N-CSR 1 d479228dncsr.htm ELFUN GOVERNMENT MONEY MARKET FUND Elfun Government Money Market Fund
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05904

 

 

ELFUN GOVERNMENT MONEY MARKET FUND

(Exact name of registrant as specified in charter)

 

 

One Lincoln Street

Boston, Massachusetts 02111

(Address of principal executive offices) (Zip code)

 

 

 

(Name and Address of Agent for Service)   Copy to:

Joshua A. Weinberg, Esq.

Managing Director and Managing Counsel

SSGA Funds Management, Inc.

One Lincoln Street

Boston, Massachusetts 02111

  

Timothy W. Diggins, Esq.

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02110-2624

 

 

Registrant’s telephone number, including area code: (617) 664-7037

Date of fiscal year end: December 31

Date of reporting period: December 31, 2017

 

 

 

Table of Contents

Item 1. Reports to Stockholders

Table of Contents

Annual Report

December 31, 2017

Elfun Funds

Elfun International Equity Fund

Elfun Trusts

Elfun Diversified Fund

Elfun Tax-Exempt Income Fund

Elfun Income Fund

Elfun Government Money Market Fund

 

 

 

LOGO

Table of Contents

Elfun Funds

Annual Report

December 31, 2017

Table of Contents

 

       Page  
Notes to Performance        1  
Manager Reviews and Schedule of Investments     

Elfun International Equity Fund

        2  

Elfun Trusts

        10  

Elfun Diversified Fund

        16  

Elfun Tax-Exempt Income Fund

        49  

Elfun Income Fund

        60  

Elfun Government Money Market Fund

        81  
Notes to Schedules of Investments        87  
Financial Statements     

Financial Highlights

        88  

Statements of Assets and Liabilities

        94  

Statements of Operations

        96  

Statements of Changes in Net Assets

        98  

Notes to Financial Statements

        101  
Report of Independent Registered Public Accounting Firm        111  
Tax Information        112  
Additional Information        113  

 

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

Table of Contents

Elfun Funds

Notes to Performance — December 31, 2017 (Unaudited)

 

 

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

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

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at http://www.ssga.com/geam for the most recent month-end performance data.

A portion of the Elfun Tax-Exempt Income Fund’s income may be subject to state, federal and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax.

An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.

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

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

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

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

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

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

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

The 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.

©2018 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.

 

 

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

 

Notes to Performance     1  

Table of Contents

Elfun International Equity Fund

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

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, 2017?

 

A. For the twelve-month period ended December 31, 2017, the Elfun International Equity Fund (the “Fund”) returned 22.99%. The MSCI EAFE Index, the Fund’s benchmark, returned 25.03% and the Fund’s Morningstar peer group of 746 Foreign Large Blend Funds returned an average of 25.40% over the same period.

 

Q. What factors affected the Fund’s performance?

 

A. International market performance was relatively strong and consistent in 2017. This was especially true for U.S. dollar based investors who benefitted as most foreign currencies rose against the dollar. For the year, the MSCI EAFE Index rose 15.2% in local currency terms. With the addition of currency that return was more than 25%, outpacing U.S. stocks (S&P 500 Index) for the first time since 2012. As strong as the market was, it was even more notable for the lack of volatility. There were only two months of market decline during the year, and both of those were very slight. Volatility of monthly returns in 2017 was approximately 4% (compared to a long-term average of around 18%). The strength was also across MSCI EAFE sectors, which all had double-digit returns led by information technology with a market return of +39.3%, and followed by other cyclical sectors materials, industrials, and financials. Defensive sectors like telecom, healthcare, and utilities lagged the broader market. MSCI EAFE regions were also consistently strong, ranging from Continental Europe, +26.8%, to the UK, +22.3%.

 

     Many investors were surprised by this year’s market strength as a combination of elevated valuations and a list of potential macro risks weighed on sentiment. As the year progressed, however, a reasonably healthy global economic backdrop supported solid earnings growth leaving valuations about where they started despite the healthy returns. Meanwhile, elections in Europe including in France, the Netherlands, and Germany all returned relatively centrist candidates to power diffusing fears of populist backlashes, whereas Japan’s center-right government had re-strengthened its power base in a general election victory in October. China, which has been a cause of periodic market panic in recent years, delivered solid steady growth this year as it prepared for its 19th party congress. And more significant tail risks such as a global trade war or North Korean aggression remained abstract enough to not curb the enthusiasm.

 

Q. What were the primary drivers of Fund performance?

 

A. The Fund underperformed the MSCI EAFE Index during the one-year period through December 31, 2017. The largest contributor to the underperformance was the Fund’s holdings in the energy sector and two Canadian oil and gas holdings in particular: Seven Generations Energy and Cenovus Energy. These companies were impacted by a combination of macro and stock-specific forces. On the macro side was a combination of softening oil prices and the fears that Trump-led protectionism could restrict Canadian imports. Specific to Cenovus, the stock was punished by investors after an acquisition of additional assets increased its debt level. Cenovus has pledged to sell other assets to reduce the debt, and the stock has shown signs of recovery as it has begun to execute on this commitment. In the case of Seven Generations, while production growth is high, they have experienced some short-term operational issues.

 

     In the healthcare sector, a holding that negatively impacted returns was Shire Pharmaceutical. Shire specializes in drugs for rare or orphan diseases, which we believe the industry views as attractive based on their potential for extended patent protection. It has been impacted by competition concerns in its hemophilia franchise.

 

     On the positive side, the Fund did well in industrials. The sector benefitted from some cyclical tailwinds as global growth surprised to the upside, but the Fund’s holdings outperformed the market. This was especially true within our Japanese holdings where long-time holdings like Nidec Corp., Komatsu Ltd., and FANUC Corp. turned in very strong returns. The Fund’s overweight in technology stocks was also a key strength this year, as the sector surged throughout the year.

 

     Derivatives did not have a material impact on Fund performance.

 

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

 

A. Effective May 1, 2017, we transitioned Portfolio Manager responsibilities for the Fund. Ralph Layman, who had served in his capacity as a Portfolio Manager for 25 years, moved on within the firm.

 

2   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

 

     Michael Solecki, who had managed the Fund with Ralph for over 20 years, continued as Portfolio Manager. With Ralph’s transition, Makoto Sumino took on Portfolio Manager responsibilities for the Fund in partnership with Mike. Makoto has been with the team for more than 20 years. During his tenure, Makoto has also been a Portfolio Manager for Japan and EAFE equity strategies, the Director of Research — Public Equities and a technology sector research analyst. He has an MBA from the University of Chicago and is a holder of the Chartered Financial Analyst designation.

 

     Turnover remained relatively low, although there were some changes in positioning. Regionally, the Fund’s weight in Continental Europe increased, while the weight in emerging markets and Canada decreased. The Fund remained underweight relative to the benchmark in Asia excluding Japan (includes Australia, New Zealand, Hong Kong, and Singapore) and the United Kingdom, while Japan remained a modest overweight.

 

     Information technology was the largest sector overweight relative to the Index. Consumer staples remained the largest underweight. Financials grew as a percent of holdings but remained underweight.

 

Elfun International Equity Fund     3  

Table of Contents

Elfun International Equity Fund

Understanding Your Fund’s Expenses — December 31, 2017 (Unaudited)

 

 

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

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2017.

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, 2017 - December 31, 2017

 

     Actual
Fund Return		      Hypothetical
5% Return
(2.5% for
the period)		  
Account value at the
beginning of the period 		   $ 1,000.00      $ 1,000.00  
Account value at the
end of the period 		   $ 1,094.30      $ 1,023.49  

Expenses paid during the period*

    $ 1.79      $ 1.73  

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.34%** (for the period July 1, 2017-December 31, 2017), 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   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Performance Summary — December 31, 2017 (Unaudited)

 

 

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2017

 

    One Year     Five Year     Ten Year  

Number of funds in peer group

     746       626       484  

Peer group average annual total return

     25.40 %      7.24 %      1.86 % 

Morningstar Category in peer group: Foreign Large Blend Funds

 

Top Ten Largest Holdings

as of December 31, 2017 (as a % of Fair Value) (a)(b)

 

Nestle S.A.

     3.22 % 

Roche Holding AG

     2.45 % 

Mitsubishi UFJ Financial Group Inc.

     2.44 % 

BNP Paribas S.A.

     2.30 % 

Komatsu Ltd.

     2.29 % 

Nidec Corp.

     2.29 % 

ASML Holding N.V.

     2.29 % 

Vodafone Group PLC

     2.21 % 

Daikin Industries Ltd.

     2.21 % 

Bayer AG

     2.17 % 

Sector Allocation as of December 31, 2017

Portfolio composition as a % of Fair Value of $237,336 (in thousands) as of December 31, 2017 (a)(b)

 

LOGO

Average Annual Total Return for the periods ended December 31, 2017

(Inception date: 01/01/88)

 

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

Elfun International Equity Fund

     22.99 %      6.49 %      0.48 %    $ 10,493  

MSCI® EAFE® Index

     25.03 %      7.90 %      1.94 %    $ 12,119  
 

 

Elfun International Equity Fund     5  

Table of Contents

Elfun International Equity Fund

Performance Summary, continued — December 31, 2017 (Unaudited)

 

 

LOGO

 

 

 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

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

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

 

6   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Schedule of Investments — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       
Common Stock - 95.2%†  

Australia - 0.7%

 

Suncorp Group Ltd.

      149,214          1,617,569  
       

 

 

  

Belgium - 2.0%

 

Anheuser-Busch InBev S.A.

      43,343          4,847,070  
       

 

 

  

Canada - 1.3%

 

Brookfield Asset Management Inc., Class A (h)

      27,705          1,209,959  

Cenovus Energy Inc. (h)

      91,814          841,234  

Seven Generations Energy Ltd., Class A (a)

      79,497          1,128,103  
       

 

 

  
          3,179,296  
       

 

 

  

China - 2.1%

 

NetEase Inc. ADR

      7,505          2,589,750  

New Oriental Education & Technology Group Inc. ADR

      25,413          2,388,822  
       

 

 

  
          4,978,572  
       

 

 

  

France - 11.3%

 

Airbus SE

      32,626          3,251,717  

AXA S.A.

      115,979          3,444,784  

BNP Paribas S.A.

      72,913          5,450,233  

Sanofi

      17,908          1,545,057  

Schneider Electric SE (a)

      55,799          4,747,864  

Valeo S.A.

      58,161          4,348,921  

Vivendi S.A.

      153,989          4,145,683  
       

 

 

  
          26,934,259  
       

 

 

  

Germany - 11.5%

 

Bayer AG

      41,231          5,149,060  

Fresenius SE & Company KGaA

      27,354          2,137,334  

HeidelbergCement AG

      32,019          3,469,970  

Infineon Technologies AG

      133,849          3,670,176  

KION Group AG (h)

      35,287          3,049,982  

SAP SE

      34,364          3,856,149  

Wacker Chemie AG

      17,409          3,390,747  

Zalando SE (a)

      48,595          2,574,238  
       

 

 

  
          27,297,656  
       

 

 

  

Hong Kong - 2.1%

 

AIA Group Ltd.

      596,367          5,084,602  
       

 

 

  

India - 2.4%

 

ICICI Bank Ltd.

      625,699          3,078,132  

Power Grid Corporation of India Ltd.

      853,791          2,679,990  
       

 

 

  
          5,758,122  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Ireland - 1.6%

 

Kerry Group PLC, Class A

      33,009          3,706,080  
       

 

 

  

Italy - 1.8%

 

Intesa Sanpaolo S.p.A.

      1,314,138          4,371,108  
       

 

 

  

Japan - 26.0%

 

Daikin Industries Ltd.

      44,400          5,255,872  

FANUC Corp.

      19,200          4,612,091  

Kao Corp.

      60,000          4,058,056  

Keyence Corp.

      6,300          3,530,013  

Komatsu Ltd.

      150,500          5,448,194  

Mitsubishi Estate Company Ltd.

      135,959          2,365,554  

Mitsubishi UFJ Financial Group Inc.

      789,600          5,792,503  

Mitsui Fudosan Company Ltd.

      141,618          3,174,305  

Murata Manufacturing Company Ltd.

      30,897          4,147,027  

Nidec Corp.

      38,700          5,431,398  

Secom Company Ltd.

      41,400          3,126,407  

Sekisui House Ltd.

      201,100          3,633,724  

Shimano Inc.

      19,500          2,743,675  

SoftBank Group Corp.

      39,401          3,119,902  

Subaru Corp.

      103,800          3,301,513  

Tokio Marine Holdings Inc.

      44,149          2,014,825  
       

 

 

  
          61,755,059  
       

 

 

  

Netherlands - 5.8%

 

ASML Holding N.V.

      31,138          5,427,234  

ING Groep N.V.

      265,918          4,893,493  

NXP Semiconductors N.V. (a)

      28,516          3,338,938  
       

 

 

  
          13,659,665  
       

 

 

  

Norway - 1.8%

 

Statoil ASA

      199,049          4,263,589  
       

 

 

  

Portugal - 1.3%

 

Galp Energia SGPS S.A.

      169,839          3,125,422  
       

 

 

  

South Africa - 0.8%

 

Naspers Ltd., Class N

      7,180          2,001,469  
       

 

 

  

South Korea - 0.4%

 

Samsung Electronics Company Ltd.

      377          897,292  
       

 

 

  

Spain - 1.1%

 

Banco Bilbao Vizcaya Argentaria S.A.

      301,079          2,571,242  
       

 

 

  

Sweden - 3.0%

 

Assa Abloy AB, Class B

      195,571          4,070,266  

Hexagon AB, Class B

      60,504          3,036,469  
       

 

 

  
          7,106,735  
       

 

 

  
 

 

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

 

Elfun International Equity Fund     7  

Table of Contents

Elfun International Equity Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

Switzerland - 7.0%

 

Givaudan S.A.

      1,413          3,265,342  

Nestle S.A.

      88,913          7,645,879  

Roche Holding AG

      22,950          5,805,208  
       

 

 

  
          16,716,429  
       

 

 

  

Taiwan - 1.3%

 

Taiwan Semiconductor Manufacturing Company Ltd.

      382,900          2,952,956  
       

 

 

  

United Kingdom - 9.9%

 

BHP Billiton PLC

      227,219          4,679,715  

Prudential PLC

      178,125          4,591,465  

Shire PLC

      83,065          4,382,280  

Smith & Nephew PLC

      171,247          2,983,708  

Vodafone Group PLC

      1,653,945          5,257,829  

WPP PLC

      90,505          1,641,795  
       

 

 

  
          23,536,792  
       

 

 

  
Total Common Stock
(Cost $176,676,433)		           226,360,984  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  
Short-Term Investments - 4.6%  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25% (Cost $10,975,209) (d)(p)

      10,975,209          10,975,209  
       

 

 

  
Total Investments
(Cost $187,651,642)		           237,336,193  
Other Assets and Liabilities, net - 0.2%          432,623  
       

 

 

  
NET ASSETS - 100.0%           237,768,816  
       

 

 

  
 

Other Information:

The Fund had the following long futures contracts open at December 31, 2017:

 

Description    Expiration
date		      Number
of
Contracts		      Notional
Amount		      Value      Unrealized
Appreciation		  

MSCI EAFE Mini Index Futures

      March 2018        42      $ 4,267,397      $ 4,295,550      $ 28,153  
              

 

 

  

During the fiscal year ended December 31, 2017, the Fund had average notional values of $942,445 and $968,793 on long futures contracts and short futures contracts, respectively.

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2017:

 

Investments    Level 1      Level 2      Level 3      Total  

Investments in Securities

            

Common Stock

    $ 226,360,984      $ —      $ —      $ 226,360,984  

Short-Term Investments

      10,975,209        —        —        10,975,209  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 237,336,193      $ —      $ —      $ 237,336,193  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments

            

Long Futures Contracts — Unrealized Appreciation

    $ 28,153      $ —      $ —      $ 28,153  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

8   Elfun International Equity Fund

Table of Contents

Elfun International Equity Fund

Schedule of Investments, continued — December 31, 2017

 

The Fund was invested in the following sectors at December 31, 2017 (unaudited):

 

Sector    Percentage
(based on
Fair Value)		  

Diversified Banks

      11.02%  

Pharmaceuticals

      5.27%  

Packaged Foods & Meats

      4.78%  

Electrical Components & Equipment

      4.29%  

Semiconductors

      4.20%  

Life & Health Insurance

      4.08%  

Building Products

      3.93%  

Construction Machinery & Heavy Trucks

      3.58%  

Wireless Telecommunication Services

      3.53%  

Integrated Oil & Gas

      3.47%  

Specialty Chemicals

      2.80%  

Electronic Equipment & Instruments

      2.77%  

Diversified Real Estate Activities

      2.33%  

Semiconductor Equipment

      2.29%  

Brewers

      2.04%  

Diversified Metals & Mining

      1.97%  

Industrial Machinery

      1.94%  

Biotechnology

      1.85%  

Auto Parts & Equipment

      1.83%  

Electronic Components

      1.75%  

Movies & Entertainment

      1.75%  

Personal Products

      1.71%  

Application Software

      1.62%  

Home Building

      1.53%  

Property & Casualty Insurance

      1.53%  
Sector    Percentage
(based on
Fair Value)		  

Construction Materials

      1.46%  

Multi-Line Insurance

      1.45%  

Automobile Manufacturers

      1.39%  

Aerospace & Defense

      1.37%  

Security & Alarm Services

      1.32%  

Healthcare Equipment

      1.26%  

Leisure Products

      1.16%  

Electric Utilities

      1.13%  

Internet Software & Services

      1.09%  

Internet & Direct Marketing Retail

      1.08%  

Education Services

      1.01%  

Healthcare Services

      0.90%  

Cable & Satellite

      0.84%  

Advertising

      0.69%  

Asset Management & Custody Banks

      0.51%  

Oil & Gas Exploration & Production

      0.48%  

Technology Hardware, Storage & Peripherals

      0.38%  
  

 

 

  
     95.38%  
  

 

 

  

Short-Term Investments

   

Short-Term Investments

      4.62%  
  

 

 

  
     4.62%  
  

 

 

  
     100.00%  
  

 

 

  
 

 

Affiliate Table

 

 

      Number of
Shares Held
at 12/31/16		      Value At
12/31/16		      Cost of
Purchases		      Proceeds
from
Shares
Sold		      Number of
Shares Held
at 12/31/17		      Value at
12/31/17		      Dividend
Income		  

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

      6,981,686      $ 6,981,686      $ 66,305,293        62,311,770        10,975,209      $ 10,975,209      $ 38,425  

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

      —        —        4,577,575        4,577,575        —        —        230  
     

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

TOTAL

       $ 6,981,686      $ 70,882,868      $ 66,889,345         $ 10,975,209      $ 38,655  
     

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

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

 

Elfun International Equity Fund     9  

Table of Contents

Elfun Trusts

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

Q. How did the Elfun Trusts (the “Fund”) perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2017?

 

A. For the twelve-month period ended December 31, 2017, the Fund returned 25.61%. The S&P 500® Index (S&P 500 Index), the Fund’s benchmark, returned 21.83% and the Fund’s Morningstar peer group of 1,396 U.S. Large Cap Growth Funds returned an average of 28.29% over the same period.

 

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

 

A. A variety of factors drove the strong equity market return which supported the Fund’s performance. Economic growth strengthened, earnings growth accelerated (S&P 500 operating earnings grew about 12% for the year), and dividend growth picked up. The recovery in energy prices resulted in an increase in U.S. drilling activity. The new political administration rolled back regulation and undertook initiatives which the market viewed as supportive of business, culminating in a cut in the corporate tax rate at year-end. It was the most favorable environment for equities since the end of the recession of 2008-09. It’s also notable that every month of 2017 had a positive return for the S&P 500 Index — a very rare occurrence in stock market history.

 

Q. What were the primary drivers of Fund performance?

 

A. The strongest sector by far for the Fund was Technology with a return of 39%. Tech bellwethers such as Apple (+48.5%), Google (+35.6%), Facebook (+53.4%), and Microsoft (+40.7%) helped drive the sector return for the Fund. Amazon, which is in the Consumer Discretionary sector, was also a strong performer for the Fund (+56%). The Fund had exposure to all these tech bellwethers to varying degrees during the year. The worst performing sector for the S&P 500 Index was Telecommunications, largely due to very competitive conditions in the wireless industry. As the Fund was underweight to Telecommunications during the year, this aided the Fund’s performance relative to the S&P 500 Index. The Fund had a modest overweight in the Financial sector which was a positive contributor to performance. The two largest Financial contributors were S&P Global and CME Group. The Fund maintained an overweight position to the Healthcare sector during the year. While the Healthcare sector performed in line with the S&P 500 Index last year, the Fund’s holdings in pharma/biotech lagged the market. The Fund did not invest in derivatives during the year.

 

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

 

A. Changes in the portfolio were modest for the year. Portfolio turnover was 16%, which was relatively consistent with recent reporting periods. We ended the year with 46 stocks in the portfolio, up one from last year. As of year-end, we were overweighted in Technology, Healthcare and Financials relative to the S&P 500 Index. And we remain underweighted in Utilities, Telecom, Consumer Staples and Industrials relative to the S&P 500 Index.

 

10   Elfun Trusts

Table of Contents

Elfun Trusts

Understanding Your Fund’s Expenses — December 31, 2017 (Unaudited)

 

 

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

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2017.

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, 2017 - December 31, 2017

 

    Actual
Fund Return		      Hypothetical
5% Return
(2.5% for
the period)		  

Account value at the
beginning of the period

   $ 1,000.00      $ 1,000.00  
Account value at the
end of the period 		  $ 1,107.00      $ 1,024.30  

Expenses paid during the period*

   $ 0.96      $ 0.92  

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.18% (for the period July 1, 2017-December 31, 2017), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
 

 

Elfun Trusts     11  

Table of Contents

Elfun Trusts

Performance Summary — December 31, 2017 (Unaudited)

 

 

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2017

 

    One Year     Five Year     Ten Year  

Number of funds in peer group

     1,396       1,318       1,126  

Peer group average annual total return

     28.29 %      15.37 %      8.32 % 

Morningstar Category in peer group: U.S. Large Cap Growth Funds

 

Top Ten Largest Holdings

as of December 31, 2017 (as a % of Fair Value) (a)(b)

 

Visa Inc., Class A

     5.00 % 

JPMorgan Chase & Co.

     4.69 % 

The Charles Schwab Corp.

     4.36 % 

PepsiCo Inc.

     4.21 % 

CME Group Inc.

     4.01 % 

Apple Inc.

     3.84 % 

United Rentals Inc.

     3.65 % 

Amazon.com Inc.

     3.38 % 

Schlumberger Ltd.

     3.33 % 

American Tower Corp.

     3.24 % 

Sector Allocation as of December 31, 2017

Portfolio composition as a % of Fair Value of $2,733,719 (in thousands) as of December 31, 2017 (a)(b)

 

LOGO

Average Annual Total Return for the periods ended December 31, 2017

(Inception date: 5/27/35)

 

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

Elfun Trusts

     25.61 %      15.66 %      9.66 %    $ 25,150  

S&P 500 Index®

     21.83 %      15.79 %      10.00 %    $ 22,603  
 

 

12   Elfun Trusts

Table of Contents

Elfun Trusts

Performance Summary, continued — December 31, 2107 (Unaudited)

 

 

LOGO

 

 

 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

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

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

 

Elfun Trusts     13  

Table of Contents

Elfun Trusts

Schedule of Investments — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       
Common Stock - 97.0%†  

Application Software - 3.8%

 

Intuit Inc.

      210,000        $ 33,133,800  

salesforce.com Inc. (a)

      680,000          69,516,400  
       

 

 

  
          102,650,200  
       

 

 

  

Biotechnology - 8.1%

 

Alexion Pharmaceuticals Inc. (a)

      450,000          53,815,500  

Amgen Inc.

      440,000          76,516,000  

Biogen Inc. (a)

      95,000          30,264,150  

Gilead Sciences Inc.

      370,000          26,506,800  

Vertex Pharmaceuticals
Inc. (a)

      230,000          34,467,800  
       

 

 

  
          221,570,250  
       

 

 

  

Cable & Satellite - 8.2%

 

Charter Communications Inc., Class A (a)

      210,000          70,551,600  

Comcast Corp., Class A

      1,200,000          48,060,000  

Liberty Global PLC,
Class C (a)

      2,500,000          84,600,000  

Sirius XM Holdings Inc.

      4,100,000          21,976,000  
       

 

 

  
          225,187,600  
       

 

 

  

Data Processing & Outsourced Services - 5.9%

 

PayPal Holdings Inc. (a)

      330,000          24,294,600  

Visa Inc., Class A

      1,200,000          136,824,000  
       

 

 

  
          161,118,600  
       

 

 

  

Diversified Banks - 4.7%

 

JPMorgan Chase & Co.

      1,200,000          128,328,000  
       

 

 

  

Financial Exchanges & Data - 6.4%

 

CME Group Inc.

      750,000          109,537,500  

S&P Global Inc.

      380,000          64,372,000  
       

 

 

  
          173,909,500  
       

 

 

  

Healthcare Equipment - 3.0%

 

Boston Scientific Corp. (a)

      750,000          18,592,500  

Medtronic PLC

      800,000          64,600,000  
       

 

 

  
          83,192,500  
       

 

 

  

Healthcare Supplies - 1.2%

 

The Cooper Companies Inc.

      155,000          33,771,400  
       

 

 

  

Home Improvement Retail - 0.5%

 

Lowe’s Companies Inc.

      150,000          13,941,000  
       

 

 

  

Industrial Machinery - 1.0%

 

Dover Corp.

      275,000          27,772,250  
       

 

 

  

Integrated Oil & Gas - 2.2%

 

Chevron Corp.

      490,000          61,343,100  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Internet & Direct Marketing Retail - 3.4%

 

Amazon.com Inc. (a)

      79,000        $ 92,388,130  
       

 

 

  

Internet Software & Services - 8.0%

 

Alibaba Group Holding Ltd. ADR (a)

      170,000          29,313,100  

Alphabet Inc., Class A (a)

      38,000          40,029,200  

Alphabet Inc., Class C (a)

      83,000          86,851,200  

Facebook Inc., Class A (a)

      360,000          63,525,600  
       

 

 

  
          219,719,100  
       

 

 

  

Investment Banking & Brokerage - 4.4%

 

The Charles Schwab Corp.

      2,320,000          119,178,400  
       

 

 

  

Movies & Entertainment - 1.3%

 

The Walt Disney Co.

      340,000          36,553,400  
       

 

 

  

Oil & Gas Equipment & Services - 3.3%

 

Schlumberger Ltd.

      1,350,000          90,976,500  
       

 

 

  

Oil & Gas Exploration & Production - 0.5%

 

Pioneer Natural Resources Co.

      80,000          13,828,000  
       

 

 

  

Pharmaceuticals - 6.6%

 

Allergan PLC

      480,000          78,518,400  

Johnson & Johnson

      460,000          64,271,200  

Merck & Company Inc.

      275,000          15,474,250  

Pfizer Inc.

      650,000          23,543,000  
       

 

 

  
          181,806,850  
       

 

 

  

Regional Banks - 1.3%

 

First Republic Bank

      410,000          35,522,400  
       

 

 

  

Reinsurance - 0.3%

 

Alleghany Corp. (a)

      15,000          8,941,350  
       

 

 

  

Restaurants - 0.6%

 

Starbucks Corp.

      280,000          16,080,400  
       

 

 

  

Semiconductor Equipment - 2.3%

 

Applied Materials Inc.

      1,225,000          62,622,000  
       

 

 

  

Semiconductors - 2.0%

 

Broadcom Ltd.

      210,000          53,949,000  
       

 

 

  

Soft Drinks - 4.2%

 

PepsiCo Inc.

      960,000          115,123,200  
       

 

 

  

Specialized REITs - 3.2%

 

American Tower Corp.

      620,000          88,455,400  
       

 

 

  

Specialty Chemicals - 0.4%

 

Albemarle Corp.

      80,000          10,231,200  
       

 

 

  
 

 

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

 

14   Elfun Trusts

Table of Contents

Elfun Trusts

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

Systems Software - 2.7%

 

Microsoft Corp.

      850,000          72,709,000  
       

 

 

  

Technology Hardware, Storage & Peripherals - 3.8%

 

Apple Inc.

      620,000          104,922,600  
       

 

 

  

Trading Companies & Distributors - 3.7%

 

United Rentals Inc. (a)

      580,000          99,707,800  
       

 

 

  
Total Common Stock
(Cost $1,458,300,299)		          2,655,499,130  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  
Short-Term Investments - 2.8%  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25%
(Cost $78,219,855) (d)(p)

      78,219,855          78,219,855  
       

 

 

  
Total Investments
(Cost $1,536,520,154)		          2,733,718,985  
       

 

 

  
Other Assets and Liabilities, net - 0.2%          4,200,327  
       

 

 

  
NET ASSETS - 100.0%          2,737,919,312  
       

 

 

  
 

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2017:

 

Investments    Level 1      Level 2      Level 3      Total  

Investments in Securities

            

Common Stock

    $ 2,655,499,130      $ —      $ —      $ 2,655,499,130  

Short-Term Investments

      78,219,855        —        —        78,219,855  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 2,733,718,985      $ —      $ —      $ 2,733,718,985  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Affiliate Table

 

      Number of
Shares Held
at 12/31/16		      Value At
12/31/16		      Cost of
Purchases		      Proceeds
from
Shares
Sold		      Number of
Shares Held
at 12/31/17		      Value at
12/31/17		      Dividend
Income		  

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

      53,209,078      $ 53,209,078      $ 444,320,463        419,309,686        78,219,855      $ 78,219,855      $ 545,586  

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

      —        —        156,161,509        156,161,509        —        —        120,554  
     

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

TOTAL

       $ 53,209,078      $ 600,481,972      $ 575,471,195         $ 78,219,855      $ 666,140  
     

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

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

 

Elfun Trusts     15  

Table of Contents

Elfun Diversified Fund

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

Q. How did the Elfun Diversified Fund (the “Fund”) perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2017?

 

A. For the twelve-month period ended December 31, 2017, the Fund returned 15.40%. The Fund’s broad based benchmarks, the S&P 500® Index (the “S&P 500 Index”), the MSCI All Country World ex-U.S. Index, and the Bloomberg Barclays U.S. Aggregate Bond Index, returned 21.83%, 27.19% and 3.54%, respectively. The Fund’s Morningstar peer group of 834 U.S. Allocation 50-70% Equity funds returned an average of 13.38% over the same period.

 

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

 

A. Throughout 2017 we witnessed a synchronized global growth cycle where solid growth, coupled with low interest rates, inflation, and volatility, became the catalyst for solid returns across all asset classes. For the S&P 500 Index, it was the strongest annual performance since 2013. Emerging Market equities saw their best year since 2009. International equities were bolstered by a persistently weaker dollar which saw the euro outperform the dollar by over 14%. The CBOE Volatility Index fell to all-time lows and episodic spikes in volatility were short lived.

 

     In the U.S., at the start of the year the market was pricing in two rate hikes but the Federal Reserve (the “Fed”) delivered three. This had little effect on lifting long term rates with the 10 year staying essentially flat on the year. Improving credit quality aided fixed income through tighter spreads. Tax reform was a focus early in the year but it took the entire year to get a bill passed. Earnings and valuations have boosted returns driving the S&P 500 Index to its first ever “perfect” year in which the index gained in every month.

 

     The risk of a fractured Europe faded with pro-European candidates elected in France, Germany, and the Netherlands. The European Central Bank remained on pace with Quantitative Easing keeping rates anchored. Fundamentals and the prospects for continued growth across the region appeared to improve. In the United Kingdom, Brexit continued to dominate the macro discussion with much of the timing and logistics still being negotiated. The discussion created short term spikes in volatility.

 

Q. What were the primary drivers of Fund performance?

 

A. The biggest driver of the Fund’s performance was its position in U.S. equities which were up over 20% for the year. The Fund increased its exposure to international equities as the year progressed. The Fund benefited from its exposure to international equities in the second half of the year as international equity returns were strong on a dollar denominated basis. Fixed income markets produced modest gains for the Fund with spreads grinding tighter throughout the year.

 

     Within tactical overlay positions, a short U.S. equity futures position, to help protect against market volatility, was closed at the early part of the year as our optimism for U.S. equities increased. Meanwhile a tactical position to US high yield bonds yielded a positive contribution for the year.

 

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

 

A. During the first half of the year the composition of the Fund had several changes worth noting. During the first quarter of the year, the Fund shifted its U.S. equity exposure from actively managed to a primarily passively managed strategy that tracks the S&P 500 Index. In the second quarter of the year, the Fund executed a similar transition in its international equity portfolio. The Fund fully redeemed its actively managed international and emerging market holdings and invested those proceeds by subscribing into the State Street Global Equity ex-U.S. Index Portfolio which tracks the MSCI All Country World ex-US Index.

 

16   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Understanding Your Fund’s Expenses — December 31, 2017 (Unaudited)

 

 

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

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2017.

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, 2017 - December 31, 2017

 

    Actual
Fund Return		      Hypothetical
5% Return
(2.5% for
the period)		  

Account value at the

beginning of the period

   $ 1,000.00      $ 1,000.00  

Account value at the

end of the period

   $ 1,074.20      $ 1,023.29  

Expenses paid during the period*

   $ 1.99      $ 1.94  

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.38%** (for the period July 1, 2017-December 31, 2017), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
** May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.
 

 

Elfun Diversified Fund     17  

Table of Contents

Elfun Diversified Fund

Performance Summary — December 31, 2017 (Unaudited)

 

 

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2017

 

    One Year     Five Year     Ten Year  

Number of funds in peer group

     834       765       625  

Peer group average annual total return

     13.38 %      8.19 %      5.56 % 

Morningstar Category in peer group: U.S. Allocation 50-70% Equity Funds

 

Top Ten Largest Equity Holdings

as of December 31, 2017 (as a % of Fair Value) (a)(b)

 

Apple Inc.

     1.41 % 

Microsoft Corp.

     1.07 % 

Amazon.com Inc.

     0.76 % 

Facebook Inc., Class A

     0.68 % 

Berkshire Hathaway Inc., Class B

     0.62 % 

Johnson & Johnson

     0.61 % 

JPMorgan Chase & Co.

     0.60 % 

Exxon Mobil Corp.

     0.58 % 

Alphabet Inc., Class C

     0.51 % 

Alphabet Inc., Class A

     0.51 % 

Sector Allocation

Portfolio composition as a % of Fair Value of $211,573 (in thousands) as of December 31, 2017 (a)(b)

 

LOGO

Average Annual Total Return for the periods ended December 31, 2017

(Inception date: 01/01/88)

 

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

Elfun Diversified Fund

     15.40 %      8.06 %      4.25 %      15,165  

S&P 500® Index

     21.83 %      15.79 %      10.00 %      22,603  

MSCI All Country World ex-U.S. Index

     27.19 %      6.80 %      1.84 %      11,999  

Bloomberg Barclays U.S. Aggregate Bond Index

     3.54 %      2.10 %      4.01 %      14,811  
 

 

18   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Performance Summary, continued — December 31, 2017 (Unaudited)

 

 

 

LOGO

 

 

 

 

(a) Fair Value basis is inclusive of short-term investment in several money market funds.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

(c) Includes investment in State Street Global Equity ex-U.S. Index Portfolio.

 

(d) Includes investment in SPDR Bloomberg Barclays High Yield Bond ETF.

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

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

 

Elfun Diversified Fund     19  

Table of Contents

Elfun Diversified Fund

Schedule of Investments — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       
Domestic Equity - 36.3%†  

Common Stock - 36.3%

 

Advertising - 0.1%

        

Omnicom Group Inc.

      821          59,793  

The Interpublic Group of Companies Inc.

      1,466          29,555  
       

 

 

  
       89,348  
       

 

 

  

Aerospace & Defense - 1.0%

 

Arconic Inc. (h)

      1,319          35,943  

General Dynamics Corp.

      965          196,329  

Harris Corp.

      409          57,935  

L3 Technologies Inc.

      272          53,815  

Lockheed Martin Corp.

      857          275,140  

Northrop Grumman Corp.

      603          185,067  

Raytheon Co.

      1,003          188,413  

Rockwell Collins Inc.

      547          74,184  

Textron Inc.

      898          50,818  

The Boeing Co. (h)

      1,904          561,509  

TransDigm Group Inc.

      165          45,312  

United Technologies Corp.

      2,524          321,987  
       

 

 

  
       2,046,452  
       

 

 

  

Agricultural & Farm Machinery - 0.1%

 

Deere & Co.

      1,094          171,222  
       

 

 

  

Agricultural Products - 0.0%*

 

Archer-Daniels-Midland Co. (h)

      1,905          76,352  
       

 

 

  

Air Freight & Logistics - 0.3%

 

CH Robinson Worldwide Inc.

      423          37,685  

Expeditors International of Washington Inc.

      597          38,620  

FedEx Corp.

      833          207,867  

United Parcel Service Inc., Class B

      2,383          283,934  
       

 

 

  
       568,106  
       

 

 

  

Airlines - 0.2%

 

Alaska Air Group Inc. (h)

      455          33,447  

American Airlines Group Inc. (h)

      1,444          75,131  

Delta Air Lines Inc.

      2,270          127,120  

Southwest Airlines Co.

      1,892          123,832  

United Continental Holdings Inc. (a)

      896          60,390  
       

 

 

  
       419,920  
       

 

 

  

Alternative Carriers - 0.0%*

 

CenturyLink Inc.

      3,414          56,946  
       

 

 

  

Apparel Retail - 0.2%

 

Foot Locker Inc.

      400          18,752  

L Brands Inc.

      887          53,415  
     Number
of Shares		       

Fair
Value

$

  

Ross Stores Inc.

      1,275          102,319  

The Gap Inc.

      810          27,588  

The TJX Companies Inc.

      2,208          168,824  
       

 

 

  
       370,898  
       

 

 

  

Apparel, Accessories & Luxury Goods - 0.1%

 

Hanesbrands Inc.

      1,196          25,008  

Michael Kors Holdings Ltd. (a)

      477          30,027  

PVH Corp.

      256          35,126  

Ralph Lauren Corp.

      208          21,568  

Tapestry Inc.

      1,036          45,822  

Under Armour Inc., Class A (a)

      679          9,798  

Under Armour Inc., Class C (a)

      682          9,084  

VF Corp.

      1,122          83,028  
       

 

 

  
       259,461  
       

 

 

  

Application Software - 0.4%

 

Adobe Systems Inc. (h)(a)

      1,684          295,104  

ANSYS Inc. (a)

      300          44,277  

Autodesk Inc. (h)(a)

      751          78,727  

Cadence Design Systems Inc. (a)

      900          37,638  

Citrix Systems Inc. (a)

      506          44,528  

Intuit Inc.

      851          134,271  

salesforce.com Inc. (a)

      2,358          241,059  

Synopsys Inc. (a)

      500          42,620  
       

 

 

  
       918,224  
       

 

 

  

Asset Management & Custody Banks - 0.4%

 

Affiliated Managers Group Inc. (h)

      202          41,461  

Ameriprise Financial Inc.

      506          85,752  

BlackRock Inc. (h)

      429          220,382  

Franklin Resources Inc.

      1,182          51,216  

Invesco Ltd.

      1,409          51,485  

Northern Trust Corp.

      732          73,119  

State Street Corp. (e)

      1,259          122,891  

T Rowe Price Group Inc.

      799          83,839  

The Bank of New York Mellon
Corp. (h)

      3,475          187,163  
       

 

 

  
       917,308  
       

 

 

  

Auto Parts & Equipment - 0.0%*

 

BorgWarner Inc. (h)

      639          32,646  
       

 

 

  

Automobile Manufacturers - 0.2%

 

Ford Motor Co.

      13,505          168,677  

General Motors Co.

      4,323          177,200  
       

 

 

  
       345,877  
       

 

 

  

Automotive Retail - 0.1%

 

Advance Auto Parts Inc. (h)

      272          27,116  

AutoZone Inc. (h)(a)

      97          69,003  
 

 

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

 

20   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

CarMax Inc. (a)

      603          38,670  

O’Reilly Automotive Inc. (h)(a)

      289          69,516  
       

 

 

  
       204,305  
       

 

 

  

Biotechnology - 1.0%

 

AbbVie Inc. (h)

      5,468          528,810  

Alexion Pharmaceuticals Inc. (h)(a)

      788          94,237  

Amgen Inc.

      2,498          434,402  

Biogen Inc. (h)(a)

      733          233,512  

Celgene Corp. (a)

      2,667          278,328  

Gilead Sciences Inc.

