
| 5.18% |
|
09/10/47 |
|
$
|
420,000 |
|
|
$
|
447,105 |
|
|
(i) |
| Bear Stearns Commercial Mortgage Securities Trust 2005-T18 |
|
|
|
|
|
|
|
|
|
|
| 4.93% |
|
02/13/42 |
|
|
407,593 |
|
|
|
422,225 |
|
|
(i) |
| Bear Stearns Commercial Mortgage Securities Trust 2006-PW11 |
|
|
|
|
|
|
|
|
|
|
| 5.39% |
|
03/11/39 |
|
|
378 |
|
|
|
381 |
|
|
(h,i) |
| Bear Stearns Commercial Mortgage Securities Trust 2006-T22 |
|
|
|
|
|
|
|
|
|
|
| 5.58% |
|
04/12/38 |
|
|
580,000 |
|
|
|
626,999 |
|
|
(i) |
| Bear Stearns Commercial Mortgage Securities Trust 2007-PW17 |
|
|
|
|
|
|
|
|
|
|
| 5.89% |
|
06/11/50 |
|
|
485,000 |
|
|
|
546,395 |
|
|
(i) |
| Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 |
|
|
|
|
|
|
|
|
|
|
| 6.09% |
|
06/11/50 |
|
|
430,000 |
|
|
|
484,057 |
|
|
(i) |
| COMM 2005-LP5 Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
| 4.98% |
|
05/10/43 |
|
|
220,000 |
|
|
|
229,285 |
|
|
(i) |
| COMM 2006-C8 Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
| 5.35% |
|
12/10/46 |
|
|
530,000 |
|
|
|
578,958 |
|
|
|
| COMM 2013-LC13 Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
| 4.56% |
|
08/10/46 |
|
|
170,000 |
|
|
|
174,834 |
|
|
(b,i) |
| Commercial Mortgage Trust 2007-GG9 |
|
|
|
|
|
|
|
|
|
|
| 5.48% |
|
03/10/39 |
|
|
1,220,000 |
|
|
|
1,292,445 |
|
|
|
| Credit Suisse Commercial Mortgage Trust 2006-C1 |
|
|
|
|
|
|
|
|
|
|
| 5.46% |
|
02/15/39 |
|
|
715,000 |
|
|
|
759,448 |
|
|
(i) |
| Credit Suisse Commercial Mortgage Trust 2006-C5 |
|
|
|
|
|
|
|
|
|
|
| 5.34% |
|
12/15/39 |
|
|
220,000 |
|
|
|
234,883 |
|
|
|
| Credit Suisse First Boston Mortgage Securities Corp. 2005-9 |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
10/25/35 |
|
|
138,630 |
|
|
|
1,239 |
|
|
(i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| GS Mortgage Securities Corp. II 2012-GC9 |
|
|
|
|
|
|
|
|
|
|
| 2.39% |
|
11/10/45 |
|
$
|
986,412 |
|
|
$
|
130,130 |
|
|
(g,i) |
| GS Mortgage Securities Corp. II 2013-KYO |
|
|
|
|
|
|
|
|
|
|
| 2.77% |
|
11/08/29 |
|
|
220,000 |
|
|
|
218,643 |
|
|
(b,i) |
| GS Mortgage Securities Corp. Trust 2012-ALOH |
|
|
|
|
|
|
|
|
|
|
| 3.55% |
|
04/10/34 |
|
|
210,000 |
|
|
|
206,475 |
|
|
(b) |
| GS Mortgage Securities Trust 2006-GG8 |
|
|
|
|
|
|
|
|
|
|
| 5.59% |
|
11/10/39 |
|
|
750,000 |
|
|
|
822,061 |
|
|
|
| GS Mortgage Securities Trust 2011-GC5 |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
08/10/44 |
|
|
410,000 |
|
|
|
426,433 |
|
|
(h) |
| 5.31% |
|
08/10/44 |
|
|
190,000 |
|
|
|
206,326 |
|
|
(b,h,i) |
| Impac CMB Trust Series 2004-5 |
|
|
|
|
|
|
|
|
|
|
| 0.88% |
|
10/25/34 |
|
|
205,990 |
|
|
|
195,326 |
|
|
(h,i) |
| JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 |
|
|
|
|
|
|
|
|
|
|
| 1.95% |
|
12/15/47 |
|
|
1,281,419 |
|
|
|
133,903 |
|
|
(g,i) |
| JP Morgan Chase Commercial Mortgage Securities Trust 2005- CB11 |
|
|
|
|
|
|
|
|
|
|
| 5.34% |
|
08/12/37 |
|
|
761,076 |
|
|
|
791,364 |
|
|
(h,i) |
| JP Morgan Chase Commercial Mortgage Securities Trust 2005- LDP1 |
|
|
|
|
|
|
|
|
|
|
| 5.04% |
|
03/15/46 |
|
|
250,000 |
|
|
|
257,852 |
|
|
(i) |
| JP Morgan Chase Commercial Mortgage Securities Trust 2006- LDP8 |
|
|
|
|
|
|
|
|
|
|
| 5.44% |
|
05/15/45 |
|
|
270,000 |
|
|
|
296,201 |
|
|
|
| JP Morgan Chase Commercial Mortgage Securities Trust 2007- CB18 |
|
|
|
|
|
|
|
|
|
|
| 5.44% |
|
06/12/47 |
|
|
710,000 |
|
|
|
780,269 |
|
|
|
| JP Morgan Chase Commercial Mortgage Securities Trust 2007- CB20 |
|
|
|
|
|
|
|
|
|
|
| 5.79% |
|
02/12/51 |
|
|
390,000 |
|
|
|
437,192 |
|
|
(h,i) |
See Notes to Schedules of Investments and Notes to Financial Statements.
67
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JP Morgan Chase Commercial Mortgage Securities Trust 2007- LD11 |
|
|
|
|
|
|
|
|
|
|
| 5.81% |
|
06/15/49 |
|
$
|
800,000 |
|
|
$
|
889,854 |
|
|
(i) |
| JP Morgan Chase Commercial Mortgage Securities Trust 2012-CBX |
|
|
|
|
|
|
|
|
|
|
| 4.27% |
|
06/15/45 |
|
|
280,000 |
|
|
|
287,632 |
|
|
|
| JPMBB Commercial Mortgage Securities Trust 2013-C12 |
|
|
|
|
|
|
|
|
|
|
| 4.03% |
|
07/15/45 |
|
|
125,000 |
|
|
|
125,117 |
|
|
(i) |
| LB Commercial Mortgage Trust 2007-C3 |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
07/15/44 |
|
|
420,000 |
|
|
|
466,238 |
|
|
(h,i) |
| LB-UBS Commercial Mortgage Trust 2004-C8 |
|
|
|
|
|
|
|
|
|
|
| 0.80% |
|
12/15/39 |
|
|
2,992,349 |
|
|
|
13,008 |
|
|
(b,g,i) |
| LB-UBS Commercial Mortgage Trust 2005-C5 |
|
|
|
|
|
|
|
|
|
|
| 4.95% |
|
09/15/30 |
|
|
308,278 |
|
|
|
322,006 |
|
|
|
| LB-UBS Commercial Mortgage Trust 2006-C1 |
|
|
|
|
|
|
|
|
|
|
| 5.16% |
|
02/15/31 |
|
|
410,000 |
|
|
|
437,895 |
|
|
(h) |
| LB-UBS Commercial Mortgage Trust 2006-C4 |
|
|
|
|
|
|
|
|
|
|
| 5.86% |
|
06/15/38 |
|
|
187,592 |
|
|
|
204,035 |
|
|
(h,i) |
| LB-UBS Commercial Mortgage Trust 2007-C6 |
|
|
|
|
|
|
|
|
|
|
| 6.11% |
|
07/15/40 |
|
|
445,000 |
|
|
|
487,902 |
|
|
(i) |
| MASTR Alternative Loan Trust 2003-5 |
|
|
|
|
|
|
|
|
|
|
| 5.00% |
|
08/25/18 |
|
|
73,083 |
|
|
|
6,185 |
|
|
(g) |
| ML-CFC Commercial Mortgage Trust 2006-3 |
|
|
|
|
|
|
|
|
|
|
| 5.46% |
|
07/12/46 |
|
|
570,000 |
|
|
|
618,353 |
|
|
(h,i) |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 |
|
|
|
|
|
|
|
|
|
|
| 4.08% |
|
07/15/46 |
|
|
420,000 |
|
|
|
419,717 |
|
|
(i) |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 |
|
|
|
|
|
|
|
|
|
|
| 4.17% |
|
12/15/48 |
|
|
260,000 |
|
|
|
219,038 |
|
|
(b,h,i) |
| Morgan Stanley Capital I Trust 2005-T17 |
|
|
|
|
|
|
|
|
|
|
| 4.84% |
|
12/13/41 |
|
|
610,000 |
|
|
|
625,199 |
|
|
(h,i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Morgan Stanley Capital I Trust 2006-IQ11 |
|
|
|
|
|
|
|
|
|
|
| 5.67% |
|
10/15/42 |
|
$
|
250,000 |
|
|
$
|
230,639 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2006-T21 |
|
|
|
|
|
|
|
|
|
|
| 5.16% |
|
10/12/52 |
|
|
450,000 |
|
|
|
479,768 |
|
|
(h,i) |
| 5.27% |
|
10/12/52 |
|
|
320,000 |
|
|
|
341,367 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2006-T23 |
|
|
|
|
|
|
|
|
|
|
| 5.81% |
|
08/12/41 |
|
|
160,000 |
|
|
|
175,923 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2007-IQ16 |
|
|
|
|
|
|
|
|
|
|
| 6.09% |
|
12/12/49 |
|
|
430,000 |
|
|
|
482,513 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2008-T29 |
|
|
|
|
|
|
|
|
|
|
| 6.28% |
|
01/11/43 |
|
|
210,000 |
|
|
|
237,638 |
|
|
(h,i) |
| Morgan Stanley Capital I Trust 2012-C4 |
|
|
|
|
|
|
|
|
|
|
| 5.21% |
|
03/15/45 |
|
|
190,000 |
|
|
|
202,089 |
|
|
(b,h,i) |
| Wachovia Bank Commercial Mortgage Trust 2006-C23 |
|
|
|
|
|
|
|
|
|
|
| 5.47% |
|
01/15/45 |
|
|
360,000 |
|
|
|
387,851 |
|
|
(h,i) |
| Wachovia Bank Commercial Mortgage Trust 2006-C28 |
|
|
|
|
|
|
|
|
|
|
| 5.60% |
|
10/15/48 |
|
|
735,000 |
|
|
|
788,985 |
|
|
(h,i) |
| Wachovia Bank Commercial Mortgage Trust 2006-C29 |
|
|
|
|
|
|
|
|
|
|
| 5.34% |
|
11/15/48 |
|
|
490,000 |
|
|
|
537,335 |
|
|
(h) |
| Wells Fargo Mortgage Backed Securities Trust 2006-3 |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
03/25/36 |
|
|
170,144 |
|
|
|
1,352 |
|
|
|
| WFRBS Commercial Mortgage Trust 2011-C4 |
|
|
|
|
|
|
|
|
|
|
| 5.25% |
|
06/15/44 |
|
|
210,000 |
|
|
|
213,105 |
|
|
(b,h,i) |
| WFRBS Commercial Mortgage Trust 2013-C15 |
|
|
|
|
|
|
|
|
|
|
| 4.49% |
|
08/15/46 |
|
|
173,000 |
|
|
|
146,425 |
|
|
(b,i) |
| WFRBS Commercial Mortgage Trust 2013-C16 |
|
|
|
|
|
|
|
|
|
|
| 4.99% |
|
09/15/46 |
|
|
290,000 |
|
|
|
255,815 |
|
|
(b,i) |
| WFRBS Commercial Mortgage Trust 2013-C17 |
|
|
|
|
|
|
|
|
|
|
| 4.26% |
|
12/15/46 |
|
|
235,000 |
|
|
|
236,690 |
|
|
|
|
|
|
|
|
|
|
|
|
22,324,699 |
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
68
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sovereign Bonds – 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banco Nacional de Desenvolvimento Economico e Social |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
07/12/20 |
|
$
|
100,000 |
|
|
$
|
102,000 |
|
|
(b) |
| Government of Chile |
|
|
|
|
|
|
|
|
|
|
| 3.63% |
|
10/30/42 |
|
|
148,000 |
|
|
|
116,254 |
|
|
|
| Government of Colombia |
|
|
|
|
|
|
|
|
|
|
| 2.63% |
|
03/15/23 |
|
|
323,000 |
|
|
|
282,948 |
|
|
|
| 4.38% |
|
07/12/21 |
|
|
200,000 |
|
|
|
206,000 |
|
|
|
| Government of Croatia |
|
|
|
|
|
|
|
|
|
|
| 6.75% |
|
11/05/19 |
|
|
180,000 |
|
|
|
194,850 |
|
|
(b) |
| Government of Dominican Republic |
|
|
|
|
|
|
|
|
|
|
| 7.50% |
|
05/06/21 |
|
|
200,000 |
|
|
|
217,000 |
|
|
(b) |
| Government of El Salvador |
|
|
|
|
|
|
|
|
|
|
| 7.65% |
|
06/15/35 |
|
|
327,000 |
|
|
|
318,498 |
|
|
(b) |
| Government of Guatemala |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
02/13/28 |
|
|
200,000 |
|
|
|
182,000 |
|
|
(b) |
| Government of Hungary |
|
|
|
|
|
|
|
|
|
|
| 4.13% |
|
02/19/18 |
|
|
326,000 |
|
|
|
329,586 |
|
|
|
| 6.25% |
|
01/29/20 |
|
|
67,000 |
|
|
|
72,276 |
|
|
|
| Government of Indonesia |
|
|
|
|
|
|
|
|
|
|
| 4.88% |
|
05/05/21 |
|
|
200,000 |
|
|
|
198,000 |
|
|
(b,h) |
| Government of Lithuania |
|
|
|
|
|
|
|
|
|
|
| 6.13% |
|
03/09/21 |
|
|
100,000 |
|
|
|
113,280 |
|
|
(b) |
| Government of Mexico |
|
|
|
|
|
|
|
|
|
|
| 4.75% |
|
03/08/44 |
|
|
398,000 |
|
|
|
358,697 |
|
|
(h) |
| 5.75% |
|
10/12/10 |
|
|
72,000 |
|
|
|
66,600 |
|
|
|
| 6.05% |
|
01/11/40 |
|
|
84,000 |
|
|
|
91,350 |
|
|
(h) |
| Government of Nigeria |
|
|
|
|
|
|
|
|
|
|
| 5.13% |
|
07/12/18 |
|
|
200,000 |
|
|
|
205,000 |
|
|
(b) |
| Government of Panama |
|
|
|
|
|
|
|
|
|
|
| 4.30% |
|
04/29/53 |
|
|
126,000 |
|
|
|
95,445 |
|
|
(h) |
| 6.70% |
|
01/26/36 |
|
|
59,000 |
|
|
|
65,933 |
|
|
(h) |
| Government of Peru |
|
|
|
|
|
|
|
|
|
|
| 6.55% |
|
03/14/37 |
|
|
225,000 |
|
|
|
258,750 |
|
|
(h) |
| Government of Philippines |
|
|
|
|
|
|
|
|
|
|
| 6.38% |
|
01/15/32 |
|
|
200,000 |
|
|
|
234,750 |
|
|
(h) |
| Government of Poland |
|
|
|
|
|
|
|
|
|
|
| 3.00% |
|
03/17/23 |
|
|
220,000 |
|
|
|
200,310 |
|
|
(h) |
| 5.00% |
|
03/23/22 |
|
|
348,000 |
|
|
|
371,925 |
|
|
(h) |
| 5.13% |
|
04/21/21 |
|
|
20,000 |
|
|
|
21,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Government of Romania |
|
|
|
|
|
|
|
|
|
|
| 4.38% |
|
08/22/23 |
|
$
|
120,000 |
|
|
$
|
115,800 |
|
|
(b,h) |
| 6.75% |
|
02/07/22 |
|
|
146,000 |
|
|
|
165,710 |
|
|
(b,h) |
| Government of South Africa |
|
|
|
|
|
|
|
|
|
|
| 5.88% |
|
05/30/22 |
|
|
200,000 |
|
|
|
214,250 |
|
|
|
| Government of Sri Lanka |
|
|
|
|
|
|
|
|
|
|
| 6.25% |
|
10/04/20 |
|
|
100,000 |
|
|
|
98,500 |
|
|
(b) |
| Government of Turkey |
|
|
|
|