      4,466          319,944  

Incyte Corp. (a)

      580          54,932  

Regeneron Pharmaceuticals Inc. (a)

      269          101,133  

Vertex Pharmaceuticals Inc. (a)

      866          129,779  
       

 

 

  
       2,175,077  
       

 

 

  

Brewers - 0.0%*

 

Molson Coors Brewing Co., Class B

      581          47,683  
       

 

 

  

Broadcasting - 0.1%

        

CBS Corp., Class B

      1,163          68,617  

Discovery Communications Inc., Class A (a)

      561          12,555  

Discovery Communications Inc., Class C (a)

      815          17,253  

Scripps Networks Interactive Inc., Class A

      352          30,054  
       

 

 

  
       128,479  
       

 

 

  

Building Products - 0.1%

 

AO Smith Corp.

      500          30,640  

Fortune Brands Home & Security Inc.

      570          39,011  

Johnson Controls International PLC

      3,210          122,333  

Masco Corp.

      1,093          48,026  
       

 

 

  
       240,010  
       

 

 

  

Cable & Satellite - 0.4%

 

Charter Communications Inc., Class A (a)

      668          224,421  

Comcast Corp., Class A

      15,986          640,240  

DISH Network Corp., Class A (a)

      800          38,200  
       

 

 

  
       902,861  
       

 

 

  

Casinos & Gaming - 0.1%

 

MGM Resorts International

      1,700          56,763  

Wynn Resorts Ltd.

      265          44,676  
       

 

 

  
       101,439  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Commodity Chemicals - 0.1%

 

LyondellBasell Industries N.V., Class A

      1,124          124,000  
       

 

 

  

Communications Equipment - 0.4%

 

Cisco Systems Inc.

      16,960          649,568  

F5 Networks Inc. (a)

      207          27,163  

Juniper Networks Inc.

      1,305          37,192  

Motorola Solutions Inc.

      513          46,344  
       

 

 

  
       760,267  
       

 

 

  

Computer & Electronics Retail - 0.0%*

 

Best Buy Company Inc. (h)

      908          62,171  
       

 

 

  

Construction & Engineering - 0.0%*

 

Fluor Corp.

      514          26,548  

Jacobs Engineering Group Inc.

      446          29,418  

Quanta Services Inc. (a)

      558          21,824  
       

 

 

  
       77,790  
       

 

 

  

Construction Machinery & Heavy Trucks - 0.2%

 

Caterpillar Inc.

      2,022          318,627  

Cummins Inc.

      539          95,209  

PACCAR Inc.

      1,225          87,073  
       

 

 

  
       500,909  
       

 

 

  

Construction Materials - 0.1%

 

Martin Marietta Materials Inc.

      211          46,640  

Vulcan Materials Co.

      449          57,638  
       

 

 

  
       104,278  
       

 

 

  

Consumer Finance - 0.3%

 

American Express Co. (h)

      2,420          240,330  

Capital One Financial Corp. (h)

      1,631          162,415  

Discover Financial Services

      1,247          95,919  

Navient Corp.

      919          12,241  

Synchrony Financial

      2,586          99,846  
       

 

 

  
       610,751  
       

 

 

  

Copper - 0.0%*

 

Freeport-McMoRan Inc. (a)

      4,627          87,728  
       

 

 

  

Data Processing & Outsourced Services - 1.0%

 

Alliance Data Systems Corp. (h)

      158          40,050  

Automatic Data Processing Inc. (h)

      1,527          178,949  

Fidelity National Information Services Inc.

      1,152          108,392  

Fiserv Inc. (a)

      732          95,987  

Global Payments Inc.

      568          56,936  

Mastercard Inc., Class A

      3,186          482,233  

Paychex Inc.

      1,109          75,501  
 

 

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

 

Elfun Diversified Fund     21  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

PayPal Holdings Inc. (a)

      3,881          285,719  

The Western Union Co.

      1,491          28,344  

Total System Services Inc.

      611          48,324  

Visa Inc., Class A

      6,188          705,556  
       

 

 

  
       2,105,991  
       

 

 

  

Department Stores - 0.0%*

 

Kohl’s Corp.

      552          29,935  

Macy’s Inc.

      1,129          28,439  

Nordstrom Inc.

      429          20,326  
       

 

 

  
       78,700  
       

 

 

  

Distillers & Vintners - 0.1%

 

Brown-Forman Corp., Class B (h)

      574          39,416  

Constellation Brands Inc., Class A

      584          133,485  
       

 

 

  
       172,901  
       

 

 

  

Distributors - 0.1%

 

Genuine Parts Co.

      490          46,555  

LKQ Corp. (a)

      1,036          42,134  
       

 

 

  
       88,689  
       

 

 

  

Diversified Banks - 2.0%

 

Bank of America Corp. (h)

      33,212          980,418  

Citigroup Inc.

      9,025          671,550  

JPMorgan Chase & Co.

      11,889          1,271,410  

U.S. Bancorp

      5,381          288,314  

Wells Fargo & Co.

      15,255          925,521  
       

 

 

  
       4,137,213  
       

 

 

  

Diversified Chemicals - 0.3%

 

DowDuPont Inc.

      7,966          567,339  

Eastman Chemical Co.

      486          45,023  
       

 

 

  
       612,362  
       

 

 

  

Diversified Support Services - 0.0%*

 

Cintas Corp.

      297          46,281  
       

 

 

  

Drug Retail - 0.2%

        

CVS Health Corp.

      3,519          255,127  

Walgreens Boots Alliance Inc.

      2,951          214,302  
       

 

 

  
       469,429  
       

 

 

  

Electric Utilities - 0.7%

 

Alliant Energy Corp. (h)

      840          35,793  

American Electric Power Company Inc. (h)

      1,646          121,096  

Duke Energy Corp.

      2,418          203,378  

Edison International

      1,143          72,283  

Entergy Corp.

      600          48,834  

Eversource Energy

      1,102          69,624  
     Number
of Shares		       

Fair
Value

$

  

Exelon Corp.

      3,260          128,477  

FirstEnergy Corp.

      1,572          48,135  

NextEra Energy Inc.

      1,599          249,748  

PG&E Corp.

      1,788          80,156  

Pinnacle West Capital Corp.

      411          35,009  

PPL Corp. (h)

      2,380          73,661  

The Southern Co.

      3,410          163,987  

Xcel Energy Inc.

      1,776          85,443  
       

 

 

  
       1,415,624  
       

 

 

  

Electrical Components & Equipment - 0.2%

 

Acuity Brands Inc. (h)

      136          23,936  

AMETEK Inc.

      755          54,715  

Eaton Corporation PLC

      1,538          121,517  

Emerson Electric Co.

      2,174          151,506  

Rockwell Automation Inc.

      444          87,180  
       

 

 

  
       438,854  
       

 

 

  

Electronic Components - 0.1%

 

Amphenol Corp., Class A

      1,069          93,858  

Corning Inc.

      3,033          97,026  
       

 

 

  
       190,884  
       

 

 

  

Electronic Equipment & Instruments - 0.0%*

 

FLIR Systems Inc.

      503          23,450  
       

 

 

  

Environmental & Facilities Services - 0.1%

 

Republic Services Inc.

      772          52,195  

Stericycle Inc. (a)

      314          21,349  

Waste Management Inc.

      1,312          113,225  
       

 

 

  
       186,769  
       

 

 

  

Fertilizers & Agricultural Chemicals - 0.1%

 

CF Industries Holdings Inc.

      861          36,627  

FMC Corp.

      424          40,136  

Monsanto Co.

      1,517          177,155  

The Mosaic Co.

      1,294          33,204  
       

 

 

  
       287,122  
       

 

 

  

Financial Exchanges & Data - 0.3%

 

Cboe Global Markets Inc.

      400          49,836  

CME Group Inc. (h)

      1,173          171,317  

Intercontinental Exchange Inc.

      2,000          141,120  

Moody’s Corp.

      574          84,728  

Nasdaq Inc.

      421          32,345  

S&P Global Inc.

      879          148,903  
       

 

 

  
       628,249  
       

 

 

  

Food Distributors - 0.1%

 

Sysco Corp.

      1,638          99,476  
       

 

 

  
 

 

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

 

22   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

Food Retail - 0.0%*

 

The Kroger Co.

      3,027          83,091  
       

 

 

  

Footwear - 0.1%

 

NIKE Inc., Class B

      4,525          283,039  
       

 

 

  

General Merchandise Stores - 0.1%

 

Dollar General Corp.

      839          78,035  

Dollar Tree Inc. (a)

      812          87,136  

Target Corp.

      1,845          120,386  
       

 

 

  
       285,557  
       

 

 

  

Gold - 0.0%*

 

Newmont Mining Corp.

      1,860          69,787  
       

 

 

  

Health Care REITs - 0.1%

 

HCP Inc.

      1,527          39,824  

Ventas Inc.

      1,238          74,293  

Welltower Inc.

      1,269          80,924  
       

 

 

  
       195,041  
       

 

 

  

Healthcare Distributors - 0.1%

 

AmerisourceBergen Corp.

      568          52,154  

Cardinal Health Inc.

      1,102          67,520  

Henry Schein Inc. (a)

      554          38,713  

McKesson Corp.

      705          109,945  

Patterson Companies Inc.

      308          11,128  
       

 

 

  
       279,460  
       

 

 

  

Healthcare Equipment - 0.8%

 

Abbott Laboratories (h)

      5,957          339,966  

Baxter International Inc. (h)

      1,698          109,759  

Becton Dickinson and Co. (h)

      882          188,788  

Boston Scientific Corp. (h)(a)

      4,799          118,967  

Danaher Corp.

      2,129          197,614  

Edwards Lifesciences Corp. (a)

      740          83,406  

Hologic Inc. (a)

      948          40,527  

IDEXX Laboratories Inc. (a)

      301          47,070  

Intuitive Surgical Inc. (a)

      381          139,042  

ResMed Inc.

      500          42,345  

Stryker Corp.

      1,088          168,466  

Varian Medical Systems Inc. (a)

      321          35,679  

Zimmer Biomet Holdings Inc.

      700          84,469  
       

 

 

  
       1,596,098  
       

 

 

  

Healthcare Facilities - 0.1%

 

HCA Healthcare Inc. (a)

      1,009          88,631  

Universal Health Services Inc., Class B

      306          34,685  
       

 

 

  
       123,316  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Healthcare Services - 0.2%

 

DaVita Inc. (a)

      532          38,437  

Envision Healthcare Corp. (a)

      433          14,964  

Express Scripts Holding Co. (a)

      1,937          144,578  

Laboratory Corporation of America Holdings (a)

      346          55,190  

Quest Diagnostics Inc.

      465          45,798  
       

 

 

  
       298,967  
       

 

 

  

Healthcare Supplies - 0.1%

 

Align Technology Inc. (a)

      250          55,548  

DENTSPLY SIRONA Inc.

      753          49,570  

The Cooper Companies Inc.

      171          37,257  
       

 

 

  
       142,375  
       

 

 

  

Healthcare Technology - 0.0%*

 

Cerner Corp. (a)

      1,006          67,794  
       

 

 

  

Home Building - 0.1%

 

DR Horton Inc.

      1,153          58,884  

Lennar Corp., Class A

      726          45,912  

PulteGroup Inc.

      899          29,892  
       

 

 

  
       134,688  
       

 

 

  

Home Entertainment Software - 0.1%

 

Activision Blizzard Inc. (h)

      2,635          166,848  

Electronic Arts Inc. (a)

      1,068          112,204  
       

 

 

  
       279,052  
       

 

 

  

Home Furnishings - 0.0%*

 

Leggett & Platt Inc.

      494          23,578  

Mohawk Industries Inc. (a)

      212          58,491  
       

 

 

  
       82,069  
       

 

 

  

Home Improvement Retail - 0.5%

 

Lowe’s Companies Inc.

      2,882          267,853  

The Home Depot Inc.

      4,006          759,257  
       

 

 

  
       1,027,110  
       

 

 

  

Hotel & Resort REITs - 0.0%*

 

Host Hotels & Resorts Inc.

      2,433          48,295  
       

 

 

  

Hotels, Resorts & Cruise Lines - 0.2%

 

Carnival Corp.

      1,409          93,515  

Hilton Worldwide Holdings Inc.

      700          55,902  

Marriott International Inc., Class A

      1,053          142,924  

Norwegian Cruise Line Holdings Ltd. (a)

      600          31,950  

Royal Caribbean Cruises Ltd.

      571          68,109  

Wyndham Worldwide Corp.

      348          40,323  
       

 

 

  
       432,723  
       

 

 

  
 

 

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

 

Elfun Diversified Fund     23  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

Household Appliances - 0.0%*

 

Whirlpool Corp.

      249          41,991  
       

 

 

  

Household Products - 0.6%

        

Church & Dwight Company Inc.

      875          43,899  

Colgate-Palmolive Co. (h)

      3,005          226,727  

Kimberly-Clark Corp.

      1,224          147,688  

The Clorox Co.

      446          66,338  

The Procter & Gamble Co.

      8,756          804,501  
       

 

 

  
       1,289,153  
       

 

 

  

Housewares & Specialties - 0.0%*

 

Newell Brands Inc.

      1,682          51,974  
       

 

 

  

Human Resource & Employment Services - 0.0%*

 

Robert Half International Inc.

      476          26,437  
       

 

 

  

Hypermarkets & Super Centers - 0.4%

 

Costco Wholesale Corp.

      1,494          278,063  

Wal-Mart Stores Inc.

      5,012          494,935  
       

 

 

  
       772,998  
       

 

 

  

Independent Power Producers & Energy Traders - 0.0%*

 

AES Corp. (h)

      2,435          26,371  

NRG Energy Inc.

      1,065          30,331  
       

 

 

  
       56,702  
       

 

 

  

Industrial Conglomerates - 0.7%

 

3M Co.

      2,056          483,921  

General Electric Co.

      29,703          518,317  

Honeywell International Inc.

      2,633          403,797  

Roper Technologies Inc.

      355          91,945  
       

 

 

  
       1,497,980  
       

 

 

  

Industrial Gases - 0.1%

 

Air Products & Chemicals Inc. (h)

      763          125,193  

Praxair Inc.

      964          149,112  
       

 

 

  
       274,305  
       

 

 

  

Industrial Machinery - 0.3%

 

Dover Corp.

      543          54,838  

Flowserve Corp.

      482          20,307  

Fortive Corp.

      1,011          73,146  

Illinois Tool Works Inc.

      1,067          178,029  

Ingersoll-Rand PLC

      834          74,384  

Parker-Hannifin Corp.

      463          92,405  

Snap-on Inc.

      214          37,300  

Stanley Black & Decker Inc.

      521          88,408  

Xylem Inc.

      563          38,397  
       

 

 

  
       657,214  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Industrial REITs - 0.1%

 

Duke Realty Corp.

      1,300          35,373  

Prologis Inc. REIT

      1,852          119,473  
       

 

 

  
       154,846  
       

 

 

  

Insurance Brokers - 0.1%

 

Arthur J Gallagher & Co. (h)

      657          41,575  

Marsh & McLennan Companies Inc.

      1,714          139,502  
       

 

 

  
       181,077  
       

 

 

  

Integrated Oil & Gas - 1.1%

 

Chevron Corp.

      6,506          814,486  

Exxon Mobil Corp. (h)

      14,572          1,218,802  

Occidental Petroleum Corp.

      2,602          191,664  
       

 

 

  
       2,224,952  
       

 

 

  

Integrated Telecommunication Services - 0.8%

 

AT&T Inc. (h)

      21,101          820,407  

Verizon Communications Inc.

      14,027          742,449  
       

 

 

  
       1,562,856  
       

 

 

  

Internet & Direct Marketing Retail - 1.1%

 

Amazon.com Inc. (h)(a)

      1,371          1,603,343  

Expedia Inc.

      410          49,106  

Netflix Inc. (a)

      1,478          283,717  

The Priceline Group Inc. (a)

      169          293,678  

TripAdvisor Inc. (a)

      422          14,542  
       

 

 

  
       2,244,386  
       

 

 

  

Internet Software & Services - 1.8%

 

Akamai Technologies Inc. (h)(a)

      540          35,122  

Alphabet Inc., Class A (h)(a)

      1,025          1,079,735  

Alphabet Inc., Class C (h)(a)

      1,038          1,086,163  

eBay Inc. (a)

      3,350          126,429  

Facebook Inc., Class A (h)(a)

      8,173          1,442,208  

VeriSign Inc. (a)

      287          32,844  
       

 

 

  
       3,802,501  
       

 

 

  

Investment Banking & Brokerage - 0.4%

 

E*TRADE Financial Corp. (a)

      913          45,258  

Morgan Stanley

      4,706          246,924  

Raymond James Financial Inc.

      470          41,971  

The Charles Schwab Corp.

      4,106          210,925  

The Goldman Sachs Group Inc.

      1,208          307,750  
       

 

 

  
       852,828  
       

 

 

  

IT Consulting & Other Services - 0.4%

 

Cognizant Technology Solutions Corp., Class A

      2,041          144,952  

CSRA Inc.

      537          16,067  
 

 

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

 

24   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

DXC Technology Co.

      1,004          95,280  

Gartner Inc. (a)

      300          36,945  

International Business Machines Corp.

      2,974          456,271  
       

 

 

  
       749,515  
       

 

 

  

Leisure Products - 0.0%*

 

Hasbro Inc.

      415          37,719  

Mattel Inc.

      1,263          19,425  
       

 

 

  
       57,144  
       

 

 

  

Life & Health Insurance - 0.3%

 

Aflac Inc. (h)

      1,307          114,729  

Brighthouse Financial Inc. (a)

      341          19,996  

Lincoln National Corp.

      774          59,497  

MetLife Inc.

      3,660          185,050  

Principal Financial Group Inc.

      888          62,657  

Prudential Financial Inc.

      1,458          167,641  

Torchmark Corp.

      375          34,016  

Unum Group

      757          41,552  
       

 

 

  
       685,138  
       

 

 

  

Life Sciences Tools & Services - 0.3%

 

Agilent Technologies Inc. (h)

      1,118          74,872  

Illumina Inc. (a)

      513          112,085  

IQVIA Holdings Inc. (a)

      500          48,950  

Mettler-Toledo International Inc. (a)

      88          54,518  

PerkinElmer Inc.

      405          29,614  

Thermo Fisher Scientific Inc.

      1,360          258,237  

Waters Corp. (a)

      270          52,161  
       

 

 

  
       630,437  
       

 

 

  

Managed Healthcare - 0.7%

 

Aetna Inc. (h)

      1,126          203,119  

Anthem Inc.

      884          198,909  

Centene Corp. (a)

      601          60,629  

Cigna Corp.

      848          172,220  

Humana Inc.

      497          123,291  

UnitedHealth Group Inc.

      3,319          731,707  
       

 

 

  
       1,489,875  
       

 

 

  

Metal & Glass Containers - 0.0%*

 

Ball Corp. (h)

      1,192          45,117  
       

 

 

  

Motorcycle Manufacturers - 0.0%*

 

Harley-Davidson Inc.

      553          28,137  
       

 

 

  

Movies & Entertainment - 0.5%

 

The Walt Disney Co.

      5,200          559,052  

Time Warner Inc.

      2,698          246,786  
     Number
of Shares		       

Fair
Value

$

  

Twenty-First Century Fox Inc., Class A

      3,521          121,580  

Twenty-First Century Fox Inc.,
Class B

      1,409          48,075  

Viacom Inc., Class B

      1,283          39,529  
       

 

 

  
       1,015,022  
       

 

 

  

Multi-Line Insurance - 0.2%

 

American International Group Inc. (h)

      3,104          184,936  

Assurant Inc. (h)

      211          21,277  

Loews Corp.

      911          45,577  

The Hartford Financial Services Group Inc.

      1,195          67,255  
       

 

 

  
       319,045  
       

 

 

  

Multi-Sector Holdings - 0.6%

 

Berkshire Hathaway Inc.,
Class B (h)(a)

      6,617          1,311,622  

Leucadia National Corp.

      997          26,410  
       

 

 

  
       1,338,032  
       

 

 

  

Multi-Utilities - 0.4%

 

Ameren Corp. (h)

      800          47,192  

CenterPoint Energy Inc.

      1,491          42,285  

CMS Energy Corp. (h)

      979          46,307  

Consolidated Edison Inc.

      1,065          90,472  

Dominion Energy Inc.

      2,225          180,358  

DTE Energy Co.

      623          68,193  

NiSource Inc.

      1,192          30,599  

Public Service Enterprise Group Inc.

      1,768          91,052  

SCANA Corp.

      528          21,004  

Sempra Energy

      874          93,448  

WEC Energy Group Inc.

      1,096          72,807  
       

 

 

  
       783,717  
       

 

 

  

Office REITs - 0.1%

 

Alexandria Real Estate Equities Inc. (h)

      330          43,095  

Boston Properties Inc. (h)

      538          69,956  

SL Green Realty Corp.

      344          34,720  

Vornado Realty Trust

      601          46,986  
       

 

 

  
       194,757  
       

 

 

  

Oil & Gas Drilling - 0.0%*

 

Helmerich & Payne Inc.

      400          25,856  
       

 

 

  

Oil & Gas Equipment & Services - 0.3%

 

Baker Hughes a GE Co.

      1,492          47,207  

Halliburton Co.

      2,963          144,802  
 

 

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

 

Elfun Diversified Fund     25  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

National Oilwell Varco Inc.

      1,295          46,646  

Schlumberger Ltd.

      4,779          322,056  
       

 

 

  
       560,711  
       

 

 

  

Oil & Gas Exploration & Production - 0.6%

 

Anadarko Petroleum Corp.

      1,874          100,521  

Apache Corp.

      1,321          55,773  

Cabot Oil & Gas Corp. (h)

      1,618          46,275  

Chesapeake Energy Corp. (a)

      2,753          10,902  

Cimarex Energy Co.

      351          42,825  

Concho Resources Inc. (a)

      517          77,664  

ConocoPhillips (h)

      4,086          224,280  

Devon Energy Corp.

      1,834          75,928  

EOG Resources Inc.

      1,969          212,475  

EQT Corp.

      838          47,699  

Hess Corp.

      985          46,758  

Marathon Oil Corp.

      2,929          49,588  

Newfield Exploration Co. (a)

      729          22,985  

Noble Energy Inc.

      1,583          46,129  

Pioneer Natural Resources Co.

      597          103,191  

Range Resources Corp.

      694          11,840  
       

 

 

  
       1,174,833  
       

 

 

  

Oil & Gas Refining & Marketing - 0.2%

 

Andeavor

      503          57,513  

Marathon Petroleum Corp.

      1,649          108,801  

Phillips 66

      1,455          147,173  

Valero Energy Corp.

      1,505          138,325  
       

 

 

  
       451,812  
       

 

 

  

Oil & Gas Storage & Transportation - 0.1%

 

Kinder Morgan Inc.

      6,481          117,112  

ONEOK Inc.

      1,288          68,844  

The Williams Companies Inc.

      2,813          85,768  
       

 

 

  
       271,724  
       

 

 

  

Packaged Foods & Meats - 0.4%

 

Campbell Soup Co. (h)

      716          34,447  

Conagra Brands Inc.

      1,436          54,094  

General Mills Inc.

      1,944          115,260  

Hormel Foods Corp.

      997          36,281  

Kellogg Co.

      833          56,627  

McCormick & Company Inc.

      373          38,012  

Mondelez International Inc., Class A

      5,134          219,735  

The Hershey Co.

      463          52,555  

The JM Smucker Co.

      390          48,454  

The Kraft Heinz Co.

      2,013          156,531  

Tyson Foods Inc., Class A

      993          80,503  
       

 

 

  
       892,499  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Paper Packaging - 0.1%

 

Avery Dennison Corp. (h)

      279          32,046  

International Paper Co.

      1,429          82,796  

Packaging Corporation of America

      300          36,165  

Sealed Air Corp.

      614          30,270  

WestRock Co.

      843          53,286  
       

 

 

  
       234,563  
       

 

 

  

Personal Products - 0.1%

 

Coty Inc., Class A

      1,737          34,549  

The Estee Lauder Companies Inc., Class A

      771          98,102  
       

 

 

  
       132,651  
       

 

 

  

Pharmaceuticals - 1.7%

 

Allergan PLC (h)

      1,152          188,444  

Bristol-Myers Squibb Co. (h)

      5,583          342,126  

Eli Lilly & Co.

      3,358          283,617  

Johnson & Johnson

      9,223          1,288,637  

Merck & Company Inc.

      9,433          530,795  

Mylan N.V. (a)

      1,800          76,158  

Pfizer Inc.

      20,513          742,981  

Zoetis Inc.

      1,624          116,993  
       

 

 

  
       3,569,751  
       

 

 

  

Property & Casualty Insurance - 0.2%

 

Cincinnati Financial Corp.

      523          39,209  

The Allstate Corp. (h)

      1,210          126,699  

The Progressive Corp.

      2,033          114,499  

The Travelers Companies Inc.

      959          130,079  
       

 

 

  
       410,486  
       

 

 

  

Publishing - 0.0%*

 

News Corp., Class A

      1,411          22,873  

News Corp., Class B

      442          7,337  
       

 

 

  
       30,210  
       

 

 

  

Railroads - 0.3%

 

CSX Corp.

      3,079          169,376  

Kansas City Southern

      351          36,932  

Norfolk Southern Corp.

      985          142,727  

Union Pacific Corp.

      2,694          361,265  
       

 

 

  
       710,300  
       

 

 

  

Real Estate Services - 0.0%*

 

CBRE Group Inc., Class A (a)

      1,009          43,700  
       

 

 

  

Regional Banks - 0.5%

 

BB&T Corp. (h)

      2,747          136,581  

Citizens Financial Group Inc.

      1,661          69,729  

Comerica Inc.

      536          46,530  
 

 

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

 

26   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

Fifth Third Bancorp

      2,411          73,150  

Huntington Bancshares Inc.

      3,607          52,518  

KeyCorp

      3,722          75,073  

M&T Bank Corp.

      516          88,231  

People’s United Financial Inc.

      1,150          21,505  

Regions Financial Corp.

      3,967          68,550  

SunTrust Banks Inc.

      1,623          104,829  

The PNC Financial Services Group Inc.

      1,636          236,058  

Zions Bancorporation

      652          33,141  
       

 

 

  
       1,005,895  
       

 

 

  

Research & Consulting Services - 0.1%

 

Equifax Inc.

      406          47,876  

Nielsen Holdings PLC

      1,101          40,076  

Verisk Analytics Inc. (a)

      514          49,344  
       

 

 

  
       137,296  
       

 

 

  

Residential REITs - 0.2%

 

Apartment Investment & Management Co., Class A

      579          25,308  

AvalonBay Communities Inc. (h)

      477          85,102  

Equity Residential

      1,281          81,689  

Essex Property Trust Inc.

      223          53,826  

Mid-America Apartment Communities Inc.

      396          39,822  

UDR Inc.

      987          38,019  
       

 

 

  
       323,766  
       

 

 

  

Restaurants - 0.4%

 

Chipotle Mexican Grill Inc. (a)

      83          23,990  

Darden Restaurants Inc.

      455          43,689  

McDonald’s Corp.

      2,745          472,469  

Starbucks Corp.

      4,895          281,120  

Yum! Brands Inc.

      1,168          95,320  
       

 

 

  
       916,588  
       

 

 

  

Retail REITs - 0.2%

 

Federal Realty Investment Trust

      265          35,195  

GGP Inc.

      1,957          45,774  

Kimco Realty Corp.

      1,570          28,496  

Realty Income Corp.

      955          54,454  

Regency Centers Corp.

      500          34,590  

Simon Property Group Inc.

      1,052          180,670  

The Macerich Co.

      346          22,725  
       

 

 

  
       401,904  
       

 

 

  

Semiconductor Equipment - 0.2%

 

Applied Materials Inc. (h)

      3,712          189,757  

KLA-Tencor Corp.

      528          55,477  

Lam Research Corp.

      571          105,104  
       

 

 

  
       350,338  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  

Semiconductors - 1.1%

 

Advanced Micro Devices Inc. (h)(a)

      2,850          29,298  

Analog Devices Inc.

      1,274          113,424  

Intel Corp.

      16,033          740,083  

Microchip Technology Inc.

      798          70,128  

Micron Technology Inc. (a)

      3,942          162,095  

NVIDIA Corp.

      2,051          396,869  

Qorvo Inc. (a)

      472          31,435  

QUALCOMM Inc.

      5,065          324,261  

Skyworks Solutions Inc.

      646          61,338  

Texas Instruments Inc.

      3,322          346,950  

Xilinx Inc.

      853          57,509  
       

 

 

  
       2,333,390  
       

 

 

  

Soft Drinks - 0.6%

 

Dr Pepper Snapple Group Inc.

      639          62,021  

Monster Beverage Corp. (a)

      1,397          88,416  

PepsiCo Inc.

      4,901          587,728  

The Coca-Cola Co.

      13,167          604,102  
       

 

 

  
       1,342,267  
       

 

 

  

Specialized Consumer Services - 0.0%*

 

H&R Block Inc.

      765          20,058  
       

 

 

  

Specialized REITs - 0.4%

 

American Tower Corp. (h)

      1,475          210,438  

Crown Castle International Corp.

      1,372          152,306  

Digital Realty Trust Inc.

      701          79,844  

Equinix Inc.

      264          119,650  

Extra Space Storage Inc.

      465          40,664  

Iron Mountain Inc.

      905          34,146  

Public Storage

      521          108,889  

SBA Communications Corp. (a)

      400          65,344  

Weyerhaeuser Co.

      2,623          92,487  
       

 

 

  
       903,768  
       

 

 

  

Specialty Chemicals - 0.2%

 

Albemarle Corp. (h)

      370          47,319  

Ecolab Inc.

      869          116,603  

International Flavors & Fragrances Inc.

      276          42,120  

PPG Industries Inc.

      895          104,554  

The Sherwin-Williams Co.

      289          118,502  
       

 

 

  
       429,098  
       

 

 

  

Specialty Stores - 0.1%

 

Signet Jewelers Ltd.

      211          11,932  

Tiffany & Co.

      331          34,407  

Tractor Supply Co.

      385          28,779  

Ulta Salon Cosmetics & Fragrance Inc. (a)

      207          46,298  
       

 

 

  
       121,416  
       

 

 

  
 

 

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

 

Elfun Diversified Fund     27  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Number
of Shares		       

Fair
Value

$

  
       

Steel - 0.0%*

 

Nucor Corp.

      1,076          68,412  
       

 

 

  

Systems Software - 1.4%

 

CA Inc. (h)

      1,157          38,505  

Microsoft Corp.

      26,418          2,259,796  

Oracle Corp.

      10,499          496,393  

Red Hat Inc. (a)

      613          73,621  

Symantec Corp.

      2,143          60,132  
       

 

 

  
       2,928,447  
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.6%

 

Apple Inc. (h)

      17,605          2,979,294  

Hewlett Packard Enterprise Co.

      5,673          81,464  

HP Inc.

      5,829          122,467  

NetApp Inc.

      917          50,729  

Western Digital Corp.

      954          75,872  

Xerox Corp.

      786          22,912  
       

 

 

  
       3,332,738  
       

 

 

  

Tires & Rubber - 0.0%*

 

The Goodyear Tire & Rubber Co.

      844          27,270  
       

 

 

  

Tobacco - 0.5%

 

Altria Group Inc. (h)

      6,543          467,236  

Philip Morris International Inc.

      5,328          562,903  
       

 

 

  
       1,030,139  
       

 

 

  

Trading Companies & Distributors - 0.1%

 

Fastenal Co.

      968          52,940  

United Rentals Inc. (a)

      282          48,478  

WW Grainger Inc.

      183          43,234  
       

 

 

  
       144,652  
       

 

 

  

Trucking - 0.0%*

 

JB Hunt Transport Services Inc.

      297          34,149  
       

 

 

  

Water Utilities - 0.0%*

        

American Water Works Company Inc. (h)

      598          54,711  
       

 

 

  
Total Common Stock
(Cost $65,669,263)		          76,254,498  
       

 

 

  
Preferred Stock - 0.0%*  

Diversified Banks - 0.0%*

 

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

      1,469          39,663  
       

 

 

  
Total Preferred Stock
(Cost $36,725)		           39,663  
       

 

 

  
Total Domestic Equity
(Cost $65,705,988)		           76,294,161  
       

 

 

  
     Number
of Shares		       

Fair
Value

$

  
Foreign Equity - 1.0%  

Common Stock - 1.0%

 

Auto Parts & Equipment - 0.1%

 

Aptiv PLC

      940          79,740  
       

 

 

  

Building Products - 0.0%*

 

Allegion PLC (h)

      354          28,164  
       

 

 

  

Consumer Electronics - 0.0%*

 

Garmin Ltd.

      425          25,317  
       

 

 

  

Electronic Manufacturing Services - 0.1%

 

TE Connectivity Ltd.

      1,142          108,536  
       

 

 

  

Healthcare Equipment - 0.2%

 

Medtronic PLC

      4,591          370,723  
       

 

 

  

Industrial Machinery - 0.0%*

 

Pentair PLC

      518          36,581  
       

 

 

  

Insurance Brokers - 0.1%

 

Aon PLC

      870          116,580  

Willis Towers Watson PLC

      445          67,057  
       

 

 

  
       183,637  
       

 

 

  

IT Consulting & Other Services - 0.2%

 

Accenture PLC, Class A (h)

      2,136          327,000  
       

 

 

  

Oil & Gas Equipment & Services - 0.0%*

 

TechnipFMC PLC

      1,406          44,022  
       

 

 

  

Pharmaceuticals - 0.0%*

 

Perrigo Company PLC

      446          38,873  
       

 

 

  

Property & Casualty Insurance - 0.1%

 

Chubb Ltd.

      1,591          232,493  

XL Group Ltd.

      874          30,730  
       

 

 

  
       263,223  
       

 

 

  

Reinsurance - 0.0%*

 

Everest Re Group Ltd.

      141          31,198  
       

 

 

  

Research & Consulting Services - 0.0%*

 

IHS Markit Ltd. (a)

      1,100          49,665  
       

 

 

  

Semiconductors - 0.2%

 

Broadcom Ltd. (h)

      1,406          361,202  
       

 

 

  

Technology Hardware, Storage & Peripherals - 0.0%*

 

Seagate Technology PLC

      988          41,338  
       

 

 

  
Total Foreign Equity
(Cost $1,725,793)		          1,989,219  
       

 

 

  
 

 

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

 

28   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       
Bonds and Notes - 29.1%  

U.S. Treasuries - 12.5%

        

U.S. Treasury Bonds

        

2.75% 08/15/47

      1,228,000          1,229,719  

3.75% 11/15/43

      168,000          200,192  

4.50% 02/15/36

      751,500          967,819  

U.S. Treasury Notes

        

0.88% 03/31/18 - 10/15/18

      4,786,600          4,759,577  

1.25% 12/31/18 - 08/31/19

      2,886,500          2,863,334  

1.38% 12/15/19

      3,001,800          2,972,382  

1.50% 08/15/20

      1,758,000          1,738,732  

1.63% 10/15/20 - 08/31/22

      1,926,000          1,889,212  

1.75% 09/30/22

      1,814,500          1,778,210  

1.88% 10/31/22 - 08/31/24

      1,760,000          1,723,385  

2.00% 02/15/25

      2,080,100          2,033,423  

2.13% 05/15/25

      2,655,600          2,615,155  

2.25% 08/15/27

      1,358,800          1,339,886  

2.38% 05/15/27

      190,000          189,479  
       

 

 

  
       26,300,505  
       

 

 

  

Agency Mortgage Backed - 3.2%

 

Federal Home Loan Mortgage Corp.

        

4.50% 06/01/33 - 02/01/35

      2,610          2,789  

5.00% 07/01/35 - 06/01/41

      158,997          172,488  

5.50% 05/01/20 - 04/01/39

      6,776          7,405  

5.50% 01/01/38 (h)

      32,957          36,350  

6.00% 05/01/20 - 11/01/37

      76,169          84,882  

6.00% 06/01/37 (h)

      22,956          25,594  

6.50% 11/01/28 - 07/01/29

      5,824          6,451  

7.00% 06/01/29 - 08/01/36

      18,545          20,143  

7.50% 09/01/33

      1,164          1,212  

8.00% 07/01/26 - 11/01/30

      2,053          2,280  

8.50% 04/01/30

      6,502          7,624  

Federal National Mortgage Assoc.

        

3.00% 02/01/43 - 05/01/43 (h)

      470,891          473,741  

3.50% 11/01/42 - 08/01/45 (h)

      1,031,310          1,064,184  

4.00% 05/01/19 - 06/01/19

      2,054          2,113  

4.00% 01/01/41 - 03/01/41 (h)

      243,823          256,712  

4.50% 05/01/18 - 08/01/20

      6,178          6,277  

4.50% 07/01/33 - 01/01/41 (h)

      894,322          958,814  

5.00% 07/01/20

      1,980          2,017  

5.00% 03/01/34 - 06/01/41 (h)

      264,107          286,495  

5.50% 06/01/20 - 07/01/20

      15,204          15,524  

5.50% 07/01/33 - 01/01/39 (h)

      144,377          159,558  

6.00% 02/01/20

      799          814  

6.00% 01/01/29 - 05/01/41 (h)

      453,611          503,806  

6.50% 01/01/19

      1,114          1,118  

6.50% 10/01/28 - 08/01/36 (h)

      16,088          17,992  

7.00% 05/01/33 - 12/01/33 (h)

      581          598  

7.50% 12/01/26 - 12/01/33 (h)

      5,081          5,564  
     Principal
Amount ($)		       

Fair
Value

$

  

8.00% 06/01/24 - 12/01/30 (h)

      7,238          7,423  

9.00% 12/01/22 (h)

      522          552  

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

        

3.35% 04/01/37 (i)

      497          511  

Federal National Mortgage Assoc. TBA

        

3.00% TBA (c)

      809,934          819,833  

3.50% TBA (c)

      716,023          738,878  

Government National Mortgage Assoc.

        

4.00% 01/20/41 - 04/20/43

      381,956          402,922  

4.50% 08/15/33 - 03/20/41

      173,050          184,523  

5.00% 08/15/33

      8,738          9,451  

6.00% 07/15/33 - 04/15/34

      8,397          9,520  

6.50% 04/15/28 - 07/15/36

      12,857          14,264  

7.00% 04/15/28 - 10/15/36

      6,334          6,844  

7.50% 07/15/23 - 04/15/28

      7,715          7,846  

8.00% 05/15/30

      189          194  

9.00% 12/15/21

      250          268  

5.00% TBA (c)

      400,000          430,076  

5.50% TBA (c)

      50,000          54,763  
       

 

 

  
       6,810,413  
       

 

 

  

Agency Collateralized Mortgage Obligations - 0.1%

 

Federal Home Loan Mortgage Corp.

        

0.08% 09/25/43 (g)(i)

      158,105          331  

Federal Home Loan Mortgage Corp. REMIC

        

3.50% 11/15/24 - 11/15/30 (g)

      93,141          6,745  

5.50% 06/15/33 (g)

      6,571          1,310  

7.50% 07/15/27 (g)

      6,594          1,003  

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

        

5.12% 08/15/25 (g)(i)

      41,750          3,134  

Federal Home Loan Mortgage Corp. STRIPS

        

1.47% 08/01/27 (d)(f)

      268          247  

8.00% 02/01/23 - 07/01/24 (g)

      981          155  

Federal National Mortgage Assoc. REMIC

        

0.51% 12/25/22 (d)(f)

      208          204  

1.19% 12/25/42 (g)(i)

      35,875          1,453  

5.00% 09/25/40 (g)

      40,860          4,371  

8.00% 05/25/22 (g)

      1          11  

Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR
4.45% 07/25/38 -
12/25/41 (g)(i)

      144,505          24,810  
 

 

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

 

Elfun Diversified Fund     29  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Federal National Mortgage Assoc. REMIC 6.60% - 1 month USD LIBOR

        

5.05% 10/25/43 (g)(i)

      244,814          51,547  

Federal National Mortgage Assoc. REMIC 7.50% - 1 month USD LIBOR

        

5.95% 05/25/18 (g)(i)(**)

      93          —  

Federal National Mortgage Assoc. STRIPS

        

4.50% 08/25/35 - 01/25/36 (g)

      17,077          3,126  

5.00% 03/25/38 - 05/25/38 (g)

      9,610          1,828  

5.50% 12/25/33 (g)

      3,270          720  

6.00% 01/25/35 (g)

      8,729          1,727  

7.50% 11/25/23 (g)

      8,379          1,233  

8.00% 08/25/23 - 07/25/24 (g)

      1,957          366  

8.50% 07/25/22 (g)

      165          18  

8.50% 07/25/22 (g)(**)

      4          —  

9.00% 05/25/22 (g)

      198          20  

Government National Mortgage Assoc. REMIC

        

4.50% 02/20/38 - 08/16/39 (g)

      32,452          2,108  

5.00% 01/20/38 - 09/20/38 (g)

      8,991          291  

Government National Mortgage Assoc. REMIC 6.80% - 1 month USD LIBOR

        

5.31% 01/16/40 (g)(i)

      65,366          10,815  
       

 

 

  
       117,573  
       

 

 

  

Asset Backed - 0.7%

 

American Express Credit Account Master Trust 2017-6

        

2.04% 05/15/23

      357,738          355,803  

BA Credit Card Trust 2017-A2

        

1.84% 01/17/23

      361,000          357,254  

Citibank Credit Card Issuance Trust 2014-A6

        

2.15% 07/15/21

      181,000          181,181  

Citibank Credit Card Issuance Trust 2016-A1

        

1.75% 11/19/21

      446,000          442,949  

Citibank Credit Card Issuance Trust 2017-A8

        

1.86% 08/08/22

      139,000          137,659  
       

 

 

  
       1,474,846  
       

 

 

  

Corporate Notes - 11.2%

 

21st Century Fox America Inc.