|
|
|
|
|
|
| 3.25% |
|
03/23/23 |
|
|
853,000 |
|
|
|
701,592 |
|
|
(h) |
| 6.88% |
|
03/17/36 |
|
|
589,000 |
|
|
|
577,809 |
|
|
(h) |
| Government of Uruguay |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
08/14/24 |
|
|
200,000 |
|
|
|
200,000 |
|
|
|
| 6.88% |
|
09/28/25 |
|
|
88,004 |
|
|
|
100,545 |
|
|
|
| Republic of Latvia |
|
|
|
|
|
|
|
|
|
|
| 2.75% |
|
01/12/20 |
|
|
200,000 |
|
|
|
190,750 |
|
|
|
| Russian Foreign Bond - Eurobond |
|
|
|
|
|
|
|
|
|
|
| 7.50% |
|
03/31/30 |
|
|
51,034 |
|
|
|
59,465 |
|
|
(j) |
|
|
|
|
|
|
|
|
|
6,727,598 |
|
|
|
|
|
| Municipal Bonds and Notes – 0.7% |
|
|
|
| American Municipal Power Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.27% |
|
02/15/50 |
|
|
275,000 |
|
|
|
289,292 |
|
|
|
| Denver City & County School District No 1 |
|
|
|
|
|
|
|
|
|
|
| 4.24% |
|
12/15/37 |
|
|
370,000 |
|
|
|
329,766 |
|
|
(h) |
| Municipal Electric Authority of Georgia |
|
|
|
|
|
|
|
|
|
|
| 6.64% |
|
04/01/57 |
|
|
317,000 |
|
|
|
333,211 |
|
|
(h) |
| New Jersey Transportation Trust Fund Authority |
|
|
|
|
|
|
|
|
|
|
| 6.88% |
|
12/15/39 |
|
|
165,000 |
|
|
|
177,962 |
|
|
(h) |
| Port Authority of New York & New Jersey |
|
|
|
|
|
|
|
|
|
|
| 4.46% |
|
10/01/62 |
|
|
520,000 |
|
|
|
442,978 |
|
|
(h) |
| South Carolina State Public Service Authority |
|
|
|
|
|
|
|
|
|
|
| 6.45% |
|
01/01/50 |
|
|
200,000 |
|
|
|
213,752 |
|
|
(h) |
| State of California |
|
|
|
|
|
|
|
|
|
|
| 5.70% |
|
11/01/21 |
|
|
280,000 |
|
|
|
314,023 |
|
|
(h) |
|
|
|
|
|
|
|
|
|
2,100,984 |
|
|
|
|
|
| FNMA – 0.0% * |
|
|
|
|
|
|
|
| Lehman TBA |
|
|
|
|
|
|
|
|
|
|
| 5.50% |
|
TBA |
|
|
239,317 |
|
|
|
— |
|
|
(**,o,r) |
See
Notes to Schedules of Investments and Notes to Financial Statements.
69
|
|
|
| Elfun Income Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Fair
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Bonds and Notes
(Cost $315,407,443) |
|
|
|
|
|
$
|
310,471,301 |
|
|
|
| Domestic Equity – 0.1% |
|
|
|
|
|
| Preferred Stock – 0.1% |
|
|
|
| Wells Fargo & Co.
(Cost $429,525) |
|
|
17,181 |
|
|
|
404,956 |
|
|
|
|
|
|
|
| Total Investments in Securities
(Cost $315,836,968) |
|
|
|
|
|
|
310,876,257 |
|
|
|
| Short-Term Investments – 14.1% |
|
|
|
|
|
|
|
| GE Institutional Money Market Fund - Investment Class |
|
|
|
|
|
|
|
|
|
|
| 0.00%
(Cost $45,248,998) |
|
|
|
|
|
|
45,248,998 |
|
|
(d,k) |
|
|
|
|
| Total Investments
(Cost $361,085,966) |
|
|
|
|
|
|
356,125,255 |
|
|
|
|
|
|
|
| Liabilities in Excess of Other Assets,
net – (11.3)% |
|
|
|
|
|
|
(36,131,313) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS – 100.0% |
|
|
|
|
|
$ |
319,993,942 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Information:
The Fund
had the following long futures contracts open at December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
Number
of
Contracts |
|
|
Current
Notional
Value |
|
|
Unrealized
Depreciation |
|
|
|
|
|
|
| 2 Yr. U.S. Treasury Notes Futures |
|
March 2014 |
|
|
134 |
|
|
$ |
29,454,875 |
|
|
$ |
(54,174) |
|
|
|
|
|
|
| 5 Yr. U.S. Treasury Notes Futures |
|
March 2014 |
|
|
224 |
|
|
|
26,726,000 |
|
|
|
(341,718) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(395,892) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund had the following short futures contracts open at December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Expiration
date |
|
Number
of
Contracts |
|
|
Current
Notional
Value |
|
|
Unrealized
Appreciation |
|
|
|
|
|
|
| 10 Yr. U.S. Treasury Notes Futures |
|
March 2014 |
|
|
65 |
|
|
$ |
(7,998,047) |
|
|
$ |
146,777 |
|
|
|
|
|
|
| U.S. Long Bond Futures |
|
March 2014 |
|
|
115 |
|
|
$ |
(14,755,937) |
|
|
|
280,681 |
|
|
|
|
|
|
| Ultra Long-Term U.S. Treasury Bond Futures |
|
March 2014 |
|
|
106 |
|
|
|
(14,442,500) |
|
|
|
279,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
706,870 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
310,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedules of Investments and Notes to Financial Statements.
70
(Unaudited)
Michael E. Martini
Vice President
The Elfun Money Market Fund is managed by Michael E. Martini. As portfolio manager for the Money Market Fund,
Mr. Martini has oversight authority over the Fund. See portfolio managers’ biographical information beginning on page 111.
| Q. |
How did the Elfun Money Market Fund perform compared to its benchmark for the twelve-month period ended December 31, 2013? |
| A. |
For the twelve-month period ended December 31, 2013, the Elfun Money Market Fund returned 0.04%. The 90-day U.S. Treasury Bill, the Fund’s benchmark, returned 0.06% and the Fund’s Morningstar peer group of 936
U.S. Money Market Taxable funds returned an average of 0.02% over the same period. |
| Q. |
Discuss the factors that materially affected the fund’s performance during the fiscal period. |
| A. |
Money market funds in 2013 were impacted by continued support from global monetary policy, congressional inaction, and an ever-shrinking supply of investable paper. The Federal Reserve maintained both the federal funds
rate at 0 to 0.25%, as well as the numerical thresholds for the unemployment rate and inflation targets. They also continued their quantitative easing program of purchasing $45 billion of U.S. Treasuries and $40 billion of mortgage-backed
securities. At the December Federal Open Market Committee meeting, the Committee announced that they would begin scaling
|
| |
back purchases by $10 billion per month, beginning in January 2014. Focusing on fiscal policy, the combination of a U.S. government shutdown and threat of default in October created a temporary
spike in short term rates; specifically in short term U.S. Treasury bills, coupons, and repurchase rates. Liquidity was at a premium during this period, but after a deal was struck, short term rates normalized. The continued shrinking supply of U.S.
Treasuries, agencies, and commercial paper caused short term rates to approach zero during the second half of the year. |
| |
LIBOR rates continued to decline through the year, thanks to the aforementioned global policy actions. This allowed global institutions (especially banks) to term out their short-term funding at very attractive levels,
as investors reached for yield. Regarding money fund regulation, the Securities and Exchange Commission (“SEC”) introduced reforms that will potentially change the structure of money market funds (explained below). The SEC has collected
comment letters from the industry and we are awaiting a formal announcement on the reforms, potentially in the first half of 2014. |
| Q. |
Were there any significant changes to the Fund during the period? |
| A. |
The Fund underwent a significant sector allocation change during 2013, due to multiple risks including political and regulatory. Specifically, the U.S. government
shutdown and threat of U.S. |
71
(Unaudited)
| |
Treasury default in October were the biggest political risks, testing the liquidity capabilities of all money market funds. On the regulatory front, the SEC’s proposals for money market
mutual funds included two options: (1) the abandonment of the stable $1.00 NAV and adoption of a floating NAV for Institutional Prime funds and (2) the imposition of liquidity fees and redemption gates for all Prime funds. To maintain optimal
liquidity in a continued historic low yielding environment, the Fund’s U.S. Government/Agency allocation rose from 52% to 98% during calendar year 2013. The WAM (weighted average maturity) remained consistently between 40-50 days during the
year. Finally, overnight and weekly liquidity greatly increased due to the compositional change. Comparing year-end 2012 to 2013, overnight liquidity increased from 19% to 57% and weekly liquidity increased from 45% to 83%.
|
72
(Unaudited)
Understanding Your Fund’s Expenses
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, 2013.
Actual Expenses
The first section of the table
provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the
period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You
may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales
charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
July 1, 2013 –
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Account value at
the beginning of
the period ($) |
|
|
Account value
at the end of
the period ($) |
|
|
Expenses
paid during
the period ($)* |
|
|
|
|
| Actual Fund Return |
|
|
1,000.00 |
|
|
|
1,000.40 |
|
|
0.40 |
|
|
|
|
| Hypothetical 5% Return (2.5% for the period) |
|
|
1,000.00 |
|
|
|
1,024.80 |
|
|
0.41 |
| * |
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.08%** (for the period July 1, 2013 – December 31, 2013), multiplied by the average account value over the period, multiplied
by 184/365 (to reflect the one-half year period). |
| ** |
May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
73
(Unaudited)
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
to achieve its investment objective by investing primarily in short-term, U.S. dollar denominated money market instruments.
Sector Allocation
as a % of Fair Value of $169,176 (in thousands) on December 31, 2013(b)
Morningstar Performance Comparison
Based on average annual returns for periods ended December 31, 2013
|
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| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
| Number of funds in peer group |
|
|
936 |
|
|
|
827 |
|
|
|
623 |
|
| Peer group average annual total return |
|
|
0.02 |
% |
|
|
0.06 |
% |
|
|
1.46 |
% |
| Morningstar Category in peer group: Money Market Taxable |
|
Change in Value of a $10,000 Investment(a)
Average Annual Total Return
for the Periods ended December 31, 2013
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Inception date: 6/13/90) |
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|
|
| |
|
One
Year |
|
|
Five
Year |
|
|
Ten
Year |
|
|
Ending value of a
$10,000
investment (a) |
|
|
|
|
|
|
| Elfun Money Market Fund |
|
|
0.04 |
|
|
|
0.14 |
|
|
|
1.74 |
|
|
|
$11,883 |
|
|
|
|
|
|
| 90 Day U.S. T-Bill |
|
|
0.06 |
|
|
|
0.10 |
|
|
|
1.56 |
|
|
|
$11,709 |
|
| (a) |
Ending value of a $10,000 investment for the ten-year period or since inception, whichever is less. |
| (b) |
The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest
as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
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.
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.
74
|
|
|
| Elfun Money Market Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Amortized
Cost |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments — 101.6%† |
|
|
| U.S. Treasuries — 40.4% |
|
|
|
|
|
|
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
|
|
| 0.01% |
|
01/16/14 |
|
$ |
3,100,000 |
|
|
$ |
3,099,984 |
|
|
(d) |
| 0.02% |
|
01/02/14 |
|
|
6,850,000 |
|
|
|
6,849,997 |
|
|
(d) |
| 0.04% |
|
01/09/14 |
|
|
10,850,000 |
|
|
|
10,849,908 |
|
|
(d) |
| 0.08% |
|
04/24/14 |
|
|
3,250,000 |
|
|
|
3,249,158 |
|
|
(d) |
| 0.09% |
|
05/01/14 |
|
|
3,368,000 |
|
|
|
3,366,993 |
|
|
(d) |
|
|
|
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
| 0.25% |
|
01/31/14 - 05/31/14 |
|
|
6,850,000 |
|
|
|
6,852,574 |
|
|
|
| 1.00% |
|
01/15/14 |
|
|
6,550,000 |
|
|
|
6,552,400 |
|
|
|
| 1.25% |
|
02/15/14 - 04/15/14 |
|
|
16,650,000 |
|
|
|
16,689,760 |
|
|
|
| 1.75% |
|
01/31/14 - 03/31/14 |
|
|
6,800,000 |
|
|
|
6,814,827 |
|
|
|
| 1.88% |
|
04/30/14 |
|
|
3,000,000 |
|
|
|
3,017,541 |
|
|
|
|
|
|
|
|
|
|
|
|
67,343,142 |
|
|
|
|
|
| U.S. Government Agency Obligations — 43.4% |
|
|
|
|
|
|
|
| Fannie Mae Discount Notes |
|
|
|
|
|
|
|
|
|
|
| 0.04% |
|
01/09/14 |
|
|
4,250,000 |
|
|
|
4,249,962 |
|
|
(d) |
| 0.05% |
|
01/02/14 |
|
|
2,300,000 |
|
|
|
2,299,997 |
|
|
(d) |
| 0.09% |
|
01/07/14 |
|
|
2,450,000 |
|
|
|
2,449,963 |
|
|
(d) |
| 0.10% |
|
02/12/14 |
|
|
2,050,000 |
|
|
|
2,049,761 |
|
|
(d) |
| 0.11% |
|
05/01/14 |
|
|
7,450,000 |
|
|
|
7,447,268 |
|
|
(d) |
| 0.14% |
|
01/08/14 - 02/18/14 |
|
|
8,150,000 |
|
|
|
8,148,814 |
|
|
(d) |
|
|
|
|
| Federal Home Loan Bank Discount Notes |
|
|
|
|
|
|
|
|
|
|
| 0.03% |
|
01/02/14 |
|
|
950,000 |
|
|
|
949,999 |
|
|
(d) |
| 0.05% |
|
01/08/14 - 01/13/14 |
|
|
4,350,000 |
|
|
|
4,349,950 |
|
|
(d) |
| 0.07% |
|
02/07/14 |
|
|
1,400,000 |
|
|
|
1,399,895 |
|
|
(d) |
| 0.08% |
|
02/12/14 - 04/02/14 |
|
|
6,200,000 |
|
|
|
6,199,125 |
|
|
(d) |
| 0.09% |
|
02/19/14 - 02/21/14 |
|
|
8,600,000 |
|
|
|
8,598,940 |
|
|
(d) |
|
|
|
|
| Federal Home Loan Banks |
|
|
|
|
|
|
|
|
|
|
| 0.15% |
|
05/01/14 |
|
|
2,150,000 |
|
|
|
2,150,207 |
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
| 4.50% |
|
01/15/14 |
|
|
1,000,000 |
|
|
|
1,001,659 |
|
|
|
| 2.18% |
|
02/19/14 |
|
|
3,050,000 |
|
|
|
3,058,454 |
|
|
|
|
|
|
|
| Freddie Mac Discount Notes |
|
|
|
|
|
|
|
|
|
|
| 0.06% |
|
01/27/14 |
|
|
3,800,000 |
|
|
|
3,799,846 |
|
|
(d) |
| 0.07% |
|
02/10/14 - 02/20/14 |
|
|
5,250,000 |
|
|
|
5,249,561 |
|
|
(d) |
| 0.09% |
|
02/03/14 |
|
|
1,050,000 |
|
|
|
1,049,913 |
|
|
(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Amortized
Cost |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0.10% |
|
04/09/14 |
|
$
|
6,750,000 |
|
|
$
|
6,748,163 |
|
|
(d) |
| 0.12% |
|
05/08/14 |
|
|
1,000,000 |
|
|
|
999,594 |
|
|
(d) |
|
|
|
|
|
|
|
|
|
72,201,071 |
|
|
|
|
|
| Repurchase Agreements — 15.7% |
|
|
|
|
|
|
|
| Barclays Capital Inc.
U.S. Treasury
Repo
0.01% dated 12/31/13, to be
repurchased at $7,800,004 on
01/02/14 collateralized by
$7,956,017 U.S. Treasury Note,
0.75%, maturing
on
02/28/18.
01/02/14 |
|
|
7,800,000 |
|
|
|
7,800,000 |
|
|
|
|
|
|
|
|
Credit Suisse AG
U.S. Treasury Repo
0.00% dated 12/31/13, to be
repurchased at $4,200,000
on
01/02/14 collateralized by
$4,286,846 U.S. Treasury Note,
3.75%, maturing on 11/15/18.
01/02/14 |
|
|
4,200,000 |
|
|
|
4,200,000 |
|
|
|
|
|
|
|
|
Deutsche Bank Securities,
Inc. Gov Agency Repo
0.02% dated 12/31/13, to
be repurchased
at
$2,200,002 on 01/02/14
collateralized by
$2,244,582 U.S.
Government Agency Bond,
0.00%, 0.00%, 0.75%,
2.25%, 3.00%, 4.38%,
5.38% and 6.25%,
maturing on
07/15/19,
01/15/24, 09/22/14,
01/30/23, 07/28/14,
10/15/15, 08/15/24, and
07/15/32, respectively.
01/02/14
|
|
|
2,200,000 |
|
|
|
2,200,000 |
|
|
|
|
|
|
|
|
Goldman Sachs & Co.
Gov Agency Repo
0.00% dated 12/31/13, to be
repurchased at $7,800,000
on
01/02/14 collateralized by
$7,956,000 U.S. Treasury Note,
0.00% and 0.00%,
maturing on 08/15/15
and 08/15/38,
respectively.
01/02/14 |
|
|
7,800,000 |
|
|
|
7,800,000 |
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
75
|
|
|
| Elfun Money Market Fund |
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Amortized
Cost |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HSBC Securities (USA) Inc.
Gov Agency Repo
0.01% dated 12/31/13, to be
repurchased at
$4,080,002 on
01/02/14 collateralized by
$4,165,170 U.S. Treasury Note,
2.50%, maturing on 08/15/23.
01/02/14 |
|
$
|
4,080,000 |
|
|
$
|
4,080,000 |
|
|
|
|
|
|
|
|
|
|
26,080,000 |
|
|
|
|
|
| Certificate of Deposit — 2.0% |
|
|
|
|
|
|
|
| Royal Bank of Canada/ New York NY |
|
|
|
|
|
|
|
|
|
|
| 0.28% |
|
04/17/14 |
|
|
3,400,000 |
|
|
|
3,400,000 |
|
|
(i) |
|
|
|
| Time Deposit — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
| State Street Corp. |
|
|
|
|
|
|
|
|
|
|
| 0.01% |
|
01/02/14 |
|
|
151,787 |
|
|
|
151,787 |
|
|
(e) |
|
|
|
|
| Total Short-Term Investments
(Cost $169,176,000) |
|
|
|
|
|
|
169,176,000 |
|
|
|
|
|
|
|
| Liabilities in Excess of Other
Assets, net — (1.6)% |
|
|
|
|
|
|
(2,645,552 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
|
|
|
$ |
166,530,448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
76
— December 31, 2013
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 Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Funds’ summary prospectus and the
Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) |
Non-income producing security. |
| (b) |
Pursuant to Rule 144A of the Securities Act of 1933, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, these securities amounted
to $7,462,104 and $33,159,137 or 3.16% and 10.36% of the net assets of the Elfun Diversified Fund and Elfun Income Fund, respectively. These securities have been determined to be liquid using procedures established by the Funds’ 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, 2013, all or a portion of this security was pledged to cover collateral requirements for futures and/or TBA’s. |
| (i) |
Variable or floating rate security. The stated rate represents the rate at December 31, 2013. |
| (k) |
GE Asset Management (“GEAM”), 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 are 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 by a trustee and are used to pay principal and interest on the tax-exempt issue to retire the bonds at the earliest refunding
date. |
| (n) |
The security is insured by AGC, AGMC, AMBAC, FGIC or MBIA. The Elfun Tax-Exempt Fund had insurance concentrations of 5% or greater as of December 31, 2013 (as a percentage of net assets) as follows: |
| (o) |
Security is 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) |
Represents a payment-in-kind security which may pay all or a portion of interest in additional par. |
| (r) |
Security is fair valued by the Valuation Committee, in accordance with the procedures approved by Funds’ Board of Trustees.
|
77
— December 31, 2013
| ** |
Amount is less than $ 0.50. |
| † |
Percentages are based on net assets as of December 31, 2013. |
| †† |
Security traded on different exchanges. |
Abbreviations:
|
|
|
|
|
|
|
| ADR |
|
|
— |
|
|
American Depository Receipt |
| AGC |
|
|
— |
|
|
Assured Guaranty Corporation |
| AGMC |
|
|
— |
|
|
Assured Guaranty Municipal Company |
| AMBAC |
|
|
— |
|
|
AMBAC Indemnity Corporation |
| FGIC |
|
|
— |
|
|
Financial Guaranty Insurance Corporation |
| MBIA |
|
|
— |
|
|
Municipal Bond Investors Assurance Corporation |
| REIT |
|
|
— |
|
|
Real Estate Investment Trust |
| REMIC |
|
|
— |
|
|
Real Estate Mortgage Investment Conduit |
| SPDR |
|
|
— |
|
|
Standard and Poor’s Depository Receipt |
| STRIPS |
|
|
— |
|
|
Separate Trading of Registered Interest and Principal of Security |
| TBA |
|
|
— |
|
|
To Be Announced |
78
Selected data based on a unit outstanding during the fiscal
years indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
2013 |
|
|
2012 |
|
|
2011 |
|
|
2010 |
|
|
2009 |
|
| Inception date |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1/1/88 |
|
| Net asset value, beginning of period |
|
|
$18.31 |
|
|
|
$15.43 |
|
|
|
$18.92 |
|
|
|
$18.24 |
|
|
|
$14.65 |
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.37 |
|
|
|
0.35 |
|
|
|
0.44 |
|
|
|
0.36 |
|
|
|
0.43 |
|
| Net realized and unrealized
gains/(losses) on investments |
|
|
3.62 |
|
|
|
2.88 |
|
|
|
(3.48 |
) |
|
|
0.69 |
|
|
|
3.63 |
|
| Total income/(loss) from investment operations |
|
|
3.99 |
|
|
|
3.23 |
|
|
|
(3.04 |
) |
|
|
1.05 |
|
|
|
4.06 |
|
| Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.37 |
|
|
|
0.35 |
|
|
|
0.44 |
|
|
|
0.37 |
|
|
|
0.44 |
|
| Net realized gains |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.03 |
|
| Return of capital |
|
|
— |
|
|
|
0.00 |
* |
|
|
0.01 |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
0.37 |
|
|
|
0.35 |
|
|
|
0.45 |
|
|
|
0.37 |
|
|
|
0.47 |
|
| Net asset value, end of period |
|
|
$21.93 |
|
|
|
$18.31 |
|
|
|
$15.43 |
|
|
|
$18.92 |
|
|
|
$18.24 |
|
| TOTAL RETURN (a) |
|
|
21.81 |
% |
|
|
20.95 |
% |
|
|
(16.02 |
)% |
|
|
5.77 |
% |
|
|
27.69 |
% |
| RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in thousands) |
|
|
$306,922 |
|
|
|
$260,728 |
|
|
|
$240,572 |
|
|
|
$309,473 |
|
|
|
$301,332 |
|
| Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
1.83 |
% |
|
|
1.98 |
% |
|
|
2.34 |
% |
|
|
2.05 |
% |
|
|
2.66 |
% |
| Net expenses |
|
|
0.31 |
%(b) |
|
|
0.45 |
%(b) |
|
|
0.30 |
%(b) |
|
|
0.32 |
%(b) |
|
|
0.27 |
%(b) |
| Gross expenses |
|
|
0.31 |
% |
|
|
0.45 |
% |
|
|
0.31 |
% |
|
|
0.34 |
% |
|
|
0.28 |
% |
| Portfolio turnover rate |
|
|
49 |
% |
|
|
47 |
% |
|
|
39 |
% |
|
|
42 |
% |
|
|
45 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Trusts |
|
2013 |
|
|
2012 |
|
|
2011 |
|
|
2010 |
|
|
2009 |
|
| Inception date |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5/27/35 |
|
| Net asset value, beginning of period |
|
|
$44.06 |
|
|
|
$40.35 |
|
|
|
$41.38 |
|
|
|
$38.50 |
|
|
|
$30.23 |
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.71 |
|
|
|
0.77 |
|
|
|
0.48 |
|
|
|
0.40 |
|
|
|
0.35 |
|
| Net realized and unrealized
gains/(losses) on investments |
|
|
14.68 |
|
|
|
7.77 |
|
|
|
0.06 |
|
|
|
4.64 |
|
|
|
9.83 |
|
| Total income from investment operations |
|
|
15.39 |
|
|
|
8.54 |
|
|
|
0.54 |
|
|
|
5.04 |
|
|
|
10.18 |
|
| Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.72 |
|
|
|
0.76 |
|
|
|
0.48 |
|
|
|
0.41 |
|
|
|
0.37 |
|
| Net realized gains |
|
|
2.66 |
|
|
|
4.07 |
|
|
|
1.09 |
|
|
|
1.75 |
|
|
|
1.51 |
|
| Return of capital |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.03 |
|
| Total distributions |
|
|
3.38 |
|
|
|
4.83 |
|
|
|
1.57 |
|
|
|
2.16 |
|
|
|
1.91 |
|
| Net asset value, end of period |
|
|
$56.07 |
|
|
|
$44.06 |
|
|
|
$40.35 |
|
|
|
$41.38 |
|
|
|
$38.50 |
|
| TOTAL RETURN (a) |
|
|
34.98 |
% |
|
|
21.27 |
% |
|
|
1.33 |
% |
|
|
13.07 |
% |
|
|
33.62 |
% |
| RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in thousands) |
|
|
$2,326,948 |
|
|
|
$1,820,262 |
|
|
|
$1,647,396 |
|
|
|
$1,731,716 |
|
|
|
$1,639,896 |
|
| Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
1.36 |
% |
|
|
1.60 |
% |
|
|
1.09 |
% |
|
|
1.00 |
% |
|
|
1.05 |
% |
| Net expenses |
|
|
0.15 |
%(b) |
|
|
0.19 |
%(b) |
|
|
0.21 |
%(b) |
|
|
0.21 |
%(b) |
|
|
0.23 |
%(b) |
| Gross expenses |
|
|
0.15 |
% |
|
|
0.19 |
% |
|
|
0.21 |
% |
|
|
0.22 |
% |
|
|
0.24 |
% |
| Portfolio turnover rate |
|
|
12 |
% |
|
|
11 |
% |
|
|
16 |
% |
|
|
14 |
% |
|
|
8 |
% |
The accompanying Notes are an integral part of these financial statements.