        

3.38% 11/15/26

      8,000          8,165  

4.75% 11/15/46

      6,000          6,925  

6.65% 11/15/37

      49,000          67,463  
     Principal
Amount ($)		       

Fair
Value

$

  

Abbott Laboratories

        

2.90% 11/30/21

      88,000          88,910  

3.75% 11/30/26

      59,000          60,581  

4.90% 11/30/46

      24,000          27,571  

AbbVie Inc.

        

2.00% 11/06/18

      49,000          48,981  

3.20% 05/14/26

      59,000          58,852  

4.45% 05/14/46

      17,000          18,452  

4.70% 05/14/45

      16,000          17,945  

Acadia Healthcare Company Inc.

        

6.50% 03/01/24

      44,000          45,980  

AES Corp.

        

4.88% 05/15/23

      74,000          75,572  

Aetna Inc.

        

3.50% 11/15/24

      55,000          55,940  

Aflac Inc.

        

4.00% 10/15/46

      21,000          21,967  

Agrium Inc.

        

4.90% 06/01/43

      16,000          17,847  

Alimentation Couche-Tard Inc.

        

2.70% 07/26/22 (b)

      54,000          53,471  

3.55% 07/26/27 (b)

      54,000          53,900  

4.50% 07/26/47 (b)

      14,000          14,655  

Allergan Funding SCS

        

3.00% 03/12/20

      38,000          38,341  

3.45% 03/15/22

      42,000          42,660  

3.80% 03/15/25

      6,000          6,107  

4.55% 03/15/35

      14,000          14,735  

4.75% 03/15/45

      16,000          17,062  

Altria Group Inc.

        

2.95% 05/02/23

      32,000          32,227  

3.88% 09/16/46

      12,000          11,937  

4.50% 05/02/43

      13,000          14,132  

Amazon.com Inc.

        

2.80% 08/22/24 (b)

      43,000          42,879  

3.15% 08/22/27 (b)

      28,000          28,120  

3.88% 08/22/37 (b)

      31,000          32,906  

4.05% 08/22/47 (b)

      19,000          20,399  

4.25% 08/22/57 (b)

      34,000          37,201  

American Axle & Manufacturing Inc.

        

6.25% 04/01/25 (b)

      37,000          38,943  

6.50% 04/01/27 (b)

      19,000          20,045  

6.63% 10/15/22

      20,000          20,738  

American Campus Communities Operating Partnership LP

        

3.35% 10/01/20

      36,000          36,707  

4.13% 07/01/24

      28,000          29,133  

American Electric Power Company Inc.

        

2.95% 12/15/22

      75,000          76,048  
 

 

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

 

30   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

American Express Co.

        

3.00% 10/30/24

      29,000          28,910  

American International Group Inc.

        

4.50% 07/16/44

      39,000          42,219  

4.80% 07/10/45

      16,000          17,989  

American Tower Corp. (REIT)

        

3.38% 10/15/26

      19,000          18,670  

3.40% 02/15/19

      134,000          135,485  

American Water Capital Corp.

        

2.95% 09/01/27

      45,000          44,542  

Amgen Inc.

        

2.20% 05/22/19

      64,000          64,010  

2.65% 05/11/22

      55,000          54,826  

3.20% 11/02/27

      88,000          87,953  

4.56% 06/15/48

      29,000          32,415  

Amkor Technology Inc.

        

6.63% 06/01/21

      49,000          49,521  

Anadarko Petroleum Corp.

        

4.85% 03/15/21

      5,000          5,284  

6.20% 03/15/40

      24,000          28,976  

6.60% 03/15/46

      5,000          6,407  

Andeavor Logistics LP/Tesoro Logistics Finance Corp.

        

4.25% 12/01/27

      47,000          47,437  

5.20% 12/01/47

      14,000          14,540  

5.25% 01/15/25

      146,000          153,574  

Anheuser-Busch InBev Finance Inc.

        

2.65% 02/01/21

      32,000          32,188  

3.65% 02/01/26

      90,000          92,862  

4.70% 02/01/36

      23,000          25,784  

4.90% 02/01/46

      74,000          85,756  

Anheuser-Busch InBev Worldwide Inc.

        

2.50% 07/15/22

      103,000          102,227  

Anthem Inc.

        

3.30% 01/15/23

      46,000          46,679  

Apache Corp.

        

5.10% 09/01/40

      24,000          25,777  

Apple Inc.

        

2.50% 02/09/22

      47,000          47,056  

2.85% 05/11/24

      55,000          55,199  

3.35% 02/09/27

      36,000          36,842  

3.45% 02/09/45

      30,000          29,301  

3.85% 08/04/46

      58,000          60,380  

4.25% 02/09/47

      9,000          9,988  

4.65% 02/23/46

      10,000          11,706  

Applied Materials Inc.

        

3.30% 04/01/27

      42,000          42,672  

4.35% 04/01/47

      14,000          15,706  

Aptiv PLC

        

4.40% 10/01/46

      21,000          21,760  
     Principal
Amount ($)		       

Fair
Value

$

  

Aramark Services Inc.

        

5.13% 01/15/24

      47,000          49,262  

Archer-Daniels-Midland Co.

        

2.50% 08/11/26

      43,000          40,942  

Arconic Inc.

        

6.15% 08/15/20

      20,000          21,525  

Ascension Health

        

4.85% 11/15/53

      13,000          15,175  

AstraZeneca PLC

        

2.38% 11/16/20

      16,000          15,966  

3.13% 06/12/27

      16,000          15,891  

3.38% 11/16/25

      27,000          27,505  

AT&T Inc.

        

2.45% 06/30/20

      44,000          43,919  

2.85% 02/14/23

      36,000          36,123  

3.00% 06/30/22

      55,000          55,091  

3.40% 08/14/24

      26,000          26,125  

3.90% 08/14/27

      18,000          18,101  

4.45% 04/01/24

      39,000          41,211  

4.50% 05/15/35

      41,000          40,699  

4.75% 05/15/46

      28,000          27,390  

4.80% 06/15/44

      33,000          32,501  

4.90% 08/14/37

      43,000          43,504  

5.15% 02/14/50

      63,000          63,540  

5.25% 03/01/37

      36,000          38,114  

5.30% 08/14/58

      25,000          25,100  

5.45% 03/01/47

      45,000          48,215  

Avangrid Inc.

        

3.15% 12/01/24

      66,000          65,783  

Bank of America Corp.

        

2.65% 04/01/19

      63,000          63,418  

3.25% 10/21/27 (h)

      79,000          78,287  

3.95% 04/21/25 (h)

      52,000          53,751  

4.25% 10/22/26 (h)

      24,000          25,290  

Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter)

        

2.37% 07/21/21 (i)

      42,000          41,908  

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

        

3.12% 01/20/23 (h)(i)

      67,000          67,925  

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

        

3.42% 12/20/28 (b)(i)

      60,000          59,922  

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

        

4.24% 04/24/38 (h)(i)

      65,000          70,461  
 

 

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

 

Elfun Diversified Fund     31  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

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

        

4.44% 01/20/48 (h)(i)

      37,000          41,529  

Bank of America Corp.
(8.00% fixed rate until 01/30/18; 3.63% + 3 month USD LIBOR thereafter)

        

8.00% 12/31/49 (i)

      95,000          95,412  

Barrick North America Finance LLC

        

5.70% 05/30/41

      10,000          12,230  

BAT Capital Corp.

        

2.30% 08/14/20 (b)

      43,000          42,751  

2.76% 08/15/22 (b)

      41,000          40,726  

3.56% 08/15/27 (b)

      58,000          58,058  

4.39% 08/15/37 (b)

      19,000          19,938  

4.54% 08/15/47 (b)

      37,000          39,054  

Baxalta Inc.

        

2.88% 06/23/20

      41,000          41,242  

Becton Dickinson and Co.

        

2.89% 06/06/22

      40,000          39,764  

3.70% 06/06/27

      70,000          70,507  

3.73% 12/15/24

      3,000          3,067  

4.67% 06/06/47

      12,000          12,951  

4.69% 12/15/44

      2,000          2,192  

Berkshire Hathaway Inc.

        

4.50% 02/11/43

      14,000          16,061  

Berry Global Inc.

        

5.13% 07/15/23

      60,000          62,400  

BHP Billiton Finance USA Ltd.

        

5.00% 09/30/43

      15,000          18,367  

Biogen Inc.

        

2.90% 09/15/20

      16,000          16,231  

BP Capital Markets PLC

        

1.38% 05/10/18

      50,000          49,924  

3.22% 11/28/23

      46,000          47,052  

3.28% 09/19/27

      62,000          62,760  

Brighthouse Financial Inc.

        

3.70% 06/22/27 (b)

      5,000          4,910  

4.70% 06/22/47 (b)

      3,000          3,058  

Brixmor Operating Partnership LP

        

3.90% 03/15/27

      38,000          37,650  

Broadcom Corp./Broadcom Cayman Finance Ltd.

        

2.20% 01/15/21 (b)

      16,000          15,632  

2.65% 01/15/23 (b)

      17,000          16,381  

3.13% 01/15/25 (b)

      20,000          19,124  

3.88% 01/15/27 (b)

      39,000          38,475  

Buckeye Partners LP

        

5.60% 10/15/44

      24,000          25,228  
     Principal
Amount ($)		       

Fair
Value

$

  

Bunge Limited Finance Corp.

        

3.75% 09/25/27

      42,000          41,368  

Burlington Northern Santa Fe LLC

        

3.65% 09/01/25

      43,000          45,162  

Canadian Natural Resources Ltd.

        

3.85% 06/01/27

      13,000          13,254  

4.95% 06/01/47

      10,000          11,220  

Capital One Financial Corp.

        

4.20% 10/29/25

      72,000          74,073  

Cardinal Health Inc.

        

2.62% 06/15/22

      16,000          15,729  

3.08% 06/15/24

      20,000          19,693  

3.41% 06/15/27

      9,000          8,825  

4.37% 06/15/47

      9,000          8,966  

Caterpillar Financial Services Corp.

        

2.55% 11/29/22

      65,000          64,696  

Caterpillar Inc.

        

4.30% 05/15/44

      24,000          27,420  

Catholic Health Initiatives

        

2.60% 08/01/18

      30,000          30,095  

4.35% 11/01/42

      24,000          22,838  

CBL & Associates LP

        

5.95% 12/15/26

      8,000          7,450  

CBS Corp.

        

2.50% 02/15/23

      38,000          37,029  

2.90% 01/15/27

      23,000          21,574  

CCO Holdings LLC/CCO Holdings Capital Corp.

        

5.88% 04/01/24 (b)

      44,000          45,870  

Celgene Corp.

        

3.45% 11/15/27

      43,000          43,019  

4.35% 11/15/47

      20,000          20,832  

5.00% 08/15/45

      4,000          4,550  

Cenovus Energy Inc.

        

5.40% 06/15/47

      7,000          7,361  

CenterPoint Energy Inc.

        

2.50% 09/01/22

      45,000          44,417  

CenturyLink Inc.

        

5.80% 03/15/22

      77,000          75,298  

Cequel Communications Holdings I LLC/Cequel Capital Corp.

        

5.13% 12/15/21 (b)

      60,000          60,150  

CF Industries Inc.

        

7.13% 05/01/20

      36,000          39,240  

Charter Communications Operating LLC/Charter Communications Operating Capital

        

3.58% 07/23/20

      60,000          60,930  
 

 

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

 

32   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

4.91% 07/23/25

      89,000          94,535  

5.38% 05/01/47

      18,000          18,566  

6.38% 10/23/35

      7,000          8,193  

6.48% 10/23/45

      15,000          17,569  

Chevron Corp.

        

3.19% 06/24/23

      38,000          39,020  

Church & Dwight Company Inc.

        

2.45% 08/01/22

      21,000          20,715  

3.15% 08/01/27

      38,000          37,357  

Cigna Corp.

        

3.25% 04/15/25

      45,000          45,171  

3.88% 10/15/47

      25,000          25,014  

Cimarex Energy Co.

        

3.90% 05/15/27

      26,000          26,625  

Cinemark USA Inc.

        

4.88% 06/01/23

      42,000          42,525  

Cisco Systems Inc.

        

2.50% 09/20/26

      41,000          39,672  

Citigroup Inc.

        

1.75% 05/01/18

      183,000          182,847  

2.05% 12/07/18

      85,000          84,913  

2.70% 10/27/22

      45,000          44,580  

2.90% 12/08/21

      44,000          44,229  

4.45% 09/29/27

      46,000          48,585  

4.75% 05/18/46

      26,000          28,766  

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

        

2.88% 07/24/23 (i)

      62,000          61,650  

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

        

4.28% 04/24/48 (i)

      46,000          49,999  

CMS Energy Corp.

        

4.88% 03/01/44

      45,000          52,618  

CNA Financial Corp.

        

3.45% 08/15/27

      25,000          24,628  

5.88% 08/15/20

      56,000          60,306  

Columbia Pipeline Group Inc.

        

3.30% 06/01/20

      26,000          26,353  

Comcast Corp.

        

3.38% 08/15/25

      22,000          22,566  

3.97% 11/01/47

      15,000          15,423  

4.20% 08/15/34

      39,000          41,748  

4.60% 08/15/45

      38,000          42,815  

Concho Resources Inc.

        

3.75% 10/01/27

      13,000          13,138  

4.88% 10/01/47

      16,000          17,455  

ConocoPhillips Co.

        

3.35% 11/15/24

      37,000          38,170  

5.95% 03/15/46

      8,000          10,790  
     Principal
Amount ($)		       

Fair
Value

$

  

Consolidated Edison Company of New York Inc.

        

2.90% 12/01/26

      40,000          39,197  

Constellation Brands Inc.

        

2.70% 05/09/22

      38,000          37,742  

4.50% 05/09/47

      11,000          12,023  

Continental Resources Inc.

        

5.00% 09/15/22

      18,000          18,270  

Corning Inc.

        

4.38% 11/15/57

      21,000          20,845  

Corporation Andina de Fomento

        

2.20% 07/18/20

      44,000          43,690  

4.38% 06/15/22

      121,000          128,921  

Costco Wholesale Corp.

        

3.00% 05/18/27

      18,000          18,026  

CSX Corp.

        

4.50% 08/01/54

      25,000          26,697  

CVS Health Corp.

        

3.88% 07/20/25

      28,000          28,842  

5.13% 07/20/45

      8,000          9,167  

D.R. Horton Inc.

        

2.55% 12/01/20

      47,000          46,943  

Daimler Finance North America LLC

        

2.38% 08/01/18 (b)

      150,000          150,317  

Dana Financing Luxembourg Sarl

        

6.50% 06/01/26 (b)

      56,000          60,690  

Danaher Corp.

        

4.38% 09/15/45

      20,000          22,571  

Dell International LLC/EMC Corp.

        

3.48% 06/01/19 (b)

      64,000          64,792  

5.45% 06/15/23 (b)

      37,000          39,942  

6.02% 06/15/26 (b)

      19,000          20,939  

8.35% 07/15/46 (b)

      11,000          14,186  

Deutsche Bank AG

        

2.70% 07/13/20

      43,000          42,819  

3.70% 05/30/24

      23,000          23,157  

Deutsche Telekom International Finance BV

        

2.49% 09/19/23 (b)

      150,000          145,318  

Devon Energy Corp.

        

5.00% 06/15/45

      16,000          17,903  

5.85% 12/15/25

      8,000          9,340  

Dexia Credit Local S.A.

        

2.25% 01/30/19 (b)(h)

      250,000          250,270  

Diageo Investment Corp.

        

2.88% 05/11/22

      39,000          39,543  

Discovery Communications LLC

        

2.20% 09/20/19

      45,000          44,794  

3.95% 03/20/28

      45,000          44,647  
 

 

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

 

Elfun Diversified Fund     33  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

5.00% 09/20/37

      20,000          20,690  

5.20% 09/20/47

      20,000          20,841  

Dollar General Corp.

        

1.88% 04/15/18

      88,000          87,949  

Dominion Energy Inc.

        

2.58% 07/01/20

      30,000          29,992  

3.63% 12/01/24

      33,000          34,135  

DTE Energy Co.

        

2.85% 10/01/26

      60,000          57,636  

Duke Energy Corp.

        

3.75% 09/01/46

      18,000          17,834  

Duke Energy Progress LLC

        

4.15% 12/01/44

      29,000          31,740  

Duke Realty LP

        

3.38% 12/15/27

      45,000          45,158  

Duquesne Light Holdings Inc.

        

3.62% 08/01/27 (b)

      43,000          42,963  

Eastman Chemical Co.

        

3.60% 08/15/22

      15,000          15,460  

Eaton Corp.

        

3.10% 09/15/27

      42,000          41,247  

Ecolab Inc.

        

3.25% 12/01/27 (b)

      28,000          27,964  

3.95% 12/01/47 (b)

      17,000          17,397  

Ecopetrol S.A.

        

5.88% 05/28/45 (h)

      31,000          31,853  

EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR 1.91% 05/01/20 (i)

      39,000          39,245  

Electricite de France S.A.

        

2.15% 01/22/19 (b)

      100,000          100,013  

Eli Lilly & Co.

        

3.10% 05/15/27

      16,000          16,241  

3.70% 03/01/45

      8,000          8,253  

3.95% 05/15/47

      10,000          10,759  

EMC Corp.

        

2.65% 06/01/20

      90,000          88,762  

Emera US Finance LP

        

3.55% 06/15/26

      33,000          33,084  

4.75% 06/15/46

      10,000          10,985  

Enbridge Energy Partners LP

        

5.50% 09/15/40

      10,000          10,954  

Encana Corp.

        

3.90% 11/15/21

      41,000          42,051  

Energy Transfer Equity LP

        

5.88% 01/15/24

      157,000          165,046  

Energy Transfer LP

        

5.30% 04/15/47

      17,000          16,861  

6.50% 02/01/42

      30,000          33,890  

Energy Transfer LP/Regency Energy Finance Corp.

        

4.50% 11/01/23

      34,000          35,129  
     Principal
Amount ($)		       

Fair
Value

$

  

Entergy Louisiana LLC

        

3.05% 06/01/31

      29,000          28,084  

Enterprise Products Operating LLC

        

3.95% 02/15/27

      63,000          65,581  

Envision Healthcare Corp.

        

6.25% 12/01/24 (b)

      59,000          60,991  

EOG Resources Inc.

        

4.15% 01/15/26

      41,000          43,647  

EQT Corp.

        

3.00% 10/01/22

      16,000          15,828  

3.90% 10/01/27

      25,000          24,915  

ERP Operating LP

        

4.50% 07/01/44

      18,000          19,728  

Exelon Corp.

        

3.50% 06/01/22

      31,000          31,567  

4.45% 04/15/46

      42,000          45,525  

Express Scripts Holding Co.

        

3.40% 03/01/27

      29,000          28,422  

4.80% 07/15/46

      11,000          11,699  

Exxon Mobil Corp.

        

2.22% 03/01/21

      25,000          24,979  

3.04% 03/01/26

      11,000          11,165  

FirstEnergy Corp.

        

3.90% 07/15/27

      24,000          24,605  

4.85% 07/15/47

      9,000          9,995  

Florida Power & Light Co.

        

4.13% 02/01/42

      26,000          28,675  

Ford Motor Co.

        

4.35% 12/08/26

      74,000          77,302  

Freeport-McMoRan Inc.

        

3.10% 03/15/20

      54,000          53,665  

Frontier Communications Corp.

        

7.13% 03/15/19

      91,000          87,132  

General Dynamics Corp.

        

2.13% 08/15/26

      16,000          14,997  

General Motors Co.

        

5.20% 04/01/45

      7,000          7,392  

General Motors Financial Company Inc.

        

3.15% 01/15/20

      56,000          56,593  

5.25% 03/01/26

      74,000          81,246  

Georgia-Pacific LLC

        

3.60% 03/01/25 (b)

      12,000          12,333  

Gilead Sciences Inc.

        

1.95% 03/01/22

      24,000          23,425  

2.95% 03/01/27

      16,000          15,733  

3.65% 03/01/26

      28,000          29,058  

4.15% 03/01/47

      23,000          24,473  

4.80% 04/01/44

      20,000          23,174  

Glencore Finance Canada Ltd.

        

5.55% 10/25/42 (b)

      11,000          12,154  
 

 

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

 

34   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Glencore Funding LLC

        

3.88% 10/27/27 (b)

      25,000          24,761  

4.00% 03/27/27 (b)

      28,000          28,112  

H&E Equipment Services Inc.

        

5.63% 09/01/25 (b)

      5,000          5,238  

Halliburton Co.

        

3.80% 11/15/25

      38,000          39,410  

5.00% 11/15/45

      22,000          25,235  

HCA Inc.

        

4.75% 05/01/23

      122,000          126,270  

Hess Corp.

        

4.30% 04/01/27

      11,000          10,996  

5.60% 02/15/41

      11,000          11,831  

5.80% 04/01/47

      6,000          6,670  

Hewlett Packard Enterprise Co.

        

6.35% 10/15/45

      11,000          11,730  

Hilcorp Energy I LP/Hilcorp Finance Co.

        

5.75% 10/01/25 (b)

      40,000          41,000  

Honeywell International Inc.

        

2.50% 11/01/26

      49,000          47,454  

Hyundai Capital America

        

3.10% 04/05/22 (b)

      18,000          17,904  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

        

6.00% 08/01/20

      54,000          55,436  

Ingersoll-Rand Luxembourg Finance S.A.

        

3.55% 11/01/24

      55,000          56,768  

Intel Corp.

        

2.60% 05/19/26

      73,000          71,351  

2.88% 05/11/24

      39,000          39,343  

International Paper Co.

        

4.40% 08/15/47

      38,000          39,930  

Interstate Power & Light Co.

        

3.40% 08/15/25

      150,000          152,238  

IPALCO Enterprises Inc.

        

3.70% 09/01/24 (b)

      5,000          4,984  

j2 Cloud Services LLC/j2 Global Co-Obligor Inc.

        

6.00% 07/15/25 (b)

      32,000          33,680  

JB Poindexter & Company Inc.

        

9.00% 04/01/22 (b)

      18,000          18,675  

Jefferies Group LLC

        

5.13% 01/20/23

      78,000          84,354  

6.50% 01/20/43

      26,000          30,470  

Johnson & Johnson

        

2.63% 01/15/25

      88,000          87,716  

3.63% 03/03/37

      29,000          30,615  

Johnson Controls International PLC

        

4.50% 02/15/47

      14,000          15,329  
     Principal
Amount ($)		       

Fair
Value

$

  

JPMorgan Chase & Co.

        

2.30% 08/15/21

      42,000          41,601  

2.55% 10/29/20

      92,000          92,236  

3.30% 04/01/26

      77,000          77,537  

3.63% 12/01/27

      28,000          28,301  

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

        

3.88% 07/24/38 (i)

      70,000          71,873  

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

        

4.03% 07/24/48 (i)

      29,000          30,143  

JPMorgan Chase & Co.
(4.63% fixed rate until 11/01/22; 2.58% + 3 month USD LIBOR thereafter)

        

4.63% 12/31/99 (i)

      45,000          44,053  

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

        

6.10% 10/29/49 (i)

      110,000          120,868  

JPMorgan Chase & Co.
(7.90% fixed rate until 04/30/18; 3.47% + 3 month USD LIBOR thereafter)

        

7.90% 12/29/49 (i)

      44,000          44,589  

Kinder Morgan Energy Partners LP

        

3.50% 09/01/23

      19,000          19,061  

6.38% 03/01/41

      17,000          19,730  

Kinder Morgan Inc.

        

3.05% 12/01/19

      16,000          16,140  

5.05% 02/15/46

      17,000          17,590  

5.55% 06/01/45

      31,000          33,876  

Kraft Heinz Foods Co.

        

3.00% 06/01/26

      10,000          9,614  

4.38% 06/01/46

      32,000          31,696  

Kreditanstalt fuer Wiederaufbau

        

2.00% 10/04/22

      55,000          54,112  

4.50% 07/16/18

      102,000          103,481  

Lee Enterprises Inc.

        

9.50% 03/15/22 (b)

      78,000          80,584  

Lennar Corp.

        

4.50% 11/15/19

      41,000          41,892  

4.75% 05/30/25

      39,000          40,463  

4.75% 11/29/27 (b)

      38,000          38,950  

Levi Strauss & Co.

        

5.00% 05/01/25

      59,000          61,360  
 

 

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

 

Elfun Diversified Fund     35  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Lincoln National Corp.

        

3.63% 12/12/26

      54,000          55,172  

Lithia Motors Inc.

        

5.25% 08/01/25 (b)

      12,000          12,510  

Lockheed Martin Corp.

        

3.55% 01/15/26

      33,000          34,290  

3.80% 03/01/45

      16,000          16,192  

Lowe’s Companies Inc.

        

3.70% 04/15/46

      23,000          23,086  

LYB International Finance BV

        

4.88% 03/15/44

      11,000          12,311  

LYB International Finance II BV

        

3.50% 03/02/27

      36,000          36,157  

Macy’s Retail Holdings Inc.

        

4.30% 02/15/43

      9,000          7,236  

Marathon Oil Corp.

        

3.85% 06/01/25

      21,000          21,364  

Marathon Petroleum Corp.

        

3.63% 09/15/24

      38,000          38,818  

Marsh & McLennan Companies Inc.

        

3.50% 03/10/25

      45,000          46,340  

Masco Corp.

        

3.50% 11/15/27

      15,000          14,801  

McDonald’s Corp.

        

3.70% 01/30/26

      44,000          45,822  

4.88% 12/09/45

      17,000          19,665  

Medtronic Inc.

        

3.50% 03/15/25

      28,000          29,093  

4.63% 03/15/45

      36,000          41,891  

Memorial Sloan-Kettering Cancer Center

        

4.13% 07/01/52

      26,000          27,482  

Merck & Company Inc.

        

2.75% 02/10/25

      84,000          83,745  

MetLife Inc.

        

4.72% 12/15/44

      27,000          31,274  

MGM Resorts International

        

4.63% 09/01/26

      37,000          37,463  

6.63% 12/15/21

      98,000          107,526  

Microsoft Corp.

        

1.55% 08/08/21

      40,000          38,958  

2.40% 08/08/26

      50,000          48,195  

3.45% 08/08/36

      24,000          24,728  

3.70% 08/08/46

      24,000          25,018  

4.00% 02/12/55

      38,000          40,931  

4.10% 02/06/37

      12,000          13,396  

4.25% 02/06/47

      28,000          32,026  

4.50% 02/06/57

      13,000          15,357  

Mizuho Financial Group Inc.

        

2.63% 04/12/21 (b)

      200,000          199,436  
     Principal
Amount ($)		       

Fair
Value

$

  

Molina Healthcare Inc.

        

4.88% 06/15/25 (b)

      36,000          35,910  

Molson Coors Brewing Co.

        

2.10% 07/15/21

      60,000          58,784  

3.00% 07/15/26

      43,000          42,076  

4.20% 07/15/46

      15,000          15,305  

Monsanto Co.

        

4.70% 07/15/64

      10,000          10,422  

Morgan Stanley

        

2.45% 02/01/19

      138,000          138,294  

2.63% 11/17/21

      78,000          77,618  

2.65% 01/27/20

      44,000          44,195  

2.75% 05/19/22

      44,000          43,824  

3.63% 01/20/27

      5,000          5,116  

3.70% 10/23/24

      22,000          22,726  

3.95% 04/23/27

      93,000          94,679  

4.00% 07/23/25

      45,000          47,124  

4.10% 05/22/23

      106,000          110,574  

4.38% 01/22/47

      43,000          47,205  

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

        

3.97% 07/22/38 (i)

      24,000          24,777  

MPLX LP

        

5.20% 03/01/47

      7,000          7,637  

Murphy Oil Corp.

        

5.75% 08/15/25

      63,000          64,378  

Mylan N.V.

        

3.15% 06/15/21

      20,000          20,102  

3.95% 06/15/26

      19,000          19,149  

National Retail Properties Inc.

        

4.00% 11/15/25

      43,000          44,020  

Navient Corp.

        

8.00% 03/25/20

      72,000          77,850  

Newell Brands Inc.

        

3.85% 04/01/23

      42,000          43,478  

4.20% 04/01/26

      34,000          35,543  

5.50% 04/01/46

      17,000          20,293  

Newmont Mining Corp.

        

4.88% 03/15/42

      35,000          38,734  

Nexen Energy ULC

        

6.40% 05/15/37

      12,000          15,700  

NGPL PipeCo LLC

        

4.88% 08/15/27 (b)

      10,000          10,363  

Noble Energy Inc.

        

3.90% 11/15/24

      46,000          47,518  

Nordstrom Inc.

        

5.00% 01/15/44

      2,000          1,929  

Northern States Power Co.

        

2.20% 08/15/20

      94,000          93,880  

Northrop Grumman Corp.

        

2.08% 10/15/20

      16,000          15,869  
 

 

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

 

36   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

2.55% 10/15/22

      43,000          42,676  

2.93% 01/15/25

      43,000          42,708  

3.25% 01/15/28

      52,000          52,089  

3.85% 04/15/45

      9,000          9,113  

4.03% 10/15/47

      25,000          26,093  

Novartis Capital Corp.

        

3.00% 11/20/25

      6,000          6,063  

NRG Energy Inc.

        

6.25% 07/15/22

      59,000          61,360  

Nucor Corp.

        

4.13% 09/15/22

      18,000          19,020  

NuStar Logistics LP

        

4.80% 09/01/20

      36,000          36,473  

Occidental Petroleum Corp.

        

4.10% 02/15/47

      19,000          20,155  

Omnicom Group Inc.

        

3.63% 05/01/22

      25,000          25,846  

Oncor Electric Delivery Company LLC

        

3.80% 09/30/47 (b)

      8,000          8,316  

Oracle Corp.

        

1.90% 09/15/21

      41,000          40,323  

2.40% 09/15/23

      28,000          27,662  

3.25% 11/15/27

      43,000          43,731  

3.80% 11/15/37

      18,000          18,907  

4.00% 07/15/46 - 11/15/47

      42,000          44,678  

Pacific Gas & Electric Co.

        

3.40% 08/15/24

      138,000          140,528  

PacifiCorp

        

6.25% 10/15/37

      55,000          75,523  

Packaging Corporation of America

        

3.40% 12/15/27

      45,000          45,216  

Parker-Hannifin Corp.

        

3.25% 03/01/27

      89,000          89,714  

Penske Automotive Group Inc.

        

5.38% 12/01/24

      20,000          20,300  

PepsiCo Inc.

        

3.45% 10/06/46

      15,000          14,550  

Petroleos Mexicanos

        

4.50% 01/23/26

      45,000          44,932  

5.38% 03/13/22 (b)

      50,000          53,096  

5.63% 01/23/46

      19,000          17,664  

6.38% 01/23/45

      25,000          25,238  

6.50% 03/13/27 (b)

      50,000          54,821  

6.75% 09/21/47

      40,000          41,894  

PetSmart Inc.

        

5.88% 06/01/25 (b)

      50,000          38,000  

Pfizer Inc.

        

3.00% 12/15/26

      60,000          60,409  

4.13% 12/15/46

      19,000          21,044  

4.40% 05/15/44

      10,000          11,459  
     Principal
Amount ($)		       

Fair
Value

$

  

Philip Morris International Inc.

        

4.13% 03/04/43

      32,000          33,028  

Phillips 66 Partners LP

        

3.75% 03/01/28

      43,000          42,960  

4.68% 02/15/45

      25,000          25,631  

Plains All American Pipeline LP/PAA Finance Corp.

        

4.70% 06/15/44

      16,000          14,976  

5.75% 01/15/20

      29,000          30,553  

Potash Corporation of Saskatchewan Inc.

        

4.00% 12/15/26

      19,000          19,750  

PPL Capital Funding Inc.

        

3.10% 05/15/26

      55,000          53,986  

Precision Castparts Corp.

        

4.38% 06/15/45

      24,000          27,012  

Prudential Financial Inc. (4.50% fixed rate until 09/15/27; 2.38% + 3 month USD LIBOR thereafter)

        

4.50% 09/15/47 (i)

      20,000          20,261  

Prudential Financial Inc. (5.38% fixed rate until 05/15/25; 3.03% + 3 month USD LIBOR thereafter)

        

5.38% 05/15/45 (i)

      43,000          46,213  

Public Service Electric & Gas Co.

        

2.38% 05/15/23

      72,000          70,816  

PulteGroup Inc.

        

4.25% 03/01/21

      20,000          20,588  

5.50% 03/01/26

      60,000          65,100  

QUALCOMM Inc.

        

2.90% 05/20/24

      22,000          21,469  

3.00% 05/20/22

      23,000          23,042  

3.25% 05/20/27

      14,000          13,662  

4.30% 05/20/47

      7,000          7,059  

Realty Income Corp.

        

3.00% 01/15/27

      23,000          22,025  

Republic Services Inc.

        

3.38% 11/15/27

      18,000          18,159  

Reynolds American Inc.

        

4.45% 06/12/25

      7,000          7,464  

Rio Tinto Finance USA PLC

        

4.13% 08/21/42

      21,000          22,722  

Rockwell Collins Inc.

        

3.50% 03/15/27

      20,000          20,333  

Rogers Communications Inc.

        

5.00% 03/15/44

      13,000          14,983  

RPM International Inc.

        

3.75% 03/15/27

      44,000          44,584  

Ryder System Inc.

        

2.45% 09/03/19

      110,000          109,925  
 

 

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

 

Elfun Diversified Fund     37  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Sabine Pass Liquefaction LLC

        

4.20% 03/15/28

      41,000          41,626  

5.00% 03/15/27

      16,000          17,105  

Santander Holdings USA Inc.

        

2.65% 04/17/20

      78,000          77,904  

3.70% 03/28/22 (b)

      71,000          71,941  

4.40% 07/13/27 (b)

      29,000          29,678  

Schlumberger Holdings Corp.

        

3.00% 12/21/20 (b)

      32,000          32,414  

4.00% 12/21/25 (b)

      16,000          16,813  

Select Income REIT

        

4.25% 05/15/24

      44,000          43,636  

Shell International Finance BV

        

2.88% 05/10/26

      46,000          45,881  

3.40% 08/12/23

      59,000          61,179  

3.75% 09/12/46

      16,000          16,321  

4.13% 05/11/35

      23,000          25,204  

Shire Acquisitions Investments Ireland DAC

        

2.40% 09/23/21

      36,000          35,417  

2.88% 09/23/23

      47,000          46,136  

3.20% 09/23/26

      16,000          15,631  

Simon Property Group LP

        

3.38% 06/15/27

      44,000          44,312  

Sinclair Television Group Inc.

        

5.38% 04/01/21

      103,000          104,802  

Smithfield Foods Inc.

        

2.70% 01/31/20 (b)

      16,000          15,896  

4.25% 02/01/27 (b)

      24,000          24,629  

Southern California Edison Co.

        

2.40% 02/01/22

      34,000          33,695  

Southern Copper Corp.

        

5.88% 04/23/45

      18,000          21,783  

Spectra Energy Partners LP

        

3.38% 10/15/26

      15,000          14,807  

4.50% 03/15/45

      8,000          8,253  

Sprint Corp.

        

7.63% 02/15/25

      114,000          119,130  

Standard Industries Inc.

        

5.38% 11/15/24 (b)

      118,000          123,310  

Statoil ASA

        

3.95% 05/15/43

      23,000          24,028  

Suncor Energy Inc.

        

4.00% 11/15/47

      13,000          13,296  

Sunoco Logistics Partners Operations LP

        

5.40% 10/01/47

      41,000          41,385  

Sysco Corp.

        

3.25% 07/15/27

      37,000          37,014  

T-Mobile USA Inc.

        

6.63% 04/01/23

      62,000          64,325  

Tampa Electric Co.

        

4.35% 05/15/44

      38,000          41,256  
     Principal
Amount ($)		       

Fair
Value

$

  

Target Corp.

        

2.50% 04/15/26

      41,000          39,409  

Teachers Insurance & Annuity Association of America

        

4.90% 09/15/44 (b)

      18,000          20,590  

Teck Resources Ltd.

        

4.75% 01/15/22

      38,000          39,473  

Telefonica Emisiones SAU

        

4.10% 03/08/27

      150,000          154,624  

Tenet Healthcare Corp.

        

4.75% 06/01/20

      90,000          91,912  

6.00% 10/01/20

      96,000          101,280  

Teva Pharmaceutical Finance Netherlands III BV

        

1.40% 07/20/18

      71,000          70,500  

1.70% 07/19/19

      100,000          97,162  

3.15% 10/01/26

      30,000          24,775  

4.10% 10/01/46

      8,000          6,105  

The Allstate Corp.

        

4.20% 12/15/46

      18,000          19,658  

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

        

5.75% 08/15/53 (i)

      51,000          55,665  

The Bank of New York Mellon Corp.
(2.66% fixed rate until 05/16/22; 0.63% + 3 month USD LIBOR thereafter)

        

2.66% 05/16/23 (i)

      44,000          43,879  

The Bank of New York Mellon Corp.
(4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter)

        

4.63% 12/29/49 (i)

      100,000          101,625  

The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter)

        

4.65% 12/31/99 (i)

      61,000          60,652  

The Dow Chemical Co.

        

4.25% 10/01/34

      36,000          37,813  

The Goldman Sachs Group Inc.

        

2.30% 12/13/19

      138,000          137,710  

2.35% 11/15/21

      77,000          75,807  

2.38% 01/22/18

      90,000          90,018  

2.63% 04/25/21

      61,000          60,966  

2.90% 07/19/18

      60,000          60,254  

3.85% 01/26/27

      67,000          68,790  

4.25% 10/21/25

      28,000          29,249  

4.80% 07/08/44

      17,000          19,445  

5.15% 05/22/45

      43,000          49,921  
 

 

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

 

38   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter)

        

2.91% 06/05/23 (i)

      88,000          87,350  

The Goldman Sachs Group Inc. (3.27% fixed rate until 09/29/24; 1.20% + 3 month USD LIBOR thereafter)

        

3.27% 09/29/25 (i)

      48,000          47,775  

The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter)

        

4.02% 10/31/38 (i)

      28,000          28,809  

The Home Depot Inc.

        

3.35% 09/15/25

      56,000          57,799  

3.50% 09/15/56

      20,000          19,224  

3.90% 06/15/47

      19,000          20,043  

The Kroger Co.

        

2.95% 11/01/21

      57,000          57,576  

4.65% 01/15/48

      27,000          27,754  

The Mosaic Co.

        

5.63% 11/15/43

      8,000          8,660  

The Nielsen Company Luxembourg Sarl

        

5.00% 02/01/25 (b)

      38,000          39,330  

The Sherwin-Williams Co.

        

2.25% 05/15/20

      39,000          38,886  

2.75% 06/01/22

      15,000          14,956  

3.45% 06/01/27

      18,000          18,283  

4.50% 06/01/47

      27,000          29,625  

The Southern Co.