79
Selected data based on a unit outstanding during the fiscal
years indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Diversified Fund |
|
2013 |
|
|
2012 |
|
|
2011 |
|
|
2010 |
|
|
2009 |
|
| Inception date |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1/1/88 |
|
| Net asset value, beginning of period |
|
|
$18.30 |
|
|
|
$16.53 |
|
|
|
$17.41 |
|
|
|
$16.08 |
|
|
|
$13.41 |
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.36 |
|
|
|
0.33 |
|
|
|
0.38 |
|
|
|
0.28 |
|
|
|
0.29 |
|
| Net realized and unrealized
gains/(losses) on investments |
|
|
2.70 |
|
|
|
1.78 |
|
|
|
(0.83 |
) |
|
|
1.32 |
|
|
|
2.68 |
|
| Total income/(loss) from investment operations |
|
|
3.06 |
|
|
|
2.11 |
|
|
|
(0.45 |
) |
|
|
1.60 |
|
|
|
2.97 |
|
| Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.35 |
|
|
|
0.34 |
|
|
|
0.43 |
|
|
|
0.27 |
|
|
|
0.30 |
|
| Net realized gains |
|
|
1.17 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.00 |
|
| Total distributions |
|
|
1.52 |
|
|
|
0.34 |
|
|
|
0.43 |
|
|
|
0.27 |
|
|
|
0.30 |
|
| Net asset value, end of period |
|
|
$19.84 |
|
|
|
$18.30 |
|
|
|
$16.53 |
|
|
|
$17.41 |
|
|
|
$16.08 |
|
| TOTAL RETURN (a) |
|
|
16.79 |
% |
|
|
12.77 |
% |
|
|
(2.60 |
)% |
|
|
9.98 |
% |
|
|
22.13 |
% |
| RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in thousands) |
|
|
$235,903 |
|
|
|
$213,168 |
|
|
|
$210,095 |
|
|
|
$229,881 |
|
|
|
$220,654 |
|
| Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
1.78 |
% |
|
|
1.75 |
% |
|
|
2.11 |
% |
|
|
1.76 |
% |
|
|
1.98 |
% |
| Net expenses |
|
|
0.33 |
%(b) |
|
|
0.46 |
%(b) |
|
|
0.40 |
%(b) |
|
|
0.48 |
%(b) |
|
|
0.43 |
%(b) |
| Gross expenses |
|
|
0.34 |
% |
|
|
0.47 |
% |
|
|
0.41 |
% |
|
|
0.75 |
% |
|
|
0.47 |
% |
| Portfolio turnover rate |
|
|
144 |
% |
|
|
173 |
% |
|
|
197 |
% |
|
|
148 |
% |
|
|
142 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
2013 |
|
|
2012 |
|
|
2011 |
|
|
2010 |
|
|
2009 |
|
| Inception date |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1/1/80 |
|
| Net asset value, beginning of period |
|
|
$12.32 |
|
|
|
$11.97 |
|
|
|
$11.33 |
|
|
|
$11.64 |
|
|
|
$10.73 |
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.49 |
|
|
|
0.51 |
|
|
|
0.53 |
|
|
|
0.53 |
|
|
|
0.53 |
|
| Net realized and unrealized
gains/(losses) on investments |
|
|
(0.98 |
) |
|
|
0.37 |
|
|
|
0.64 |
|
|
|
(0.31 |
) |
|
|
0.91 |
|
| Total income from investment operations |
|
|
(0.49 |
) |
|
|
0.88 |
|
|
|
1.17 |
|
|
|
0.22 |
|
|
|
1.44 |
|
| Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.49 |
|
|
|
0.51 |
|
|
|
0.53 |
|
|
|
0.53 |
|
|
|
0.53 |
|
| Net realized gains |
|
|
0.00 |
* |
|
|
0.02 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
0.49 |
|
|
|
0.53 |
|
|
|
0.53 |
|
|
|
0.53 |
|
|
|
0.53 |
|
| Net asset value, end of period |
|
|
$11.34 |
|
|
|
$12.32 |
|
|
|
$11.97 |
|
|
|
$11.33 |
|
|
|
$11.64 |
|
| TOTAL RETURN (a) |
|
|
(4.06 |
)% |
|
|
7.45 |
% |
|
|
10.57 |
% |
|
|
1.86 |
% |
|
|
13.64 |
% |
| RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in thousands) |
|
|
$1,568,533 |
|
|
|
$1,785,176 |
|
|
|
$1,730,904 |
|
|
|
$1,677,925 |
|
|
|
$1,776,803 |
|
| Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
4.14 |
% |
|
|
4.18 |
% |
|
|
4.56 |
% |
|
|
4.54 |
% |
|
|
4.66 |
% |
| Net expenses |
|
|
0.23 |
% |
|
|
0.18 |
% |
|
|
0.19 |
% |
|
|
0.19 |
% |
|
|
0.18 |
% |
| Gross expenses |
|
|
0.23 |
% |
|
|
0.18 |
% |
|
|
0.19 |
% |
|
|
0.19 |
% |
|
|
0.18 |
% |
| Portfolio turnover rate |
|
|
28 |
% |
|
|
28 |
% |
|
|
31 |
% |
|
|
26 |
% |
|
|
33 |
% |
The accompanying Notes are an integral part of these financial statements.
80
Selected data based on a unit outstanding during the fiscal
years indicated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Income Fund |
|
2013 |
|
|
2012 |
|
|
2011 |
|
|
2010 |
|
|
2009 |
|
| Inception date |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12/31/84 |
|
| Net asset value, beginning of period |
|
|
$11.65 |
|
|
|
$11.58 |
|
|
|
$11.18 |
|
|
|
$10.73 |
|
|
|
$10.35 |
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.29 |
|
|
|
0.26 |
|
|
|
0.39 |
|
|
|
0.36 |
|
|
|
0.43 |
|
| Net realized and unrealized
gains/(losses) on investments |
|
|
(0.40 |
) |
|
|
0.42 |
|
|
|
0.48 |
|
|
|
0.52 |
|
|
|
0.38 |
|
| Total income from investment operations |
|
|
(0.11 |
) |
|
|
0.68 |
|
|
|
0.87 |
|
|
|
0.88 |
|
|
|
0.81 |
|
| Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
0.29 |
|
|
|
0.26 |
|
|
|
0.38 |
|
|
|
0.43 |
|
|
|
0.43 |
|
| Net realized gains |
|
|
0.03 |
|
|
|
0.35 |
|
|
|
0.09 |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
0.32 |
|
|
|
0.61 |
|
|
|
0.47 |
|
|
|
0.43 |
|
|
|
0.43 |
|
| Net asset value, end of period |
|
|
$11.22 |
|
|
|
$11.65 |
|
|
|
$11.58 |
|
|
|
$11.18 |
|
|
|
$10.73 |
|
| TOTAL RETURN (a) |
|
|
(0.95 |
)% |
|
|
5.94 |
% |
|
|
7.87 |
% |
|
|
8.31 |
% |
|
|
8.04 |
% |
| RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in thousands) |
|
|
$319,994 |
|
|
|
$364,407 |
|
|
|
$363,029 |
|
|
|
$350,325 |
|
|
|
$338,481 |
|
| Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
2.53 |
% |
|
|
2.20 |
% |
|
|
3.39 |
% |
|
|
3.34 |
% |
|
|
4.15 |
% |
| Net expenses |
|
|
0.28 |
%(b) |
|
|
0.23 |
%(b) |
|
|
0.24 |
%(b) |
|
|
0.23 |
%(b) |
|
|
0.24 |
%(b) |
| Gross expenses |
|
|
0.29 |
% |
|
|
0.25 |
% |
|
|
0.26 |
% |
|
|
0.27 |
% |
|
|
0.27 |
% |
| Portfolio turnover rate |
|
|
330 |
% |
|
|
402 |
% |
|
|
438 |
% |
|
|
357 |
% |
|
|
320 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Money Market Fund |
|
2013 |
|
|
2012 |
|
|
2011 |
|
|
2010 |
|
|
2009 |
|
| Inception date |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
6/13/90 |
|
| Net asset value, beginning of period |
|
|
$1.00 |
|
|
|
$1.00 |
|
|
|
$1.00 |
|
|
|
$1.00 |
|
|
|
$1.00 |
|
| Income/(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
— |
|
|
|
— |
|
|
|
0.00 |
* |
|
|
0.00 |
* |
|
|
0.00 |
* |
| Total income from investment operations |
|
|
— |
|
|
|
— |
|
|
|
0.00 |
* |
|
|
0.00 |
* |
|
|
0.00 |
* |
| Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
— |
|
|
|
— |
|
|
|
0.00 |
* |
|
|
0.00 |
* |
|
|
0.00 |
* |
| Net realized gains |
|
|
0.00 |
* |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
0.00 |
* |
|
|
— |
|
|
|
0.00 |
* |
|
|
0.00 |
* |
|
|
0.00 |
* |
| Net asset value, end of period |
|
|
$1.00 |
|
|
|
$1.00 |
|
|
|
$1.00 |
|
|
|
$1.00 |
|
|
|
$1.00 |
|
| TOTAL RETURN (a) |
|
|
0.04 |
% |
|
|
0.00 |
% |
|
|
0.07 |
% |
|
|
0.15 |
%(c) |
|
|
0.42 |
% |
| RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in thousands) |
|
|
$166,530 |
|
|
|
$164,529 |
|
|
|
$177,378 |
|
|
|
$207,108 |
|
|
|
$244,564 |
|
| Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
— |
% |
|
|
— |
% |
|
|
0.01 |
% |
|
|
0.06 |
% |
|
|
0.43 |
% |
| Net expenses |
|
|
0.11 |
%** |
|
|
0.18 |
%** |
|
|
0.23 |
%** |
|
|
0.26 |
%** |
|
|
0.24 |
%** |
| Gross expenses |
|
|
0.34 |
% |
|
|
0.32 |
% |
|
|
0.32 |
% |
|
|
0.28 |
% |
|
|
0.24 |
% |
Notes to Financial
Highlights
| (a) |
Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
|
| (b) |
Reflects GEAM’s waiver of a portion of the Fund’s advisory and administrative fee (“management fee”) in an amount equal to the management fee earned by GEAM with respect to the Fund’s
investment in an affiliated money market fund managed by GEAM. |
| (c) |
Total return is revised to correct an error in the total return calculation, which was determined not to be material to previously issued financial statements. |
| ** |
GEAM has voluntarily undertaken to reduce its management fee and/or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized yield of 0.00%. |
The accompanying Notes are an integral part of these financial statements.
81
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Assets and Liabilities
December 31, 2013 |
|
ELFUN
INTERNATIONAL
EQUITY FUND |
|
ELFUN
TRUSTS |
| ASSETS |
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at Fair Value (cost $228,192,152; $1,251,876,413; $179,882,522; $1,481,763,054; $315,836,968 and $0,
respectively) |
|
|
$ |
295,986,740 |
|
|
|
$ |
2,250,038,980 |
|
| Short-term investments at Amortized Cost |
|
|
|
— |
|
|
|
|
5,999,900 |
|
| Short-term affiliated investments at Amortized Cost |
|
|
|
10,305,282 |
|
|
|
|
66,918,172 |
|
| Repurchase agreements |
|
|
|
— |
|
|
|
|
— |
|
| Cash |
|
|
|
— |
|
|
|
|
434 |
|
| Restricted cash |
|
|
|
374,000 |
|
|
|
|
— |
|
| Foreign currency (cost $10,553; $0; $1,908; $0; $0 and $0, respectively) |
|
|
|
10,540 |
|
|
|
|
— |
|
| Receivable from GEAM |
|
|
|
— |
|
|
|
|
— |
|
| Receivable for investments sold |
|
|
|
— |
|
|
|
|
— |
|
| Income receivables |
|
|
|
452,513 |
|
|
|
|
4,574,775 |
|
| Receivable for fund shares sold |
|
|
|
16,831 |
|
|
|
|
163,140 |
|
| Variation margin receivable |
|
|
|
13,313 |
|
|
|
|
— |
|
| Other assets |
|
|
|
1,505 |
|
|
|
|
21,012 |
|
| Total assets |
|
|
|
307,160,724 |
|
|
|
|
2,327,716,413 |
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
| Distribution payable to shareholders |
|
|
|
— |
|
|
|
|
— |
|
| Payable for investments purchased |
|
|
|
— |
|
|
|
|
— |
|
| Payable for fund shares redeemed |
|
|
|
79,640 |
|
|
|
|
332,599 |
|
| Payable to GEAM |
|
|
|
8,943 |
|
|
|
|
181,701 |
|
| Accrued other expenses |
|
|
|
147,614 |
|
|
|
|
254,270 |
|
| Variation margin payable |
|
|
|
2,754 |
|
|
|
|
— |
|
| Total liabilities |
|
|
|
238,951 |
|
|
|
|
768,570 |
|
| NET ASSETS |
|
|
$ |
306,921,773 |
|
|
|
$ |
2,326,947,843 |
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
| Capital paid in |
|
|
$ |
283,717,426 |
|
|
|
$ |
1,328,858,190 |
|
| Undistributed (distributions in excess of) net investment income |
|
|
|
(7 |
) |
|
|
|
— |
|
| Accumulated net realized gain (loss) |
|
|
|
(44,871,942 |
) |
|
|
|
(72,914 |
) |
| Net unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
67,794,588 |
|
|
|
|
998,162,567 |
|
| Futures |
|
|
|
266,926 |
|
|
|
|
— |
|
| Foreign currency related transactions |
|
|
|
14,782 |
|
|
|
|
— |
|
| NET ASSETS |
|
|
$ |
306,921,773 |
|
|
|
$ |
2,326,947,843 |
|
| Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized) |
|
|
|
13,995,544 |
|
|
|
|
41,501,047 |
|
| Net asset value, offering and redemption price per share |
|
|
$ |
21.93 |
|
|
|
$ |
56.07 |
|
The accompanying Notes are an integral part of these financial statements.
82
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ELFUN
DIVERSIFIED FUND |
|
ELFUN
TAX-EXEMPT
INCOME FUND |
|
ELFUN
INCOME FUND |
|
ELFUN
MONEY MARKET
FUND |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ |
210,855,830 |
|
|
|
$ |
1,516,265,900 |
|
|
|
$ |
310,876,257 |
|
|
|
$ |
— |
|
| |
|
— |
|
|
|
|
32,348,657 |
|
|
|
|
— |
|
|
|
|
143,096,000 |
|
| |
|
34,675,675 |
|
|
|
|
— |
|
|
|
|
45,248,998 |
|
|
|
|
— |
|
| |
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
26,080,000 |
|
| |
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
|
61,000 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
|
| |
|
1,904 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
8,853 |
|
| |
|
1,011,871 |
|
|
|
|
— |
|
|
|
|
5,164,644 |
|
|
|
|
— |
|
| |
|
738,115 |
|
|
|
|
22,813,501 |
|
|
|
|
2,390,928 |
|
|
|
|
195,106 |
|
| |
|
32,754 |
|
|
|
|
366,783 |
|
|
|
|
127,815 |
|
|
|
|
717,729 |
|
| |
|
55,714 |
|
|
|
|
— |
|
|
|
|
130,203 |
|
|
|
|
— |
|
| |
|
1,406 |
|
|
|
|
14,248 |
|
|
|
|
2,713 |
|
|
|
|
— |
|
| |
|
247,434,269 |
|
|
|
|
1,571,809,089 |
|
|
|
|
363,941,558 |
|
|
|
|
170,097,688 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
— |
|
|
|
|
1,749,204 |
|
|
|
|
221,237 |
|
|
|
|
— |
|
| |
|
11,170,565 |
|
|
|
|
— |
|
|
|
|
43,404,852 |
|
|
|
|
3,099,396 |
|
| |
|
128,243 |
|
|
|
|
896,050 |
|
|
|
|
94,024 |
|
|
|
|
363,807 |
|
| |
|
26,738 |
|
|
|
|
442,701 |
|
|
|
|
84,494 |
|
|
|
|
— |
|
| |
|
205,345 |
|
|
|
|
188,495 |
|
|
|
|
143,009 |
|
|
|
|
104,037 |
|
| |
|
393 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
|
11,531,284 |
|
|
|
|
3,276,450 |
|
|
|
|
43,947,616 |
|
|
|
|
3,567,240 |
|
| |
$ |
235,902,985 |
|
|
|
$ |
1,568,532,639 |
|
|
|
$ |
319,993,942 |
|
|
|
$ |
166,530,448 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ |
205,646,292 |
|
|
|
$ |
1,550,868,137 |
|
|
|
$ |
325,212,078 |
|
|
|
$ |
166,527,844 |
|
| |
|
(1 |
) |
|
|
|
62,826 |
|
|
|
|
365,200 |
|
|
|
|
— |
|
| |
|
(1,119,933 |
) |
|
|
|
(16,901,170 |
) |
|
|
|
(933,603 |
) |
|
|
|
2,604 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
30,973,308 |
|
|
|
|
34,502,846 |
|
|
|
|
(4,960,711 |
) |
|
|
|
— |
|
| |
|
400,834 |
|
|
|
|
— |
|
|
|
|
310,978 |
|
|
|
|
— |
|
| |
|
2,485 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
$ |
235,902,985 |
|
|
|
$ |
1,568,532,639 |
|
|
|
$ |
319,993,942 |
|
|
|
$ |
166,530,448 |
|
|
|
|
|
| |
|
11,887,384 |
|
|
|
|
138,283,045 |
|
|
|
|
28,513,287 |
|
|
|
|
166,729,648 |
|
| |
$ |
19.84 |
|
|
|
$ |
11.34 |
|
|
|
$ |
11.22 |
|
|
|
$ |
1.00 |
|
83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Operations
For the year ended December 31, 2013 |
|
ELFUN
INTERNATIONAL
EQUITY FUND |
|
ELFUN
TRUSTS |
|
|
|
| INVESTMENT INCOME |
|
|
|
|
|
|
|
|
|
|
| Income |
|
|
|
|
|
|
|
|
|
|
| Dividend |
|
|
$ |
6,478,442 |
|
|
|
$ |
31,245,175 |
|
| Interest |
|
|
|
972 |
|
|
|
|
18,113 |
|
| Income from affiliated investments |
|
|
|
978 |
|
|
|
|
9,419 |
|
| Less: Foreign taxes withheld |
|
|
|
(529,806 |
) |
|
|
|
(9,600 |
) |
| Total income |
|
|
|
5,950,586 |
|
|
|
|
31,263,107 |
|
| Expenses |
|
|
|
|
|
|
|
|
|
|
| Advisory and administration fees |
|
|
|
583,127 |
|
|
|
|
2,480,983 |
|
| Blue Sky fees |
|
|
|
5,829 |
|
|
|
|
7,214 |
|
| Transfer agent fees |
|
|
|
86,567 |
|
|
|
|
316,851 |
|
| Custody and accounting expenses |
|
|
|
110,278 |
|
|
|
|
91,312 |
|
| Professional fees |
|
|
|
30,215 |
|
|
|
|
34,043 |
|
| Other expenses |
|
|
|
49,090 |
|
|
|
|
204,488 |
|
| Total expenses before waivers |
|
|
|
865,106 |
|
|
|
|
3,134,891 |
|
| Less: Fees waived by the adviser |
|
|
|
(6,942 |
) |
|
|
|
(59,879 |
) |
| Net expenses |
|
|
|
858,164 |
|
|
|
|
3,075,012 |
|
| Net investment income |
|
|
$ |
5,092,422 |
|
|
|
$ |
28,188,095 |
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
$ |
19,324,019 |
|
|
|
$ |
105,313,057 |
|
| Futures |
|
|
|
1,251,312 |
|
|
|
|
— |
|
| Foreign currency transactions |
|
|
|
(76,571 |
) |
|
|
|
— |
|
|
|
|
| Increase (decrease) in unrealized appreciation/depreciation on: |
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
29,921,448 |
|
|
|
|
488,564,280 |
|
| Futures |
|
|
|
135,960 |
|
|
|
|
— |
|
| Foreign currency translations |
|
|
|
10,955 |
|
|
|
|
— |
|
| Net realized and unrealized gain (loss) on investments |
|
|
|
50,567,123 |
|
|
|
|
593,877,337 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
$ |
55,659,545 |
|
|
|
$ |
622,065,432 |
|
The accompanying Notes are an integral part of these financial statements.
84
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ELFUN
DIVERSIFIED
FUND |
|
ELFUN
TAX-EXEMPT
INCOME FUND |
|
ELFUN
INCOME FUND |
|
ELFUN
MONEY MARKET
FUND |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ |
2,908,295 |
|
|
|
$ |
— |
|
|
|
$ |
9,981 |
|
|
|
$ |
— |
|
| |
|
1,912,882 |
|
|
|
|
73,648,965 |
|
|
|
|
9,600,694 |
|
|
|
|
187,807 |
|
| |
|
5,434 |
|
|
|
|
— |
|
|
|
|
9,417 |
|
|
|
|
— |
|
| |
|
(88,179 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
|
4,738,432 |
|
|
|
|
73,648,965 |
|
|
|
|
9,620,092 |
|
|
|
|
187,807 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
415,676 |
|
|
|
|
3,410,973 |
|
|
|
|
694,561 |
|
|
|
|
320,358 |
|
| |
|
8,297 |
|
|
|
|
11,912 |
|
|
|
|
11,002 |
|
|
|
|
6,036 |
|
| |
|
66,031 |
|
|
|
|
147,931 |
|
|
|
|
84,560 |
|
|
|
|
100,640 |
|
| |
|
199,554 |
|
|
|
|
74,993 |
|
|
|
|
88,502 |
|
|
|
|
63,665 |
|
| |
|
39,287 |
|
|
|
|
38,459 |
|
|
|
|
27,648 |
|
|
|
|
22,120 |
|
| |
|
35,292 |
|
|
|
|
159,041 |
|
|
|
|
78,309 |
|
|
|
|
52,089 |
|
| |
|
764,137 |
|
|
|
|
3,843,309 |
|
|
|
|
984,582 |
|
|
|
|
564,908 |
|
| |
|
(31,606 |
) |
|
|
|
— |
|
|
|
|
(39,752 |
) |
|
|
|
(377,101 |
) |
| |
|
732,531 |
|
|
|
|
3,843,309 |
|
|
|
|
944,830 |
|
|
|
|
187,807 |
|
| |
$ |
4,005,901 |
|
|
|
$ |
69,805,656 |
|
|
|
$ |
8,675,262 |
|
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ |
11,888,761 |
|
|
|
$ |
(16,789,836 |
) |
|
|
$ |
(4,600,740 |
) |
|
|
$ |
2,604 |
|
| |
|
3,700,815 |
|
|
|
|
— |
|
|
|
|
4,330,706 |
|
|
|
|
— |
|
| |
|
(36,917 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
15,087,393 |
|
|
|
|
(123,267,193 |
) |
|
|
|
(12,026,194 |
) |
|
|
|
— |
|
| |
|
207,149 |
|
|
|
|
— |
|
|
|
|
134,000 |
|
|
|
|
— |
|
| |
|
14,522 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
|
30,861,723 |
|
|
|
|
(140,057,029 |
) |
|
|
|
(12,162,228 |
) |
|
|
|
2,604 |
|
| |
$ |
34,867,624 |
|
|
|
$ |
(70,251,373 |
) |
|
|
$ |
(3,486,966 |
) |
|
|
$ |
2,604 |
|
85
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets
For the year ended December 31, 2013 and 2012 |
|
ELFUN
INTERNATIONAL EQUITY FUND |
| |
|
2013 |
|
2012 |
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
| Operations: |
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
$ |
5,092,422 |
|
|
|
$ |
4,944,039 |
|
| Net realized gain (loss) on investments, futures and foreign currency transactions |
|
|
|
20,498,760 |
|
|
|
|
(5,317,452 |
) |
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and foreign
currency translations |
|
|
|
30,068,363 |
|
|
|
|
47,807,933 |
|
| Net increase (decrease) from operations |
|
|
|
55,659,545 |
|
|
|
|
47,434,520 |
|
| Distributions to shareholders from: |
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
|
(5,047,548 |
) |
|
|
|
(4,895,055 |
) |
| Net realized gains |
|
|
|
— |
|
|
|
|
— |
|
| Return of capital |
|
|
|
— |
|
|
|
|
(12,291 |
) |
| Total distributions |
|
|
|
(5,047,548 |
) |
|
|
|
(4,907,346 |
) |
| Increase (decrease) in assets from operations and distributions |
|
|
|
50,611,997 |
|
|
|
|
42,527,174 |
|
| Share transactions: |
|
|
|
|
|
|
|
|
|
|
| Proceeds from sale of shares |
|
|
|
8,363,427 |
|
|
|
|
3,744,216 |
|
| Value of distributions reinvested |
|
|
|
4,490,586 |
|
|
|
|
4,366,262 |
|
| Cost of shares redeemed |
|
|
|
(17,272,192 |
) |
|
|
|
(30,481,719 |
) |
| Net increase (decrease) from share transactions |
|
|
|
(4,418,179 |
) |
|
|
|
(22,371,241 |
) |
| Total increase (decrease) in net assets |
|
|
|
46,193,818 |
|
|
|
|
20,155,933 |
|
|
|
|
| NET ASSETS |
|
|
|
|
|
|
|
|
|
|
| Beginning of year |
|
|
|
260,727,955 |
|
|
|
|
240,572,022 |
|
| End of year |
|
|
$ |
306,921,773 |
|
|
|
$ |
260,727,955 |
|
| Undistributed (distributions in excess of) net investment income, end of period |
|
|
$ |
(7 |
) |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CHANGES IN FUND SHARES |
|
|
|
|
| Shares sold |
|
|
|
421,399 |
|
|
|
|
217,843 |
|
| Issued for distributions reinvested |
|
|
|
208,476 |
|
|
|
|
240,035 |
|
| Shares redeemed |
|
|
|
(875,133 |
) |
|
|
|
(1,806,444 |
) |
| Net increase (decrease) in fund shares |
|
|
|
(245,258 |
) |
|
|
|
(1,348,566 |
) |
The accompanying Notes are an integral part of these financial statements.