        

3.25% 07/01/26

      21,000          20,635  

4.40% 07/01/46

      15,000          16,030  

The Southern Co.
(5.50% fixed rate until 03/15/22; 3.63% + 3 month USD LIBOR thereafter)

        

5.50% 03/15/57 (i)

      31,000          32,840  

The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter)

        

3.63% 09/15/31 (i)

      99,000          98,682  

The Walt Disney Co.

        

4.13% 06/01/44

      16,000          17,278  

Time Warner Cable LLC

        

4.50% 09/15/42

      7,000          6,541  

6.55% 05/01/37

      26,000          30,405  

Time Warner Inc.

        

5.35% 12/15/43

      61,000          67,563  
     Principal
Amount ($)		       

Fair
Value

$

  

Tyco Electronics Group S.A.

        

2.35% 08/01/19

      84,000          83,927  

3.13% 08/15/27

      43,000          42,785  

Tyson Foods Inc.

        

2.65% 08/15/19

      16,000          16,072  

4.55% 06/02/47

      14,000          15,291  

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

        

5.13% 12/29/49 (i)

      94,000          97,760  

Union Pacific Corp.

        

3.60% 09/15/37

      11,000          11,326  

4.10% 09/15/67

      17,000          17,781  

United Technologies Corp.

        

2.65% 11/01/26

      69,000          66,513  

3.75% 11/01/46

      14,000          13,964  

UnitedHealth Group Inc.

        

4.75% 07/15/45

      37,000          43,599  

Vale Overseas Ltd.

        

4.38% 01/11/22

      24,000          24,852  

5.88% 06/10/21

      48,000          52,359  

6.25% 08/10/26

      19,000          22,042  

6.88% 11/10/39

      15,000          18,421  

Valeant Pharmaceuticals International Inc.

        

7.00% 03/15/24 (b)

      70,000          75,250  

Valvoline Inc.

        

4.38% 08/15/25

      31,000          31,230  

Ventas Realty LP

        

3.25% 10/15/26

      49,000          47,810  

Verizon Communications Inc.

        

3.38% 02/15/25 (b)

      57,000          57,306  

4.40% 11/01/34

      38,000          38,676  

4.67% 03/15/55

      26,000          25,208  

4.86% 08/21/46

      85,000          88,521  

5.01% 04/15/49

      16,000          16,773  

5.25% 03/16/37

      26,000          28,597  

Viacom Inc.

        

3.45% 10/04/26

      23,000          21,970  

5.25% 04/01/44

      7,000          6,902  

Virginia Electric & Power Co.

        

4.00% 11/15/46

      48,000          51,383  

Visa Inc.

        

3.15% 12/14/25

      41,000          41,903  

4.30% 12/14/45

      22,000          25,058  

Vornado Realty LP

        

3.50% 01/15/25

      28,000          27,988  

Vulcan Materials Co.

        

3.90% 04/01/27

      18,000          18,405  

Wabtec Corp.

        

3.45% 11/15/26

      45,000          44,007  

Wal-Mart Stores Inc.

        

3.63% 12/15/47

      22,000          23,063  
 

 

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

 

Elfun Diversified Fund     39  

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Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Walgreens Boots Alliance Inc.

        

4.65% 06/01/46

      11,000          11,617  

WEC Energy Group Inc.

        

3.55% 06/15/25

      70,000          71,759  

WellCare Health Plans Inc.

        

5.25% 04/01/25

      44,000          46,530  

Wells Fargo & Co.

        

2.63% 07/22/22

      88,000          87,488  

3.90% 05/01/45

      24,000          24,852  

4.75% 12/07/46

      47,000          52,418  

Wells Fargo & Co.
(3.58% fixed rate until 05/22/27; 1.31% + 3 month USD LIBOR thereafter)

        

3.58% 05/22/28 (i)

      45,000          45,845  

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

        

5.88% 12/29/49 (i)

      66,000          73,098  

Wells Fargo & Co.
(5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR thereafter)

        

5.90% 12/29/49 (i)

      62,000          66,321  

Wells Fargo & Co.
(7.98% fixed rate until 03/15/18; 3.77% + 3 month USD LIBOR thereafter)

        

7.98% 03/29/49 (i)

      44,000          44,452  

Western Digital Corp.

        

7.38% 04/01/23 (b)

      10,000          10,775  

Western Gas Partners LP

        

5.38% 06/01/21

      35,000          37,083  

Westlake Chemical Corp.

        

3.60% 08/15/26

      28,000          28,230  

4.38% 11/15/47

      5,000          5,169  

5.00% 08/15/46

      11,000          12,345  

WestRock Co.

        

3.00% 09/15/24 (b)

      32,000          31,672  

Williams Partners LP

        

3.75% 06/15/27

      14,000          14,026  

3.90% 01/15/25

      28,000          28,620  

4.90% 01/15/45

      11,000          11,670  

5.40% 03/04/44

      7,000          7,893  

Willis North America Inc.

        

3.60% 05/15/24

      43,000          43,667  

WPP Finance 2010

        

3.75% 09/19/24

      43,000          43,952  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

5.25% 05/15/27 (b)

      42,000          42,550  
     Principal
Amount ($)		       

Fair
Value

$

  

Xilinx Inc.

        

2.95% 06/01/24

      28,000          27,823  

XLIT Ltd.

        

5.25% 12/15/43

      16,000          18,239  

XPO Logistics Inc.

        

6.50% 06/15/22 (b)

      38,000          39,663  

Yamana Gold Inc.

        

4.63% 12/15/27 (b)

      28,000          28,164  

Zoetis Inc.

        

3.00% 09/12/27

      19,000          18,568  
       

 

 

  
       23,502,733  
       

 

 

  

Non-Agency Collateralized Mortgage Obligations - 1.1%

 

American Tower Trust I (REIT)

        

1.55% 03/15/43 (b)

      117,000          116,841  

BXP Trust 2017-GM

        

3.38% 06/13/39 (b)

      171,000          174,683  

Citigroup Commercial Mortgage Trust 2015-GC33

        

3.78% 09/10/58

      100,000          104,865  

Citigroup Commercial Mortgage Trust 2016-P5

        

2.94% 10/10/49

      90,682          89,513  

Citigroup Commercial Mortgage Trust 2016-P6

        

3.72% 12/10/49 (i)

      228,583          238,965  

4.03% 12/10/49 (i)

      78,331          81,807  

COMM 2014-CR14 Mortgage Trust

        

4.53% 02/10/47 (i)

      55,000          58,705  

GS Mortgage Securities Corp. II

        

3.47% 11/10/50

      184,426          188,874  

GS Mortgage Securities Trust 2015-GC28

        

1.14% 02/10/48 (g)(i)

      974,190          50,508  

GS Mortgage Securities Trust 2016-GS3

        

2.85% 10/10/49

      181,000          177,631  

GS Mortgage Securities Trust 2017-GS5

        

3.67% 03/10/50

      197,062          206,648  

JPMBB Commercial Mortgage Securities Trust 2013-C12

        

4.03% 07/15/45 (i)

      25,000          26,102  

LB-UBS Commercial Mortgage Trust 2004-C8

        

0.35% 12/15/39 (b)(g)(i)

      13,235          27  

LB-UBS Commercial Mortgage Trust 2007-C6

        

6.11% 07/15/40 (i)

      13,795          13,788  

6.11% 07/15/40 (b)

      31,649          31,643  
 

 

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

 

40   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

         
    
Principal
Amount ($)		       

Fair
Value

$

  
       

MASTR Alternative Loan Trust 2003-5

        

5.00% 08/25/18 (g)

      471          4  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20

        

1.38% 02/15/48 (g)(i)

      711,772          48,240  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21

        

0.96% 03/15/48 (g)(i)

      854,061          42,930  

Morgan Stanley Capital I Trust 2006-IQ11

        

6.25% 10/15/42 (i)

      40,000          41,676  

Morgan Stanley Capital I Trust 2006-T21

        

5.27% 10/12/52 (i)

      15,320          15,308  

Morgan Stanley Capital I Trust 2007-IQ16

        

6.12% 12/12/49 (i)

      1,565          1,564  

Morgan Stanley Capital I Trust 2008-T29

        

6.31% 01/11/43 (i)

      3,250          3,248  

Morgan Stanley Capital I Trust 2016-UBS9

        

1.24% 03/15/49 (g)(i)

      572,196          39,979  

Wells Fargo Commercial Mortgage Trust 2015-C26

        

1.29% 02/15/48 (g)(i)

      942,638          63,476  

Wells Fargo Commercial Mortgage Trust 2017-RB1

        

3.64% 03/15/50

      115,209          119,575  

WFRBS Commercial Mortgage Trust 2013-C17

        

4.26% 12/15/46

      55,000          57,918  

WFRBS Commercial Mortgage Trust 2014-C25

        

3.80% 11/15/47 (b)(i)

      23,000          17,396  

WFRBS Commercial Mortgage Trust 2014-LC14

        

4.35% 03/15/47 (i)

      123,000          130,158  

4.59% 03/15/47 (b)(i)

      85,681          68,193  
       

 

 

  
       2,210,265  
       

 

 

  

Sovereign Bonds - 0.2%

 

Government of Colombia

        

2.63% 03/15/23

      200,000          195,500  

Government of Mexico

        

4.00% 10/02/23

      30,000          31,436  

4.75% 03/08/44

      62,000          62,716  

Government of Peru

        

5.63% 11/18/50

      29,000          37,264  
     Principal
Amount ($)
or Number
of Shares		       

Fair
Value

$

  

Government of Uruguay

        

5.10% 06/18/50

      30,308          33,773  
       

 

 

  
       360,689  
       

 

 

  

Municipal Bonds and Notes - 0.1%

 

American Municipal Power Inc.

        

6.27% 02/15/50

      25,000          32,708  

New Jersey Transportation Trust Fund Authority

        

6.88% 12/15/39

      15,000          15,582  

Port Authority of New York & New Jersey

        

4.46% 10/01/62

      95,000          109,699  

State of California

        

5.70% 11/01/21

      55,000          61,327  

State of Illinois

        

5.10% 06/01/33

      25,000          24,959  

The University of Texas System

        

3.35% 08/15/47

      25,000          25,139  
       

 

 

  
       269,414  
       

 

 

  

FNMA (TBA) - 0.0%*

 

Lehman

        

5.50% TBA (n)(o)

      36,429          787  
       

 

 

  
Total Bonds and Notes
(Cost $60,569,058)		          61,047,225  
       

 

 

  
Exchange Traded & Mutual Funds - 30.8%  

SPDR Bloomberg Barclays High Yield Bond ETF (p)

      173,223          6,360,748  

State Street Global Equity ex-U.S. Index Portfolio (p)

      5,392,983          58,298,151  
       

 

 

  
Total Exchange Traded & Mutual Funds
(Cost $58,234,126)		          64,658,899  
       

 

 

  
Total Investments in Securities
(Cost $186,234,965)		          203,989,504  
       

 

 

  
    
Number
of Shares		           
Short-Term Investments - 3.6%  

Dreyfus Treasury & Agency Cash Management - Institutional Shares 1.16% (d)

      2,107,995          2,107,995  

State Street Institutional Treasury Money Market Fund - Premier Class 1.15% (d)(h)(p)

      1,588,325          1,588,325  
 

 

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

 

Elfun Diversified Fund     41  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

            Number
of Shares		       

Fair
Value

$

  
            

State Street Institutional Treasury Plus Fund - Premier Class 1.18% (d)(p)

        2,107,995          2,107,995  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25% (d)(p)

        1,759,353          1,759,353  
Total Short-Term Investments
(Cost $7,583,649)		             7,583,649  
            

 

 

  
Total Investments
(Cost $193,818,614)		             211,573,153  
            

 

 

  
Liabilities in Excess of Other Assets, net - (0.8)%             (1,633,819 ) 
            

 

 

  
NET ASSETS - 100.0%             209,939,334  
            

 

 

  
 

 

Other Information:

Centrally Cleared Credit Default Swaps - Buy Protection

 

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

Markit CDX North America Investment Grade Index

   CME Group Inc.   $ 1,637       1.00%       Quarterly       12/20/22     $ (39,013 )    $ (34,953 )    $ (4,060 ) 
               

 

 

  

Centrally Cleared Interest Rate Swaps

 

Counterparty   Notional
Amount
(000s omitted)		     Fund
Pays/
Received
Fixed
Rate/
Payment
Frequency		   Floating
Rate		   Contract
annual
Fixed Rate		     Termination
Date		     Market
Value		     Unamortized
Upfront
Payments
(Received)/
Paid		     Unrealized
Depreciation		  

CME Group Inc.

   $ 461     Receives/Quarterly   3 month U.S. Dollar LIBOR     2.62%       10/16/43     $ (4,209 )    $ —     $ (4,209 ) 

CME Group Inc.

     139     Receives/Quarterly   3 month U.S. Dollar LIBOR     2.65%       10/10/43       (1,999 )      2       (2,001 ) 

CME Group Inc.

     175     Receives/Quarterly   3 month U.S. Dollar LIBOR     2.65%       11/07/43       (2,460 )      —       (2,460 ) 

CME Group Inc.

     283     Receives/Quarterly   3 month U.S. Dollar LIBOR     2.67%       10/24/43       (5,363 )      —       (5,363 ) 
               

 

 

  
  $ (14,033 ) 
               

 

 

  

During the fiscal year ended December 31, 2017, the Fund had an average notional value of $3,052,388 on swap contracts.

 

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

 

42   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

The Fund had the following long futures contracts open at December 31, 2017:

 

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

S&P 500 Emini Index Futures

      March 2018        3      $ 398,052      $ 401,400      $ 3,348  

U.S. Long Bond Futures

      March 2018        1        153,288        153,000        (288 ) 

Ultra Long-Term U.S. Treasury Bond Futures

      March 2018        17        2,834,726        2,850,156        15,430  

5 Yr. U.S. Treasury Notes Futures

      March 2018        20        2,335,176        2,323,282        (11,894 ) 

10 Yr. U.S. Treasury Notes Futures

      March 2018        6        744,166        744,281        115  
              

 

 

  
               $ 6,711  
              

 

 

  

The Fund had the following short futures contracts open at December 31, 2017:

 

Description    Expiration
date		      Number
of
Contracts		      Notional
Amount		      Value      Unrealized
Appreciation		  

2 Yr. U.S. Treasury Notes Futures

      March 2018        6      $ (1,287,645 )     $ (1,284,656 )     $ 2,989  

10 Yr. U.S. Treasury Ultra Futures

      March 2018        11        (1,474,095 )       (1,469,188 )       4,907  
              

 

 

  
               $ 7,896  
              

 

 

  
               $ 14,607  
              

 

 

  

During the fiscal year ended December 31, 2017, the Fund had average notional values of $8,505,997 and $5,186,552 on long futures contracts and short futures contracts, respectively.

 

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

 

Elfun Diversified Fund     43  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2017:

 

Investments    Level 1     Level 2     Level 3      Total  

Investments in Securities

          

Domestic Equity

    $ 76,294,161     $ —     $ —      $ 76,294,161  

Foreign Equity

      1,989,219       —       —        1,989,219  

U.S. Treasuries

      —       26,300,505       —        26,300,505  

Agency Mortgage Backed

      —       6,810,413       —        6,810,413  

Agency Collateralized Mortgage Obligations

      —       117,573       —        117,573  

Asset Backed

      —       1,474,846       —        1,474,846  

Corporate Notes

      —       23,502,733       —        23,502,733  

Non-Agency Collateralized Mortgage Obligations

      —       2,210,265       —        2,210,265  

Sovereign Bonds

      —       360,689       —        360,689  

Municipal Bonds and Notes

      —       269,414       —        269,414  

FNMA (TBA)

      —       —       787        787  

Exchange Traded & Mutual Funds

      64,658,899       —       —        64,658,899  

Short-Term Investments

      7,583,649       —       —        7,583,649  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Investments in Securities

    $ 150,525,928     $ 61,046,438     $ 787      $ 211,573,153  
  

 

 

    

 

 

    

 

 

     

 

 

  

Other Financial Instruments

          

Credit Default Swap Contracts — Unrealized Depreciation

    $ —     $ (4,060 )    $ —      $ (4,060 ) 

Interest Rate Swap Contracts — Unrealized Depreciation

        (14,033 )         (14,033 ) 

Long Futures Contracts — Unrealized Appreciation

      18,893       —       —        18,893  

Long Futures Contracts — Unrealized Depreciation

      (12,182 )      —       —        (12,182 ) 

Short Futures Contracts — Unrealized Appreciation

      7,896       —       —        7,896  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Other Financial Instruments

    $ 14,607     $ (18,093 )    $ —      $ (3,486 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

The Fund was invested in the following countries/territories at December 31, 2017 (unaudited):

 

Country/Territory    Percentage
(based on
Fair Value)		  

United States

      97.14%  

Ireland

      0.42%  

United Kingdom

      0.34%  

Netherlands

      0.27%  

Canada

      0.27%  

Luxembourg

      0.19%  

Germany

      0.18%  

Switzerland

      0.17%  

Singapore

      0.17%  

France

      0.17%  

Mexico

      0.16%  

Colombia

      0.11%  

Japan

      0.09%  
Country/Territory    Percentage
(based on
Fair Value)		  

Supranational

      0.08%  

Spain

      0.07%  

Cayman Islands

      0.04%  

Bermuda

      0.03%  

Brazil

      0.02%  

Peru

      0.02%  

Uruguay

      0.02%  

Norway

      0.01%  

Jersey

      0.01%  

Australia

      0.01%  

China

      0.01%  
  

 

 

  
     100.00%  
  

 

 

  
 

 

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

 

44   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

The Fund’s percentage share of investment in the various categories, based on Fair Value, is as follows at December 31, 2017 (unaudited):

 

Industry    Domestic      Foreign      Total  

Exchange Traded Funds

      30.57%        0.00%        30.57%  

Diversified Banks

      1.97%        0.00%        1.97%  

Internet Software & Services

      1.80%        0.00%        1.80%  

Pharmaceuticals

      1.69%        0.02%        1.71%  

Technology Hardware, Storage & Peripherals

      1.58%        0.01%        1.59%  

Systems Software

      1.38%        0.00%        1.38%  

Semiconductors

      1.09%        0.18%        1.27%  

Internet & Direct Marketing Retail

      1.06%        0.00%        1.06%  

Integrated Oil & Gas

      1.05%        0.00%        1.05%  

Biotechnology

      1.03%        0.00%        1.03%  

Data Processing & Outsourced Services

      1.00%        0.00%        1.00%  

Aerospace & Defense

      0.97%        0.00%        0.97%  

Healthcare Equipment

      0.76%        0.17%        0.93%  

Integrated Telecommunication Services

      0.74%        0.00%        0.74%  

Industrial Conglomerates

      0.71%        0.00%        0.71%  

Managed Healthcare

      0.70%        0.00%        0.70%  

Electric Utilities

      0.67%        0.00%        0.67%  

Soft Drinks

      0.63%        0.00%        0.63%  

Multi-Sector Holdings

      0.63%        0.00%        0.63%  

Household Products

      0.61%        0.00%        0.61%  

Oil & Gas Exploration & Production

      0.56%        0.00%        0.56%  

IT Consulting & Other Services

      0.37%        0.14%        0.51%  

Tobacco

      0.49%        0.00%        0.49%  

Home Improvement Retail

      0.49%        0.00%        0.49%  

Movies & Entertainment

      0.48%        0.00%        0.48%  

Regional Banks

      0.48%        0.00%        0.48%  

Application Software

      0.43%        0.00%        0.43%  

Asset Management & Custody Banks

      0.43%        0.00%        0.43%  

Restaurants

      0.43%        0.00%        0.43%  

Specialized REITs

      0.43%        0.00%        0.43%  

Cable & Satellite

      0.43%        0.00%        0.43%  

Packaged Foods & Meats

      0.42%        0.00%        0.42%  

Investment Banking & Brokerage

      0.40%        0.00%        0.40%  

Multi-Utilities

      0.37%        0.00%        0.37%  

Hypermarkets & Super Centers

      0.37%        0.00%        0.37%  

Communications Equipment

      0.36%        0.00%        0.36%  

Railroads

      0.34%        0.00%        0.34%  

Industrial Machinery

      0.31%        0.02%        0.33%  

Life & Health Insurance

      0.32%        0.00%        0.32%  

Property & Casualty Insurance

      0.19%        0.13%        0.32%  

Life Sciences Tools & Services

      0.30%        0.00%        0.30%  

Financial Exchanges & Data

      0.30%        0.00%        0.30%  

Diversified Chemicals

      0.29%        0.00%        0.29%  

Consumer Finance

      0.29%        0.00%        0.29%  

Oil & Gas Equipment & Services

      0.26%        0.03%        0.29%  

Air Freight & Logistics

      0.27%        0.00%        0.27%  

Construction Machinery & Heavy Trucks

      0.24%        0.00%        0.24%  

Drug Retail

      0.22%        0.00%        0.22%  

Oil & Gas Refining & Marketing

      0.21%        0.00%        0.21%  

Electrical Components & Equipment

      0.21%        0.00%        0.21%  

Hotels, Resorts & Cruise Lines

      0.20%        0.00%        0.20%  

 

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

 

Elfun Diversified Fund     45  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

Industry    Domestic      Foreign      Total  

Specialty Chemicals

      0.20%        0.00%        0.20%  

Airlines

      0.20%        0.00%        0.20%  

Retail REITs

      0.19%        0.00%        0.19%  

Apparel Retail

      0.18%        0.00%        0.18%  

Insurance Brokers

      0.09%        0.08%        0.17%  

Semiconductor Equipment

      0.17%        0.00%        0.17%  

Automobile Manufacturers

      0.16%        0.00%        0.16%  

Residential REITs

      0.15%        0.00%        0.15%  

Multi-Line Insurance

      0.15%        0.00%        0.15%  

Healthcare Services

      0.14%        0.00%        0.14%  

Fertilizers & Agricultural Chemicals

      0.14%        0.00%        0.14%  

General Merchandise Stores

      0.14%        0.00%        0.14%  

Footwear

      0.13%        0.00%        0.13%  

Healthcare Distributors

      0.13%        0.00%        0.13%  

Home Entertainment Software

      0.13%        0.00%        0.13%  

Industrial Gases

      0.13%        0.00%        0.13%  

Oil & Gas Storage & Transportation

      0.13%        0.00%        0.13%  

Building Products

      0.11%        0.02%        0.13%  

Apparel, Accessories & Luxury Goods

      0.12%        0.00%        0.12%  

Paper Packaging

      0.11%        0.00%        0.11%  

Automotive Retail

      0.10%        0.00%        0.10%  

Health Care REITs

      0.09%        0.00%        0.09%  

Office REITs

      0.09%        0.00%        0.09%  

Electronic Components

      0.09%        0.00%        0.09%  

Research & Consulting Services

      0.06%        0.03%        0.09%  

Environmental & Facilities Services

      0.09%        0.00%        0.09%  

Distillers & Vintners

      0.08%        0.00%        0.08%  

Agricultural & Farm Machinery

      0.08%        0.00%        0.08%  

Industrial REITs

      0.07%        0.00%        0.07%  

Trading Companies & Distributors

      0.07%        0.00%        0.07%  

Healthcare Supplies

      0.07%        0.00%        0.07%  

Home Building

      0.06%        0.00%        0.06%  

Personal Products

      0.06%        0.00%        0.06%  

Broadcasting

      0.06%        0.00%        0.06%  

Commodity Chemicals

      0.06%        0.00%        0.06%  

Healthcare Facilities

      0.06%        0.00%        0.06%  

Specialty Stores

      0.06%        0.00%        0.06%  

Auto Parts & Equipment

      0.02%        0.03%        0.05%  

Electronic Manufacturing Services

      0.00%        0.05%        0.05%  

Construction Materials

      0.05%        0.00%        0.05%  

Casinos & Gaming

      0.05%        0.00%        0.05%  

Food Distributors

      0.05%        0.00%        0.05%  

Advertising

      0.04%        0.00%        0.04%  

Distributors

      0.04%        0.00%        0.04%  

Copper

      0.04%        0.00%        0.04%  

Food Retail

      0.04%        0.00%        0.04%  

Home Furnishings

      0.04%        0.00%        0.04%  

Department Stores

      0.04%        0.00%        0.04%  

Construction & Engineering

      0.04%        0.00%        0.04%  

Agricultural Products

      0.04%        0.00%        0.04%  

Gold

      0.03%        0.00%        0.03%  

Steel

      0.03%        0.00%        0.03%  

Healthcare Technology

      0.03%        0.00%        0.03%  

Computer & Electronics Retail

      0.03%        0.00%        0.03%  

Leisure Products

      0.03%        0.00%        0.03%  

 

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

 

46   Elfun Diversified Fund

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

Industry    Domestic      Foreign      Total  

Alternative Carriers

      0.03%        0.00%        0.03%  

Independent Power Producers & Energy Traders

      0.03%        0.00%        0.03%  

Water Utilities

      0.03%        0.00%        0.03%  

Housewares & Specialties

      0.02%        0.00%        0.02%  

Hotel & Resort REITs

      0.02%        0.00%        0.02%  

Brewers

      0.02%        0.00%        0.02%  

Diversified Support Services

      0.02%        0.00%        0.02%  

Metal & Glass Containers

      0.02%        0.00%        0.02%  

Real Estate Services

      0.02%        0.00%        0.02%  

Household Appliances

      0.02%        0.00%        0.02%  

Trucking

      0.02%        0.00%        0.02%  

Reinsurance

      0.00%        0.01%        0.01%  

Publishing

      0.01%        0.00%        0.01%  

Motorcycle Manufacturers

      0.01%        0.00%        0.01%  

Tires & Rubber

      0.01%        0.00%        0.01%  

Human Resource & Employment Services

      0.01%        0.00%        0.01%  

Oil & Gas Drilling

      0.01%        0.00%        0.01%  

Consumer Electronics

      0.00%        0.01%        0.01%  

Electronic Equipment & Instruments

      0.01%        0.00%        0.01%  

Specialized Consumer Services

      0.01%        0.00%        0.01%  
        

 

 

  
           67.57%  
        

 

 

  

 

Sector    Percentage
(based on
Fair Value)		  

U.S. Treasuries

      12.43%  

Corporate Notes

      11.11%  

Agency Mortgage Backed

      3.22%  

Non-Agency Collateralized Mortgage Obligations

      1.04%  

Asset Backed

      0.70%  

Sovereign Bonds

      0.17%  

Municipal Bonds and Notes

      0.13%  

Agency Collateralized Mortgage Obligations

      0.05%  

FNMA (TBA)

      0.00% *** 
  

 

 

  
     28.85%  
  

 

 

  

Short-Term Investments

   

Short-Term Investments

      3.58%  
  

 

 

  
     3.58%  
  

 

 

  
     100.00%  
  

 

 

  
 

 

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

 

Elfun Diversified Fund     47  

Table of Contents

Elfun Diversified Fund

Schedule of Investments, continued — December 31, 2017

 

 

Affiliate Table

 

     Number of
Shares Held
at 12/31/16		     Value At
12/31/16		     Cost of
Purchases		     Proceeds
from
Shares
Sold		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
Depreciation		     Number of
Shares Held
at 12/31/17		     Value at
12/31/17		     Dividend
Income		  

SPDR Bloomberg Barclays High Yield Bond ETF

     173,223     $ 6,313,978     $ —     $ —     $ —     $ 46,771       173,223     $ 6,360,749     $ 387,492  

State Street Corp.

     —       —       209,381       110,526       (905 )      24,941       1,259       122,891       1,486  

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

     —       —       52,068,490       —       —       6,229,661       5,392,983       58,298,151       1,568,489  

State Street Institutional Treasury Money Market Fund - Premier Class

     —       —       16,490,565       14,902,240       —       —       1,588,325       1,588,325       18,306  

State Street Institutional Treasury Plus Fund - Premier Class

     —       —       13,289,314       11,181,319       —       —       2,107,995       2,107,995       19,485  

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

     22,591,439       22,591,439       51,265,153       72,097,239       —       —       1,759,353       1,759,353       55,856  

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

     —       —       17,282,934       17,282,934       —       —       10,975,209       —       1,068  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

TOTAL

     $ 28,905,417     $ 150,605,837     $ 115,574,258     $ (905 )    $ 6,301,373       $ 70,237,464     $ 2,052,182  
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

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

 

48   Elfun Diversified Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

Q. How did the Elfun Tax-Exempt Income Fund (the “Fund”) perform compared to its benchmark and Morningstar peer group for the twelve-month period ended December 31, 2017?

 

A. For the twelve-month period ended December 31, 2017, the Fund returned 4.71%. The Bloomberg Barclays U.S. Municipal Bond Index (the “Index”), the Fund’s benchmark, returned 5.45% and the Fund’s Morningstar peer group of 159 U.S. Long-term Municipal Bond funds returned an average of 5.75% over the same period.

 

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

 

A. Two key themes impacted the tax-exempt market in 2017: a pro-growth legislative agenda and expectations for rising interest rates related to the eventual unwinding of Federal Reserve accommodative support. The surprising strength of the Treasury market in the first half of the year helped drive municipal yields lower despite a strengthening economy and economic policies which were considered potentially inflationary. The second half of the year brought an increase in volatility driven by numerous attempts to repeal the Affordable Care Act, devastation caused by several hurricanes and the increased likelihood of successful passage of the first major tax-reform legislation in over three decades. Despite such conflicting crosscurrents, municipal assets, driven by strong demand and limited new issuance performed well. Longer dated assets, as well as lower quality issues excelled. In addition, the elimination of the Alternative Minimum Tax (the “AMT”), included in the Tax Cuts and Jobs Act, drove spreads tighter. Bonds previously penalized under the current tax code were suddenly out of scope for future tax purposes. Investors with exposure to this sector who were once compensated with higher yields given prior tax treatment, benefited greatly from spread compression. The Fund’s lack of exposure to bonds subject to the AMT limited returns relative to the Index. Our approach characterized by investment in investment grade holdings, a modest interest rate risk profile and dedication to protecting the core income generating structure of the portfolio, provided competitive returns throughout a volatile period, while limiting taxable income and preserving capital.

 

Q. What were the primary drivers of Fund performance?

 

A. The Fund was well positioned to perform in an environment where the differential between short and long-term yields would narrow, and interest rates would eventually rise. The Fund’s conservative approach to both interest rate risk and credit risk limited participation to a two-pronged rally that overtook the market by mid-year and again in the closing weeks of the year. The Fund, positioned with a slight market overweight in the long end and a significant overweight in the front end of the curve, failed to keep pace with the longer weighted Index. As municipal yields fell through generational lows, our approach was guarded given modest inflows into the Fund and tax-exempt income oriented strategy. The Fund derived the majority of returns from above average coupon income and its positioning across the intermediate maturity spectrum. The Fund did not use derivatives during the year. The cost to participate in a market where returns were dependent upon short term trading gains, lower credit quality, and a risk driven strategy, was not consistent with our investment philosophy and contributed to the Fund’s return variance relative to the Index.

 

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

 

A. After a sell-off in late 2016, 2017 started well for municipal bonds, consistent with previous years where negative returns quickly rebounded and were followed by periods of strong performance. The municipal market, in addition to following the lead of Treasuries, experienced strong mutual fund flow growth, modest new debt issuance and an expanding universe of investors, which contributed to significant relative performance and a tightening of yields. As it became apparent by mid-year that rates had begun to approach unsustainable levels, we modestly reduced long exposure to a market neutral level, lowering the Fund’s duration to roughly one-half year short of the Index. The other key change occurred upon the passage in the fourth quarter of the Tax Cuts and Jobs Act. The legislation created a spike in new issuance in early December as issuers rushed to market to take advantage of advance refunding opportunities which were set to be repealed as part of the broad tax reform package. The increase in advance refunding activity pushed our exposure to the pre-refunded sector from 20% to over 25% of Fund holdings, tightening duration further, and ultimately constraining total return potential.

 

Elfun Tax-Exempt Income Fund     49  

Table of Contents

Elfun Tax-Exempt Income Fund

Understanding Your Fund’s Expenses — December 31, 2017 (Unaudited)

 

 

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

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2017.

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, 2017 - December 31, 2017

 

     Actual
Fund Return		      Hypothetical
5% Return
(2.5% for
the period)		  
Account Value at the
Beginning of the Period 		   $ 1,000.00      $ 1,000.00  
Account Value at the
end of the Period 		   $ 1,017.60      $ 1,024.20  

Expenses Paid During the Period*

    $ 1.02      $ 1.02  

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.20% (for the period July 1, 2017-December 31, 2017), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
 

 

50   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Performance Summary — December 31, 2107 (Unaudited)

 

 

Morningstar Performance Comparison

Based on average annual returns for periods ended 12/31/17

 

    One Year     Five Year     Ten Year  

Number of funds in peer group

     159       145       137  

Peer group average annual total return

     5.75 %      2.91 %      4.18 % 

Morningstar Category in peer group: U.S. Long-Term Municipal Bond Funds

 

Quality Ratings

as of December 31, 2017 as a % of Fair Value (a)(b)

 

Moody’s / S&P / Rating*

   Percentage of
Fair Value		  

Aaa / AAA

     12.1 % 

Aa / AA

     44.6 % 

A / A

     34.5 % 

Baa / BBB

     3.9 % 

Ba / BB and lower

     0.3 % 

NR / Other

     4.6 % 

 

Sector Allocation

Portfolio composition as a % of Investments of $1,447,185 (in thousands) on December 31, 2017 (a)(b)

 

LOGO

Average Annual Total Return for the periods ended December 31, 2017

Investment Class Shares (Inception date: 01/01/80)

 

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

Elfun Tax-Exempt Income Fund

     4.71 %      2.72 %      4.37 %    $ 15,331  

Bloomberg Barclays U.S. Municipal Bond Index

     5.45 %      3.02 %      4.46 %    $ 15,464  
 

 

Elfun Tax-Exempt Income Fund     51  

Table of Contents

Elfun Tax-Exempt Income Fund

Performance Summary, continued — December 31, 2107 (Unaudited)

 

 

 

LOGO

 

 

 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

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

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

 

52   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       
Municipal Bonds and Notes - 98.4%  

Alaska - 0.2%

 

Alaska Housing Finance Corp.
5.00% 12/01/27

      2,500,000          2,797,150  
       

 

 

  

Arizona - 2.6%

        

Arizona Board of Regents State University System Revenue
5.00% 07/01/46

      5,680,000          6,670,422  

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

      3,000,000          3,177,540  

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

      7,260,000          8,751,544  

Salt River Project Agricultural Improvement & Power District
5.00%
12/01/21 - 01/01/38

      12,000,000          13,365,160  

University Medical Center Corp.
6.50% 07/01/39 (l)

      1,000,000          1,070,840  

University of Arizona 5.00% 06/01/46

      5,000,000          5,864,150  
       

 

 

  
       38,899,656  
       

 

 

  

Arkansas - 0.3%

        

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

      3,830,000          4,536,889  
       

 

 

  

California – 10.2%

 

Bay Area Toll Authority
4.00% 04/01/47

      5,000,000          5,388,300  

California Educational Facilities Authority

        

5.25% 10/01/39 (l)

      5,000,000          5,142,350  

6.13% 10/01/36

      1,500,000          1,739,160  

California Health Facilities Financing Authority

        

4.00% 11/15/41 - 10/01/47

      4,000,000          4,242,230  

5.00% 11/15/48

      2,000,000          2,371,280  

5.50% 08/15/26

      5,000,000          5,500,400  

6.00% 07/01/39 (l)

      5,000,000          5,327,450  

6.50% 10/01/33 (l)

      3,500,000          3,631,915  

California State Department of Water Resources

        

5.00% 05/01/21 - 12/01/29

      14,700,000          17,020,298  
     Principal
Amount ($)		       

Fair
Value

$

  

5.00% 12/01/21 (k)

      5,000          5,616  

5.00% 12/01/29 (l)

      30,000          35,910  

California State Public Works Board

        

5.00% 10/01/28

      1,500,000          1,663,245  

5.13% 10/01/31

      2,000,000          2,216,700  

5.25% 09/01/29

      10,160,000          11,877,243  

6.00% 04/01/26 (h)(l)

      8,475,000          8,948,668  

California State University

        

4.00% 11/01/45

      5,900,000          6,318,251  

Los Angeles Department of Water & Power
5.00% 07/01/46

      5,000,000          5,896,750  

Los Angeles Harbor Department

        

5.00% 08/01/26

      8,000,000          8,420,720  

Marin Healthcare District

        

4.00% 08/01/47

      2,500,000          2,706,725  

San Diego Community College District

        

5.00% 08/01/41 (l)

      10,000,000          11,170,200  

State of California

        

5.00% 02/01/31 - 08/01/46

      19,220,000          21,789,685  

5.25% 04/01/35 -11/01/40

      12,750,000          14,056,670  

University of California

        

5.00% 05/15/38

      4,000,000          4,559,560  
       

 

 

  
       150,029,326  
       

 

 

  

Colorado - 2.1%

        

Colorado Health Facilities Authority

        

5.00% 06/01/47

      1,750,000          1,955,905  

Metro Wastewater Reclamation District

        

5.00% 04/01/27

      1,730,000          1,951,422  

Regional Transportation District

        

4.25% 11/01/36

      3,405,000          4,008,366  

5.00% 11/01/27 - 11/01/34

      16,760,000          20,345,005  

5.38% 06/01/31

      2,500,000          2,690,250  
       

 

 

  
       30,950,948  
       

 

 

  

Connecticut - 5.3%

        

Connecticut State Health & Educational Facility Authority

        

5.00% 07/01/40 (l)

      6,775,000          7,320,523  

5.00% 07/01/46

      6,500,000          7,463,170  

South Central Connecticut Regional Water Authority

        

5.00%
08/01/27 - 08/01/28

      2,195,000          2,543,358  

State of Connecticut

        

5.00% 01/01/22 - 05/01/37

      17,600,000          20,158,802  
 

 

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

 

Elfun Tax-Exempt Income Fund     53  

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Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

State of Connecticut Special Tax Revenue

        

4.00% 09/01/36

      5,750,000          6,090,918  

5.00% 11/01/26 - 09/01/34

      30,250,000          33,059,737  

Town of Fairfield

        

5.00% 08/01/21

      1,000,000          1,115,540  
       

 

 

  
       77,752,048  
       

 

 

  

Delaware - 1.7%

        

County of New Castle
5.00%
07/15/33 - 07/15/39 (l)

      10,000,000          10,191,100  

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

      6,300,000          6,809,607  

Delaware Transportation Authority

        

5.00% 06/01/45

      6,680,000          7,695,895  

State of Delaware

        

5.00% 07/01/28 (l)

      825,000          890,373  

5.00% 07/01/28

      175,000          188,956  
       

 

 

  
       25,775,931  
       

 

 

  

District of Columbia - 2.4%

 

     

District of Columbia

        

5.00% 06/01/38 - 04/01/42

      9,250,000          10,740,702  

5.50% 04/01/36 (l)

      15,000,000          15,445,500  

District of Columbia Water & Sewer Authority

        

5.25% 10/01/29 (l)

      5,000,000          5,139,300  

Washington Metropolitan Area Transit Authority

        

5.00% 07/01/34

      3,375,000          4,052,599  
       

 

 

  
       35,378,101  
       

 

 

  

Florida - 0.7%

        

Brevard County Health Facilities Authority
7.00% 04/01/39 (h)(l)

      1,000,000          1,066,500  

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

      8,560,000          9,540,805  
       

 

 

  
       10,607,305  
       

 

 

  

Georgia - 7.6%

        

Athens-Clarke County Unified Government Development Authority
5.00% 06/15/31 (l)

      6,050,000          6,145,106  

Athens-Clarke County Unified Government Water & Sewerage Revenue
5.50% 01/01/38 (l)

      7,000,000          7,277,480  
     Principal
Amount ($)		       

Fair
Value

$

  

Atlanta Development Authority
5.25% 07/01/40

      8,925,000          10,546,048  

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

      18,500,000          20,815,050  

City of Atlanta Water & Wastewater Revenue

        

5.25% 11/01/30

      5,690,000          6,627,427  

6.25% 11/01/39 (l)

      10,000,000          10,839,700  

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

      9,500,000          12,732,220  

DeKalb Newton & Gwinnett Counties Joint Development Authority 6.00% 07/01/34 (l)

      8,500,000          9,052,755  

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

      9,325,000          10,946,414  

Municipal Electric
Authority of Georgia

        

5.00% 01/01/35

      5,500,000          6,256,305  

5.25% 01/01/19

      2,490,000          2,573,539  

Richmond County Hospital Authority

        

4.00% 01/01/36

      2,855,000          3,039,176  

State of Georgia

        

4.50% 01/01/29 (h)(l)

      3,000,000          3,081,270  

5.00% 01/01/26 (h)(l)

      2,250,000          2,329,268  
       

 

 

  
       112,261,758  
       

 

 

  

Hawaii - 1.9%

        

City & County of Honolulu 5.00% 04/01/33 (l)

      10,000,000          10,419,600  

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

      15,800,000          17,152,006  
       

 

 

  
       27,571,606  
       

 

 

  

Idaho - 0.3%

        

Idaho Health Facilities Authority
6.75% 11/01/37

      4,000,000          4,169,760  
       

 

 

  

Illinois - 2.8%

        

Chicago Transit Authority 5.00% 12/01/46

      3,000,000          3,351,600  
 

 

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

 

54   Elfun Tax-Exempt Income Fund

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Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

City of Chicago O’Hare International Airport Revenue

        

5.00% 01/01/46

      1,000,000          1,133,430  

5.25% 01/01/42

      8,000,000          9,548,880  

5.63% 01/01/35 (l)

      4,035,000          4,500,478  

5.63% 01/01/35

      965,000          1,062,340  

5.75% 01/01/39 (l)

      9,655,000          10,803,945  

5.75% 01/01/39

      1,845,000          2,039,445  

Metropolitan Pier & Exposition Authority (NPFG Insured)

        

5.65% 06/15/22 (k)(m)

      785,000          912,360  

5.65% 06/15/22 (m)

      3,520,000          3,999,107  

Southwestern Illinois Development Authority (NPFG Insured)

        

5.00% 10/01/21 (k)(m)

      195,000          217,792  

5.00% 10/01/21 (m)

      3,805,000          4,214,722  
       

 

 

  
       41,784,099  
       

 

 

  

Indiana - 0.7%

        

Indiana Municipal Power Agency
5.50% 01/01/27 (l)

      2,500,000          2,600,375  

Indianapolis Local Public Improvement Bond Bank

        

5.75% 01/01/38 (l)

      1,370,000          1,428,376  

5.75% 01/01/38

      5,630,000          5,856,720  
       

 

 

  
       9,885,471  
       

 

 

  

Kentucky - 2.8%

 

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

      11,705,000          13,452,063  

Kentucky State Property & Building Commission (AGC Insured)
5.25% 02/01/27 (l)(m)

      10,665,000          11,086,161  

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

      14,340,000          16,012,187  
       

 

 

  
       40,550,411  
       

 

 

  

Louisiana - 1.1%

        

City of New Orleans Sewerage Service Revenue

        

5.00% 06/01/44 - 06/01/45

      3,900,000          4,428,879  

Louisiana Public Facilities Authority

        

5.00% 05/15/47 (l)

      10,000          12,206  

5.00% 05/15/47

      990,000          1,117,532  
     Principal
Amount ($)		       

Fair
Value

$

  

State of Louisiana
5.00% 09/01/19 (k)

      10,050,000          10,607,674  
       

 

 

  
       16,166,291  
       

 

 

  

Maine - 0.3%

        

Maine Health & Higher Educational Facilities Authority

        

5.25% 07/01/21 (l)

      315,000          341,878  

5.25% 07/01/21

      1,475,000          1,595,507  

Maine Turnpike Authority

        

5.00% 07/01/42

      1,000,000          1,102,520  

6.00% 07/01/34 (l)

      1,250,000          1,331,288  
       

 

 

  
       4,371,193  
       

 

 

  

Maryland - 3.9%

        

City of Baltimore

        

5.00% 07/01/38 - 07/01/46

      24,375,000          28,202,025  

County of Prince George’s

        

5.00% 09/15/24

      3,450,000          3,855,202  

5.00% 09/15/25 (l)

      5,340,000          5,956,984  

Maryland Economic Development Corp.