86
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ELFUN
TRUSTS |
|
ELFUN
DIVERSIFIED
FUND |
| 2013 |
|
2012 |
|
2013 |
|
2012 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ |
28,188,095 |
|
|
|
$ |
29,274,121 |
|
|
|
$ |
4,005,901 |
|
|
|
$ |
3,770,340 |
|
| |
|
105,313,057 |
|
|
|
|
155,089,993 |
|
|
|
|
15,552,659 |
|
|
|
|
8,283,414 |
|
| |
|
488,564,280 |
|
|
|
|
159,261,287 |
|
|
|
|
15,309,064 |
|
|
|
|
13,880,509 |
|
| |
|
622,065,432 |
|
|
|
|
343,625,401 |
|
|
|
|
34,867,624 |
|
|
|
|
25,934,263 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
(28,390,137 |
) |
|
|
|
(29,087,847 |
) |
|
|
|
(3,909,807 |
) |
|
|
|
(3,891,778 |
) |
| |
|
(105,323,220 |
) |
|
|
|
(154,897,004 |
) |
|
|
|
(13,026,535 |
) |
|
|
|
— |
|
| |
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
| |
|
(133,713,357 |
) |
|
|
|
(183,984,851 |
) |
|
|
|
(16,936,342 |
) |
|
|
|
(3,891,778 |
) |
| |
|
488,352,075 |
|
|
|
|
159,640,550 |
|
|
|
|
17,931,282 |
|
|
|
|
22,042,485 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
52,506,920 |
|
|
|
|
30,935,402 |
|
|
|
|
10,856,991 |
|
|
|
|
4,817,625 |
|
| |
|
106,119,503 |
|
|
|
|
143,256,192 |
|
|
|
|
14,739,769 |
|
|
|
|
3,393,450 |
|
| |
|
(140,293,251 |
) |
|
|
|
(160,965,847 |
) |
|
|
|
(20,793,272 |
) |
|
|
|
(27,180,093 |
) |
| |
|
18,333,172 |
|
|
|
|
13,225,747 |
|
|
|
|
4,803,488 |
|
|
|
|
(18,969,018 |
) |
| |
|
506,685,247 |
|
|
|
|
172,866,297 |
|
|
|
|
22,734,770 |
|
|
|
|
3,073,467 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
1,820,262,596 |
|
|
|
|
1,647,396,299 |
|
|
|
|
213,168,215 |
|
|
|
|
210,094,748 |
|
| |
$ |
2,326,947,843 |
|
|
|
$ |
1,820,262,596 |
|
|
|
$ |
235,902,985 |
|
|
|
$ |
213,168,215 |
|
| |
$ |
— |
|
|
|
$ |
212,099 |
|
|
|
$ |
(1 |
) |
|
|
$ |
12,537 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
1,021,591 |
|
|
|
|
670,537 |
|
|
|
|
547,872 |
|
|
|
|
269,204 |
|
| |
|
1,906,579 |
|
|
|
|
3,275,926 |
|
|
|
|
747,832 |
|
|
|
|
186,249 |
|
| |
|
(2,737,265 |
) |
|
|
|
(3,459,740 |
) |
|
|
|
(1,054,014 |
) |
|
|
|
(1,522,513 |
) |
| |
|
190,905 |
|
|
|
|
486,723 |
|
|
|
|
241,690 |
|
|
|
|
(1,067,060 |
) |
87
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets
For the year ended December 31, 2013 and 2012 |
|
ELFUN
TAX-EXEMPT INCOME FUND |
| |
|
2013 |
|
2012 |
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
| Operations: |
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
$ |
69,805,656 |
|
|
|
$ |
74,487,317 |
|
| Net realized gain (loss) on investments, futures and foreign currency transactions |
|
|
|
(16,789,836 |
) |
|
|
|
9,830,803 |
|
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and foreign
currency translations |
|
|
|
(123,267,193 |
) |
|
|
|
43,096,832 |
|
| Net increase (decrease) from operations |
|
|
|
(70,251,373 |
) |
|
|
|
127,414,952 |
|
| Distributions to shareholders from: |
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
|
(69,805,656 |
) |
|
|
|
(74,487,316 |
) |
| Net realized gains |
|
|
|
(19,351 |
) |
|
|
|
(2,492,732 |
) |
| Total distributions |
|
|
|
(69,825,007 |
) |
|
|
|
76,980,048 |
|
| Increase (decrease) in assets from operations and distributions |
|
|
|
(140,076,380 |
) |
|
|
|
50,434,904 |
|
| Share transactions: |
|
|
|
|
|
|
|
|
|
|
| Proceeds from sale of shares |
|
|
|
51,347,357 |
|
|
|
|
82,308,974 |
|
| Value of distributions reinvested |
|
|
|
47,821,362 |
|
|
|
|
53,624,284 |
|
| Cost of shares redeemed |
|
|
|
(175,736,389 |
) |
|
|
|
(132,095,738 |
) |
| Net increase (decrease) from share transactions |
|
|
|
(76,567,670 |
) |
|
|
|
3,837,520 |
|
| Total increase (decrease) in net assets |
|
|
|
(216,644,050 |
) |
|
|
|
54,272,424 |
|
|
|
|
| NET ASSETS |
|
|
|
|
|
|
|
|
|
|
| Beginning of year |
|
|
|
1,785,176,689 |
|
|
|
|
1,730,904,265 |
|
| End of year |
|
|
$ |
1,568,532,639 |
|
|
|
$ |
1,785,176,689 |
|
| Undistributed (distributions in excess of) net investment income, end of period |
|
|
$ |
62,826 |
|
|
|
$ |
69,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CHANGES IN FUND SHARES |
|
|
|
|
| Shares sold |
|
|
|
4,304,139 |
|
|
|
|
6,712,401 |
|
| Issued for distributions reinvested |
|
|
|
4,061,921 |
|
|
|
|
4,360,704 |
|
| Shares redeemed |
|
|
|
(15,039,292 |
) |
|
|
|
(10,751,068 |
) |
| Net increase (decrease) in fund shares |
|
|
|
(6,673,232 |
) |
|
|
|
322,037 |
|
The accompanying Notes are an integral part of these financial statements.
88
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ELFUN
INCOME FUND |
|
ELFUN
MONEY MARKET FUND |
| 2013 |
|
2012 |
|
2013 |
|
2012 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ |
8,675,262 |
|
|
|
$ |
8,117,966 |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
|
|
| |
|
(270,034 |
) |
|
|
|
11,250,752 |
|
|
|
|
2,604 |
|
|
|
|
— |
|
|
|
|
|
| |
|
(11,892,194 |
) |
|
|
|
1,917,460 |
|
|
|
|
— |
|
|
|
|
99,390 |
|
| |
|
(3,486,966 |
) |
|
|
|
21,286,178 |
|
|
|
|
2,604 |
|
|
|
|
99,390 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
(8,585,695 |
) |
|
|
|
(8,146,815 |
) |
|
|
|
— |
|
|
|
|
— |
|
| |
|
(928,338 |
) |
|
|
|
(10,694,540 |
) |
|
|
|
(67,655 |
) |
|
|
|
— |
|
| |
|
(9,514,033 |
) |
|
|
|
(18,841,355 |
) |
|
|
|
(67,655 |
) |
|
|
|
— |
|
| |
|
(13,000,999 |
) |
|
|
|
2,444,823 |
|
|
|
|
(65,051 |
) |
|
|
|
99,390 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
16,866,303 |
|
|
|
|
23,625,062 |
|
|
|
|
109,988,330 |
|
|
|
|
88,054,540 |
|
| |
|
7,097,620 |
|
|
|
|
14,077,854 |
|
|
|
|
61,134 |
|
|
|
|
— |
|
| |
|
(55,375,961 |
) |
|
|
|
(38,769,376 |
) |
|
|
|
(107,982,347 |
) |
|
|
|
(101,003,664 |
) |
| |
|
(31,412,038 |
) |
|
|
|
(1,066,460 |
) |
|
|
|
2,067,117 |
|
|
|
|
(12,949,124 |
) |
| |
|
(44,413,037 |
) |
|
|
|
1,378,363 |
|
|
|
|
2,002,066 |
|
|
|
|
(12,849,734 |
) |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
364,406,979 |
|
|
|
|
363,028,616 |
|
|
|
|
164,528,382 |
|
|
|
|
177,378,116 |
|
| |
$ |
319,993,942 |
|
|
|
$ |
364,406,979 |
|
|
|
$ |
166,530,448 |
|
|
|
$ |
164,528,382 |
|
| |
$ |
365,200 |
|
|
|
$ |
294,677 |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
1,472,564 |
|
|
|
|
1,996,771 |
|
|
|
|
109,920,330 |
|
|
|
|
88,054,540 |
|
| |
|
624,675 |
|
|
|
|
1,199,889 |
|
|
|
|
61,134 |
|
|
|
|
– |
|
| |
|
(4,861,886 |
) |
|
|
|
(3,269,123 |
) |
|
|
|
(107,982,347 |
) |
|
|
|
(101,003,664 |
) |
| |
|
(2,764,647 |
) |
|
|
|
(72,463 |
) |
|
|
|
1,999,117 |
|
|
|
|
(12,949,124 |
) |
89
December 31, 2013
| 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 investment objectives or policies. The Funds’ custodian takes possession of the collateral pledged for investments in
repurchase agreements on behalf of the Funds. The Funds value the underlying collateral daily on a mark-to-market basis to determine that the value, including accrued interest, is at least equal
to 102% for domestic securities and 105% for 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
90
December 31, 2013
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 to 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 The Elfun Income Fund and Elfun Diversified Fund purchases or sells
securities on a when-issued or forward commitment basis. These transactions are arrangements in which the Fund purchases and sells 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
Certain Funds may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage 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 a Fund’s 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. A Fund’s risks in using these contracts include changes in the value of foreign currency or the possibility that the
counterparties do not perform under the contracts’ terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its
91
December 31, 2013
custodian in an amount equal to the value of a 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. |
Security Valuation and Transactions |
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.
92
December 31, 2013
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 circum stances 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.
93
December 31, 2013
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 quotations 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, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun International Equity Fund |
|
Investments in Securities † |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
$ |
289,698,653 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
289,698,653 |
|
|
|
Preferred Stocks |
|
|
6,288,087 |
|
|
|
— |
|
|
|
— |
|
|
|
6,288,087 |
|
| |
|
Short-Term Investments |
|
|
10,305,282 |
|
|
|
— |
|
|
|
— |
|
|
|
10,305,282 |
|
| |
|
Total Investments in Securities |
|
$ |
306,292,022 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
306,292,022 |
|
|
|
Other Financial Instruments * |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Futures Contracts — Unrealized Appreciation |
|
$ |
266,926 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
266,926 |
|
|
|
|
|
|
|
| Elfun Trusts |
|
Investments in Securities † |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
$ |
2,250,038,980 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,250,038,980 |
|
|
|
U.S. Treasuries |
|
|
— |
|
|
|
5,999,900 |
|
|
|
— |
|
|
|
5,999,900 |
|
| |
|
Short-Term Investments |
|
|
66,918,172 |
|
|
|
— |
|
|
|
— |
|
|
|
66,918,172 |
|
| |
|
Total Investments in Securities |
|
$ |
2,316,957,152 |
|
|
$ |
5,999,900 |
|
|
$ |
— |
|
|
$ |
2,322,957,052 |
|
94
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Elfun Diversified Fund |
|
Investments in Securities † |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Domestic Equity |
|
$ |
82,727,112 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
82,727,112 |
|
|
|
Foreign Equity |
|
|
51,883,063 |
|
|
|
— |
|
|
|
— |
|
|
|
51,883,063 |
|
|
|
U.S. Treasuries |
|
|
— |
|
|
|
9,956,601 |
|
|
|
— |
|
|
|
9,956,601 |
|
|
|
Agency Mortgage Backed |
|
|
— |
|
|
|
21,868,142 |
|
|
|
— |
|
|
|
21,868,142 |
|
|
|
Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
245,262 |
|
|
|
— |
|
|
|
245,262 |
|
|
|
Asset Backed |
|
|
— |
|
|
|
30,016 |
|
|
|
— |
|
|
|
30,016 |
|
|
|
Corporate Notes |
|
|
— |
|
|
|
29,627,826 |
|
|
|
— |
|
|
|
29,627,826 |
|
|
|
Non-Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
4,179,318 |
|
|
|
— |
|
|
|
4,179,318 |
|
|
|
Sovereign Bonds |
|
|
— |
|
|
|
1,298,445 |
|
|
|
— |
|
|
|
1,298,445 |
|
|
|
Municipal Bonds and Notes |
|
|
— |
|
|
|
373,289 |
|
|
|
— |
|
|
|
373,289 |
|
|
|
Exchange Traded Funds |
|
|
8,666,756 |
|
|
|
— |
|
|
|
— |
|
|
|
8,666,756 |
|
| |
|
Short-Term Investments |
|
|
34,675,675 |
|
|
|
— |
|
|
|
— |
|
|
|
34,675,675 |
|
| |
|
Total Investments in Securities |
|
$ |
177,952,606 |
|
|
$ |
67,578,899 |
|
|
$ |
— |
|
|
$ |
245,531,505 |
|
|
|
Other Financial Instruments * |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Futures Contracts — Unrealized Appreciation |
|
$ |
336,662 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
336,662 |
|
|
|
Long Futures Contracts — Unrealized Depreciation |
|
|
(85,986 |
) |
|
|
— |
|
|
|
— |
|
|
|
(85,986 |
) |
| |
|
Short Futures Contracts — Unrealized Appreciation |
|
|
150,158 |
|
|
|
— |
|
|
|
— |
|
|
|
150,158 |
|
| |
|
Total Other Financial Instruments |
|
$ |
400,834 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
400,834 |
|
|
|
|
|
|
|
| Elfun Tax-Exempt Income Fund |
|
Investments in Securities † |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds and Notes |
|
$ |
— |
|
|
$ |
1,516,265,900 |
|
|
$ |
— |
|
|
$ |
1,516,265,900 |
|
| |
|
Short-Term Investments |
|
|
— |
|
|
|
32,348,657 |
|
|
|
— |
|
|
|
32,348,657 |
|
| |
|
Total Investments in Securities |
|
$ |
— |
|
|
$ |
1,548,614,557 |
|
|
$ |
— |
|
|
$ |
1,548,614,557 |
|
95
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Investments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Elfun Income Fund |
|
Investments in Securities † |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasuries |
|
$ |
— |
|
|
$ |
47,244,805 |
|
|
$ |
— |
|
|
$ |
47,244,805 |
|
|
|
Agency Mortgage Backed |
|
|
— |
|
|
|
96,415,632 |
|
|
|
— |
|
|
|
96,415,632 |
|
|
|
Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
1,352,598 |
|
|
|
— |
|
|
|
1,352,598 |
|
|
|
Asset Backed |
|
|
— |
|
|
|
1,174,565 |
|
|
|
— |
|
|
|
1,174,565 |
|
|
|
Corporate Notes |
|
|
— |
|
|
|
133,130,420 |
|
|
|
— |
|
|
|
133,130,420 |
|
|
|
Non-Agency Collateralized Mortgage Obligations |
|
|
— |
|
|
|
22,324,699 |
|
|
|
— |
|
|
|
22,324,699 |
|
|
|
Sovereign Bonds |
|
|
— |
|
|
|
6,727,598 |
|
|
|
— |
|
|
|
6,727,598 |
|
|
|
Municipal Bonds and Notes |
|
|
— |
|
|
|
2,100,984 |
|
|
|
— |
|
|
|
2,100,984 |
|
|
|
Preferred Stock |
|
|
404,956 |
|
|
|
— |
|
|
|
— |
|
|
|
404,956 |
|
| |
|
Short-Term Investments |
|
|
45,248,998 |
|
|
|
— |
|
|
|
— |
|
|
|
45,248,998 |
|
| |
|
Total Investments in Securities |
|
$ |
45,653,954 |
|
|
$ |
310,471,301 |
|
|
$ |
— |
|
|
$ |
356,125,255 |
|
|
|
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures Contracts — Unrealized Appreciation |
|
$ |
706,870 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
706,870 |
|
| |
|
Long Futures Contracts — Unrealized Depreciation |
|
|
(395,892 |
) |
|
|
— |
|
|
|
— |
|
|
|
(395,892 |
) |
| |
|
Total Other Financial Instruments |
|
$ |
310,978 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
310,978 |
|
|
|
|
|
|
|
| Elfun Money Market Fund |
|
Investments in Securities † |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasuries |
|
$ |
— |
|
|
$ |
67,343,142 |
|
|
$ |
— |
|
|
$ |
67,343,142 |
|
|
|
U.S. Government Agency Obligations |
|
|
— |
|
|
|
72,201,071 |
|
|
|
— |
|
|
|
72,201,071 |
|
|
|
Repurchase Agreements |
|
|
— |
|
|
|
26,080,000 |
|
|
|
— |
|
|
|
26,080,000 |
|
|
|
Certificates of Deposit |
|
|
— |
|
|
|
3,400,000 |
|
|
|
— |
|
|
|
3,400,000 |
|
| |
|
Time Deposit |
|
|
— |
|
|
|
151,787 |
|
|
|
— |
|
|
|
151,787 |
|
| |
|
Total Investments in Securities |
|
$ |
— |
|
|
$ |
169,176,000 |
|
|
$ |
— |
|
|
$ |
169,176,000 |
|
| † |
See Schedules of Investments for industry classification. |
| * |
Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end. |
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 December 31, 2012 which are classified as Level 1 at December 31, 2013. The value of securities
that were transferred to Level 1 from Level 2 as a result was $188,101,930 and $27,121,009, respectively.
There were no other transfers between fair value levels.
Transfers between fair value levels are considered to occur at the beginning of the period.
96
December 31, 2013
| 4. |
Derivatives Disclosure |
Shown below are the derivative contracts entered into by each
Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, none of which are accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and
Hedging as of December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives December 31, 2013 |
|
|
Liability Derivatives December 31, 2013 |
|
Derivatives not accounted for as
hedging instruments under ASC 815 |
|
Location in the Statements
of Assets and Liabilities |
|
Fair
Value ($) |
|
|
Location in the Statements
of Assets and Liabilities |
|
Fair
Value ($) |
|
| Elfun International Equity Fund |
|
| Equity Contracts |
|
Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
266,926 |
* |
|
Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
— |
|
| Elfun Diversified Fund |
|
| Equity Contracts |
|
Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
336,662 |
* |
|
Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
— |
|
| Interest Rate Contracts |
|
Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
150,158 |
* |
|
Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
(85,986 |
)* |
| Elfun Income Fund |
|
| Interest Rate Contracts |
|
Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
706,870 |
* |
|
Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures |
|
|
(395,892 |
)* |
| * |
Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and
Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities. |
Shown below are the effects of derivative instruments on each Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for
as hedging instruments under ASC 815.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted
for as hedging instruments
under ASC 815 |
|
Location in the
Statements of Operations |
|
Total Notional
Amount of Futures
Contracts/Foreign Currency
Forward Contracts
Purchased/(Sold) ($) |
|
Realized Gain
(Loss) on
Derivatives
Recognized
in Income ($) |
|
Change in Unrealized
Appreciation (Depreciation)
on
Derivatives Recognized in Income ($) |
| Elfun International Equity Fund |
|
| Equity Contracts |
|
Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures |
|
|
|
32,606,585/(32,276,013) |
|
|
|
|
1,251,312 |
|
|
|
|
135,960 |
|
97
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted
for as hedging instruments
under ASC 815 |
|
Location in the
Statements of Operations |
|
Total Notional
Amount of Futures
Contracts/Foreign Currency
Forward Contracts
Purchased/(Sold) ($) |
|
Realized Gain
(Loss) on
Derivatives
Recognized
in Income ($) |
|
Change in Unrealized
Appreciation (Depreciation)
on
Derivatives Recognized in Income ($) |
| Elfun Diversified Fund |
|
| Equity Contracts |
|
Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures |
|
|
|
52,906,053/(73,989,953) |
|
|
|
|
2,741,939 |
|
|
|
|
206,368 |
|
| Interest Rate Contracts |
|
Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures |
|
|
|
191,508,581/(165,112,491) |
|
|
|
|
958,876 |
|
|
|
|
781 |
|
| Foreign Currency Forward Exchange Contracts |
|
Realized gain/(loss) on
foreign currency related transactions, Increase/
(decrease) in unrealized appreciation/(depreciation)
on foreign currency related transactions |
|
|
|
–/(7,321,938) |
|
|
|
|
(12,536 |
) |
|
|
|
13,204 |
|
| Elfun Income Fund |
|
| Interest Rate Contracts |
|
Realized gain/(loss) on
futures, Increase/(decrease) in unrealized appreciation/(depreciation) on
Futures |
|
|
|
836,409,079/829,746,692 |
|
|
|
|
4,330,706 |
|
|
|
|
134,000 |
|
The Funds share a revolving credit facility of up to $150 million with
a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.10% per annum on the daily
unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net
assets. In addition, the Funds have a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal
Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) its prospectus limitation or (ii) 20% of its net assets. The credit facilities were not utilized
by the Funds during the period ended December 31, 2013.
98
December 31, 2013
| 6. |
Compensation and Fees paid to Affiliates |
During 2013, the Funds incurred expenses for
the cost of services rendered by GEAM as investment adviser and administrator.
These expenses are included as advisory and administration fees (“Management
Fees”) in the Statements of
Operations. The Trustees received no compensation as Trustees for the Elfun Funds.
GEAM has a contractual
arrangement with each Fund (except the Elfun Tax-Exempt Income Fund and the Elfun Money Market Fund) to waive a portion of the Funds’ Management fees in the amount equal to the Management fee earned by GEAM with respect to the Funds’
investment in the GE Institutional Money Market Fund.
| 7. |
Investment Transactions |
Purchases and Sales of Securities
The cost of purchases and the proceeds from sales of investments, other than short-term securities and short-term options, for the year ended December 31,
2013, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
U.S. Government Securities |
|
|
Other Securities |
|
| Fund |
|
Purchases |
|
|
Sales |
|
|
Purchases |
|
|
Sales |
|
| Elfun International Equity Fund |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
133,138,560 |
|
|
$ |
139,759,066 |
|
| Elfun Trusts |
|
|
— |
|
|
|
— |
|
|
|
235,716,728 |
|
|
|
348,136,105 |
|
| Elfun Diversified Fund |
|
|
187,801,382 |
|
|
|
195,289,940 |
|
|
|
99,465,996 |
|
|
|
101,213,274 |
|
| Elfun Tax-Exempt Income Fund |
|
|
— |
|
|
|
— |
|
|
|
467,340,145 |
|
|
|
581,458,909 |
|
| Elfun Income Fund |
|
|
882,712,049 |
|
|
|
937,506,622 |
|
|
|
201,064,300 |
|
|
|
151,301,121 |
|
The Funds are subject to ASC 740, Income Taxes. ASC 740 provides
guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured,
presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions
taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions
are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Funds’ net assets required under ASC 740. The Funds’ 2010, 2011, 2012 and 2013 fiscal years tax returns are still open
to examination by the Federal and applicable state tax authorities.
At December 31, 2013, information on the tax cost of
investments and distributable earnings on a tax basis was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Tax |
|
|
Net Tax Appreciation/
(Depreciation) |
|
|
|
|
|
|
|
| Fund |
|
Cost of
Investment for
Tax Purposes |
|
|
Appreciation |
|
|
Depreciation |
|
|
Investments |
|
|
Derivatives/
Currency |
|
|
Undistributed
Income |
|
|
Undistributed
Accum.
Capital
Gain/(Loss) |
|
|
Late-Year
Losses |
|
| Elfun International Equity Fund |
|
$ |
240,657,888 |
|
|
$ |
67,544,994 |
|
|
$ |
(1,910,860 |
) |
|
$ |
65,634,134 |
|
|
$ |
281,708 |
|
|
$ |
— |
|
|
$ |
(42,526,078 |
) |
|
$ |
— |
|
| Elfun Trusts |
|
|
1,324,867,399 |
|
|
|
998,240,094 |
|
|
|
(150,441 |
) |
|
|
998,089,653 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Elfun Diversified Fund |
|
|
215,441,861 |
|
|
|
33,160,623 |
|
|
|
(3,070,979 |
) |
|
|
30,089,644 |
|
|
|
403,318 |
|
|
|
— |
|
|
|
150,180 |
|
|
|
— |
|
99
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Tax |
|
|
Net Tax Appreciation/
(Depreciation) |
|
|
|
|
|
|
|
| Fund |
|
Cost of
Investment for
Tax Purposes |
|
|
Appreciation |
|
|
Depreciation |
|
|
Investments |
|
|
Derivatives/
Currency |
|
|
Undistributed
Income |
|
|
Undistributed
Accum.
Capital
Gain/(Loss) |
|
|
Late-Year
Losses |
|
| Elfun Tax-Exempt Income Fund |
|
$
|
1,514,230,856 |
|
|
$
|
62,716,692 |
|
|
$
|
(28,332,991 |
) |
|
$
|
34,383,701 |
|
|
$
|
— |
|
|
$
|
62,826 |
|
|
$
|
(15,534,650 |
) |
|
$
|
(1,247,375 |
) |
| Elfun Income Fund |
|
|
361,234,901 |
|
|
|
3,906,779 |
|
|
|
(9,016,425 |
) |
|
|
(5,109,646 |
) |
|
|
310,978 |
|
|
|
365,200 |
|
|
|
(359,461 |
) |
|
|
(114,229 |
) |
| Elfun Money Market Fund |
|
|
169,176,000 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,604 |
|
|
|
— |
|
|
|
— |
|
As of December 31, 2013, 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 offset will not be
distributed to shareholders.
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Amount |
|
| Fund |
|
Short-Term |
|
|
Long-Term |
|
|
Expires |
|
| Elfun International Equity Fund |
|
$ |
29,043,575 |
|
|
$ |
— |
|
|
|
12/31/17 |
|
|
|
|
13,482,503 |
|
|
|
— |
|
|
|
12/31/18 |
|
| Elfun Income Fund |
|
|
359,461 |
|
|
|
— |
|
|
|
Unlimited |
|
| Elfun Tax-Exempt Income Fund |
|
|
11,087,017 |
|
|
|
4,447,633 |
|
|
|
Unlimited |
|
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,
2013, the Funds utilized prior year capital loss carryovers as follows:
|
|
|
|
|
| Fund |
|
Amount |
|
| Elfun International Equity Fund |
|
$ |
19,329,179 |
|
| Elfun Diversified Fund |
|
|
2,044,657 |
|
Any qualified late-year loss is deemed to arise on the first day of the Funds’ next tax year (if the Funds elect to defer such loss).
Under this regime, generally, the Funds 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 Funds elected to defer qualified late-year losses for the year ended December 31, 2013 as follows:
|
|
|
|
|
|
|
|
|
| Fund |
|
Capital |
|
|
Ordinary |
|
| Elfun Tax-Exempt Income Fund |
|
$ |
(1,247,375 |
) |
|
$ |
— |
|
| Elfun Income Fund |
|
|
(114,229 |
) |
|
|
— |
|
100
December 31, 2013
The tax character of distributions paid during the year ended
December 31, 2013, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Exempt
Income |
|
|
Ordinary
Income |
|
|
Long-Term
Capital Gains |
|
|
Return of
Capital |
|
|
Total |
|
| Elfun International Equity Fund |
|
$ |
— |
|
|
$ |
5,047,548 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,047,548 |
|
| Elfun Trusts |
|
|
— |
|
|
|
28,390,283 |
|
|
|
105,323,074 |
|
|
|
— |
|
|
|
133,713,357 |
|
| Elfun Diversified Fund |
|
|
— |
|
|
|
4,299,523 |
|
|
|
12,636,819 |
|
|
|
— |
|
|
|
16,936,342 |
|
| Elfun Tax-Exempt Income Fund |
|
|
67,843,440 |
|
|
|
1,963,314 |
|
|
|
18,253 |
|
|
|
— |
|
|
|
69,825,007 |
|
| Elfun Income Fund |
|
|
— |
|
|
|
9,514,033 |
|
|
|
— |
|
|
|
— |
|
|
|
9,514,033 |
|
| Elfun Money Market Fund |
|
|
— |
|
|
|
67,655 |
|
|
|
— |
|
|
|
— |
|
|
|
67,655 |
|
The tax character of distributions paid during the year ended December 31, 2012, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Exempt
Income |
|
|
Ordinary
Income |
|
|
Long-Term
Capital Gains |
|
|
Return of
Capital |
|
|
Total |
|
| Elfun International Equity Fund |
|
$ |
— |
|
|
$ |
4,895,055 |
|
|
$ |
— |
|
|
$ |
12,291 |
|
|
$ |
4,907,346 |
|
| Elfun Trusts |
|
|
— |
|
|
|
29,233,534 |
|
|
|
154,751,317 |
|
|
|
— |
|
|
|
183,984,851 |
|
| Elfun Diversified Fund |
|
|
— |
|
|
|
3,891,778 |
|
|
|
— |
|
|
|
— |
|
|
|
3,891,778 |
|
| Elfun Tax-Exempt Income Fund |
|
|
72,267,756 |
|
|
|
2,219,560 |
|
|
|
2,492,732 |
|
|
|
— |
|
|
|
76,980,048 |
|
| Elfun Income Fund |
|
|
— |
|
|
|
18,841,355 |
|
|
|
— |
|
|
|
— |
|
|
|
18,841,355 |
|
| Elfun Money Market Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Distributions to Shareholders
Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund declare net investment income dividends daily
and pay them monthly. All other Funds declare and pay dividends from net investment income, if any, annually. All Funds declare and pay net realized capital gains distributions, if any, annually. The character of income and gains to be distributed
is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) treatment of realized and unrealized gains and losses on foreign currency
contracts, futures, investments organized as partnerships for tax purposes,
distributions from Real Estate Investment Trusts (REITs) and other equity investments, tax redesignations, passive foreign investment company gains and losses, distributions in excess of
earnings, losses deferred due to offsetting positions, and losses deferred due to wash sale transactions. Reclassifications are made to the Funds’ capital accounts to reflect income and gains available for distribution (or available capital
loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or net asset value of the Funds. The calculation of net investment income per share in the Financial Highlights
table excludes these adjustments.
The reclassifications for the year ended December 31,
2013 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Undistributed
Net Investment
Income |
|
|
Accumulated
Net Realized
Loss |
|
|
Paid In
Capital |
|
| Elfun International Equity Fund |
|
$ |
(44,881 |
) |
|
$ |
205,375 |
|
|
$ |
(160,494 |
) |
| Elfun Trusts |
|
|
(10,057 |
) |
|
|
10,163 |
|
|
|
(106 |
) |
| Elfun Diversified Fund |
|
|
(108,632 |
) |
|
|
158,225 |
|
|
|
(49,593 |
) |
| Elfun Tax-Exempt Income Fund |
|
|
(6,946 |
) |
|
|
6,946 |
|
|
|
— |
|
| Elfun Income Fund |
|
|
(19,044 |
) |
|
|
191,839 |
|
|
|
(172,795 |
) |
101
The Unitholders and Board of Trustees
Elfun Funds:
We have audited the accompanying statements of assets and
liabilities, including the schedules of investments, of the Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Money Market Fund (collectively, the “Funds”), as
of December 31, 2013 and the related statements of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year
period then ended. These financial statements and financial highlights are the responsibility of the 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 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, 2013 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, 2013, the results of their operations, changes in their net assets and financial
highlights for each of the years described above, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 24, 2014
102
For the year ended December 31, 2013
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, 2013, 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:
|
|
|
|
|
|
|
|
|
| |
|
Total Foreign
Source Income |
|
|
Total Foreign
Taxes Paid |
|
| Elfun International Equity Fund |
|
$ |
6,157,352 |
|
|
$ |
512,394 |
|
For the year ended December 31, 2013, the following Funds hereby designate as capital gain dividends the amounts set forth, or the amount
ultimately treated as capital gain net income:
|
|
|
|
|
| Fund |
|
Gross Amount |
|
| Elfun Trusts |
|
$ |
105,323,074 |
|
| Elfun Diversfied Fund |
|
|
12,636,819 |
|
| Elfun Tax-Exempt Income Fund |
|
|
18,253 |
|
For the year ended December 31, 2013, certain dividends paid by the fund may be subject to a reduced income tax rate. The following
represent the amounts that may be considered qualified dividend income:
|
|
|
|
|
| Fund |
|
Qualified Dividend Income |
|
| Elfun International Equity Fund |
|
$ |
6,170,685 |
|
| Elfun Trusts |
|
|
28,390,283 |
|
| Elfun Diversified Fund |
|
|
2,507,308 |
|
For corporate shareholders, of the ordinary dividends paid, the following represent the amounts that may be eligible for the dividends
received deduction:
|
|
|
|
|
| Fund |
|
Dividends Received Deduction |
|
| Elfun Trusts |
|
|
100.00 |
% |
| Elfun Diversified Fund |
|
|
32.45 |
% |
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.