        

5.75% 06/01/35 (l)

      3,000,000          3,282,810  

Maryland Health & Higher Educational Facilities Authority

        

5.00% 07/01/34 (l)

      1,945,000          2,041,375  

5.00% 07/01/34 - 08/15/41

      1,355,000          1,482,380  

State of Maryland

        

5.00% 11/01/18

      4,000,000          4,118,680  

Washington Suburban Sanitary Commission
4.50% 06/01/26 (l)

      8,470,000          8,569,014  
       

 

 

  
       57,508,470  
       

 

 

  

Massachusetts - 4.2%

        

Commonwealth of Massachusetts Transportation Fund Revenue
5.00% 06/01/47

      5,000,000          5,963,750  

Massachusetts Department of Transportation
5.00% 01/01/37

      10,000,000          10,533,400  

Massachusetts Development Finance Agency

        

4.00% 04/01/41 - 07/01/41

      9,325,000          10,020,978  

5.50% 11/15/36 (l)

      4,000,000          4,139,640  

5.75% 07/01/39 (l)

      3,325,000          3,526,428  

5.75% 07/01/39

      1,675,000          1,774,679  

Massachusetts Health & Educational Facilities Authority
5.00% 07/01/34

      7,500,000          7,831,875  
 

 

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

 

Elfun Tax-Exempt Income Fund     55  

Table of Contents

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Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Massachusetts School Building Authority
5.00% 08/15/28

      5,000,000          5,677,150  

Massachusetts Water Resources Authority

        

5.00% 08/01/32

      4,140,000          4,754,666  

5.00% 08/01/41 (l)

      3,000,000          3,331,170  

6.50% 07/15/19 (k)

      3,505,000          3,631,005  
       

 

 

  
       61,184,741  
       

 

 

  

Michigan - 1.4%

        

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

      3,500,000          3,814,335  

Michigan Finance Authority
5.00% 12/01/47

      4,000,000          4,408,800  

State of Michigan
5.00% 03/15/27

      4,415,000          5,406,432  

State of Michigan Trunk Line Revenue
5.50% 11/01/18

      6,000,000          6,198,600  

University of Michigan Revenue
5.00% 04/01/46

      1,000,000          1,179,470  
       

 

 

  
       21,007,637  
       

 

 

  

Minnesota - 0.4%

 

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

      1,000,000          1,075,090  

University of Minnesota 5.00% 09/01/39

      4,350,000          5,273,984  
       

 

 

  
       6,349,074  
       

 

 

  

Missouri - 1.5%

        

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

      8,010,000          8,991,866  

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

      1,725,000          1,844,335  

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

      3,000,000          3,530,160  

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

      4,610,000          4,961,144  

Missouri Joint Municipal Electric Utility Commission
5.00% 01/01/34

      1,950,000          2,231,502  

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

      525,000          526,444  
       

 

 

  
       22,085,451  
       

 

 

  
     Principal
Amount ($)		       

Fair
Value

$

  

New Jersey - 7.5%

        

New Jersey Economic Development Authority

        

5.00% 06/15/41

      7,250,000          7,968,185  

5.25% 06/15/40

      4,000,000          4,405,880  

5.50% 12/15/29 (l)

      3,345,000          3,530,213  

5.50% 12/15/29

      1,655,000          1,736,393  

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

      14,700,000          16,933,880  

New Jersey Health Care Facilities Financing Authority
4.00% 07/01/41

      5,000,000          5,234,950  

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

      6,215,000          6,591,132  

New Jersey Higher Education Student Assistance Authority
5.63% 06/01/30

      7,500,000          7,895,625  

New Jersey State Turnpike Authority

        

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

      25,870,000          30,412,739  

5.00% 01/01/38 (l)

      4,000,000          4,546,560  

5.25% 01/01/40 (l)

      10,000,000          10,376,900  

New Jersey Transportation Trust Fund Authority

        

5.00% 06/15/45

      2,250,000          2,441,947  

5.25% 06/15/36

      7,350,000          7,860,678  
       

 

 

  
       109,935,082  
       

 

 

  

New Mexico - 0.7%

        

New Mexico Finance Authority
5.00%
06/15/18 - 06/15/23

      9,200,000          9,604,418  
       

 

 

  
       9,604,418  
       

 

 

  

New York - 10.7%

        

City of New York

        

4.00% 08/01/34

      1,000,000          1,100,100  

5.00% 08/01/26

      1,500,000          1,838,490  

Hudson Yards Infrastructure Corp.
5.00% 02/15/39 - 02/15/45

      11,000,000          13,018,080  

Long Island Power Authority 6.00% 05/01/33 (l)

      7,500,000          7,939,800  
 

 

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

 

56   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Metropolitan Transportation Authority

        

4.00% 11/15/42

      10,000,000          10,728,200  

5.00% 11/15/29 - 11/15/37

      8,710,000          10,076,263  

New York City Transitional Finance Authority Building Aid Revenue
5.50% 07/15/31

      10,000,000          10,226,800  

New York City Transitional Finance Authority Future Tax Secured Revenue
5.00%
11/01/21 - 02/01/43

      32,500,000          37,023,025  

New York Liberty Development Corp.

        

5.00% 11/15/44

      5,000,000          5,450,100  

5.13% 01/15/44

      10,000,000          10,582,600  

New York State Dormitory Authority

        

5.00% 10/01/45 - 07/01/46

      9,000,000          11,718,150  

5.50% 05/01/37 (l)

      2,500,000          2,630,250  

6.00% 07/01/40 (l)

      2,000,000          2,208,640  

New York State Thruway Authority
5.00% 05/01/19

      6,000,000          6,257,940  

New York State Urban Development Corp.
5.50% 01/01/19

      9,000,000          9,351,270  

Port Authority of New York & New Jersey
5.00% 11/15/47

      4,000,000          4,788,280  

Triborough Bridge & Tunnel Authority

        

5.00% 11/15/26 (l)

      6,170,000          6,360,591  

5.00% 11/15/26

      3,830,000          3,945,283  

Westchester County Healthcare Corp.

        

6.13% 11/01/37 (l)

      2,220,000          2,489,375  

6.13% 11/01/37

      280,000          310,204  
       

 

 

  
       158,043,441  
       

 

 

  

North Carolina - 2.0%

        

Cape Fear Public Utility Authority
4.00% 08/01/33 (h)

      1,800,000          1,985,328  

City of Charlotte
5.00% 06/01/23

      4,320,000          4,660,632  

City of Charlotte Water & Sewer System Revenue
5.00% 07/01/38

      5,000,000          5,087,650  

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

      2,000,000          2,176,840  
     Principal
Amount ($)		       

Fair
Value

$

  

North Carolina Eastern Municipal Power Agency
5.00% 01/01/26 (l)

      5,000,000          5,176,150  

North Carolina Medical Care Commission
4.00% 06/01/42

      1,500,000          1,608,435  

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

      4,130,000          4,412,286  

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

      3,545,000          4,189,339  
       

 

 

  
       29,296,660  
       

 

 

  

Ohio - 4.8%

        

American Municipal Power Inc.

        

5.00% 02/15/38 (l)

      4,705,000          4,724,338  

5.00% 02/15/38

      295,000          296,248  

City of Cincinnati Water System Revenue
5.00% 12/01/36 (l)

      2,500,000          2,809,850  

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

      18,055,000          21,021,677  

County of Franklin

        

5.00% 12/01/47

      1,125,000          1,307,216  

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

      1,800,000          1,922,256  

Northeast Ohio Regional Sewer District

        

4.00% 11/15/43

      7,550,000          8,225,196  

5.00% 11/15/38 (l)

      12,000,000          13,902,480  

Ohio Higher Educational Facility Commission
6.25% 05/01/38 (l)

      5,000,000          5,195,350  

Ohio State Turnpike Commission
5.25% 02/15/39

      6,000,000          6,831,000  

University of Cincinnati
5.00% 06/01/45

      3,500,000          4,126,745  
       

 

 

  
       70,362,356  
       

 

 

  

Oklahoma - 0.8%

        

Oklahoma Capital Improvement Authority
5.00% 07/01/28 - 07/01/29

      5,000,000          5,899,960  

Oklahoma Turnpike Authority 5.00% 01/01/28 - 01/01/47

      5,000,000          5,592,510  
       

 

 

  
       11,492,470  
       

 

 

  
 

 

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

 

Elfun Tax-Exempt Income Fund     57  

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  
       

Oregon - 0.1%

        

Eugene Water Revenue
4.00% 08/01/45

      1,000,000          1,076,690  
       

 

 

  

Pennsylvania - 4.9%

        

City of Philadelphia 5.00% 08/01/36

      5,000,000          5,872,500  

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

      13,000,000          14,432,620  

Delaware River Port Authority
5.00% 01/01/29

      5,000,000          5,815,750  

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

      5,000,000          5,263,250  

Pennsylvania State University 5.00% 09/01/41

      1,200,000          1,418,964  

Pennsylvania Turnpike Commission

        

5.00% 06/01/29 (l)

      10,000,000          10,476,700  

5.00% 12/01/38

      5,000,000          5,823,750  

5.25% 06/01/39 (l)

      9,500,000          9,985,830  

6.00% 12/01/34 (l)

      12,000,000          13,426,560  
       

 

 

  
       72,515,924  
       

 

 

  

Rhode Island – 0.3%

        

Rhode Island Health & Educational Building Corp.

        

6.25% 09/15/34 (l)

      1,300,000          1,343,173  

6.50% 09/15/28 (l)

      1,000,000          1,034,950  

Rhode Island Infrastructure Bank Water Pollution Control Revenue

        

5.00% 10/01/28

      2,200,000          2,666,004  
       

 

 

  
       5,044,127  
       

 

 

  

South Carolina - 2.6%

        

Piedmont Municipal Power Agency
5.00% 01/01/25

      2,315,000          2,562,497  

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

      5,500,000          6,161,155  

South Carolina State Public Service Authority

        

5.00%
12/01/37 - 12/01/38

      12,000,000          13,695,540  

5.50% 01/01/38 (l)

      14,970,000          15,540,656  
       

 

 

  
       37,959,848  
       

 

 

  
     Principal
Amount ($)		       

Fair
Value

$

  

Tennessee - 0.3%

        

County of Shelby
5.00% 03/01/21

      3,500,000          3,746,295  

State of Tennessee
5.00% 05/01/19 (l)

      1,000,000          1,011,640  
       

 

 

  
       4,757,935  
       

 

 

  

Texas - 6.8%

        

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

      3,000,000          3,499,560  

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

      13,595,000          15,282,139  

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

      3,550,000          4,235,257  

City of Houston Utility System Revenue

        

5.00% 05/15/28 - 11/15/33

      10,470,000          11,797,130  

5.25% 11/15/30 - 11/15/31

      12,000,000          13,161,380  

County of Harris
5.00% 08/15/41

      3,000,000          3,497,100  

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

      5,000,000          5,925,850  

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

      2,000,000          2,305,440  

North Texas Tollway Authority (AGMC Insured)
4.00% 01/01/34 (m)

      5,000,000          5,412,100  

North Texas Tollway Authority

        

5.00% 09/01/31 (l)

      3,500,000          3,880,590  

5.00% 01/01/39

      1,000,000          1,158,160  

6.00% 01/01/38 (l)

      5,000,000          5,623,550  

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

      9,750,000          11,309,805  

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

      10,000,000          12,354,600  
       

 

 

  
       99,442,661  
       

 

 

  

Utah - 0.9%

        

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

      4,000,000          4,358,200  

Utah Transit Authority
5.00% 06/15/42

      7,500,000          8,228,550  
       

 

 

  
       12,586,750  
       

 

 

  
 

 

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

 

58   Elfun Tax-Exempt Income Fund

Table of Contents

Elfun Tax-Exempt Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair
Value

$

  

Virginia - 1.6%

        

County of Henrico Water & Sewer Revenue
5.00% 05/01/46

      2,530,000          2,990,258  

University of Virginia
5.00% 04/01/47

      6,000,000          7,209,060  

Virginia Resources Authority

        

4.00% 11/01/41

      5,585,000          6,046,712  

5.00% 11/01/46

      1,720,000          2,042,190  

5.25% 11/01/38 (l)

      2,390,000          2,462,799  

5.25% 11/01/38

      2,610,000          2,692,371  
       

 

 

  
       23,443,390  
       

 

 

  
Total Municipal Bonds and Notes
(Cost $1,381,635,848)		          1,447,185,068  
       

 

 

  
    

Number
of Shares

       

Fair
Value

$

  
Short-Term Investments - 0.4%  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25%
(Cost $6,243,370) (d)(p)

      6,243,370          6,243,370  
       

 

 

  
Total Investments
(Cost $1,387,879,218)		          1,453,428,438  
Other Assets and Liabilities, net - 1.2%          17,921,907  
       

 

 

  
NET ASSETS – 100.0%          1,471,350,345  
       

 

 

  
 

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2017:

 

Investments    Level 1      Level 2      Level 3      Total  

Investments in Securities

            

Municipal Bonds and Notes

    $ —      $ 1,447,185,068      $ —      $ 1,447,185,068  

Short-Term Investments

      6,243,370        —        —        6,243,370  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 6,243,370      $ 1,447,185,068      $ —      $ 1,453,428,438  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Affiliate Table

 

     Number of
Shares Held
at 12/31/16		     Value At
12/31/16		     Cost of
Purchases		     Proceeds
from Shares
Sold		     Number of
Shares Held
at 12/31/17		     Value at
12/31/17		     Dividend
Income		  

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

     50,202,639     $ 50,202,639     $ 293,847,203     $ 337,806,472       6,243,370     $ 6,243,370     $ 98,748  

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

     —       —       134,863,186       134,863,186       —       —       29,746  
   

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

TOTAL

     $ 50,202,639     $ 428,710,389     $ 472,669,658       $ 6,243,370     $ 128,494  
   

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

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

 

Elfun Tax-Exempt Income Fund     59  

Table of Contents

Elfun Income Fund

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

Q. How did the Elfun Income Fund (the “Fund”) perform compared to its benchmark for the twelve-month period ended December 31, 2017?

 

A. For the twelve-month period ended December 31, 2017, the Fund returned 3.90%. The Bloomberg Barclays U.S. Aggregate Bond Index, the Fund’s benchmark, returned 3.54% and the Fund’s Morningstar peer group of 1,001 U.S. Intermediate-Term Funds returned an average of 3.80% over the same period.

 

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

 

A. The most significant market factor that affected the Fund’s performance was a continuation of credit spread tightening over the last twelve months. Investment grade and high yield credit spreads tightened approximately -30 and -55 basis points (bps) respectively driven by stronger economic fundamentals. This generated returns of +335 bps from U.S. investment grade credit and +610 bps from U.S. high yield credit. The U.S. Treasury yield curve flattened during the year. Short-term rates moved higher as the Federal Reserve (the “Fed”) hiked its Fed Funds target 3 times to 1.25-1.5% and long-term rates moved lower due to moderate inflation expectations, demand for duration and low non-U.S. rates. The U.S. Treasury 2-year note yield ended the year at 1.88%, up +70bps. While the 30-year bond yield fell -33 bps to 2.74%.

 

Q. What were the primary drivers of Fund performance?

 

A. The most significant positive contributors to the Fund’s performance was strong security selection in investment grade credit and commercial mortgage-backed securities. The non-index exposure to high yield and overweight position in investment grade credit also benefited the Fund’s return. A spread widening trade taking advantage of the richness of treasury swaps versus cash treasuries due to past regulation added value in the fourth quarter. Yield curve positioning biased to a steeper yield curve, adverse security selection in residential mortgage-backed securities and a position in CDXHY (high yield credit swap) as a hedge against cash positions all negatively impacted the Fund’s performance.

 

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

 

A. The most significant change to the Fund’s portfolio during the period was the reduction in exposure to residential mortgage-backed securities. The active spread duration in this sector was reduced from neutral to -1.0 years as the Fed announced the rollback of its buying program. The allocation to investment grade credit was gradually increased from +0.35 years active spread duration to +0.50 years by the end of September, then reduced to +0.25 years by year-end as credit spreads continued to tighten and valuations richen. Exposure to asset backed securities was initiated in the fourth quarter to a slight overweight versus the index.

 

60   Elfun Income Fund

Table of Contents

Elfun Income Fund

Understanding Your Fund’s Expenses — December 31, 2017 (Unaudited)

 

 

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

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2017.

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, 2017 - December 31, 2017

 

     Actual
Fund Return		      Hypothetical
5% Return
(2.5% for
the period)		  
Account Value at the
Beginning of the Period		    $ 1,000.00      $ 1,000.00  
Account Value at the
end of the Period		    $ 1,012.90      $ 1,023.54  

Expenses paid during the period*

    $ 1.67      $ 1.68  

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.33% (for the period July 1, 2017-December 31, 2017), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
 

 

Elfun Income Fund     61  

Table of Contents

Elfun Income Fund

Performance Summary — December 31, 2017 (Unaudited)

 

 

Morningstar Performance Comparison

Based on average annual returns for periods ended December 31, 2017

 

    One Year     Five Year     Ten Year  

Number of funds in peer group

     1,001       911       802  

Peer group average annual total return

     3.80 %      2.11 %      4.07 % 

Morningstar Category in peer group: U.S. Intermediate-Term Bond

 

Quality Ratings

as of December 31, 2017 as a % of Fair Value (a)(b)

 

Moody’s / S&P /Rating*

   Percentage of
Fair Value		  

AAA

     2.4 % 

AA

     47.3 % 

A

     9.3 % 

BBB

     18.0 % 

BB and Lower

     7.8 % 

NR

     15.2 % 
 

 

 

  
    100.0 % 

Sector Allocation

Portfolio composition as a % of Fair Value of $267,273 (in thousands) as of December 31, 2017 (a)(b)

 

LOGO

Average Annual Total Return For the Periods Ended December 31, 2017

(Inception date: 12/31/84)

 

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

Elfun Income Fund

      3.90 %      2.46 %      4.00 %    $ 14,797  

Bloomberg Barclays U.S. Aggregate Bond Index

      3.54 %      2.10 %      4.01 %    $ 14,811  

 

 

 

62   Elfun Income Fund

Table of Contents

Elfun Income Fund

Performance Summary, continued — December 31, 2017 (Unaudited)

 

 

 

LOGO

 

 

 

 

 

(a) Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares.

 

(b) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

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

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

 

Elfun Income Fund     63  

Table of Contents

Elfun Income Fund

Schedule of Investments — December 31, 2107

 

     Principal
Amount ($)		       

Fair

Value

$

  
       
Bonds and Notes - 99.0%†  

U.S. Treasuries - 43.1%

 

U.S. Treasury Bonds

 

2.75% 08/15/47

      5,982,900          5,991,276  

3.75% 11/15/43

      687,000          818,643  

4.50% 02/15/36

      3,588,600          4,621,579  

U.S. Treasury Notes

        

0.88% 03/31/18 - 10/15/18 (h)

      17,548,900          17,452,401  

1.25% 12/31/18 (h)

      5,636,300          5,605,470  

1.25% 08/31/19

      7,187,000          7,114,196  

1.38% 12/15/19 (h)

      9,956,500          9,858,926  

1.50% 08/15/20

      7,351,000          7,270,433  

1.63% 10/15/20 - 08/31/22

      10,026,000          9,854,685  

1.75% 09/30/22

      8,105,300          7,943,194  

1.88% 10/31/22 - 08/31/24

      9,865,000          9,673,107  

2.00% 02/15/25

      10,287,000          10,056,159  

2.13% 05/15/25

      8,216,700          8,091,559  

2.25% 02/15/27 (h)

      1,951,500          1,926,326  

2.25% 08/15/27

      6,314,000          6,226,109  
       

 

 

  
          112,504,063  
       

 

 

  

Agency Mortgage Backed - 10.2%

 

Federal Home Loan Mortgage Corp.

        

4.50% 06/01/33 - 02/01/35

      14,288          15,256  

5.00% 07/01/35 - 06/01/41

      869,170          943,210  

5.50% 05/01/20 - 04/01/39

      254,246          279,454  

6.00% 07/01/19 - 11/01/37

      500,075          557,434  

6.50% 07/01/29

      1,907          2,112  

7.00% 01/01/27 - 08/01/36

      103,041          111,764  

7.50% 11/01/29 - 09/01/33

      7,742          8,122  

8.00% 11/01/30

      4,010          4,431  

Federal National Mortgage Assoc.

        

3.00% 02/01/43 - 05/01/43 (h)

      2,357,354          2,371,492  

3.50% 11/01/42 - 08/01/45 (h)

      1,207,806          1,246,216  

4.00% 05/01/19 - 03/01/41

      711,031          748,322  

4.00% 01/01/41 (h)

      598,837          630,468  

4.50% 05/01/18 - 01/01/41

      3,437,012          3,683,583  

5.00% 07/01/20 - 06/01/41

      1,386,201          1,502,548  

5.50% 06/01/20 - 01/01/39

      956,239          1,049,075  

6.00% 05/01/19 - 08/01/35

      877,584          973,385  

6.00% 05/01/41 (h)

      1,018,901          1,131,581  

6.50% 01/01/19 - 08/01/36

      112,439          124,780  

6.50% 08/01/28 (h)

      1,564          1,734  

7.00% 10/01/32 - 02/01/34

      11,746          12,328  

7.50% 12/01/26 - 12/01/33

      54,281          59,052  

8.00% 06/01/24 - 01/01/31

      6,765          7,045  
     Principal
Amount ($)		       

Fair

Value

$

  

8.00% 09/01/25 - 10/01/31 (h)

      9,356          10,372  

8.50% 04/01/30 (h)

      3,212          3,926  

9.00% 12/01/22

      2,089          2,210  

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

        

3.35% 04/01/37 (i)

      2,594          2,665  

Federal National Mortgage Assoc. TBA

        

3.00% TBA (c)

      3,851,840          3,895,331  

3.50% TBA (c)

      2,977,715          3,072,764  

Government National Mortgage Assoc.

        

4.00% 01/20/41 - 04/20/43

      2,059,801          2,172,852  

4.50% 08/15/33 - 03/20/41

      997,793          1,063,808  

5.00% 08/15/33

      54,707          59,169  

6.00% 04/15/27 - 09/15/36

      246,149          279,815  

6.50% 04/15/19 - 09/15/36

      94,248          104,366  

7.00% 11/15/27 - 10/15/36

      58,318          62,388  

7.50% 03/15/23 - 11/15/31

      24,684          25,338  

8.00% 09/15/27 - 06/15/30

      28,472          29,333  

9.00% 12/15/21

      1,047          1,120  

5.50% TBA (c)

      435,000          476,442  
       

 

 

  
          26,725,291  
       

 

 

  

Agency Collateralized Mortgage Obligations - 0.2%

 

Federal Home Loan Mortgage Corp.

        

0.08% 09/25/43 (g)(i)

      1,079,980          2,264  

Federal Home Loan Mortgage Corp. REMIC

        

3.50% 11/15/24 - 11/15/30 (g)

      490,424          35,597  

5.50% 06/15/33 (g)

      46,726          9,317  

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

        

5.12% 08/15/25 (g)(i)

      196,952          14,785  

Federal Home Loan Mortgage Corp. STRIPS

        

1.47% 08/01/27 (d)(f)

      967          892  

8.00% 02/01/23 - 07/01/24 (g)

      3,251          513  

Federal National Mortgage Assoc. REMIC

        

0.51% 12/25/22 (d)(f)

      1,212          1,188  

1.19% 12/25/42 (g)(i)

      251,125          10,171  

5.00% 02/25/40 - 09/25/40 (g)

      224,005          26,118  

8.00% 05/25/22 (g)

      3          46  
 

 

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

 

64   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

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

        

4.45% 07/25/38 - 12/25/41 (g)(i)

      662,694          113,628  

Federal National Mortgage Assoc. REMIC 6.60% - 1 month USD LIBOR

        

5.05% 10/25/43 (g)(i)

      1,171,042          246,569  

Federal National Mortgage Assoc. STRIPS

        

1.87% 12/25/34 (d)(f)

      50,846          43,626  

4.50% 08/25/35 - 01/25/36 (g)

      104,380          19,095  

5.00% 03/25/38 - 05/25/38 (g)

      56,956          10,833  

5.50% 12/25/33 (g)

      15,758          3,469  

6.00% 01/25/35 (g)

      58,124          11,491  

7.50% 11/25/23 (g)

      8,596          1,265  

8.00% 08/25/23 - 07/25/24 (g)

      6,316          1,188  

8.50% 07/25/22 (g)

      1,297          140  

9.00% 05/25/22 (g)

      1,157          118  

Government National Mortgage Assoc. REMIC

        

4.50% 02/20/38 - 08/16/39 (g)

      168,113          10,934  

5.00% 01/20/38 - 09/20/38 (g)

      61,557          1,999  

Government National Mortgage Assoc. REMIC
6.80% - 1 month USD LIBOR

        

5.31% 01/16/40 (g)(i)

      281,991          46,658  
       

 

 

  
          611,904  
       

 

 

  

Asset Backed - 2.5%

 

American Express Credit Account Master Trust 2017-6

        

2.04% 05/15/23

      1,488,065          1,480,018  

BA Credit Card Trust 2017-A2

        

1.84% 01/17/23

      1,511,000          1,495,322  

Chase Funding Trust 2004-1

        

3.99% 11/25/33 (j)

      210,690          217,896  

Citibank Credit Card Issuance Trust 2014-A6

        

2.15% 07/15/21

      756,000          756,754  

Citibank Credit Card Issuance Trust 2016-A1

        

1.75% 11/19/21

      1,869,000          1,856,212  
     Principal
Amount ($)		       

Fair

Value

$

  

Citibank Credit Card Issuance Trust 2017-A8

        

1.86% 08/08/22

      587,000          581,338  
       

 

 

  
          6,387,540  
       

 

 

  

Corporate Notes - 38.1%

 

21st Century Fox America Inc.

        

3.38% 11/15/26

      41,000          41,845  

4.75% 11/15/46

      27,000          31,164  

6.65% 11/15/37 (h)

      184,000          253,331  

Abbott Laboratories

        

2.90% 11/30/21

      339,000          342,505  

3.75% 11/30/26

      109,000          111,920  

4.90% 11/30/46

      109,000          125,219  

AbbVie Inc.

        

2.00% 11/06/18 (h)

      347,000          346,865  

3.20% 05/14/26 (h)

      230,000          229,425  

4.45% 05/14/46 (h)

      86,000          93,344  

4.70% 05/14/45 (h)

      69,000          77,386  

Acadia Healthcare Company Inc.

        

6.50% 03/01/24

      208,000          217,360  

AES Corp.

        

4.88% 05/15/23

      365,000          372,756  

Aetna Inc.

        

3.50% 11/15/24 (h)

      228,000          231,897  

Aflac Inc.

        

4.00% 10/15/46 (h)

      96,000          100,423  

Agrium Inc.

        

4.90% 06/01/43 (h)

      84,000          93,697  

Alibaba Group Holding Ltd.

        

2.80% 06/06/23

      200,000          199,566  

3.40% 12/06/27

      256,000          255,839  

4.00% 12/06/37

      200,000          206,686  

4.20% 12/06/47

      200,000          208,078  

4.40% 12/06/57

      200,000          208,792  

Alimentation Couche-Tard Inc.

        

2.70% 07/26/22 (b)

      215,000          212,895  

3.55% 07/26/27 (b)

      215,000          214,600  

4.50% 07/26/47 (b)

      62,000          64,902  

Allergan Funding SCS

        

3.00% 03/12/20

      167,000          168,500  

3.45% 03/15/22

      168,000          170,641  

4.55% 03/15/35

      63,000          66,309  

4.75% 03/15/45

      58,000          61,851  

Altria Group Inc.

        

2.95% 05/02/23 (h)

      169,000          170,198  

3.88% 09/16/46 (h)

      18,000          17,906  

4.50% 05/02/43 (h)

      93,000          101,095  

Amazon.com Inc.

        

2.80% 08/22/24 (b)

      130,000          129,633  

3.15% 08/22/27 (b)

      117,000          117,501  
 

 

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

 

Elfun Income Fund     65  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2107

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

3.88% 08/22/37 (b)

      127,000          134,809  

4.05% 08/22/47 (b)

      81,000          86,965  

4.25% 08/22/57 (b)

      139,000          152,085  

AMC Networks Inc.

        

4.75% 08/01/25

      10,000          9,900  

America Movil SAB de C.V.

        

3.13% 07/16/22 (h)

      205,000          207,651  

5.00% 03/30/20 (h)

      317,000          334,267  

American Axle & Manufacturing Inc.

        

6.25% 04/01/25 (b)(h)

      176,000          185,240  

6.50% 04/01/27 (b)(h)

      88,000          92,840  

6.63% 10/15/22 (h)

      84,000          87,098  

American Campus Communities Operating Partnership LP

        

3.35% 10/01/20 (h)

      157,000          160,083  

4.13% 07/01/24 (h)

      114,000          118,614  

American Electric Power Company Inc.

        

2.95% 12/15/22 (h)

      303,000          307,236  

American Express Co.

        

3.00% 10/30/24

      122,000          121,622  

American International Group Inc.

        

4.50% 07/16/44 (h)

      163,000          176,452  

4.80% 07/10/45 (h)

      54,000          60,713  

American Tower Corp. (REIT)

        

3.38% 10/15/26 (h)

      94,000          92,367  

3.40% 02/15/19 (h)

      416,000          420,609  

American Water Capital Corp.

        

2.95% 09/01/27

      195,000          193,015  

Amgen Inc.

        

2.20% 05/22/19 (h)

      356,000          356,057  

2.65% 05/11/22 (h)

      220,000          219,303  

3.20% 11/02/27

      350,000          349,814  

4.56% 06/15/48 (h)

      126,000          140,838  

Amkor Technology Inc.

        

6.63% 06/01/21 (h)

      215,000          217,284  

Anadarko Petroleum Corp.

        

4.85% 03/15/21 (h)

      18,000          19,021  

6.20% 03/15/40 (h)

      109,000          131,600  

6.60% 03/15/46 (h)

      20,000          25,626  

Andeavor Logistics LP/Tesoro Logistics Finance Corp.

        

4.25% 12/01/27

      196,000          197,821  

5.20% 12/01/47

      59,000          61,274  

5.25% 01/15/25

      623,000          655,318  

Anheuser-Busch InBev Finance Inc.

        

2.65% 02/01/21 (h)

      125,000          125,733  

3.65% 02/01/26 (h)

      52,000          53,654  
     Principal
Amount ($)		       

Fair

Value

$

  

4.70% 02/01/36 (h)

      95,000          106,499  

4.90% 02/01/46 (h)

      174,000          201,643  

Anheuser-Busch InBev Worldwide Inc.

        

2.50% 07/15/22 (h)

      227,000          225,298  

Anthem Inc.

        

3.30% 01/15/23 (h)

      183,000          185,703  

Apache Corp.

        

5.10% 09/01/40 (h)

      107,000          114,922  

Apple Inc.

        

2.50% 02/09/22 (h)

      96,000          96,114  

2.85% 05/11/24 (h)

      220,000          220,796  

3.35% 02/09/27 (h)

      107,000          109,503  

3.45% 02/09/45 (h)

      109,000          106,460  

3.85% 08/04/46 (h)

      281,000          292,532  

4.25% 02/09/47 (h)

      41,000          45,501  

Applied Materials Inc.

        

3.30% 04/01/27 (h)

      42,000          42,672  

4.35% 04/01/47 (h)

      65,000          72,922  

Aptiv PLC

        

4.40% 10/01/46

      99,000          102,584  

Aramark Services Inc.

        

5.13% 01/15/24 (h)

      208,000          218,010  

Archer-Daniels-Midland Co.

        

2.50% 08/11/26 (h)

      158,000          150,438  

Arconic Inc.

        

6.15% 08/15/20

      90,000          96,863  

Ascension Health

        

4.85% 11/15/53 (h)

      84,000          98,056  

AstraZeneca PLC

        

2.38% 11/16/20 (h)

      71,000          70,849  

3.13% 06/12/27

      81,000          80,450  

3.38% 11/16/25 (h)

      118,000          120,205  

AT&T Inc.

        

2.45% 06/30/20 (h)

      182,000          181,667  

2.85% 02/14/23

      141,000          141,482  

3.00% 06/30/22 (h)

      122,000          122,201  

3.40% 08/14/24

      103,000          103,496  

3.90% 08/14/27

      26,000          26,146  

4.45% 04/01/24 (h)

      150,000          158,504  

4.50% 05/15/35 (h)

      182,000          180,664  

4.75% 05/15/46

      116,000          113,471  

4.80% 06/15/44 (h)

      144,000          141,821  

4.90% 08/14/37

      128,000          129,501  

5.15% 02/14/50

      260,000          262,228  

5.25% 03/01/37 (h)

      156,000          165,162  

5.30% 08/14/58

      104,000          104,417  

5.45% 03/01/47 (h)

      196,000          210,004  

Avangrid Inc.

        

3.15% 12/01/24

      274,000          273,099  

Baidu Inc.

        

2.88% 07/06/22

      255,000          252,685  
 

 

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

 

66   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Bank of America Corp.

        

2.65% 04/01/19

      255,000          256,691  

3.25% 10/21/27 (h)

      3,000          2,973  

3.95% 04/21/25 (h)

      220,000          227,407  

4.25% 10/22/26 (h)

      106,000          111,696  

Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter)

        

2.37% 07/21/21(i)

      176,000          175,613  

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

        

3.12% 01/20/23 (h)(i)

      277,000          280,823  

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

        

3.42% 12/20/28 (b)(i)

      242,000          241,685  

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

        

4.24% 04/24/38 (h)(i)

      222,000          240,650  

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

        

4.44% 01/20/48 (h)(i)

      111,000          124,586  

Bank of America Corp. (8.00% fixed rate until 01/30/18; 3.63% + 3 month USD LIBOR thereafter)

        

8.00% 12/31/49 (i)

      407,000          408,766  

Barclays PLC

        

4.34% 01/10/28

      200,000          207,034  

4.84% 05/09/28

      200,000          207,942  

5.25% 08/17/45

      205,000          238,518  

Barrick North America Finance LLC

        

5.70% 05/30/41

      41,000          50,143  

BAT Capital Corp.

        

2.30% 08/14/20 (b)

      178,000          176,971  

2.76% 08/15/22 (b)

      179,000          177,804  

3.56% 08/15/27 (b)

      189,000          189,189  

4.39% 08/15/37 (b)

      83,000          87,096  

4.54% 08/15/47 (b)

      154,000          162,549  

Baxalta Inc.

        

2.88% 06/23/20

      178,000          179,050  

Becton Dickinson and Co.

        

2.89% 06/06/22

      156,000          155,078  

3.70% 06/06/27

      263,000          264,904  
     Principal
Amount ($)		       

Fair

Value

$

  

3.73% 12/15/24

      9,000          9,200  

4.67% 06/06/47

      50,000          53,961  

4.69% 12/15/44

      5,000          5,480  

Berkshire Hathaway Energy Co.

        

6.13% 04/01/36 (h)

      65,000          87,172  

Berkshire Hathaway Inc.

        

4.50% 02/11/43

      3,000          3,442  

Berry Global Inc.

        

5.13% 07/15/23

      260,000          270,400  

BHP Billiton Finance USA Ltd.

        

5.00% 09/30/43

      65,000          79,591  

Biogen Inc.

        

2.90% 09/15/20

      67,000          67,967  

BNP Paribas S.A.
(5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate thereafter)

        

5.13% 12/31/99 (b)(i)

      200,000          199,754  

BP Capital Markets PLC

        

1.38% 05/10/18 (h)

      170,000          169,740  

3.22% 11/28/23 (h)

      180,000          184,115  

3.28% 09/19/27

      243,000          245,979  

Braskem Netherlands Finance BV

        

3.50% 01/10/23 (b)

      201,000          197,607  

4.50% 01/10/28 (b)

      201,000          198,496  

Brighthouse Financial Inc.

        

3.70% 06/22/27 (b)

      30,000          29,460  

4.70% 06/22/47 (b)

      16,000          16,310  

Brixmor Operating Partnership LP

        

3.90% 03/15/27 (h)

      172,000          170,418  

Broadcom Corp./Broadcom Cayman Finance Ltd.

        

2.20% 01/15/21 (b)

      71,000          69,368  

2.65% 01/15/23 (b)

      56,000          53,959  

3.13% 01/15/25 (b)

      70,000          66,935  

3.88% 01/15/27 (b)(h)

      109,000          107,532  

Buckeye Partners LP

        

5.60% 10/15/44 (h)

      103,000          108,268  

Bunge Limited Finance Corp.

        

3.75% 09/25/27

      173,000          170,398  

Burlington Northern Santa Fe LLC

        

3.65% 09/01/25 (h)

      128,000          134,437  

Canadian Natural Resources Ltd.

        

3.85% 06/01/27 (h)

      59,000          60,154  

4.95% 06/01/47 (h)

      47,000          52,732  
 

 

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

 

Elfun Income Fund     67  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Capital One Financial Corp.

        

4.20% 10/29/25 (h)

      200,000          205,758  

Cardinal Health Inc.

        

2.62% 06/15/22 (h)

      81,000          79,629  

3.08% 06/15/24 (h)

      95,000          93,540  

3.41% 06/15/27 (h)

      47,000          46,089  

4.37% 06/15/47 (h)

      41,000          40,844  

Carlson Travel Inc.

        

6.75% 12/15/23 (h)(b)

      264,000          238,920  

Caterpillar Financial Services Corp.

        

2.55% 11/29/22

      270,000          268,739  

Caterpillar Inc.

        

4.30% 05/15/44 (h)

      108,000          123,390  

Catholic Health Initiatives

        

2.60% 08/01/18

      125,000          125,397  

4.35% 11/01/42

      130,000          123,705  

CBL & Associates LP

        

5.95% 12/15/26 (h)

      32,000          29,798  

CBS Corp.

        

2.50% 02/15/23

      166,000          161,760  

2.90% 01/15/27 (h)

      112,000          105,055  

CCO Holdings LLC/CCO Holdings Capital Corp.

        

5.88% 04/01/24 (b)(h)

      189,000          197,033  

Celgene Corp.

        

3.45% 11/15/27

      176,000          176,077  

4.35% 11/15/47

      76,000          79,161  

5.00% 08/15/45 (h)

      105,000          119,429  

Cenovus Energy Inc.

        

5.40% 06/15/47

      31,000          32,597  

CenterPoint Energy Inc.

        

2.50% 09/01/22

      178,000          175,693  

CenturyLink Inc.

        

5.80% 03/15/22 (h)

      278,000          271,856  

Cequel Communications Holdings I LLC/Cequel Capital Corp.

        

5.13% 12/15/21 (h)(b)

      306,000          306,765  

CF Industries Inc.

        

7.13% 05/01/20

      179,000          195,110  

Charter Communications Operating LLC/Charter Communications Operating Capital

        

3.58% 07/23/20 (h)

      228,000          231,534  

4.91% 07/23/25 (h)

      228,000          242,179  

5.38% 05/01/47

      76,000          78,389  

6.38% 10/23/35 (h)

      34,000          39,796  

6.48% 10/23/45 (h)

      67,000          78,473  

Chevron Corp.

        

3.19% 06/24/23 (h)

      166,000          170,457  
     Principal
Amount ($)		       

Fair

Value

$

  

Church & Dwight Company Inc.

        

2.45% 08/01/22

      93,000          91,736  

3.15% 08/01/27

      154,000          151,396  

Cigna Corp.

        

3.25% 04/15/25 (h)

      183,000          183,694  

3.88% 10/15/47

      104,000          104,056  

Cimarex Energy Co.

        

3.90% 05/15/27 (h)

      109,000          111,619  

Cinemark USA Inc.

        

4.88% 06/01/23 (h)

      180,000          182,250  

Cisco Systems Inc.

        

2.50% 09/20/26 (h)

      178,000          172,236  

Citigroup Inc.

        

1.75% 05/01/18 (h)

      192,000          191,840  

2.05% 12/07/18 (h)

      327,000          326,666  

2.70% 10/27/22

      173,000          171,384  

2.90% 12/08/21

      176,000          176,917  

4.45% 09/29/27

      62,000          65,484  

4.65% 07/30/45 (h)

      60,000          68,249  

4.75% 05/18/46

      105,000          116,172  

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

        

2.88% 07/24/23

      231,000          229,697  

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

        

4.28% 04/24/48 (h)(i)

      124,000          134,779  

CMS Energy Corp.

        

4.88% 03/01/44 (h)

      190,000          222,165  

CNA Financial Corp.

        

3.45% 08/15/27

      107,000          105,408  

5.88% 08/15/20 (h)

      279,000          300,455  

CNOOC Nexen Finance 2014 ULC

        

4.25% 04/30/24

      423,000          446,481  

Columbia Pipeline Group Inc.

        

3.30% 06/01/20 (h)

      118,000          119,604  

Comcast Corp.

        

3.38% 08/15/25 (h)

      20,000          20,515  

3.97% 11/01/47

      68,000          69,918  

4.20% 08/15/34 (h)

      166,000          177,695  

4.60% 08/15/45 (h)

      169,000          190,416  

Concho Resources Inc.

        

3.75% 10/01/27

      51,000          51,540  

4.88% 10/01/47

      69,000          75,276  

ConocoPhillips Co.

        

3.35% 11/15/24 (h)

      95,000          98,005  

5.95% 03/15/46 (h)

      37,000          49,904  
 

 

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

 

68   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Consolidated Edison Company of New York Inc.

        

2.90% 12/01/26 (h)

      137,000          134,250  

Constellation Brands Inc.

        

2.70% 05/09/22 (h)

      156,000          154,939  

4.50% 05/09/47 (h)

      48,000          52,464  

Continental Resources Inc.

        

5.00% 09/15/22

      90,000          91,350  

Corning Inc.

        

4.38% 11/15/57

      87,000          86,356  

Corporation Andina de Fomento

        

2.20% 07/18/20

      190,000          188,662  

4.38% 06/15/22

      304,000          323,900  

Costco Wholesale Corp.

        

3.00% 05/18/27 (h)

      77,000          77,110  

Credit Suisse AG

        

1.70% 04/27/18 (h)

      356,000          355,735  

Credit Suisse Group Funding Guernsey Ltd.

        

3.13% 12/10/20

      250,000          253,180  

3.80% 06/09/23 (h)

      470,000          484,424  

CSX Corp.

        

4.50% 08/01/54 (h)

      99,000          105,721  

CVS Health Corp.

        

3.88% 07/20/25 (h)

      116,000          119,487  

5.13% 07/20/45 (h)

      107,000          122,609  

D.R. Horton Inc.

        

2.55% 12/01/20

      193,000          192,766  

Daimler Finance North America LLC

        

2.38% 08/01/18 (b)(h)

      378,000          378,798  

Dana Financing Luxembourg Sarl

        

6.50% 06/01/26 (b)(h)

      250,000          270,938  

Danaher Corp.

        

4.38% 09/15/45 (h)

      51,000          57,555  

Dell International LLC/EMC Corp.

        

3.48% 06/01/19 (b)(h)

      218,000          220,697  

5.45% 06/15/23 (b)

      155,000          167,326  

6.02% 06/15/26 (b)(h)

      92,000          101,390  

8.35% 07/15/46 (b)(h)

      51,000          65,772  

Deutsche Bank AG

        

2.70% 07/13/20

      155,000          154,346  

3.30% 11/16/22

      205,000          204,159  

3.70% 05/30/24

      94,000          94,643  

Deutsche Telekom International Finance BV

        

2.49% 09/19/23 (b)(h)

      300,000          290,636  

Devon Energy Corp.

        

5.00% 06/15/45 (h)

      81,000          90,633  

5.85% 12/15/25 (h)

      54,000          63,047  
     Principal
Amount ($)		       

Fair

Value

$

  

Dexia Credit Local S.A.

        

2.25% 01/30/19 (b)

      343,000          343,370  

Diageo Investment Corp.

        

2.88% 05/11/22 (h)

      168,000          170,339  

Discover Bank

        

3.10% 06/04/20 (h)

      291,000          294,120  

Discovery Communications LLC

        

2.20% 09/20/19

      190,000          189,130  

3.95% 03/20/28

      190,000          188,508  

5.00% 09/20/37

      75,000          77,588  

5.20% 09/20/47

      75,000          78,154  

Dollar General Corp.

        

1.88% 04/15/18 (h)

      362,000          361,791  

Dominion Energy Inc.

        

2.58% 07/01/20 (h)

      124,000          123,965  

3.63% 12/01/24 (h)

      135,000          139,641  

DTE Energy Co.

        

2.85% 10/01/26 (h)

      123,000          118,154  

Duke Energy Corp.

        

3.75% 09/01/46 (h)

      77,000          76,290  

Duke Energy Progress LLC

        

4.15% 12/01/44 (h)

      114,000          124,771  

Duke Realty LP

        

3.38% 12/15/27

      195,000          195,683  

Duquesne Light Holdings Inc.

        

3.62% 08/01/27 (b)

      173,000          172,851  

Eastman Chemical Co.

        

3.60% 08/15/22

      75,000          77,300  

Eaton Corp.

        

3.10% 09/15/27

      173,000          169,898  

Ecolab Inc.

        

3.25% 12/01/27 (b)

      118,000          117,849  

3.95% 12/01/47 (b)

      69,000          70,612  

Ecopetrol S.A.

        

5.88% 05/28/45

      132,000          135,634  

EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR

        

1.91% 05/01/20 (h)(i)

      172,000          173,080  

Electricite de France S.A.

        

2.15% 01/22/19 (b)

      224,000          224,028  

Eli Lilly & Co.

        

3.10% 05/15/27 (h)

      83,000          84,250  

3.70% 03/01/45 (h)

      33,000          34,044  

3.95% 05/15/47 (h)

      49,000          52,721  

EMC Corp.

        

2.65% 06/01/20

      447,000          440,854  

Emera US Finance LP

        

3.55% 06/15/26 (h)

      102,000          102,260  

4.75% 06/15/46 (h)

      41,000          45,038  

Enbridge Energy Partners LP

        

5.50% 09/15/40 (h)

      30,000          32,861  
 

 

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

 

Elfun Income Fund     69  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Encana Corp.

        

3.90% 11/15/21 (h)

      179,000          183,587  

Endo Dac/Endo Finance LLC/Endo Finco Inc.

        

5.88% 10/15/24 (b)(h)

      264,000          268,620  

Enel Finance International N.V.

        

3.63% 05/25/27 (b)(h)

      273,000          271,240  

Energy Transfer Equity LP

        

5.88% 01/15/24 (h)

      677,000          711,696  

Energy Transfer LP

        

5.30% 04/15/47 (h)

      86,000          85,297  

6.50% 02/01/42 (h)

      167,000          188,657  

Energy Transfer LP/Regency Energy Finance Corp.

        

4.50% 11/01/23 (h)

      145,000          149,817  

Entergy Louisiana LLC

        

3.05% 06/01/31 (h)

      122,000          118,145  

Enterprise Products Operating LLC

        

3.95% 02/15/27 (h)

      144,000          149,900  

Envision Healthcare Corp.

        

6.25% 12/01/24 (b)

      284,000          293,585  

EOG Resources Inc.

        

4.15% 01/15/26 (h)

      169,000          179,912  

EQT Corp.

        

3.00% 10/01/22

      69,000          68,258  

3.90% 10/01/27

      104,000          103,646  

ERP Operating LP

        

4.50% 07/01/44 (h)

      75,000          82,199  

Exelon Corp.

        

3.50% 06/01/22 (h)

      128,000          130,340  

4.45% 04/15/46 (h)

      178,000          192,940  

Express Scripts Holding Co.

        

3.40% 03/01/27 (h)

      182,000          178,373  

4.80% 07/15/46 (h)

      54,000          57,430  

Exxon Mobil Corp.

        

2.22% 03/01/21 (h)

      40,000          39,967  

3.04% 03/01/26 (h)

      79,000          80,183  

FedEx Corp.

        

4.10% 02/01/45 (h)

      2,000          2,037  

FirstEnergy Corp.

        

3.90% 07/15/27

      104,000          106,620  

4.85% 07/15/47

      37,000          41,090  

Florida Power & Light Co.

        

4.13% 02/01/42 (h)

      121,000          133,447  

Ford Motor Co.

        

4.35% 12/08/26 (h)

      180,000          188,032  

Ford Motor Credit Company LLC

        

3.22% 01/09/22 (h)

      440,000          443,040  

Freeport-McMoRan Inc.

        

3.10% 03/15/20

      268,000          266,338  
     Principal
Amount ($)		       

Fair

Value

$

  

Frontier Communications Corp.

        

7.13% 03/15/19 (h)

      363,000          347,572  

General Dynamics Corp.

        

2.13% 08/15/26 (h)

      66,000          61,864  

General Motors Co.

        

5.20% 04/01/45 (h)

      34,000          35,904  

General Motors Financial Company Inc.

        

3.15% 01/15/20 (h)

      220,000          222,330  

3.20% 07/13/20 (h)

      59,000          59,739  

5.25% 03/01/26 (h)

      181,000          198,724  

Gilead Sciences Inc.

        

1.95% 03/01/22 (h)

      109,000          106,389  

2.95% 03/01/27

      77,000          75,716  

3.65% 03/01/26 (h)

      122,000          126,610  

4.15% 03/01/47 (h)

      104,000          110,661  

4.80% 04/01/44 (h)

      75,000          86,903  

Glencore Finance Canada Ltd.

        

5.55% 10/25/42 (h)(b)

      46,000          50,827  

Glencore Funding LLC

        

3.88% 10/27/27 (b)

      107,000          105,975  

4.00% 03/27/27 (b)(h)

      110,000          110,442  

Grupo Televisa SAB

        

5.00% 05/13/45 (h)

      204,000          207,894  

H&E Equipment Services Inc.

        

5.63% 09/01/25 (b)

      25,000          26,188  

Halliburton Co.

        

3.80% 11/15/25 (h)

      169,000          175,272  

5.00% 11/15/45 (h)

      100,000          114,705  

HCA Inc.

        

4.75% 05/01/23 (h)

      521,000          539,235  

Hess Corp.

        

4.30% 04/01/27 (h)

      52,000          51,982  

5.60% 02/15/41 (h)

      52,000          55,930  

5.80% 04/01/47 (h)

      34,000          37,797  

Hewlett Packard Enterprise Co.

        

6.35% 10/15/45 (h)

      53,000          56,516  

Hilcorp Energy I LP/Hilcorp Finance Co.

        

5.75% 10/01/25 (b)

      194,000          198,850  

HSBC Holdings PLC

        

2.95% 05/25/21

      200,000          201,452  

4.25% 03/14/24 (h)

      222,000          231,635  

HSBC Holdings PLC (3.26% fixed rate until 03/13/22; 1.06% + 3 month USD LIBOR thereafter)

        

3.26% 03/13/23 (h)(i)

      205,000          207,712  
 

 

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

 

70   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

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

        

6.00% 12/31/99 (h)(i)

      465,000          488,831  

Hyundai Capital America

        

3.10% 04/05/22 (b)(h)

      86,000          85,542  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

        

6.00% 08/01/20

      268,000          275,129  

ING Bank N.V.

        

2.70% 08/17/20 (b)(h)

      200,000          200,898  

Ingersoll-Rand Luxembourg Finance S.A.

        

3.55% 11/01/24 (h)

      219,000          226,041  

Intel Corp.

        

2.60% 05/19/26 (h)

      106,000          103,605  

2.88% 05/11/24 (h)

      81,000          81,713  

International Business Machines Corp.

        

3.30% 01/27/27 (h)

      102,000          104,285  

3.63% 02/12/24 (h)

      200,000          209,308  

International Paper Co.

        

4.40% 08/15/47 (h)

      152,000          159,720  

Interstate Power & Light Co.

        

3.40% 08/15/25 (h)

      378,000          383,641  

Intesa Sanpaolo S.p.A.

        

3.88% 07/14/27 (b)

      267,000          266,778  

IPALCO Enterprises Inc.

        

3.70% 09/01/24 (b)

      20,000          19,935  

j2 Cloud Services LLC/j2 Global Co-Obligor Inc.

        

6.00% 07/15/25 (b)

      159,000          167,348  

JB Poindexter & Company Inc.

        

9.00% 04/01/22 (b)(h)

      96,000          99,600  

Jefferies Group LLC

        

5.13% 01/20/23 (h)

      144,000          155,730  

6.50% 01/20/43 (h)

      119,000          139,460  

Johnson & Johnson

 

2.63% 01/15/25

      352,000          350,863  

3.63% 03/03/37 (h)

      127,000          134,071  

Johnson Controls International PLC

        

4.50% 02/15/47 (h)

      63,000          68,981  

JPMorgan Chase & Co.

        

2.30% 08/15/21 (h)

      196,000          194,140  

2.55% 10/29/20 (h)

      197,000          197,506  

3.30% 04/01/26 (h)

      195,000          196,361  

3.63% 12/01/27 (h)

      114,000          115,226  
     Principal
Amount ($)		       

Fair

Value

$

  

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

        

3.88% 07/24/38 (i)

      232,000          238,208  

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

        

4.03% 07/24/48 (i)

      115,000          119,532  

JPMorgan Chase & Co. (4.63% fixed rate until 11/01/22; 2.58% + 3 month USD LIBOR thereafter)

        

4.63% 12/31/99 (i)

      178,000          174,253  

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

        

6.10% 10/29/49 (h)(i)

      429,000          471,385  

JPMorgan Chase & Co. (7.90% fixed rate until 04/30/18; 3.47% + 3 month USD LIBOR thereafter)

        

7.90% 12/29/49 (i)

      173,000          175,315  

Kinder Morgan Energy Partners LP

        

3.50% 09/01/23

      110,000          110,351  

6.38% 03/01/41

      73,000          84,724  

Kinder Morgan Inc.

        

3.05% 12/01/19

      67,000          67,587  

5.05% 02/15/46

      73,000          75,532  

5.55% 06/01/45

      122,000          133,319  

Kraft Heinz Foods Co.

        

3.00% 06/01/26

      138,000          132,677  

4.38% 06/01/46

      140,000          138,669  

Kreditanstalt fuer Wiederaufbau

        

4.50% 07/16/18

      217,000          220,151  

Lee Enterprises Inc.

        

9.50% 03/15/22 (b)

      347,000          358,494  

Lennar Corp.

        

4.50% 11/15/19

      159,000          162,458  

4.75% 05/30/25

      174,000          180,525  

4.75% 11/29/27 (b)

      182,000          186,550  

Levi Strauss & Co.

        

5.00% 05/01/25

      259,000          269,360  

Lincoln National Corp.

        

3.63% 12/12/26

      107,000          109,322  

Lithia Motors Inc.

        

5.25% 08/01/25 (b)

      58,000          60,465  
 

 

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

 

Elfun Income Fund     71  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

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

        

2.91% 11/07/23 (i)

      203,000          201,041  

Lockheed Martin Corp.

        

3.55% 01/15/26

      139,000          144,433  

Lowe’s Companies Inc.

        

3.70% 04/15/46

      86,000          86,323  

LYB International Finance BV

        

4.88% 03/15/44

      53,000          59,319  

LYB International Finance II BV

        

3.50% 03/02/27

      157,000          157,683  

Macy’s Retail Holdings Inc.

        

4.30% 02/15/43

      44,000          35,376  

Marathon Oil Corp.

        

3.85% 06/01/25

      91,000          92,575  

Marathon Petroleum Corp.

        

3.63% 09/15/24

      155,000          158,337  

Marsh & McLennan Companies Inc.

        

3.50% 03/10/25

      178,000          183,299  

Masco Corp.

        

3.50% 11/15/27

      69,000          68,085  

McDonald’s Corp.

        

3.70% 01/30/26

      42,000          43,740  

4.88% 12/09/45

      71,000          82,131  

Medtronic Inc.

        

3.50% 03/15/25 (h)

      87,000          90,396  

4.63% 03/15/45 (h)

      109,000          126,837  

Memorial Sloan-Kettering Cancer Center

        

4.13% 07/01/52 (h)

      133,000          140,581  

Merck & Company Inc.

        

2.75% 02/10/25 (h)

      174,000          173,471  

MetLife Inc.

        

4.72% 12/15/44 (h)

      108,000          125,095  

Mexichem SAB de C.V.

        

5.50% 01/15/48 (b)

      200,000          195,612  

MGM Resorts International

        

4.63% 09/01/26 (h)

      167,000          169,088  

6.63% 12/15/21 (h)

      431,000          472,893  

Microsoft Corp.

        

1.55% 08/08/21 (h)

      178,000          173,363  

2.40% 08/08/26 (h)

      213,000          205,311  

3.45% 08/08/36 (h)

      109,000          112,308  

3.70% 08/08/46 (h)

      109,000          113,622  

4.00% 02/12/55 (h)

      135,000          145,414  

4.10% 02/06/37 (h)

      61,000          68,096  

4.25% 02/06/47 (h)

      43,000          49,183  

4.50% 02/06/57

      52,000          61,428  
     Principal
Amount ($)		       

Fair

Value

$

  

Mizuho Bank Ltd.

        

2.45% 04/16/19 (b)(h)

      508,000          508,373  

Mizuho Financial Group Inc.

        

2.63% 04/12/21 (h)(b)

      205,000          204,421  

Molina Healthcare Inc.

        

4.88% 06/15/25 (b)

      179,000          178,553  

Molson Coors Brewing Co.

        

2.10% 07/15/21 (h)

      228,000          223,378  

3.00% 07/15/26 (h)

      77,000          75,345  

4.20% 07/15/46 (h)

      75,000          76,524  

Monsanto Co.

        

4.70% 07/15/64 (h)

      43,000          44,813  

Morgan Stanley

        

2.45% 02/01/19 (h)

      605,000          606,289  

2.63% 11/17/21 (h)

      216,000          214,942  

2.65% 01/27/20 (h)

      200,000          200,886  

2.75% 05/19/22

      176,000          175,296  

3.70% 10/23/24(h)

      87,000          89,873  

3.95% 04/23/27 (h)

      188,000          191,393  

4.10% 05/22/23 (h)

      315,000          328,592  

4.38% 01/22/47 (h)

      162,000          177,842  

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

        

3.97% 07/22/38 (i)

      105,000          108,398  

MPLX LP

        

5.20% 03/01/47 (h)

      38,000          41,460  

Murphy Oil Corp.

        

5.75% 08/15/25

      311,000          317,803  

Mylan N.V.

        

3.15% 06/15/21 (h)

      95,000          95,486  

3.95% 06/15/26 (h)

      89,000          89,696  

National Retail Properties Inc.

        

4.00% 11/15/25 (h)

      182,000          186,319  

Navient Corp.

        

8.00% 03/25/20

      358,000          387,087  

Newell Brands Inc.

        

3.85% 04/01/23 (h)

      200,000          207,036  

4.20% 04/01/26 (h)

      199,000          208,033  

5.50% 04/01/46 (h)

      64,000          76,399  

Newmont Mining Corp.

        

4.88% 03/15/42 (h)

      144,000          159,363  

Nexen Energy ULC

        

6.40% 05/15/37 (h)

      86,000          112,516  

NGPL PipeCo LLC

        

4.88% 08/15/27 (b)

      51,000          52,849  

Noble Energy Inc.

        

3.90% 11/15/24 (h)

      185,000          191,105  

Nordstrom Inc.

        

5.00% 01/15/44

      8,000          7,714  
 

 

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

 

72   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Northern States Power Co.

        

2.20% 08/15/20 (h)

      380,000          379,514  

Northrop Grumman Corp.

        

2.08% 10/15/20

      71,000          70,417  

2.55% 10/15/22

      178,000          176,660  

2.93% 01/15/25

      180,000          178,780  

3.25% 01/15/28

      216,000          216,369  

3.85% 04/15/45 (h)

      41,000          41,515  

4.03% 10/15/47

      108,000          112,721  

Novartis Capital Corp.

        

3.00% 11/20/25 (h)

      28,000          28,292  

NRG Energy Inc.

        

6.25% 07/15/22 (h)

      257,000          267,280  

Nucor Corp.

        

4.13% 09/15/22 (h)

      82,000          86,647  

NuStar Logistics LP

        

4.80% 09/01/20

      179,000          181,349  

Occidental Petroleum Corp.

        

4.10% 02/15/47 (h)

      51,000          54,100  

Omnicom Group Inc.

        

3.63% 05/01/22 (h)

      137,000          141,633  

Oncor Electric Delivery Company LLC

        

3.80% 09/30/47 (b)

      28,000          29,106  

Oracle Corp.

        

1.90% 09/15/21 (h)

      119,000          117,035  

2.40% 09/15/23 (h)

      121,000          119,540  

3.25% 11/15/27

      178,000          181,024  

3.80% 11/15/37

      68,000          71,425  

4.00% 07/15/46 (h)

      109,000          115,990  

4.00% 11/15/47

      68,000          72,301  

4.13% 05/15/45 (h)

      69,000          74,370  

Owens-Brockway Glass Container Inc.

        

6.38% 08/15/25 (b)

      100,000          111,750  

Pacific Gas & Electric Co.

        

3.40% 08/15/24 (h)

      562,000          572,296  

PacifiCorp

        

6.25% 10/15/37 (h)

      6,000          8,239  

Packaging Corporation of America

        

3.40% 12/15/27

      195,000          195,936  

Parker-Hannifin Corp.

        

3.25% 03/01/27

      346,000          348,775  

Penske Automotive Group Inc.

        

5.38% 12/01/24

      95,000          96,425  

PepsiCo Inc.

        

3.45% 10/06/46 (h)

      68,000          65,958  

Perrigo Finance Unlimited Co.

        

3.90% 12/15/24 (h)

      223,000          226,869  
     Principal
Amount ($)		       

Fair

Value

$

  

Petroleos Mexicanos

        

4.50% 01/23/26 (h)

      82,000          81,876  

5.63% 01/23/46 (h)

      72,000          66,938  

6.38% 01/23/45 (h)

      101,000          101,963  

6.50% 03/13/27 (b)

      159,000          174,331  

6.75% 09/21/47

      164,000          171,764  

PetSmart Inc.

        

5.88% 06/01/25 (b)(h)

      260,000          197,600  

Pfizer Inc.

        

3.00% 12/15/26 (h)

      149,000          150,016  

4.13% 12/15/46 (h)

      92,000          101,898  

4.40% 05/15/44 (h)

      52,000          59,588  

Philip Morris International Inc.

        

4.13% 03/04/43 (h)

      168,000          173,400  

Phillips 66 Partners LP

        

3.75% 03/01/28

      178,000          177,833  

4.68% 02/15/45

      107,000          109,699  

Plains All American Pipeline LP/PAA Finance Corp.

        

4.70% 06/15/44 (h)

      74,000          69,264  

5.75% 01/15/20

      120,000          126,426  

Potash Corporation of Saskatchewan Inc.

        

4.00% 12/15/26 (h)

      92,000          95,630  

PPL Capital Funding Inc.

        

3.10% 05/15/26 (h)

      238,000          233,611  

Precision Castparts Corp.

        

4.38% 06/15/45 (h)

      109,000          122,678  

Prudential Financial Inc. (4.50% fixed rate until 09/15/27; 2.38% + 3 month USD LIBOR thereafter)

        

4.50% 09/15/47 (i)

      86,000          87,124  

Prudential Financial Inc. (5.38% fixed rate until 05/15/25; 3.03% + 3 month USD LIBOR thereafter)

        

5.38% 05/15/45 (h)(i)

      181,000          194,526  

Public Service Electric & Gas Co.

        

2.38% 05/15/23 (h)

      397,000          390,473  

PulteGroup Inc.

        

4.25% 03/01/21 (h)

      80,000          82,350  

5.50% 03/01/26 (h)

      200,000          217,000  

QUALCOMM Inc.

        

2.90% 05/20/24 (h)

      21,000          20,493  

3.00% 05/20/22

      97,000          97,178  

3.25% 05/20/27

      58,000          56,599  

4.30% 05/20/47 (h)

      39,000          39,327  

Realty Income Corp.

        

3.00% 01/15/27 (h)

      101,000          96,718  
 

 

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

 

Elfun Income Fund     73  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Republic Services Inc.

        

3.38% 11/15/27

      78,000          78,690  

Reynolds American Inc.

        

4.45% 06/12/25 (h)

      16,000          17,061  

Rio Tinto Finance USA PLC

        

4.13% 08/21/42 (h)

      94,000          101,708  

Rockwell Collins Inc.

        

3.50% 03/15/27 (h)

      45,000          45,750  

Rogers Communications Inc.

        

5.00% 03/15/44 (h)

      61,000          70,304  

Royal Bank of Scotland Group PLC (3.50% fixed rate until 05/15/22; 1.48% + 3 month USD LIBOR thereafter)

        

3.50% 05/15/23 (h)(i)

      200,000          200,414  

RPM International Inc.

        

3.75% 03/15/27 (h)

      168,000          170,231  

Ryder System Inc.

        

2.45% 09/03/19 (h)

      410,000          409,721  

Sabine Pass Liquefaction LLC

        

4.20% 03/15/28

      147,000          149,246  

5.00% 03/15/27

      76,000          81,250  

Santander Holdings USA Inc.

        

2.65% 04/17/20

      336,000          335,587  

3.70% 03/28/22 (b)(h)

      283,000          286,750  

4.40% 07/13/27 (b)

      122,000          124,851  

Santander UK Group Holdings PLC

        

4.75% 09/15/25 (b)(h)

      200,000          209,678  

Schlumberger Holdings Corp.

        

3.00% 12/21/20 (b)(h)

      137,000          138,775  

Select Income REIT

        

4.25% 05/15/24 (h)

      194,000          192,396  

Shell International Finance BV

        

2.88% 05/10/26 (h)

      180,000          179,534  

3.40% 08/12/23 (h)

      139,000          144,133  

3.75% 09/12/46 (h)

      63,000          64,265  

4.13% 05/11/35 (h)

      95,000          104,103  

Shire Acquisitions Investments Ireland DAC

        

2.88% 09/23/23 (h)

      45,000          44,172  

3.20% 09/23/26 (h)

      86,000          84,017  

Simon Property Group LP

        

3.38% 06/15/27 (h)

      178,000          179,262  

Sinclair Television Group Inc.

        

5.38% 04/01/21 (h)

      452,000          459,910  

Smithfield Foods Inc.

        

2.70% 01/31/20 (b)(h)

      81,000          80,471  

4.25% 02/01/27 (b)(h)

      115,000          118,012  

Southern California Edison Co.

        

2.40% 02/01/22 (h)

      150,000          148,655  
     Principal
Amount ($)		       

Fair

Value

$

  

Southern Copper Corp.

        

5.88% 04/23/45 (h)

      81,000          98,025  

Spectra Energy Partners LP

        

3.38% 10/15/26 (h)

      64,000          63,178  

4.50% 03/15/45 (h)

      36,000          37,140  

Sprint Corp.

        

7.63% 02/15/25

      472,000          493,240  

Standard Industries Inc.

        

5.38% 11/15/24 (b)

      516,000          539,220  

Statoil ASA

        

3.95% 05/15/43 (h)

      104,000          108,647  

Sumitomo Mitsui Banking Corp.

        

2.25% 07/11/19

      272,000          271,761  

Suncor Energy Inc.

        

4.00% 11/15/47

      46,000          47,047  

Sunoco Logistics Partners Operations LP

        

5.40% 10/01/47

      170,000          171,596  

Sysco Corp.

        

3.25% 07/15/27

      155,000          155,057  

T-Mobile USA Inc.

        

6.63% 04/01/23 (h)

      257,000          266,638  

Tampa Electric Co.

        

4.35% 05/15/44 (h)

      151,000          163,939  

Target Corp.

        

2.50% 04/15/26 (h)

      181,000          173,975  

Teachers Insurance & Annuity Association of America

        

4.90% 09/15/44 (b)(h)

      161,000          184,164  

Teck Resources Ltd.

        

4.75% 01/15/22

      163,000          169,316  

Telefonica Emisiones SAU

        

4.10% 03/08/27 (h)

      300,000          309,249  

Tenet Healthcare Corp.

        

4.75% 06/01/20 (h)

      426,000          435,052  

6.00% 10/01/20 (h)

      416,000          438,880  

Teva Pharmaceutical Finance Netherlands III BV

        

1.40% 07/20/18

      309,000          306,825  

1.70% 07/19/19

      425,000          412,939  

3.15% 10/01/26 (h)

      135,000          111,487  

4.10% 10/01/46 (h)

      38,000          29,000  

The Allstate Corp.

        

4.20% 12/15/46 (h)

      82,000          89,554  

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

        

5.75% 08/15/53 (h)(i)

      205,000          223,751  
 

 

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

 

74   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

The Bank of New York Mellon Corp. (2.66% fixed rate until 05/16/22; 0.63% + 3 month USD LIBOR thereafter)

        

2.66% 05/16/23 (h)(i)

      179,000          178,508  

The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter)

        

4.63% 12/29/49 (h)(i)

      224,000          227,640  

The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter)

        

4.65% 12/31/99 (i)

      242,000          240,618  

The Bank of Tokyo-Mitsubishi UFJ Ltd.

        

2.30% 03/10/19 (b)(h)

      600,000          600,279  

The Dow Chemical Co.

        

4.25% 10/01/34 (h)

      172,000          180,662  

The Goldman Sachs Group Inc.

        

2.30% 12/13/19 (h)

      605,000          603,730  

2.35% 11/15/21 (h)

      211,000          207,732  

2.38% 01/22/18 (h)

      471,000          471,096  

2.63% 04/25/21 (h)

      270,000          269,852  

2.90% 07/19/18 (h)

      169,000          169,717  

3.85% 01/26/27 (h)

      103,000          105,752  

4.25% 10/21/25 (h)

      63,000          65,811  

4.80% 07/08/44 (h)

      177,000          202,453  

5.15% 05/22/45 (h)

      181,000          210,134  

The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter)

        

2.91% 06/05/23 (h)(i)

      355,000          352,377  

The Goldman Sachs Group Inc. (3.27% fixed rate until 09/29/24; 1.20% + 3 month USD LIBOR thereafter)

        

3.27% 09/29/25 (i)

      195,000          194,085  

The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter)

        

4.02% 10/31/38 (i)

      119,000          122,439  

The Home Depot Inc.

        

3.35% 09/15/25 (h)

      98,000          101,149  

3.50% 09/15/56

      128,000          123,031  

3.90% 06/15/47 (h)

      98,000          103,381  

The Korea Development Bank

        

3.38% 09/16/25

      205,000          207,050  
     Principal
Amount ($)		       

Fair

Value

$

  

The Kroger Co.

        

2.95% 11/01/21

      240,000          242,426  

4.65% 01/15/48

      118,000          121,295  

The Mosaic Co.

        

5.63% 11/15/43 (h)

      37,000          40,051  

The Nielsen Company Luxembourg Sarl

        

5.00% 02/01/25 (a)(h)

      168,000          173,880  

The Sherwin-Williams Co.

        

2.25% 05/15/20 (h)

      156,000          155,543  

2.75% 06/01/22 (h)

      64,000          63,812  

3.45% 06/01/27 (h)

      10,000          10,157  

4.50% 06/01/47 (h)

      77,000          84,487  

The Southern Co.

        

3.25% 07/01/26 (h)

      98,000          96,297  

4.40% 07/01/46 (h)

      69,000          73,739  

The Southern Co. (5.50% fixed rate until 03/15/22; 3.63% + 3 month USD LIBOR thereafter)

        

5.50% 03/15/57 (h)(i)

      133,000          140,892  

The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter)

        

3.63% 09/15/31 (h)(i)

      306,000          305,018  

The Walt Disney Co.

        

4.13% 06/01/44 (h)

      51,000          55,073  

Time Warner Cable LLC

        

4.50% 09/15/42 (h)

      34,000          31,769  

6.55% 05/01/37 (h)

      112,000          130,975  

Time Warner Inc.

        

5.35% 12/15/43 (h)

      173,000          191,613  

Tyco Electronics Group S.A.

        

2.35% 08/01/19 (h)

      308,000          307,733  

3.13% 08/15/27

      173,000          172,135  

Tyson Foods Inc.

        

2.65% 08/15/19 (h)

      67,000          67,304  

4.55% 06/02/47 (h)

      64,000          69,900  

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

        

5.13% 12/29/49 (h)(i)

      380,000          395,200  

UBS Group Funding Switzerland AG

        

2.95% 09/24/20 (b)(h)

      401,000          405,178  

Union Pacific Corp.

        

3.60% 09/15/37

      42,000          43,245  

4.10% 09/15/67

      69,000          72,171  

United Technologies Corp.

        

2.65% 11/01/26 (h)

      140,000          134,954  

3.75% 11/01/46 (h)

      63,000          62,838  
 

 

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

 

Elfun Income Fund     75  

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

UnitedHealth Group Inc.

        

4.75% 07/15/45 (h)

      29,000          34,172  

Vale Overseas Ltd.

        

4.38% 01/11/22 (h)

      104,000          107,694  

5.88% 06/10/21 (h)

      207,000          225,798  

6.25% 08/10/26 (h)

      26,000          30,163  

6.88% 11/10/39 (h)

      59,000          72,455  

Valeant Pharmaceuticals International Inc.

        

7.00% 03/15/24 (b)

      341,000          366,575  

Valvoline Inc.

        

4.38% 08/15/25

      146,000          147,082  

Ventas Realty LP

        

3.25% 10/15/26 (h)

      196,000          191,241  

Verizon Communications Inc.

        

3.38% 02/15/25 (b)

      87,000          87,466  

4.40% 11/01/34 (h)

      167,000          169,969  

4.67% 03/15/55 (h)

      118,000          114,407  

4.86% 08/21/46 (h)

      350,000          364,497  

5.01% 04/15/49

      70,000          73,382  

5.25% 03/16/37 (h)

      114,000          125,389  

Viacom Inc.

        

3.45% 10/04/26 (h)

      112,000          106,984  

5.25% 04/01/44

      32,000          31,554  

Virgin Media Finance PLC

        

5.75% 01/15/25 (b)(h)

      435,000          443,700  

Virginia Electric & Power Co.

        

4.00% 11/15/46 (h)

      205,000          219,448  

Visa Inc.

        

3.15% 12/14/25 (h)

      76,000          77,674  

4.30% 12/14/45 (h)

      99,000          112,763  

Vornado Realty LP

        

3.50% 01/15/25

      116,000          115,950  

Vulcan Materials Co.

        

3.90% 04/01/27

      79,000          80,777  

Wabtec Corp.

        

3.45% 11/15/26

      71,000          69,434  

Wal-Mart Stores Inc.

        

3.63% 12/15/47

      95,000          99,592  

Walgreens Boots Alliance Inc.

        

4.65% 06/01/46 (h)

      54,000          57,027  

WEC Energy Group Inc.

        

3.55% 06/15/25 (h)

      163,000          167,096  

WellCare Health Plans Inc.

        

5.25% 04/01/25 (h)

      212,000          224,190  

Wells Fargo & Co.

        

2.63% 07/22/22

      347,000          344,980  

3.90% 05/01/45 (h)

      93,000          96,303  

4.75% 12/07/46 (h)

      104,000          115,988  
     Principal
Amount ($)		       

Fair

Value

$

  

Wells Fargo & Co. (3.58% fixed rate until 05/22/27; 1.31% + 3 month USD LIBOR thereafter)

        

3.58% 05/22/28 (h)(i)

      132,000          134,478  

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

        

5.88% 12/29/49 (h)(i)

      264,000          292,393  

Wells Fargo & Co. (5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR thereafter)

        

5.90% 12/29/49 (h)(i)

      249,000          266,355  

Wells Fargo & Co. (7.98% fixed rate until 03/15/18; 3.77% + 3 month USD LIBOR thereafter)

        

7.98% 03/29/49 (i)

      190,000          191,953  

Western Digital Corp.

        

7.38% 04/01/23 (b)(h)

      40,000          43,100  

Western Gas Partners LP

        

5.38% 06/01/21

      145,000          153,630  

Westlake Chemical Corp.

        

3.60% 08/15/26 (h)

      51,000          51,420  

4.38% 11/15/47

      23,000          23,779  

5.00% 08/15/46 (h)

      51,000          57,238  

WestRock Co.

        

3.00% 09/15/24 (b)

      135,000          133,615  

Williams Partners LP

        

3.75% 06/15/27

      63,000          63,117  

3.90% 01/15/25 (h)

      108,000          110,393  

4.90% 01/15/45 (h)

      54,000          57,291  

5.40% 03/04/44 (h)

      34,000          38,338  

Willis North America Inc.

        

3.60% 05/15/24 (h)

      178,000          180,763  

WPP Finance 2010

        

3.75% 09/19/24 (h)

      128,000          130,835  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

5.25% 05/15/27 (b)(h)

      212,000          214,777  

Xilinx Inc.

        

2.95% 06/01/24 (h)

      129,000          128,186  

XLIT Ltd.

        

5.25% 12/15/43

      63,000          71,816  

XPO Logistics Inc.

        

6.50% 06/15/22 (b)(h)

      161,000          168,044  

Yamana Gold Inc.

        

4.63% 12/15/27 (b)

      115,000          115,675  

Zoetis Inc.