103
The Board of Trustees of the Elfun Funds1 (the “Board”)
considered and all those that were present unanimously approved the continuance for an additional year of the investment advisory agreements with GE Asset Management Incorporated (“GEAM”) at a meeting held on December 16, 2013.
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
GEAM’s infrastructure, systems and shareholder servicing model. 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, the optimization of its Fund administration platform and the continued 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 and enhanced 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”).
104
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 of certain Funds 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. 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, because
of a moderate increase in assets, the Funds slightly benefited from economies of scale, which, in some instances, lowered the Funds’ operating expenses. The Board noted that the Funds (except for the Elfun Money Market Fund) 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 also noted that, with respect to the Elfun Money Market Fund, GEAM voluntarily undertook to reduce its management
fee or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized net yield of 0.00%.
The Board members recognized the
significant benefits to the Funds resulting from their arrangement with GEAM, which causes them to bear only the reasonable costs incurred by GEAM and GEID, without any element of profit, for the substantial services they provide to the Funds. The
Board members also recognized the benefits to the Funds of being able to leverage a favorable cost structure achieved with respect to the Funds’ other operating expenses as a result of GEAM’s large overall base of assets under management
and its vendor management practices.
105
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.
106
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 49
Position(s) Held with Fund Chairman of the
Board
Term of Office and Length of Time Served Until successor is elected and qualified – 2 years
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 Retirement Savings Plan Funds (formerly 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 55
Position(s) Held with
Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 2 years
Principal Occupation(s) During Past 5 Years Chief Investment Officer – Emerging Markets Equities since February 2014; formerly, Chief Risk Officer
of GEAM from March 2011 to February 2014; 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 Retirement Savings Plan Funds (formerly 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 44
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 – 3 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 Retirement Savings Plan Funds (formerly 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 45
Position Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 6 years
Principal Occupation(s) During Past 5 Years President and Chief Investment Officer – Public Investments of GEAM
107
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 Retirement Savings Plan Funds (formerly 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 64
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 26 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 Retirement Savings Plan Funds (formerly 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 44
Position(s) Held with
Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 2 years
Principal Occupation(s) During Past 5 Years Chief Risk Officer of GEAM since February 2014; Executive Vice President and the Strategy and Business
Development Leader of GEAM from December 2011 to February 2014; 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 Retirement Savings Plan Funds (formerly GE Savings & Security Funds) and General Electric Pension
Trust since January 2012.
Arthur A. Jensen
Address c/o GEAM 1600 Summer St. Stamford, CT
06905
Age 47
Position(s) Held with
Fund Treasurer
Term of Office and Length of Time Served Until successor is elected and qualified – 2 years
Principal Occupation(s) During Past 5 Years Treasurer of GE Institutional Funds, GE Investments Funds, Inc. and GE Retirement Savings Plan Funds
(formerly 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
108
Jeanne M. LaPorta
Address c/o GEAM 1600 Summer St. Stamford, CT
06905
Age 48
Position(s) Held with Fund Vice
President
Term of Office and Length of Time Served Until successor is elected and qualified – 10 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 Retirement Savings Plan Funds (formerly 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 Retirement Savings Plan 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 58
Position(s) Held with Fund Trustee
Term of Office and Length of Time Served Until successor is elected and qualified – 22 years
Principal Occupation(s) During Past 5 Years 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 Retirement Savings Plan Funds (formerly 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 52
Position(s) Held with
Fund Trustee
Term of Office and Length of Time Served 6 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 Retirement Savings Plan Funds (formerly 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 Retirement Savings Plan 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 Retirement Savings Plan Funds (formerly 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 56
Position(s) Held with
Fund Trustee
109
Term of Office and Length of Time Served Until successor is elected and qualified – 20 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 Retirement Savings Plan Funds (formerly 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 57
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 – 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 Retirement Savings Plan Funds (formerly 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.
Matthew Zakrzewski
Address c/o GEAM 1600 Summer St. Stamford, CT 06905
Age 53
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 2013; formerly, Chief Financial
Officer for GE Ventures from 2012 to 2013 and Chief Financial Officer for GE Risk, Insurance and Corporate Financing from 2006 to 2012.
Number of Portfolios in
Fund Complex Overseen by Trustee 8
Other Directorships Held by Trustee Trustee of GE Retirement Savings Plan Funds (formerly GE
Savings & Security Funds) and General Electric Pension Trust since September 2013 and Director of GEAM since September 2013.
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.
110
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.
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.
| * |
Effective February 6, 2014 Mr. Hartch relinquished his role as a portfolio manager for the Elfun Diversified Funds and will serve as GEAM’s Chief Risk Officer.
|
William M. Healey is a Senior Vice President and Chief Investment Officer – Core Fixed Income
Investments of GEAM. He has served on the portfolio management team for the Elfun Income Fund since joining GEAM in 1996. Mr. Healey became Vice President in June 2001, Senior Vice President in January 2007 and Chief Investment Officer –
Core Fixed Income Investments in April 2012. Prior to joining GEAM, Mr. Healey spent over 10 years in the fixed income group at MetLife.
Mark H. Johnson is a
Senior Vice President and Chief Investment Officer – Long Duration Fixed Income & Insurance Investments of GEAM. 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 – Long Duration Fixed Income & Insurance Investments 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.
111
| Portfolio |
Manager Biographies (continued) |
Jeffrey Palma is a Senior Vice President of GE Asset Management and is a portfolio manager for Tactical Asset Allocation. He became a member of the
portfolio management team for the Elfun Diversified Fund in May 2013. Prior to joining GE Asset Management in 2012, Mr. Palma worked for UBS Investment Bank where he held a variety of global research and macro strategy roles supporting
UBS’ global equities and fixed income businesses including Managing Director, Head of Global Equity Strategy from 2007 to 2012, Executive Director, Global Asset Allocation Strategist from 2001 to 2007 and Director, U.S. Economist from 1999 to
2001.
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 – Risk Assets Fixed Income Investments 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 – Risk Assets Fixed Income Investments 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.
112
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
Jeffrey Palma
Elfun Tax-Exempt Income Fund
Michael
Caufield
Elfun Income Fund
William M. Healey
Mark H. Johnson
Vita Marie Pike
Elfun Money Market Fund
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:
Elfun Mutual Funds
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
113
New Online Service
Your Elfun Mutual Fund accounts can now be accessed on the Internet at www.elfun.org.
Here are some of the benefits of our online service:
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| • View account balance and transaction history
• Make exchanges
• Redeem shares
• Purchase shares |
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• View and order tax forms
• View quarterly statements
• Change address
• Re-order money market
checks |
Many more features will be added to the web site in the future for your convenience.
New Extended Telephone Service
Our Representatives at the Customer Service
Center are available Monday to Friday from 8:30 AM to 8:00 PM Eastern Standard Time. Call toll-free, 1-800-242-0134, for assistance.
Automated Voice Response
System
You can also access your account anytime during the day, 7 days a week by dialing 1-800-242-0134. Simply follow the menu to obtain information or make
certain transactions.
Contact Us By Mail
If you’d like to write to
us, address your inquiries regarding your account(s) to:
Elfun Mutual Funds
c/o
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
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 RATINGS™
Through December 31, 2013
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FUND
(CATEGORY) |
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NUMBER OF
FUNDS IN CATEGORY |
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STAR
RATING |
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| Elfun International Equity — (Foreign Large Blend) |
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| Overall |
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831 |
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| 3 year |
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760 |
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| 5 year |
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731 |
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| 10 year |
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500 |
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| Elfun Trusts — (Large Growth) |
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| Overall |
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1748 |
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| 3 year |
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1477 |
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| 5 year |
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1279 |
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| 10 year |
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804 |
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| Elfun Diversified — (Moderate Allocation) |
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| Overall |
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930 |
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| 3 year |
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795 |
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| 5 year |
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750 |
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| 10 year |
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587 |
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| Elfun Tax-Exempt Income — (Muni National Long) |
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| Overall |
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254 |
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| 3 year |
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241 |
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| 5 year |
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231 |
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| 10 year |
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224 |
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| Elfun Income — (Intermediate-Term Bond) |
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| Overall |
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1115 |
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| 3 year |
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1041 |
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| 5 year |
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961 |
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| 10 year |
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865 |
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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.
Past performance is no guarantee of future results.
This
does not constitute a part of the Funds’ Shareholder Report
Elfun Funds
1600
Summer Street
Stamford, CT 06905
Distributor
GE Investment Distributors Inc.
Member FINRA and SIPC
1600 Summer Street
P.O. Box 7900
Stamford, CT 06904-7900
www.gefunds.com/elfun
The Funds file their complete schedules of portfolio holdings
with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote
proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds’ website at http://www.geam.com; and (iii) on the Commission’s website at
http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC — information on the operation of the Public Reference
Room may be obtained by calling 1-800-SEC-0330.
Information (if any) regarding how the
Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.geam.com; and (ii) on the Commission’s
website at http://www.sec.gov.
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ELF 1 (2/14) |
PRSRT STD
U.S. POSTAGE
PAID
Permit No. 1793
Lancaster, PA
Item 2. Code of Ethics.
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 an exhibit to this Form N-CSR and is included in the following link:
https://www.geam.com/ExternalWar/common/docs/pdf/Spirit_Letter.pdf
There have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition set
forth in paragraph (b) of Item 2 of Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that Donald W. Torey is designated as the audit committee financial expert for
the Funds; and further that it is the finding of the Board of Trustees that Mr. Torey qualifies as an audit committee financial expert and 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)).
Item 4. Principal Accountant Fees and Services.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the “Reporting Periods”) for professional services
rendered by the registrant’s principal accountant (the “Auditor”) for the audit of the registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and
regulatory filings or engagements for the Reporting Periods were $13,300 in 2012 and $13,450 in 2013.
(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 of the registrant during the Reporting Periods.
(c) TAX FEES. There were no fees billed for professional services rendered by the Auditor for tax compliance, tax advice or tax planning for
the registrant during the Reporting Periods.
(d) ALL OTHER FEES. There were no fees billed for products and services provided by the Auditor,
other than the services reported in paragraphs (a) through (c) of this Item for the registrant during the Reporting Periods.
(e)(1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.
The Audit Committee of the Elfun Funds (the “Funds”) Board of Trustees is responsible, among other things, for the appointment,
compensation and oversight of the work of the Funds’ Auditor. As part of this responsibility and to ensure that the Auditor’s independence is not impaired, the Audit Committee (1) pre-approves the audit and non-audit services provided
to the Funds by the Auditor, and (2) all non-audit services provided to the Funds’ investment adviser and covered affiliates (as defined in the Audit Committee Charter) that provide ongoing services to the Funds if the services directly
impact the Funds’ operations or financial reporting, in accordance with the Audit Committee Charter. The following excerpt from the Audit Committee Charter sets forth the pre-approval policies and procedures:
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.
(2) PERCENTAGE OF SERVICES DESCRIBED IN PARAGRAPHS (b) THROUGH (d) APPROVED BY AUDIT COMMITTEE. No fees were charged during the
Reporting Period for audit related, tax or other services as indicated in sections (b) through (d) of this Item.
(f) Not applicable.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the registrant, and rendered to the
registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s adviser (“Service Affiliates”), for the Reporting Periods were $0 in 2012 and $0 in 2013.
(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to Service Affiliates during the Reporting Period that were not
pre-approved.
Item 5. Audit Committee of Listed Registrants.
Applicable only to Closed-End Management Investment Companies.
Item 6. Schedule of Investments.
(a) Schedule of Investments is included as part of Item 1 of the Form N-CSR.
(b) Not applicable.
Item 7. Disclosure
of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Applicable only to Closed-End Management
Investment Companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Applicable only to Closed-End Management Investment Companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Applicable only to Closed-End Management Investment Companies.
Item 10. Submission of Matters to a Vote of Security Holders.
During the reporting period, there have been no material changes to the procedures by which the shareholders may recommend nominees to the
registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of the report included in Item 1 of
this Form N-CSR, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940
Act) that occurred during the registrant’s second fiscal quarter of the period covered by this Form N-CSR that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial
reporting.
Item 12. Exhibits.
(a)(1) The Code
of Ethics that applies to the registrant’s principal executive officer and principal financial officer is attached hereto.
(a)(2) The certifications
required by Rule 30a-2(a) of the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) The certifications by the registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the 1940 Act, and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the below registrants have duly caused each report
to be signed on their behalf by the undersigned, thereunto duly authorized.
Elfun International Equity Fund
Elfun Trusts
Elfun Diversified Fund
Elfun Tax-Exempt Income Fund
Elfun Income Fund
Elfun Money Market Fund
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| By: |
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/s/ Dmitri L. Stockton |
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Dmitri L. Stockton |
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Trustee, President and Chief Executive Officer GE Asset Management Incorporated |
Date: February 20, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each report has been signed below by the following
persons on behalf of the registrants and in the capacities and on the dates indicated.
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/s/ Dmitri L. Stockton |
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Dmitri L. Stockton |
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Trustee, President and Chief Executive Officer GE Asset Management Incorporated |
Date: February 20, 2014
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| By: |
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/s/ Arthur A. Jensen |
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Arthur A. Jensen |
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Treasurer, Elfun Funds |
Date: February 20, 2014