        

3.00% 09/12/27

      77,000          75,250  
       

 

 

  
          99,608,311  
       

 

 

  
 

 

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

 

76   Elfun Income Fund

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Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Non-Agency Collateralized Mortgage Obligations - 3.6%

 

American Tower Trust I (REIT)

        

1.55% 03/15/43 (b)

      627,000          626,150  

BXP Trust 2017-GM

        

3.38% 06/13/39 (b)

      714,000          729,377  

Citigroup Commercial Mortgage Trust 2016-P5

        

2.94% 10/10/49

      399,397          394,250  

Citigroup Commercial Mortgage Trust 2016-P6

        

3.72% 12/10/49 (i)

      985,118          1,029,859  

4.03% 12/10/49 (i)

      336,823          351,768  

COMM 2013-LC13 Mortgage Trust

        

4.56% 08/10/46 (b)(i)

      170,000          180,907  

COMM 2014-CR14 Mortgage Trust

        

4.53% 02/10/47 (i)

      240,000          256,168  

GS Mortgage Securities Corp. II

        

3.47% 11/10/50

      767,075          785,575  

GS Mortgage Securities Trust 2015-GC28

        

1.14% 02/10/48 (g)(i)

      2,683,723          139,140  

GS Mortgage Securities Trust 2016-GS3

        

2.85% 10/10/49

      758,000          743,890  

GS Mortgage Securities Trust 2017-GS5

        

3.67% 03/10/50

      822,216          862,213  

GS Mortgage Securities Trust II 2012-GCJ9

        

1.97% 11/10/45 (g)(i)

      744,225          58,751  

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

        

2.27% 10/25/34 (i)

      82,162          80,085  

JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9

        

1.56% 12/15/47 (g)(i)

      930,281          53,188  

JPMBB Commercial Mortgage Securities Trust 2013-C12

        

4.03% 07/15/45 (i)

      125,000          130,511  

LB-UBS Commercial Mortgage Trust 2004-C8

        

0.35% 12/15/39 (b)(g)(i)

      84,023          172  

LB-UBS Commercial Mortgage Trust 2007-C6

        

6.11% 07/15/40 (i)

      64,110          64,077  

6.11% 07/15/40 (b)

      137,146          137,118  
     Principal
Amount ($)		       

Fair

Value

$

  

MASTR Alternative Loan Trust 2003-5

        

5.00% 08/25/18 (g)

      3,204          28  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20

        

1.38% 02/15/48 (g)(i)

      3,066,063          207,800  

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21

        

0.96% 03/15/48 (g)(i)

      3,676,909          184,821  

Morgan Stanley Capital I Trust 2006-IQ11

        

6.25% 10/15/42 (i)

      250,000          260,475  

Morgan Stanley Capital I Trust 2006-T21

 

5.27% 10/12/52 (i)

      89,136          89,066  

Morgan Stanley Capital I Trust 2007-IQ16

        

6.12% 12/12/49 (i)

      8,414          8,409  

Morgan Stanley Capital I Trust 2008-T29

        

6.31% 01/11/43 (i)

      13,650          13,641  

Morgan Stanley Capital I Trust 2016-UBS9

        

1.24% 03/15/49 (g)(i)

      2,936,928          205,201  

Wells Fargo Commercial Mortgage Trust 2015-C26

        

1.29% 02/15/48 (g)(i)

      3,032,273          204,189  

Wells Fargo Commercial Mortgage Trust 2017-RB1

        

3.64% 03/15/50

      481,332          499,574  

WFRBS Commercial Mortgage Trust 2013-C17

        

4.26% 12/15/46

      235,000          247,469  

WFRBS Commercial Mortgage Trust 2014-C25

        

3.80% 11/15/47 (b)(i)

      96,000          72,609  

WFRBS Commercial Mortgage Trust 2014-LC14

        

4.35% 03/15/47 (i)

      533,000          564,019  

4.59% 03/15/47 (b)(i)

      404,543          321,975  
       

 

 

  
          9,502,475  
       

 

 

  

Sovereign Bonds - 0.7%

 

Government of Chile

        

3.86% 06/21/47

      200,000          205,922  

Government of Colombia

        

5.00% 06/15/45

      200,000          213,092  

Government of Mexico

        

4.00% 10/02/23

      124,000          129,937  

4.60% 02/10/48

      200,000          198,702  

4.75% 03/08/44 (h)

      232,000          234,677  
 

 

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

 

Elfun Income Fund     77  

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Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

     Principal
Amount ($)		       

Fair

Value

$

  
       

Government of Oman

        

3.88% 03/08/22 (b)(h)

      200,000          201,200  

Government of Panama

        

4.00% 09/22/24 (h)

      200,000          212,666  

Government of Peru

        

5.63% 11/18/50 (h)

      122,000          156,764  

Government of Philippines

        

3.95% 01/20/40

      200,000          206,520  

Government of Uruguay

        

5.10% 06/18/50

      122,460          136,462  
       

 

 

  
          1,895,942  
       

 

 

  

Municipal Bonds and Notes - 0.6%

 

American Municipal Power Inc.

        

6.27% 02/15/50

      135,000          176,622  

New Jersey Transportation Trust Fund Authority

        

6.88% 12/15/39

      165,000          171,405  

Port Authority of New York & New Jersey

        

4.46% 10/01/62

      470,000          542,723  

State of California

        

5.70% 11/01/21

      280,000          312,211  

State of Illinois

        

5.10% 06/01/33

      95,000          94,842  

The University of Texas System

        

3.35% 08/15/47

      115,000          115,640  
       

 

 

  
          1,413,443  
       

 

 

  

 

     Principal
Amount ($)
or Number
of Shares		       

Fair

Value

$

  

FNMA (TBA) - 0.0%*

        

Lehman

        

5.50% TBA (n)(o)

      145,983          3,153  
       

 

 

  
Total Bonds and Notes
(Cost $256,340,811)		          258,652,122  
       

 

 

  
Domestic Equity - 0.1%        

Preferred Stock - 0.1%

        

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

      7,459          201,393  
       

 

 

  
       
Total Investments in Securities (Cost $256,527,286)          258,853,515  
       

 

 

  
Short-Term Investments - 3.2%  

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25% (Cost $8,419,038) (d)(p)

      8,419,038          8,419,038  
Total Investments
(Cost $264,946,323)		          267,272,553  
Liabilities in Excess of Other Assets,
net - (2.3)%		          (6,083,476 ) 
       

 

 

  
NET ASSETS - 100.0%          261,189,077  
       

 

 

  
 

 

Other Information:

Centrally Cleared Credit Default Swaps - Buy Protection

 

Reference

Entity

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

Markit CDX North America Investment Grade Index

   CME Group Inc.   $ 6,835       1.00%       Quarterly       12/20/22     $ (162,858 )    $ (145,911 )    $ (16,947 ) 
               

 

 

  

 

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

 

78   Elfun Income Fund

Table of Contents

Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

Centrally Cleared Interest Rate Swaps

 

Counterparty   Notional
Amount
(000s omitted)		     Fund Pays/
Received
Fixed
Rate/
Payment
Frequency		   Floating
Rate		   Contract
annual
Fixed
Rate		   Termination
Date		     Market
Value		   Unamortized
Upfront
Payments
(Received)/
Paid		     Unrealized
Depreciation		  

CME Group Inc.

   $ 1,921    

Receives/ Quarterly

  

3 month U.S. Dollar LIBOR

   2.62%     10/16/43     $(17,538)   $ —     $ (17,538 ) 

CME Group Inc.

   $ 577    

Receives/Quarterly

  

3 month U.S. Dollar LIBOR

   2.65%     10/10/43     $(8,321)   $ 8     $ (8,329 ) 

CME Group Inc.

   $ 729    

Receives/Quarterly

  

3 month U.S. Dollar LIBOR

   2.65%     11/07/43     $(10,238)   $ —     $ (10,238 ) 

CME Group Inc.

   $ 1,176    

Receives/Quarterly

  

3 month U.S. Dollar LIBOR

   2.67%     10/24/43     $(22,294)   $ —     $ (22,294 ) 
               

 

 

  
  $ (58,399 ) 
               

 

 

  

During the fiscal year ended December 31, 2017, the Fund had an average notional value of $13,249,877 on swap contracts.

The Fund had the following long futures contracts open at December 31, 2017:

 

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

Ultra Long-Term U.S. Treasury Bond Futures

      March 2018        72        12,008,914      $ 12,071,250      $ 62,336  

2 Yr. U.S. Treasury Notes Futures

      March 2018        19        4,077,911        4,068,078        (9,833 ) 

5 Yr. U.S. Treasury Notes Futures

      March 2018        30        3,498,892        3,484,922        (13,970 ) 

10 Yr. U.S. Treasury Notes Futures

      March 2018        97        12,053,823        12,032,547        (21,276 ) 
              

 

 

  
               $ 17,257  
              

 

 

  

The Fund had the following short futures contracts open at December 31, 2017:

 

Description    Expiration
date		      Number of
Contracts		      Notional
Amount		      Current
Notional
Value		      Unrealized
Appreciation		  

U.S. Long Bond Futures

      March 2018        31        (4,748,405 )     $ (4,743,000 )     $ 5,405  

10 Yr. U.S. Treasury Ultra Futures

      March 2018        67        (8,978,574 )       (8,948,688 )       29,886  
              

 

 

  
               $ 35,291  
              

 

 

  
               $ 52,548  
              

 

 

  

During the fiscal year ended December 31, 2017, the Fund had average notional values of $29,491,606 and $18,139,495 on long futures contracts and short futures contracts, respectively.

 

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

 

Elfun Income Fund     79  

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Elfun Income Fund

Schedule of Investments, continued — December 31, 2017

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2017:

 

Investments    Level 1     Level 2     Level 3      Total  

Investments in Securities

       

U.S. Treasuries

    $ —     $ 112,504,063     $ —      $ 112,504,063  

Agency Mortgage Backed

      —       26,725,291       —        26,725,291  

Agency Collateralized Mortgage Obligations

      —       611,904       —        611,904  

Asset Backed

      —       6,387,540       —        6,387,540  

Corporate Notes

      —       99,608,311       —        99,608,311  

Non-Agency Collateralized Mortgage Obligations

      —       9,502,475       —        9,502,475  

Sovereign Bonds

      —       1,895,942       —        1,895,942  

Municipal Bonds and Notes

      —       1,413,443       —        1,413,443  

FNMA (TBA)

      —       —       3,153        3,153  

Preferred Stock

      201,393       —       —        201,393  

Short-Term Investments

      8,419,038       —       —        8,419,038  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Investments in Securities

    $ 8,620,431     $ 258,648,969     $ 3,153      $ 267,272,553  
  

 

 

    

 

 

    

 

 

     

 

 

  

Other Financial Instruments

       

Credit Default Swap Contracts — Unrealized Depreciation

    $ —     $ (16,947 )    $ —      $ (16,947 ) 

Interest Rate Swap Contracts — Unrealized Depreciation

        (58,399 )         (58,399 ) 

Long Futures Contracts — Unrealized Appreciation

      62,336       —       —        62,336  

Long Futures Contracts — Unrealized Depreciation

      (45,079 )      —       —        (45,079 ) 

Short Futures Contracts — Unrealized Appreciation

      35,291       —       —        35,291  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Other Financial Instruments

    $ 52,548     $ (75,346 )    $ —      $ (22,798 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

Affiliate Table

 

     Number of
Shares Held
at 12/31/16		     Value At
12/31/16		     Cost of
Purchases		     Proceeds
from
Shares Sold		     Number
of Shares
Held at
12/31/17		     Value at
12/31/17		     Dividend
Income		  

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

     39,582,709     $ 39,582,709     $ 123,867,558     $ 155,031,229       8,419,038     $ 8,419,038     $ 142,874  

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

     —       —       62,737,217       62,737,217       —       —       51,973  
   

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

TOTAL

       39,582,709       186,604,775       217,768,446       $ 8,419,038     $ 194,847  
   

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

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

 

80   Elfun Income Fund

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Elfun Government Money Market Fund

Portfolio Management Discussion and Analysis — For the twelve-month period ended December 31, 2017 (Unaudited)

 

 

Q. How did the Elfun Government Money Market Fund (the “Fund”) perform compared to its benchmark for the twelve-month period ended December 31, 2017?

 

   For the twelve-month period ended December 31, 2017, the Elfun Government Money Market Fund returned 0.58%. The 90-day Treasury Bill, the Fund’s benchmark, returned 0.95% over the same period.

 

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

 

   In 2017 the Fund benefitted from three Federal Open Market Committee rate hikes, the increase in U.S. Treasury bill supply and indirectly from the increased capacity of the Federal Reserve’s reverse repo facility, which provided a floor for short term rates.

 

Q. What were the primary drivers of Fund performance?

 

   The performance of the Fund is measured by timely access to liquidity in various market conditions. The Fund achieved this throughout 2017.

 

Elfun Government Money Market Fund     81  

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Elfun Government Money Market Fund

Understanding Your Fund’s Expenses — December 31, 2017 (Unaudited)

 

 

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

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2017.

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, 2017 - December 31, 2017

 

     Actual
Fund Return		      Hypothetical
5% Return
(2.5% for
the period)		  

Account Value at the

beginning of the Period

   $ 1,000.00      $ 1,000.00  

Account Value at the

end of the Period

    $ 1,004.00      $ 1,023.54  

Expenses paid during the period*

    $ 1.67      $ 1.68  

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.33%** (for the period July 1, 2017-December 31, 2017), 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.
 

 

82   Elfun Government Money Market Fund

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Elfun Government Money Market Fund

Performance Summary — December 31, 2107 (Unaudited)

 

 

Sector Allocation

Portfolio composition as a % of Investments of $109,726 (in thousands) on December 31, 2017 (a)

 

LOGO

Average Annual Total return for the periods ended December 31, 2017

(Inception date: 6/13/90)

 

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

Elfun Government Money Market Fund

     0.58 %      0.16 %      0.40 %    $ 10,407  

90 Day U.S. Treasury-Bill

     0.95 %      0.28 %      0.32 %    $ 10,327  
 

 

LOGO

 

 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

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

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

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

 

Elfun Government Money Market Fund     83  

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Elfun Government Money Market Fund

Schedule of Investments — December 31, 2107

 

     Principal
Amount ($)		       

Amortized
Cost

$

  
       
Short-Term Investments - 99.9%†  

U.S. Treasuries - 34.5%

 

U.S. Cash Management Bills

        

1.06% 01/02/18 (d)

      2,000,000          1,999,942  

U.S. Treasury Bills

        

1.07% 01/04/18 (d)

      5,000,000          4,999,563  

1.11% 01/18/18 (d)

      2,000,000          1,998,971  

1.12% 01/25/18 (d)

      500,000          499,633  

1.13% 01/25/18 (d)

      1,500,000          1,498,888  

1.20% 03/22/18 (d)

      1,000,000          997,382  

1.26%
01/18/18 - 02/15/18 (d)

      8,000,000          7,992,410  

1.27% 04/19/18 (d)

      1,000,000          996,280  

1.31%
03/01/18 - 03/08/18 (d)

      8,000,000          7,982,363  

1.33% 03/15/18 (d)

      1,000,000          997,344  

1.34% 03/15/18 (d)

      2,000,000          1,994,656  

1.37% 03/22/18 (d)

      3,000,000          2,991,024  

1.39% 05/17/18 (d)

      2,000,000          1,989,725  

U.S. Treasury Note
0.27% + 3 month Money Market Yield

        

1.72% 01/31/18 (i)

      1,000,000          1,000,258  
       

 

 

  
          37,938,439  
       

 

 

  

U.S. Government Agency Obligations - 51.8%

 

Fannie Mae Discount Notes

        

1.07% 01/02/18 (d)

      2,000,000          1,999,942  

1.12% 01/02/18 (d)

      750,000          749,977  

1.15% 01/03/18 (d)

      200,000          199,987  

1.22% 01/02/18 (d)

      2,000,000          1,999,933  

1.29% 02/28/18 (d)

      500,000          498,977  

Federal Farm Credit Banks 0.04% + 1 month USD LIBOR

        

1.57% 03/22/18 (i)

      2,000,000          2,000,823  

Federal Farm Credit Banks 0.09% + 1 month USD LIBOR

        

1.64% 05/25/18 (i)

      750,000          750,662  

Federal Farm Credit Banks 1 month USD LIBOR - 0.12%

        

1.35% 11/14/18 (i)

      1,250,000          1,250,000  

Federal Farm Credit Banks 1 month USD LIBOR - 0.13%

        

1.44% 08/30/18 (i)

      500,000          499,997  

Federal Farm Credit Banks 1 month USD LIBOR -
16%

        

1.30% 11/13/18 (i)

      750,000          749,967  
     Principal
Amount ($)		       

Amortized
Cost

$

  

Federal Farm Credit Banks 1 month USD LIBOR -
17%

        

1.39% 11/07/18 (i)

      1,000,000          999,974  

Federal Home Loan Bank Discount Notes

        

1.10%
01/09/18 - 01/12/18 (d)

      600,000          599,838  

1.31% 02/02/18 (d)

      3,000,000          2,996,568  

1.32%
02/07/18 - 02/14/18 (d)

      5,500,000          5,492,037  

1.33%
02/12/18 - 03/09/18 (d)

      6,000,000          5,986,810  

1.35% 03/14/18 (d)

      2,000,000          1,994,700  

1.36%
03/19/18 - 03/23/18 (d)

      4,000,000          3,988,133  

Federal Home Loan Banks 1 month USD LIBOR - 0.12%

        

1.38% 08/17/18 (i)

      800,000          800,055  

1.45% 08/01/18 (i)

      800,000          800,000  

Federal Home Loan Banks 1 month USD LIBOR - 0.13%

        

1.25% 01/05/18 (i)

      1,700,000          1,700,000  

1.30% 01/09/18 (i)

      400,000          400,000  

1.42% 07/25/18 (i)

      1,200,000          1,200,000  

Federal Home Loan Banks 1 month USD LIBOR - 0.15%

        

1.35% 01/18/18 (i)

      250,000          250,000  

1.41%
01/25/18 - 04/26/18 (i)

      1,500,000          1,499,987  

Federal Home Loan Banks 1 month USD LIBOR - 0.17%

        

1.40% 01/29/18 (i)

      1,500,000          1,499,998  

Federal Home Loan Banks 3 month USD LIBOR - 0.04%

        

1.31% 01/08/18 (i)

      2,000,000          2,000,135  

Federal Home Loan Banks 3 month USD LIBOR - 0.19%

        

1.50% 06/28/18 (i)

      1,000,000          1,000,000  

Federal Home Loan Banks 3 month USD LIBOR - 0.32%

        

1.01% 04/03/18 (i)

      600,000          600,000  

1.37% 03/28/18 (i)

      200,000          200,000  

Federal Home Loan Banks 3 month USD LIBOR - 0.35%

        

1.01% 01/22/18 (i)

      400,000          400,000  
 

 

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

 

84   Elfun Government Money Market Fund

Table of Contents

Elfun Government Money Market Fund

Schedule of Investments, continued — December 31, 2107

 

     Principal
Amount ($)		       

Amortized
Cost

$

  
       

Federal Home Loan Banks 3 month USD LIBOR - 0.39%

        

0.99% 01/26/18 (i)

      1,000,000          1,000,000  

Federal Home Loan Mortgage Corp. 1 month USD LIBOR - 0.15%

        

1.36% 06/21/18 (i)

      1,500,000          1,500,000  

Federal Home Loan Mortgage Corp. 1 month USD LIBOR - 0.16%

        

1.27% 05/11/18 (i)

      1,600,000          1,600,000  

Federal Home Loan Mortgage Corp. 3 month USD LIBOR - 0.03%

        

1.32% 01/08/18 (i)

      250,000          250,010  

Federal Home Loan Mortgage Corp. 3 month USD LIBOR - 0.23%

        

1.12% 07/17/18 (i)

      2,000,000          1,999,845  

Federal Home Loan Mortgage Corp. 3 month USD LIBOR - 0.34%

        

1.02% 01/11/18 (i)

      900,000          900,000  

Freddie Mac 1 month USD LIBOR - 0.14%

        

1.37% 11/21/18 (i)

      2,000,000          2,000,000  

Freddie Mac 1 month USD LIBOR - 0.15%

        

1.38% 08/22/18 (i)

      2,000,000          2,000,000  

Freddie Mac Discount Notes

        

1.30% 02/23/18 (d)

      500,000          499,058  
       

 

 

  
          56,857,413  
       

 

 

  

Repurchase Agreements - 13.6%

 

BNP Paribas S.A. U.S. Treasury Repo 1.38% dated 12/29/17, to be repurchased at $2,930,337 on 01/02/18 collateralized by $176 U.S. Treasury Bond STRIPs, 0.00%, maturing from 08/15/20 to 05/15/25 and collateralized by $2,988,465 U.S. Treasury Bond, 3.38%, maturing on 05/15/44, respectively.

        

01/02/18

      2,930,000          2,930,000  
     Principal
Amount ($)		       

Amortized
Cost

$

  

Citigroup Global Markets, Inc. U.S. Treasury Repo 1.38% dated 12/29/17, to be repurchased at $7,000,805 on 01/02/18 collateralized by $7,140,061 U.S. Treasury Note, 1.38%, maturing on 10/31/20.

        

01/02/18

      7,000,000          7,000,000  

Merrill Lynch, Pierce, Fenner & Smith, Inc. U.S. Treasury Repo 1.40% dated 12/29/17, to be repurchased at $5,000,583 on 01/02/18 collateralized by $5,100,018 U.S. Treasury Inflation Index Bond, 3.88%, maturing on 04/15/29.

        

01/02/18

      5,000,000          5,000,000  
       

 

 

  
          14,930,000  
       

 

 

  
Total Short-Term Investments
(Cost $109,725,852)		          109,725,852  
Other Assets and Liabilities, net - 0.1%          102,323  
       

 

 

  
NET ASSETS - 100.0%           109,828,175  
       

 

 

  
 

 

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

 

Elfun Government Money Market Fund     85  

Table of Contents

Elfun Government Money Market Fund

Schedule of Investments, continued — December 31, 2107

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2017:

 

Investments    Level 1      Level 2      Level 3      Total  

Investments in Securities

            

U.S. Treasuries

    $         —      $ 37,938,439      $         —      $ 37,938,439  

U.S. Government Agency Obligations

      —        56,857,413        —        56,857,413  

Repurchase Agreements

      —        14,930,000        —        14,930,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ —      $ 109,725,852      $ —      $ 109,725,852  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

86   Elfun Government Money Market Fund

Table of Contents

Elfun Funds

Notes to Schedules of Investments — December 31, 2017

 

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 Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.
(b) Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2017, these securities amounted to $3,601,941 or 1.72% and $17,660,820 or 6.76% of the net assets of the Elfun Diversified Fund and Elfun Income Fund, respectively. These securities have been determined to be liquid using procedures established by each Fund’s Board of Trustees.
(c) Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future.
(d) Coupon amount represents effective yield.
(e) State Street Corporation is the parent company of State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent.
(f) Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.
(g) Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
(h) At December 31, 2017, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs.
(i) Variable or floating rate security. The stated rate represents the rate at December 31, 2017.
(j) Step coupon bond.
(k) Escrowed to maturity Bonds are collateralized by U.S. Treasury securities which are held in escrow by a trustee and are used to pay principal and interest on such bonds.
(l) Pre-refunded Bonds are collateralized by U.S. Treasury securities, which are held in escrow by a trustee and are used to pay principal and interest on the tax-exempt issue to retire the bonds at the earliest refunding date.
(m) The security is insured by AGC, AGMC, AMBAC, FGIC or NPFG. The Elfun Tax-Exempt Income Fund had no insurance concentrations of 5% or greater as of December 31, 2017 (as a percentage of net assets).
(n) Security is fair valued by the Oversight Committee, in accordance with the procedures approved by each Fund’s Board of Trustees.
(o) Security is in default.
(p) Sponsored by SSGA Funds Management, Inc., the Funds’ investment advisor and administrator, and an affiliate of State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent.
† Percentages are based on net assets as of December 31, 2017.
* Less than 0.05%
** Less than $0.50
*** Less than 0.005%

Abbreviations:

ADR - American Depositary Receipt

AGC - Assured Guaranty Corporation

AGMC - Assured Guaranty Municipal Company

AMBAC - AMBAC Indemnity Corporation

FGIC - Financial Guaranty Insurance Corporation

LIBOR - London Interbank Offered Rate

NPFG - National Public Finance Guaranty Corporation

REIT - Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

SPDR - Standard and Poor’s Depositary Receipt

STRIPS - Separate Trading of Registered Interest and Principal of Security

TBA - To Be Announced

 

 

Notes to Schedules of Investments     87  

Table of Contents

Elfun International Equity Fund

Financial Highlights

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

 

     12/31/17      12/31/16     12/31/15*     12/31/14*     12/31/13*  

Inception date

              1/1/88  

Net asset value, beginning of period

   $ 18.73      $ 19.31     $ 19.70     $ 21.93     $ 18.31  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Income/(loss) from investment operations:

 

         

Net investment income

     0.34 (a)       0.41       0.34       0.58       0.37  

Net realized and unrealized gains/(losses) on investments

     3.96        (0.58 )      (0.37 )      (2.24 )      3.62  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total income/(loss) from investment operations

     4.30        (0.17 )      (0.03 )      (1.66 )      3.99  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

           

Net investment income

     0.35        0.41       0.36       0.57       0.37  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     0.35        0.41       0.36       0.57       0.37  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 22.68      $ 18.73     $ 19.31     $ 19.70     $ 21.93  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     22.99 %       (0.86 )%      (0.18 )%      (7.62 )%      21.81 % 

Ratios/Supplemental Data:

           

Net assets, end of period (in thousands)

   $ 237,769      $ 208,044     $ 234,448     $ 254,310     $ 306,922  

Ratios to average net assets:

           

Net expenses

     0.36 %       0.37 %(c)(d)      0.35 %      0.33 %(d)(e)      0.31 %(e) 

Gross expenses

     0.36 %       0.43 %(e)(d)      0.35 %      0.33 %      0.31 % 

Net investment income

     1.64 %       2.11 %      1.59 %      2.54 %      1.83 % 

Portfolio turnover rate

     30 %       33 %      24 %      36 %      49 % 

 

Notes   to Financial Highlights

 

 

(a)   Per share values have been calculated using the average share method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(c)   The net and gross expense ratios include the refunded custody expense. Without the effect of the refunded custody expense, the net and gross ratio would have been 0.40% and 0.47%, respectively.
(d)   Reflects a voluntary reimbursement of other operating expenses by GE Asset Management, Inc., the Fund’s investment adviser and administrator prior to July 1, 2016.
(e)   Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.
*   Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.

 

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

 

88   Financial Highlights

Table of Contents

Elfun Trusts

Financial Highlights

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

 

     12/31/17      12/31/16      12/31/15*      12/31/14*     12/31/13*  

Inception date

                5/27/35  

Net asset value, beginning of period

   $ 53.23      $ 54.59      $ 58.02      $ 56.07     $ 44.06  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Income/(loss) from investment operations:

 

           

Net investment income

     0.76 (a)       0.81        0.80        0.75       0.71  

Net realized and unrealized gains/(losses) on investments

     12.88        2.54        0.25        6.67       14.68  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total income from investment operations

     13.65        3.35        1.05        7.42       15.39  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Less distributions from:

             

Net investment income

     0.78        0.79        0.80        0.75       0.72  

Net realized gains

     5.74        3.92        3.68        4.72       2.66  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total distributions

     6.52        4.71        4.48        5.47       3.38  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Net asset value, end of period

   $ 60.36      $ 53.23      $ 54.59      $ 58.02     $ 56.07  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total return(b)

     25.61 %       6.08 %       1.70 %       13.13 %      34.98 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in thousands)

   $ 2,737,919      $ 2,331,966      $ 2,364,319      $ 2,476,637     $ 2,326,948  

Ratios to average net assets:

             

Net expenses

     0.18 %       0.18 %       0.16 %       0.18 %(c)      0.15 %(c) 

Gross expenses

     0.18 %       0.18 %       0.16 %       0.18 %      0.15 % 

Net investment income

     1.25 %       1.43 %       1.32 %       1.26 %      1.36 % 

Portfolio turnover rate

     16 %       15 %       11 %       13 %      12 % 

 

Notes   to Financial Highlights

 

 

(a)   Per share values have been calculated using the average share method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(c)   Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.
*   Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.

 

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

 

Financial Highlights     89  

Table of Contents

Elfun Diversified Fund

Financial Highlights

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

 

     12/31/17      12/31/16     12/31/15*     12/31/14*     12/31/13*  

Inception date

              1/1/88  

Net asset value, beginning of period

   $ 17.91      $ 17.50     $ 18.78     $ 19.84     $ 18.30  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Income/(loss) from investment operations:

 

         

Net investment income

     0.43 (a)       0.38       0.34       0.37       0.36  

Net realized and unrealized gains/(losses) on investments

     2.32        0.58       (0.57 )      0.62       2.70  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total income/(loss) from investment operations

     2.75        0.96       (0.23 )      0.99       3.06  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

           

Net investment income

     0.46        0.36       0.34       0.37       0.35  

Net realized gains

     1.60        0.19       0.71       1.65       1.17  

Return of capital

     —        —       —       0.03       —  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     2.06        0.55       1.05       2.05       1.52  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 18.60      $ 17.91     $ 17.50     $ 18.78     $ 19.84  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     15.40 %       5.48 %      (1.25 )%      4.95 %      16.79 % 

Ratios/Supplemental Data:

           

Net assets, end of period (in thousands)

   $ 209,939      $ 198,938     $ 209,688     $ 230,123     $ 235,903  

Ratios to average net assets:

           

Net expenses

     0.40 %       0.39 %(b)(c)      0.37 %      0.39 %(c)(d)      0.33 %(d) 

Gross expenses

     0.40 %       0.39 %(c)      0.37 %      0.39 %      0.34 % 

Net investment income

     2.23 %       1.98 %      1.69 %      1.79 %      1.78 % 

Portfolio turnover rate

     186 %       116 %      123 %      176 %      144 % 

 

Notes   to Financial Highlights

 

 

(a)   Per share values have been calculated using the average share method.
(b)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(c)   The net and gross expense ratios include the refunded custody expense. Without the effect of the refunded custody expense, the ratios would have been 0.45%.
(d)   Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.
*   Beginning with the year ended December 31, 2016, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.

 

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

 

90   Financial Highlights

Table of Contents

Elfun Tax-Exempt Income Fund

Financial Highlights

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

 

     12/31/17      12/31/16      12/31/15*      12/31/14*      12/31/13*  

Inception date

                 1/1/80  

Net asset value, beginning of period

   $ 11.48      $ 11.88      $ 11.97      $ 11.34      $ 12.32  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Income/(loss) from investment operations:

 

            

Net investment income

     0.46 (a)       0.46        0.46        0.47        0.49  

Net realized and unrealized gains/(losses) on investments

     0.07        (0.40 )       (0.09 )       0.63        (0.98 ) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total income/(loss) from investment operations

     0.53        0.06        0.37        1.10        (0.49 ) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Less distributions from:

              

Net investment income

     0.46        0.46        0.46        0.47        0.49  

Net realized gains

     —        —        —        —        0.00 (b) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

     0.46        0.46        0.46        0.47        0.49  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 11.55      $ 11.48      $ 11.88      $ 11.97      $ 11.34  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total return(c)

     4.71 %       0.42 %       3.21 %       9.85 %       (4.06 )% 

Ratios/Supplemental Data:

              

Net assets, end of period (in thousands)

   $ 1,471,350      $ 1,495,248      $ 1,588,272      $ 1,624,266      $ 1,568,533  

Ratios to average net assets:

              

Net expenses

     0.20 %       0.20 %       0.18 %       0.21 %       0.23 % 

Gross expenses

     0.20 %       0.20 %       0.18 %       0.21 %       0.23 % 

Net investment income

     4.00 %       3.84 %       3.92 %       4.01 %       4.14 % 

Portfolio turnover rate

     26 %       31 %       22 %       34 %       28 % 

 

Notes   to Financial Highlights

 

 

(a)   Per share values have been calculated using the average share method.
(b)   Rounds to less than $0.005.
(c)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
*   Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.

 

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

 

Financial Highlights     91  

Table of Contents

Elfun Income Fund

Financial Highlights

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

 

     12/31/17      12/31/16      12/31/15*      12/31/14*     12/31/13*  

Inception date

                12/31/84  

Net asset value, beginning of period

   $ 11.28      $ 11.26      $ 11.57      $ 11.22     $ 11.65  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Income/(loss) from investment operations:

 

           

Net investment income

     0.29 (a)       0.30        0.32        0.29       0.29  

Net realized and unrealized gains/(losses) on investments

     0.15        0.09        (0.29 )       0.35       (0.40 ) 
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total income/(loss) from investment operations

     0.44        0.39        0.03        0.64       (0.11 ) 
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Less distributions from:

             

Net investment income

     0.28        0.28        0.32        0.29       0.29  

Net realized gains

     —        0.09        0.02        0.00 (b)      0.03  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total distributions

     0.28        0.37        0.34        0.29       0.32  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Net asset value, end of period

   $ 11.44      $ 11.28      $ 11.26      $ 11.57     $ 11.22  
 

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total return(c)

     3.90 %       3.52 %       0.22 %       5.75 %      (0.95 )% 

Ratios/Supplemental Data:

             

Net assets, end of period (in thousands)

   $ 261,189      $ 276,142      $ 289,872      $ 312,756     $ 319,994  

Ratios to average net assets:

             

Net expenses

     0.33 %       0.31 %       0.28 %       0.29 %(d)      0.28 %(d) 

Gross expenses

     0.33 %       0.31 %       0.28 %       0.29 %      0.29 % 

Net investment income

     2.54 %       2.63 %       2.71 %       2.50 %      2.53 % 

Portfolio turnover rate

     299 %       238 %       278 %       326 %      330 % 

 

Notes   to Financial Highlights

 

 

(a)   Per share values have been calculated using the average share method.
(b)   Rounds to less than $0.005.
(c)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(d)   Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund.
*   Beginning with the year ended December 31, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.

 

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

 

92   Financial Highlights

Table of Contents

Elfun Government Money Market Fund

Financial Highlights

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

 

     12/31/17      12/31/16     12/31/15*     12/31/14*     12/31/13*  

Inception date

              6/13/90  

Net asset value, beginning of period

   $ 1.00      $ 1.00     $ 1.00     $ 1.00     $ 1.00  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Income/(loss) from investment operations:

 

         

Net investment income (loss)

     0.01 (a)       0.00 (b)      —       —       —  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total income from investment operations

     0.01        —       —       —       —  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Less distributions from:

           

Net investment income

     0.01        0.00 (b)      0.00 (b)      0.00 (b)      —  

Net realized gains

     0.00 (a)       —       —       —       0.00 (b) 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

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

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 1.00      $ 1.00     $ 1.00     $ 1.00     $ 1.00  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     0.58 %       0.06 %      0.08 %      0.05 %      0.04 % 

Ratios/Supplemental Data:

           

Net assets, end of period (in thousands)

   $ 109,828      $ 111,339     $ 129,039     $ 139,218     $ 166,530  

Ratios to average net assets:

           

Net expenses

     0.34 %       0.49 %(e)      0.09 %(d)      0.05 %(d)      0.11 %(d) 

Gross expenses

     0.34 %       0.49 %(e)      0.25 %      0.36 %      0.34 % 

Net investment income (loss)

     0.56 %       (0.11 )%(e)      — %      — %      — % 

 

Notes   to Financial Highlights

 

 

(a)   Per share values have been calculated using the average share method.
(b)   Rounds to less than $0.005.
(c)   Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results.
(d)   Reflects a voluntary waiver of management fees and/or subsidy of certain expenses by GEAM, the adviser and administrator of the Fund prior to July 1, 2016.
(e)   Ratio includes income tax expense. Without this expense, the net and gross expense ratios would have been 0.33% and the net investment income ratio would have been 0.05%.
*   Beginning with the year ended December 31, 2016, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.

 

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

 

Financial Highlights     93  

Table of Contents

Elfun Funds

Statements of Assets and Liabilities — December 31, 2107

 

     

Elfun
International
Equity Fund

      Elfun
Trusts		  

Assets

      

Investments in securities, at fair value (cost $176,676,433; $1,458,300,299; $127,902,889; $1,381,635,848; $256,527,285 and $0, respectively)

    $ 226,360,984      $ 2,655,499,130  

Investments in affiliated securities, at fair value (cost $0; $0; $58,332,076; $0; $0; and $0, respectively)

      —        —  

Short-term investments, at fair value

      —        —  

Short-term affiliated investments, at fair value

      10,975,209        78,219,855  

Repurchase agreements

      —        —  

Cash

      5        187  

Restricted cash(1)

      191,500        —  

Foreign currency (cost $5,433; $0; $0; $0; $0 and $0, respectively)

      5,442        —  

Receivable for investments sold

      —        —  

Income receivables

      129,375        5,426,995  

Receivable for fund shares sold

      7,449        155,785  

Income receivable from affiliated investments

      —        —  

Receivable for variation margin on open futures contracts

      382        —  

Receivable for foreign taxes recoverable

      279,857        —  

Other assets

      1,005        11,693  
  

 

 

     

 

 

  

Total assets

      237,951,208        2,739,313,645  
  

 

 

     

 

 

  

Liabilities

      

Distribution payable to shareholders

      —        —  

Payable for investments purchased

      —        —  

Payable for fund shares redeemed

      11,711        868,401  

Payable for variation margin on open centrally cleared swap contracts

      —        —  

Payable to the Adviser (Note 4)

      41,852        329,130  

Payable to the Custodian (Note 4)

      8,786        3,255  

Accrued other expenses

      72,338        193,547  

Accrued foreign capital gains tax

      47,705        —  
  

 

 

     

 

 

  

Total liabilities

      182,392        1,394,333  
  

 

 

     

 

 

  
     

Net Assets

    $ 237,768,816      $ 2,737,919,312  
  

 

 

     

 

 

  

Net Assets Consist of:

      

Capital paid in

    $ 212,212,496      $ 1,540,041,623  

Undistributed (distributions in excess of) net investment income

      9,676        —  

Accumulated net realized gain (loss)

      (24,124,555 )       678,858  

Net unrealized appreciation (depreciation) on:

      

Unaffiliated Investments

      49,636,846        1,197,198,831  

Affiliated investments

      —        —  

Futures

      28,153        —  

Swap contracts

      —        —  

Foreign currency related transactions

      6,200        —  
  

 

 

     

 

 

  

Net Assets

    $ 237,768,816      $ 2,737,919,312  
  

 

 

     

 

 

  
     

Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized)

      10,483,400        45,359,197  

Net asset value, offering and redemption price per share

    $ 22.68      $ 60.36  

(1)  Deposits at broker for futures contracts.

      

 

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

 

94   Statements of Assets and Liabilities

Table of Contents

 

 

Elfun
Diversified
Fund		      Elfun
Tax-Exempt
Income Fund		      Elfun Income
Fund		      Elfun
Government
Money
Market Fund		  
        
$ 139,207,714     

$

1,447,185,068

 

    $ 258,853,515      $ —  
  64,781,790        —        —        —  
  2,127,976        —        —        94,795,852  
  5,455,673        6,243,370        8,419,038        —  
  —        —        —        14,930,000  
  117,166        15        104,454        399  
  —        —        —        —  
  —        —        —        —  
  105,475        —        103,966        —  
  486,282        19,701,829        1,754,190        34,049  
  3,363        100,238        49,692        350,338  
  529        —        —        —  
  5,896        —        25,481        —  
  48,973        —        —        —  
  922        6,712        —        482  

 

 

     

 

 

     

 

 

     

 

 

  
  212,341,759        1,473,237,232        269,310,336        110,111,120  

 

 

     

 

 

     

 

 

     

 

 

  
        
  —        1,505,632        125,881        5,034  
  2,118,456        —        7,665,135        —  
  121,630        53,200        167,951        198,364  
  10,621        —        44,216        —  
  30,348        199,607        37,876        9,084  
  48,632        5,763        13,230        4,508  
  72,738        122,685        66,970        65,955  
  —        —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  2,402,425        1,886,887        8,121,259        282,945  

 

 

     

 

 

     

 

 

     

 

 

  
        
$ 209,939,334      $ 1,471,350,345      $ 261,189,077      $ 109,828,175  

 

 

     

 

 

     

 

 

     

 

 

  
        
$ 192,210,332      $ 1,422,157,743      $ 260,108,617      $ 109,828,175  
  —        62,826        347,347        —  
  (21,300 )       (16,419,444 )       (1,570,319 )       —  
        
  11,304,825        65,549,220        2,326,230        —  
  6,449,714        —        —        —  
  14,607        —        52,548        —  
  (18,093 )       —        (75,346 )       —  
  (751 )       —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
$ 209,939,334      $ 1,471,350,345      $ 261,189,077      $ 109,828,175  

 

 

     

 

 

     

 

 

     

 

 

  
        
  11,285,363        127,354,722        22,833,476        109,828,175  
$ 18.60      $ 11.55      $ 11.44      $ 1.00  

 

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

 

Statements of Assets and Liabilities     95  

Table of Contents

Elfun Funds

Statements of Operations — For the year ended December 31, 2107

 

     

Elfun
International
Equity Fund

     Elfun
Trusts		  

Investment Income

 

Income

 

Dividend

    $ 4,713,744     $ 36,620,391  

Interest

      468       —  

Income from affiliated investments

      38,655       666,140  

Less: Foreign taxes withheld

      (533,522 )      —  

Dividend Income — Non-Cash Transactions

      246,876       —  
  

 

 

    

 

 

  

Total income

      4,466,221       37,286,531  
  

 

 

    

 

 

  

Expenses

     

Advisory and administration fees (Note 5)

      477,753       3,705,732  

Blue Sky fees

      28,846       36,231  

Transfer agent fees

      123,546       497,760  

Trustees’ fees (Note 5)

      20,407       46,399  

Custody and accounting expenses — net (Note 5)

      74,037       61,874  

Professional fees

      50,133       229,085  

Other expenses

      28,708       145,613  
  

 

 

    

 

 

  

Total expenses

      803,430       4,722,694  
  

 

 

    

 

 

  

Net investment income

    $ 3,662,791     $ 32,563,837  
  

 

 

    

 

 

  

Net Realized And Unrealized Gain (Loss) on Investments

     

Realized gain (loss) on:

     

Unaffiliated investments

    $ (1,055,426 )    $ 239,503,606  

Affiliated investments

      —       —  

Futures

      (66,458 )      —  

Written options

      —       —  

Swap contracts

      —       —  

Foreign currency transactions

      2,661       —  

Increase (decrease) in unrealized appreciation/depreciation on:

     

Unaffiliated investments

      43,274,196       313,411,667  

Affiliated investments

      —       —  

Futures

      43,023       —  

Swap contracts

      —       —  

Foreign currency translations

      29,854       —  
  

 

 

    

 

 

  

Net realized and unrealized gain (loss) on investments

      42,227,850       552,915,273  
  

 

 

    

 

 

  

Net Increase in Net Assets Resulting from Operations

    $ 45,890,641     $ 585,479,110  
  

 

 

    

 

 

  

 

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

 

96   Statements of Operations

Table of Contents

 

 

Elfun
Diversified
Fund		      Elfun
Tax-Exempt
Income Fund		      Elfun Income
Fund		      Elfun
Government
Money
Market Fund		  
        
        
$ 2,049,865      $ —      $ 41,934      $ —  
  1,320,783        62,550,600        7,544,131        967,967  
  2,052,182        128,494        194,847        —  
  (32,464 )       —        —        —  
  —        —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  5,390,366        62,679,094        7,780,912        967,967  

 

 

     

 

 

     

 

 

     

 

 

  
        
  348,957        2,427,713        465,937        112,489  
  28,677        36,738        34,146        39,322  
  101,416        226,829        120,670        73,157  
  20,289        35,069        21,226        19,204  
  225,513        72,736        171,341        59,005  
  53,979        150,435        52,340        20,230  
  37,507        92,968        36,395        40,359  

 

 

     

 

 

     

 

 

     

 

 

  
  816,338        3,042,488        902,055        363,766  

 

 

     

 

 

     

 

 

     

 

 

  
$ 4,574,028      $ 59,636,606      $ 6,878,857      $ 604,201  

 

 

     

 

 

     

 

 

     

 

 

  
        
        
$ 18,320,938      $ (2,447,208 )     $ 1,157,662      $ —  
  (905 )       —        —        —  
  277,843        —        (93,118 )       —  
  18,546        —        76,674        —  
  (150,343 )       —        (650,901 )       —  
  10,519        —        —        —  
        
  32,036        12,274,701        2,802,482        —  
  6,301,373        —        —        —  
  83,345        —        86,184        —  
  35,100        —        152,766        —  
  4,680        —        —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  24,933,132        9,827,493        3,531,749        —  

 

 

     

 

 

     

 

 

     

 

 

  
$ 29,507,160      $ 69,464,099      $ 10,410,606      $ 604,201  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

Statements of Operations     97  

Table of Contents

Elfun Funds

Statements of Changes in Net Assets

 

     Elfun International Equity Fund      Elfun Trusts  
     

Year Ended

December 31,
2017

     

Year Ended

December 31,
2016

     

Year Ended

December 31,
2017

     

Year Ended

December 31,
2016

  

Increase (Decrease) in Net Assets

 

Operations:

 

Net investment income

    $ 3,662,791      $ 4,526,167      $ 32,563,837      $ 32,964,856  

Net realized gain (loss) on investments, futures, options contracts, swap contracts and foreign currency transactions

      (1,119,223 )       (8,030,994 )       239,503,606        159,847,790  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, options contracts, swap contracts and foreign currency translations

      43,347,073        799,885        313,411,667        (55,725,752 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from operations

      45,890,641        (2,704,942 )       585,479,110        137,086,894  
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders from:

            

Net investment income

      (3,655,776 )       (4,463,973 )       (32,575,926 )       (32,335,578 ) 

Net realized gains

      —        —        (239,625,286 )       (160,319,290 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (3,655,776 )       (4,463,973 )       (272,201,212 )       (192,654,868 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) in assets from operations and distributions

      42,234,865        (7,168,915 )       313,277,898        (55,567,974 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share transactions:

            

Proceeds from sale of shares

      4,172,093        2,430,974        50,712,147        40,411,417  

Value of distributions reinvested

      3,163,834        3,907,294        217,798,384        153,709,493  

Cost of shares redeemed

      (19,846,304 )       (25,572,843 )       (175,834,878 )       (170,906,653 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from share transactions

      (12,510,377 )       (19,234,575 )       92,675,653        23,214,257  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total increase (decrease) in net assets

      29,724,488        (26,403,490 )       405,953,551        (32,353,717 ) 

Net Assets

            

Beginning of year

      208,044,328        234,447,818        2,331,965,761        2,364,319,478  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of year

    $ 237,768,816      $ 208,044,328      $ 2,737,919,312      $ 2,331,965,761  
  

 

 

     

 

 

     

 

 

     

 

 

  

Undistributed (distributions in excess of) net investment income, end of year

    $ 9,676      $ —      $ —      $ 53,567  

Changes in Fund Shares

            

Shares sold

      196,928        132,254        842,367        743,822  

Issued for distributions reinvested

      140,117        211,202        3,601,757        2,868,785  

Shares redeemed

      (961,741 )       (1,376,432 )       (2,890,514 )       (3,114,327 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in fund shares

      (624,696 )       (1,032,976 )       1,553,610        498,280  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

98   Statements of Changes in Net Assets

Table of Contents

 

 

Elfun Diversified Fund      Elfun Tax-Exempt Income Fund  

Year Ended

December 31,
2017

     

Year Ended

December 31,
2016

     

Year Ended

December 31,
2017

     

Year Ended

December 31,
2016

  
        
        
$ 4,574,028      $ 4,040,207      $ 59,636,606      $ 60,486,408  
 
     
18,476,598
 		      1,343,065        (2,447,208 )       6,696,290  

 

6,456,534

 

      5,399,857        12,274,701        (58,359,640 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  29,507,160        10,783,129        69,464,099        8,823,058  

 

 

     

 

 

     

 

 

     

 

 

  
        
  (4,765,419 )       (3,868,950 )       (59,636,585 )       (60,486,424 ) 
  (16,372,546 )       (2,076,599 )       —        —  

 

 

     

 

 

     

 

 

     

 

 

  
  (21,137,965 )       (5,945,549 )       (59,636,585 )       (60,486,424 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  8,369,195        4,837,580        9,827,514        (51,663,366 ) 

 

 

     

 

 

     

 

 

     

 

 

  
        
  5,048,518        4,779,752        35,753,804        48,922,399  
  18,727,487        5,262,614        41,248,494        41,507,987  
  (21,143,587 )       (25,630,482 )       (110,727,469 )       (131,791,304 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  2,632,418        (15,588,116 )       (33,725,171 )       (41,360,918 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  11,001,613        (10,750,536 )       (23,897,657 )       (93,024,284 ) 
        
  198,937,721        209,688,257        1,495,248,002        1,588,272,286  

 

 

     

 

 

     

 

 

     

 

 

  
$ 209,939,334      $ 198,937,721      $ 1,471,350,345      $ 1,495,248,002  

 

 

     

 

 

     

 

 

     

 

 

  
    
$
—
 		    $ —      $ 62,826      $ 62,805  
        
  264,253        269,206        3,093,499        4,092,545  
  1,010,111        294,485        3,565,302        3,484,183  
  (1,098,217 )       (1,436,390 )       (9,567,674 )       (11,040,847 ) 

 

 

     

 

 

     

 

 

     

 

 

  
  176,147        (872,699 )       (2,908,873 )       (3,464,119 ) 

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

Statements of Changes in Net Assets     99  

Table of Contents

Elfun Funds

Statements of Changes in Net Assets

 

     Elfun Income Fund      Elfun Government Money
Market Fund		  
     

Year Ended

December 31,
2017

     

Year Ended

December 31,
2016

     

Year Ended

December 31,
2017

     

Year Ended

December 31,
2016

  

Increase (Decrease) in Net Assets

 

         

Operations:

            

Net investment income (loss)

    $ 6,878,857      $ 7,612,431      $ 604,201      $ (127,654 ) 

Net realized gain (loss) on investments, futures, options contracts, and swap contracts

      490,317        (57,329 )       —        10,630  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, options contracts, and swap contracts

      3,041,432        2,720,054        —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from operations

      10,410,606        10,275,156        604,201        (117,024 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders from:

            

Net investment income

      (6,577,379 )       (7,122,727 )       (604,201 )       (60,312 ) 

Net realized gains

      —        (2,276,996 )       (10,630 )       —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (6,577,379 )       (9,399,723 )       (614,831 )       (60,312 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) in assets from operations and distributions

      3,833,227        875,433        (10,630 )       (177,336 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share transactions:

            

Proceeds from sale of shares

      10,184,726        14,597,102        45,174,015        49,553,491  

Value of distributions reinvested

      5,003,427        7,166,423        562,402        54,419  

Cost of shares redeemed

      (33,974,499 )       (36,369,200 )       (47,236,144 )       (67,515,314 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from share transactions

      (18,786,346 )       (14,605,675 )       (1,499,727 )       (17,907,404 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Contribution from Advisor

      —        —        —        384,504  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total increase (decrease) in net assets

      (14,953,119 )       (13,730,242 )       (1,510,357 )       (17,700,236 ) 

Net Assets

            

Beginning of year

      276,142,196        289,872,438        111,338,532        129,038,768  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of year

    $ 261,189,077      $ 276,142,196      $ 109,828,175      $ 111,338,532  
  

 

 

     

 

 

     

 

 

     

 

 

  

Undistributed (distributions in excess of) net investment income, end of year

    $ 347,347      $ 295,627      $ —      $ —  

Changes In Fund Shares

            

Shares sold

      893,694        1,268,324        45,174,014        49,553,491  

Issued for distributions reinvested

      437,971        625,653        562,402        54,419  

Shares redeemed

      (2,976,318 )       (3,162,952 )       (47,236,144 )       (67,515,314 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net decrease in fund shares

      (1,644,653 )       (1,268,975 )       (1,499,728 )       (17,907,404 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

100   Statements of Changes in Net Assets

Table of Contents

Elfun Funds

Notes to Financial Statements — December 31, 2017

 

 

1.   Organization of the Funds

The Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (each, a “Fund” and collectively, the “Funds”) are each registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. Prior to July 1, 2016, the Funds operated as Employees’ Securities Companies (as defined in the 1940 Act) and, as such, were exempt from certain provisions of the 1940 Act. Each Fund is a diversified investment company within the meaning of the 1940 Act.

Under each Fund’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

 

2.   Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation Each Fund’s investments are valued at fair value each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that each Fund’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of each Fund (each, a “Board”). The Committee provides oversight of the valuation of investments for the Funds. Each Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

 

  •   Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

 

  •   Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit.

 

  •   Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.

 

  •   Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.

 

  •   Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

 

Notes to Financial Statements     101  

Table of Contents

Elfun Funds

Notes to Financial Statements, continued — December 31, 2017

 

 

 

  •   Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with valuation policy and procedures approved by the Boards.

 

  •   Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third–party valuation the agreements will be fair valued.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Boards.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

 

  •   Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

 

  •   Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

 

  •   Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2017 is disclosed in each Fund’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the beginning of the reporting period.

The Funds had no material transfers between levels for the year ended December 31, 2017.

Investment Transactions and Income Recognition  Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.

Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

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

 

102   Notes to Financial Statements

Table of Contents

Elfun Funds

Notes to Financial Statements, continued — December 31, 2017

 

 

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

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes  The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Fund and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

 

3.   Securities and Other Investments

Delayed Delivery Transactions and When-Issued Securities  During the period, the Elfun Diversified Fund and Elfun Income Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedule of Investments. A Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, a Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.

To-Be-Announced Transactions  Certain Funds may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.

A Fund may use TBA transactions to “roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a “TBA roll,” a Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. A Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.

Default by or bankruptcy of a counterparty to a TBA transaction would expose a Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To minimize this risk, a Fund will enter into TBA transactions only with established counterparties. A Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.

Repurchase Agreements  Certain Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

The applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Fund’s the principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.

 

Notes to Financial Statements     103  

Table of Contents

Elfun Funds

Notes to Financial Statements, continued — December 31, 2017

 

 

As of December 31, 2017, the Elfun Government Money Market Fund had invested in repurchase agreements with gross values of $14,930,000 and associated collateral equal to $15,228,544.

 

4.   Derivative Financial Instruments

Futures Contracts  Certain Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.

During the year ended December 31, 2017, the Elfun International Equity Fund entered into stock index futures contracts for the purpose of investing residual cash positions. The Elfun Diversified Fund entered into futures contracts on various stock indices, bonds and notes for the purposes of investing residual cash positions and managing interest rate exposure. The Elfun Income Fund invested in futures contracts on bonds and notes for managing interest rate exposure.

Credit Default Swaps  During the year ended December 31, 2017, the Elfun Diversified Fund and Elfun Income Fund engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by a Fund for the same referenced obligation.

As the seller, a Fund may create economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if a Fund had invested in the referenced debt obligation directly. If a Fund is a buyer of a credit default swap and no credit event occurs, a Fund will not earn any return on its investment. If a Fund is a seller of a credit default swap, a Fund’s risk of loss may be the entire

 

104   Notes to Financial Statements

Table of Contents

Elfun Funds

Notes to Financial Statements, continued — December 31, 2017

 

 

notional amount of the swap. Swaps may also subject a Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

Interest Rate Swaps  Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.

During the year ended December 31, 2017, the Elfun Diversified Fund and Elfun Income Fund entered into interest rate swaps in order to manage exposure to interest rates.

Options on Exchanged Traded Futures Contracts  Certain Funds may purchase and write options, including options on exchanged traded futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase a Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease a Fund’s exposure to the underlying instrument. A Fund will not enter into a transaction involving options for speculative purposes. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.

When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying instrument or the cost basis of the securities purchased is adjusted by the original premium received or paid. In return for a premium paid, call and put options on futures contracts give the holder the right, but not the obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price.

During the year ended December 31, 2017, the Elfun Income Fund and Elfun Diversified Fund purchased and wrote options in order to hedge against changes in market conditions and interest rates.

The following tables summarize the value of the Funds’ derivative instruments as of December 31, 2017 and the related location in the accompanying Statements of Liabilities and Statements of Operations, presented by primary underlying risk exposure:

Asset Derivatives

 

      Interest
Rate
Contracts
Risk		      Foreign
Exchange
Contracts
Risk		      Credit
Contracts
Risk		      Equity
Contracts
Risk		      Commodity
Contracts
Risk		      Total  

ElfunInternational Equity Fund

                  

Futures Contracts (a)

    $ —      $ —      $ —      $ 28,153      $ —      $ 28,153  

ElfunDiversified Fund

                  

Futures Contracts (a)

    $ 23,441      $ —      $ —      $ 3,348      $ —      $ 26,789  

ElfunIncome Fund

                  

Futures Contracts (a)

    $ 97,627      $ —      $ —      $ —      $ —      $ 97,627  

 

  (a)  Unrealized appreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.

Liability Derivatives

 

      Interest
Rate
Contracts
Risk		     Foreign
Exchange
Contracts
Risk		      Credit
Contracts
Risk		     Equity
Contracts
Risk		      Commodity
Contracts
Risk		      Total  

ElfunDiversified Fund

                

Futures Contracts (a)

    $ (12,182 )    $ —      $ —     $ —      $ —      $ (12,182 ) 

Swap Contracts (b)

    $ (14,033 )      —      $ (4,060 )      —      $ —      $ (18,093 ) 

ElfunIncome Fund

                

Futures Contracts (a)

    $ (45,079 )    $ —      $     $ —      $ —      $ (45,079 ) 

Swap Contracts (b)

    $ (58,399 )    $ —      $ (16,947 )    $ —      $ —      $ (75,346 ) 

 

  (a)  Unrealized depreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.
  (b)  Unrealized depreciation on open swap contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.

 

Notes to Financial Statements     105  

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Notes to Financial Statements, continued — December 31, 2017

 

 

Net Realized Gain (Loss)

 

      Interest
Rate
Contracts
Risk		     Foreign
Exchange
Contracts
Risk		      Credit
Contracts
Risk		     Equity
Contracts
Risk		     Commodity
Contracts
Risk		      Total  

ElfunInternational Equity Fund

               

Futures Contracts

    $ —     $ —      $ —     $ (66,458 )    $ —      $ (66,458 ) 

ElfunDiversified Fund

               

Futures Contracts

    $ 59,489     $ —      $ —     $ 218,354     $ —      $ 277,843  

Swap Contracts

      —       —        (150,343 )      —       —        (150,343 ) 

Purchased Option Contracts (a)

      (28,157 )      —        —       —       —        (28,157 ) 

Written Option Contracts

      18,546       —        —       —       —        18,546  

ElfunIncome Fund

               

Futures Contracts

    $ (93,118 )    $ —      $ —     $ —     $ —      $ (93,118 ) 

Swap Contracts

      —       —        (650,901 )      —       —        (650,901 ) 

Purchased Option Contracts (a)

      (115,672 )      —        —       —       —        (115,672 ) 

Written Option Contracts

      76,674       —        —       —       —        76,674  

 

  (a) Options purchased are included in net realized gain (loss) from investments.

Net Change in Unrealized Appreciation (Depreciation)

 

      Interest
Rate
Contracts
Risk		     Foreign
Exchange
Contracts
Risk		      Credit
Contracts
Risk		      Equity
Contracts
Risk		      Commodity
Contracts
Risk		      Total  

ElfunInternational Equity Fund

                 

Futures Contracts

    $ —     $ —      $ —      $ 43,023      $ —      $ 43,023  

ElfunDiversified Fund

                 

Futures Contracts

    $ 17,442     $ —      $ —      $ 65,903      $ —      $ 83,345  

Swap Contracts

      (14,033 )      —        49,133        —        —        35,100  

ElfunIncome Fund

                 

Futures Contracts

    $ 86,184     $ —      $ —      $ —      $ —      $ 86,184  

Swap Contracts

      (58,399 )      —        211,165        —        —        152,766  

 

5.   Fees and Transactions with Affiliates

Advisory Fee  SSGA FM, a registered investment adviser, was retained by each Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:

 

Fund    Management
Fee		  
Elfun International Equity Fund      0.21 % 
Elfun Trusts      0.14 % 
Elfun Diversified Fund      0.17 % 
Elfun Tax-Exempt Income Fund      0.16 % 
Elfun Income Fund      0.17 % 
Elfun Government Money Market Fund      0.10 % 

SSGA FM may voluntarily reduce all or a portion of its fees and / or reimburse expenses of the Elfun Government Money Market Fund, to the` extent necessary to avoid a negative yield (the “Voluntary Reduction”), or a yield below a specified level, which may vary from time to time in SSGA FM’s sole discretion. The Elfun Government Money Market Fund has agreed, subject to certain limitations, to reimburse the Adviser for the full dollar amount of any Voluntary Reduction for up to three years from the date reduced, provided that the total operating expense ratio for the Elfun Government Money Market Fund,

 

106   Notes to Financial Statements

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Elfun Funds

Notes to Financial Statements, continued — December 31, 2017

 

 

after giving effect to the recoupment, would not exceed 0.60% for the fiscal year in which the recoupment is made. SSGA FM may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from the Elfun Government Money Market Fund. Any future reimbursement by the Elfun Government Money Market Fund of the Voluntary Reduction would increase the expenses and reduce the yield of the Elfun Government Money Market Fund. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that the Elfun Government Money Market Fund will be able to avoid a negative yield. SSGA FM did not waive or reimburse any expenses during the year ended December 31, 2017 or during any prior periods.

Administrator, Sub-Administrator, Custodian, and Transfer Agent Fees  State Street Bank and Trust Company (“State Street”) serves as the sub-administrator and custodian to the Funds. Amounts paid by the Funds to State Street for performing such services are included in advisory and administration and custody and accounting expenses, respectively.

Other Transactions with affiliates  The Funds may invest in affiliated entities, including securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the year ended December 31, 2017 are disclosed in the Schedules of Investments.

 

6.   Trustees’ Fees

The fees and expenses of each Fund’s trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

 

7.   Investment Transactions

Purchases and Sales of Securities  The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the year ended December 31, 2017, were as follows:

 

     U.S. Government
Securities		      Non-U.S. Government
Securities		  
      Purchases      Sales      Purchases      Sales  

Elfun International Equity Fund

    $ —      $ —      $ 65,674,473      $ 82,023,973  

Elfun Trusts

      —        —        403,663,239        574,887,992  

Elfun Diversified Fund

      171,918,370        171,727,194        126,072,490        125,099,825  

Elfun Tax-Exempt Income Fund

      —        —        381,279,508        402,390,787  

Elfun Income Fund

      698,747,412        690,179,887        94,724,354        112,689,375  

 

8.   Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to the federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provisions for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book tax differences are primarily due to differing treatments for character of distributions, foreign currency gains and losses, corporate actions, paydown losses, futures contracts, swap contracts, straddle loss deferrals and non-taxable dividends, and wash sale loss deferrals.

 

Notes to Financial Statements     107  

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Notes to Financial Statements, continued — December 31, 2017

 

 

The tax character of distributions paid during the year ended December 31, 2017 was as follows:

 

Fund    Exempt
Income		      Ordinary
Income		      Long-Term
Capital Gains		      Return of
Capital		      Total  

Elfun International Equity Fund

    $ —      $ 3,655,776      $ —      $ —      $ 3,655,776  

Elfun Trusts

      —        37,831,065        234,370,147        —        272,201,212  

Elfun Diversified Fund

      —        9,605,789        11,532,176        —        21,137,965  

Elfun Tax-Exempt Income Fund

      59,020,190        616,395        —        —        59,636,585  

Elfun Income Fund

      —        6,577,379        —        —        6,577,379  

Elfun Government Money
Market Fund

      —        614,831        —        —        614,831  

The tax character of distributions paid during the year ended December 31, 2016 was as follows:

 

Fund    Exempt
Income		      Ordinary
Income		      Long-Term
Capital Gains		      Return of
Capital		      Total  

Elfun International Equity Fund

    $ —      $ 4,463,973      $ —      $ —      $ 4,463,973  

Elfun Trusts

      —        38,254,344        154,400,524        —        192,654,868  

Elfun Diversified Fund

      —        4,396,884        1,548,665        —        5,945,549  

Elfun Tax-Exempt Income Fund

      59,750,932        735,492        —        —        60,486,424  

Elfun Income Fund

      —        9,399,723        —        —        9,399,723  

Elfun Government Money
Market Fund

      —        60,312        —        —        60,312  

At December 31, 2017 the components of distributable earnings on a tax basis were as follows:

 

     Undistributed
Ordinary
Income		     Undistributed
Tax Exempt
Income		     Capital Loss
Carryforwards*		     Undistributed
long term
gain		     Net
Unrealized
Gains (Losses)		     Qualified
Late-Year
Losses**		     Total  

Elfun International Equity Fund

   $ 9,676     $ —       (22,227,118 )    $ —     $ 47,773,762     $ —     $ 25,556,320  

Elfun Trusts

     —       —       —       41,273       1,197,836,416       —       1,197,877,689  

Elfun Diversified Fund

     26,581       —       —       —       17,702,419       —       17,729,000  

Elfun Tax-Exempt Income Fund

     —       62,826       (16,386,424 )      —       65,516,200       —       49,192,602  

Elfun Income Fund

     347,347       —       (1,275,746 )      —       2,008,859       —       1,080,460  

 

  * A portion of the Fund’s Capital Loss Carryover may be subject to limitations.
  ** The Fund has elected to defer certain qualified late-year losses in the next taxable year.

As of December 31, 2017, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Fund    Expiring
2018		      Expiring
2019		     

Non-Expiring

Short Term*

     

Non-Expiring

Long Term*

  

Elfun International Equity Fund

    $ 13,166,355      $ —      $ 1,599,809      $ 7,460,954  

Elfun Tax-Exempt Income Fund

      —        —        15,947,941        438,483  

Elfun Income Fund

      —        —        265,228        1,010,518  

 

  * Must be utilized prior to losses subject to expiration.

 

108   Notes to Financial Statements

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Notes to Financial Statements, continued — December 31, 2017

 

 

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

 

      Tax
Cost		      Gross
Unrealized
Appreciation		      Gross
Unrealized
Depreciation		      Net Unrealized
Appreciation
(Depreciation)		  

Elfun International Equity Fund

    $ 189,549,079      $ 52,694,213      $ 4,878,946      $ 47,815,267  

Elfun Trusts

      1,535,882,569        1,244,693,105        46,856,689        1,197,836,416  

Elfun Diversified Fund

      193,837,053        19,953,465        2,220,851        17,732,614  

Elfun Tax-Exempt Income Fund

      1,387,912,238        67,829,073        2,312,873        65,516,200  

Elfun Income Fund

      265,059,554        4,018,660        1,828,459        2,190,201  

Elfun Government Money Market Fund

      109,725,852        —        —        —  

 

9.   Line of Credit

The Funds (excluding the Elfun Government Money Market Fund) and other affiliated funds (each, a “Participant” and collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018, unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operation expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Participants could borrow up to $360 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements.

The Funds had no outstanding loans as of December 31, 2017.

 

10.   Risks

Concentration Risk  As a result of a Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of a Fund’s investments more than if a Fund is more broadly diversified.

Foreign and Emerging Markets Risk  Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which a Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk  In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.

 

11.   New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

 

 

Notes to Financial Statements     109  

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Notes to Financial Statements, continued — December 31, 2017

 

 

12.   Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

 

110   Notes to Financial Statements

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Elfun Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund, and Elfun Government Money Market Fund

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (collectively referred to as the “Funds”), including the schedules of investments, as of December 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period then ended and the related notes (collectively referred to as the “financial statements”). The financial highlights for the three years in the period ended December 31, 2015 were audited by another independent registered public accounting firm whose report, dated February 24, 2016, expressed an unqualified opinion on those financial highlights. In our opinion, the financial statements present fairly, in all material respects, the financial position of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund at December 31, 2017, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

LOGO

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

 

Report of Independent Registered Public Accounting Firm     111  

Table of Contents

Elfun Funds

Tax Information — December 31, 2017 (Unaudited)

 

 

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Funds for their fiscal year ended December 31, 2017.

Dividends Received Deduction

The Funds report the maximum amount allowable of their net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2017 is considered qualified dividend income and is eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. The Funds report the maximum amount allowable of their net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long Term Capital Gains Distributions

Long term capital gains dividends were paid from Elfun Trusts and Elfun Diversified Fund during the year ended December 31, 2017 in the amounts of $234,370,147 and $11,532,176, respectively.

Elfun International Equity Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are $533,522 for the Elfun International Equity Fund.

The amount of foreign source income earned on the Elfun International Equity Fund during the year ended December 31, 2017 was $4,952,776.

 

112   Tax Information

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Elfun Funds

Additional Information — December 31, 2017 (Unaudited)

 

 

Name,

Address

and Age

  

Position(s) Held

with Fund

  

Term of

Office and

Length of

Time Served

  

Principal Occupation(s)

During Past 5 years

  

Number of

Portfolios

in Fund

Complex

Overseen

by Director

    

Other Directorships

Held by Director

INTERESTED TRUSTEES AND EXECUTIVE OFFICERS

Jeanne M. La Porta

State Street Global Advisors

1600 Summer Street,

Stamford, CT 06905

YOB: 1965

   Trustee  

Until successor is elected and qualified

Served: Since 2014

   Senior Managing Director at State Street Global Advisors (July 2016 – present); Director of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); President of GE Retirement Savings Plan Funds (July 2016 – present); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – present); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 – March 2014); Vice President of State Street Institutional Funds (July 2003 – present); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016); Secretary of GE Funds (July 2007 – September 2010) and Vice President (July 2007 – February 2011); Senior Vice President and Deputy General Counsel of GEAM (October 2007 – April 2010); Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds (July 2003 – June 2010); and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM (May 1997 – October 2007).     18     Director of State Street Variable Insurance Series Funds, Inc. (2014 – present); Trustee of State Street Institutional Funds (2014 – present).

James E. Ross

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1965

   Trustee  

Until successor is elected and qualified

Served: Since 2016

   Chairman and Director, SSGA Funds Management, Inc. (2005 – present); Executive Vice President, State Street Global Advisors (2006 – present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (since May 2017); Director, State Street Global Markets, LLC (2013 – April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors, (2000 – 2005).     243     SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present).

 

Additional Information     113  

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Elfun Funds

Additional Information, continued — December 31, 2017 (Unaudited)

 

 

Name,

Address

and Age

  

Position(s) Held

with Fund

  

Term of

Office and

Length of

Time Served

  

Principal Occupation(s)

During Past 5 years

  

Number of

Portfolios

in Fund

Complex

Overseen

by Director

    

Other Directorships

Held by Director

INTERESTED TRUSTEES AND EXECUTIVE OFFICERS (continued)

Ellen M. Needham

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1967

   President  

Until successor is elected and qualified

Served: Since 2016

   President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).*; Director, State Street Global Advisors Funds Distributors, LLC (since May 2017).*     N/A     N/A

Brian Harris

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1973

   Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer  

Until successor is elected and qualified

Served: Since 2016

   Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 – 2013); Director of Compliance, AARP Financial Inc. (2008 – 2010).     N/A     N/A

Robert Herlihy

State Street Global Advisors

1600 Summer Street,

Stamford, CT 06905

YOB: 1968

   Deputy Chief Compliance Officer  

Until successor is elected and qualified

Served: Since 2016

   Managing Director at State Street Global Advisors since July 2016; Chief Compliance Officer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds since July 2005; Chief Compliance Officer of GEAM and Elfun Funds from July 2005 to July 2016; Chief Compliance Officer of GE Funds from July 2005 to February 2011; Manager of Fund Administration at GEAM from March 2002 to 2005.     N/A     N/A

Joshua A. Weinberg

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1978

   Chief Legal Officer  

Until successor is elected and qualified

Served: Since 2016

   Managing Director and Managing Counsel, State Street Global Advisors (2011 – present*); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2006 – 2011).     N/A     N/A

Bruce S. Rosenberg

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1961

   Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015).     N/A     N/A

 

114   Additional Information

Table of Contents

Elfun Funds

Additional Information, continued — December 31, 2017 (Unaudited)

 

 

Name,

Address

and Age

  

Position(s) Held

with Fund

  

Term of

Office and

Length of

Time Served

  

Principal Occupation(s)

During Past 5 years

  

Number of

Portfolios

in Fund

Complex

Overseen

by Director

    

Other Directorships

Held by Director

INTERESTED TRUSTEES AND EXECUTIVE OFFICERS (continued)

Ann M. Carpenter

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1966

   Vice President and Deputy Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).*     N/A     N/A

Chad C. Hallett

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1969

   Deputy Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*     N/A     N/A

Arthur A. Jensen

State Street Global Advisors

1600 Summer Street,

Stamford, CT 06905

YOB: 1967

   Deputy Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Vice President at State Street Global Advisors (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011 – July 2016); Mutual Funds Controller of GEAM (April 2011 – July 2016).     N/A     N/A

Darlene Anderson-Vasquez

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

YOB: 1969

   Deputy Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016).     N/A     N/A

Sujata Upreti

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

YOB: 1974

   Assistant Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012).     N/A     N/A

 

Additional Information     115  

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Elfun Funds

Additional Information, continued — December 31, 2017 (Unaudited)

 

 

Name,

Address

and Age

  

Position(s) Held

with Fund

  

Term of

Office and

Length of

Time Served

  

Principal Occupation(s)

During Past 5 years

  

Number of

Portfolios

in Fund

Complex

Overseen

by Director

    

Other Directorships

Held by Director

INTERESTED TRUSTEES AND EXECUTIVE OFFICERS (continued)

Daniel Foley

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

YOB: 1972

   Assistant Treasurer  

Until successor is elected and qualified

Served: Since 2016

   Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).*     N/A     N/A

Daniel G. Plourde

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111-2900

YOB: 1980

   Assistant Treasurer  

Until successor is elected and qualified

Served: Since 2017

   Assistant Vice President, SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015).     N/A     N/A

Jesse D. Hallee

State Street Bank and Trust Company

100 Summer Street,

7th Floor

Boston, MA

02111-2900

YOB: 1976

   Secretary  

Until successor is elected and qualified

Served: Since 2016

   Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013).     N/A     N/A

Khimmara Greer

State Street Bank and Trust Company

100 Summer Street,

7th Floor

Boston, MA

02111-2900

YOB: 1983

   Assistant Secretary  

Until successor is elected and qualified

Served: Since 2016

   Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012).     N/A     N/A

* Served in various capacities and/or with various affiliated entities during noted time period.

 

116   Additional Information

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Elfun Funds

Additional Information, continued — December 31, 2017 (Unaudited)

 

 

Name,

Address

and Age

  

Position(s) Held

with Fund

  

Term of

Office and

Length of

Time Served

  

Principal Occupation(s)

During Past 5 years

  

Number of

Portfolios

in Fund

Complex

Overseen

by Director

    

Other Directorships

Held by Director

INDEPENDENT TRUSTEES

William L. Marshall

c/o SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1942

   Trustee  

Until

successor is elected and qualified

Served: Since 2016

   July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association.     75      

Patrick J. Riley

c/o SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1948

   Trustee and Chairman of the Board  

Until successor is elected and qualified

Served: Since 2016

   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.     75     Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).

Michael A. Jessee

c/o SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1946

   Trustee  

Until successor is elected and qualified

Served: Since 2016

   Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016).     75      

 

Additional Information     117  

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Elfun Funds

Additional Information, continued — December 31, 2017 (Unaudited)

 

 

Name,

Address

and Age

  

Position(s) Held

with Fund

  

Term of

Office and

Length of

Time Served

  

Principal Occupation(s)

During Past 5 years

  

Number of

Portfolios

in Fund

Complex

Overseen

by Director

    

Other Directorships

Held by Director

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk

c/o SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1945

   Trustee  

Until successor is elected and qualified

Served: Since 2016

   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare).     75    

1998 to December 2008,

Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.

Rina K. Spence

c/o SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1948

   Trustee  

Until successor is elected and qualified

Served: Since 2016

   President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present).     75     Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009).

Douglas T. Williams

c/o SSGA Funds

Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA

02111-2900

YOB: 1940

   Trustee  

Until successor is elected and qualified

Served: Since 2016

   Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 – 1998).     75      

 

118   Additional Information

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Elfun Funds

Shareholder Services

 

 

Online Service

Your Elfun Mutual Fund accounts can now be accessed on the Internet at www.ssga.com/geam

Here are some of the online services:

 

•   View account balance and transaction history

 

•   Make exchanges

 

•   Redeem shares

 

•   Purchase shares

 

•   View and order tax forms

 

•   View quarterly statements

 

•   Change address

 

•   Re-order money market checks

Telephone Service

Our Shareholder Service Associates are available Monday to Friday from 9:00 AM to 8:00 PM Eastern Standard Time. Call toll-free, 1-800-242-0134, for assistance.

Automated Voice Response System

You can also access your account anytime during the day, 7 days a week by dialing 1-800-242-0134. Simply follow the menu to obtain information or make certain transactions.

Contact Us By Mail

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

Elfun Mutual Funds

c/o U.S. Bancorp Fund Services, LLC

P.O. Box 701

Milwaukee, WI 53201-0701

 

 

Shareholder Services     119  

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Elfun Funds

c/o U.S. Bancorp Fund Services, LLC

PO Box 701

Milwaukee, WI 53201-0701

Distributor

State Street Global Advisors Funds Distributors, LLC

Member FINRA and SIPC

State Street Financial Center

One Lincoln Street

Boston, MA 02111

www.ssga.com/geam

 

The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds’ website at http://www.ssga.com/geam; and (iii) on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC — information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.ssga.com/geam; and (ii) on the Commission’s website at http://www.sec.gov.

 

  

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Item 2. Code of Ethics.

As of the end of the period covered by this report, the Elfun Government Money Market Fund (the “Fund” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. The Code is combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.

 

Item 3. Audit Committee Financial Expert.

The Fund’s Board of Trustees (the “Board”) has determined that the Fund has the following “audit committee financial expert “as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Mr. Richard D. Shirk. The audit committee financial expert is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.

An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board.

 

Item 4. Principal Accountant Fees and Services.

 

(a) Audit Fees

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For the fiscal years ended December 31, 2017 and December 31, 2016, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Registrant’s principal accountant, for the audit of the Registrant’s annual financial statements or services normally provided by E&Y in connection with the Registrant’s statutory and regulatory filings and engagements were $20,860 and $14,000, respectively.

 

(b) Audit-Related Fees

For the fiscal years ended December 31, 2017 and December 31, 2016, there were no fees billed by E&Y for assurance and related services that were reasonably related to the performance of the audit of the Registrant’s financial statements that were not reported under paragraph (a) of this Item.

 

(c) Tax Fees

The aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal years ended December 31, 2017 and December 31, 2016 were $7,910 and $7,680, respectively.

 

(d) All Other Fees

For the fiscal years ended December 31, 2017 and December 31, 2016, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Registrant, other than the services reported in paragraphs (a) through (c).

For the fiscal years ended December 31, 2017 and December 31, 2016, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that (i) relate directly to the operations and financial reporting of the Registrant and (ii) were pre-approved by the Registrant’s audit committee were approximately $7,777,372 and $7,777,372, respectively.

 

(e)(1) Audit Committee Pre-Approval Policies and Procedures

The Fund’s Audit Committee Charter states the following with respect to pre-approval procedures:

The Audit Committee shall have the following duties and powers:

 

  •   To pre-approve engagements by a Fund’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund;

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  •   To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting;

Alternate Pre-Approval Procedure:

 

  •   The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting.

 

(e)(2) Percentages of Services

None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.

 

(f) Not applicable.

 

(g) Total Fees Paid By Adviser and Certain Affiliates

For the fiscal years ended December 31, 2017 and December 31, 2016, the aggregate non-audit fees billed by E&Y for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant were approximately $28,718,894 and $25,696,758, respectively.

 

(h) E&Y notified the Fund’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Fund, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Fund’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence.

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Item 5. Audit Committee of Listed Registrants.

Not applicable to the Registrant.

 

Item 6. Schedule of Investments.

 

(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

 

(b) Not applicable to the Registrant.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board.

 

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s last fiscal quarter of the period covered by this Form N-CSR filing that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

(a) Not applicable.

 

(b) Not applicable.

 

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Item 13. Exhibits.

(a)(1)    Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.

(a)(2)    Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto.

(a)(3)    Not applicable to the Registrant.

(b)    Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant:

  

ELFUN GOVERNMENT MONEY MARKET FUND

By:

   /s/ Ellen M. Needham                                        
 

Ellen M. Needham

 

President

Date:   March 9, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:

   /s/ Ellen M. Needham                                        
 

Ellen M. Needham

 

President (Principal Executive Officer)

Date:

  

March 9, 2018

By:

   /s/ Bruce S. Rosenberg                                        
 

Bruce S. Rosenberg

 

Treasurer (Principal Financial and Accounting Officer)

Date:  

March 9, 2018