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: 811-03715
ELFUN INCOME 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
Table of Contents
Elfun Funds
Annual Report
December 31, 2017
Page | ||||
Notes to Performance | 1 | |||
Manager Reviews and Schedule of Investments | ||||
2 | ||||
10 | ||||
16 | ||||
49 | ||||
60 | ||||
81 | ||||
Notes to Schedules of Investments | 87 | |||
Financial Statements | ||||
88 | ||||
94 | ||||
96 | ||||
98 | ||||
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)
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)
(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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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
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 | $ | 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)
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)
(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 $ | |||||||
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 | 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, | 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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
Short-Term Investments - 2.8% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25% | 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
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)
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)
(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 $ | |||||||
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 $ | |||||||
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 | 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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
Twenty-First Century Fox Inc., Class A | 3,521 | 121,580 | ||||||
Twenty-First Century Fox Inc., | 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., | 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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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. | 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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 | 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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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% 12/20/28 (b)(i) | 60,000 | 59,922 | ||||||
Bank of America Corp. | ||||||||
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 $ | |||||||
Bank of America Corp. | ||||||||
4.44% 01/20/48 (h)(i) | 37,000 | 41,529 | ||||||
Bank of America Corp. | ||||||||
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 $ | |||||||
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 |
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Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
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 $ | |||||||
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 |
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Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
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 $ | |||||||
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 |
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Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
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 $ | |||||||
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% 07/24/38 (i) | 70,000 | 71,873 | ||||||
JPMorgan Chase & Co. | ||||||||
4.03% 07/24/48 (i) | 29,000 | 30,143 | ||||||
JPMorgan Chase & Co. | ||||||||
4.63% 12/31/99 (i) | 45,000 | 44,053 | ||||||
JPMorgan Chase & Co. | ||||||||
6.10% 10/29/49 (i) | 110,000 | 120,868 | ||||||
JPMorgan Chase & Co. | ||||||||
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 $ | |||||||
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 $ | |||||||
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% 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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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% 08/15/53 (i) | 51,000 | 55,665 | ||||||
The Bank of New York Mellon Corp. | ||||||||
2.66% 05/16/23 (i) | 44,000 | 43,879 | ||||||
The Bank of New York Mellon Corp. | ||||||||
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 $ | |||||||
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% 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 $ | |||||||
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% 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 |
Table of Contents
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
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% 05/22/28 (i) | 45,000 | 45,845 | ||||||
Wells Fargo & Co. | ||||||||
5.88% 12/29/49 (i) | 66,000 | 73,098 | ||||||
Wells Fargo & Co. | ||||||||
5.90% 12/29/49 (i) | 62,000 | 66,321 | ||||||
Wells Fargo & Co. | ||||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||
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 $ | |||||||||
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
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)
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)
(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 $ | |||||||
Municipal Bonds and Notes - 98.4% | ||||||||
Alaska - 0.2% |
| |||||||
Alaska Housing Finance Corp. | 2,500,000 | 2,797,150 | ||||||
|
| |||||||
Arizona - 2.6% | ||||||||
Arizona Board of Regents State University System Revenue | 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) | 7,260,000 | 8,751,544 | ||||||
Salt River Project Agricultural Improvement & Power District | 12,000,000 | 13,365,160 | ||||||
University Medical Center Corp. | 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 | 3,830,000 | 4,536,889 | ||||||
|
| |||||||
California – 10.2% |
| |||||||
Bay Area Toll Authority | 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 $ | |||||||
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 | 5,000,000 | 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% | 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 |
Table of Contents
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
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 | 10,000,000 | 10,191,100 | ||||||
Delaware State Health Facilities Authority | 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 | 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 | 6,050,000 | 6,145,106 | ||||||
Athens-Clarke County Unified Government Water & Sewerage Revenue | 7,000,000 | 7,277,480 |
Principal Amount ($) | Fair $ | |||||||
Atlanta Development Authority | 8,925,000 | 10,546,048 | ||||||
City of Atlanta Department of Aviation | 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) | 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% | 9,325,000 | 10,946,414 | ||||||
Municipal Electric | ||||||||
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 | 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 |
Table of Contents
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
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 | 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 | 11,705,000 | 13,452,063 | ||||||
Kentucky State Property & Building Commission (AGC Insured) | 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 $ | |||||||
State of Louisiana | 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 | 8,470,000 | 8,569,014 | ||||||
|
| |||||||
57,508,470 | ||||||||
|
| |||||||
Massachusetts - 4.2% | ||||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 5,000,000 | 5,963,750 | ||||||
Massachusetts Department of Transportation | 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 | 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
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2017
Principal Amount ($) | Fair $ | |||||||
Massachusetts School Building Authority | 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 | 4,000,000 | 4,408,800 | ||||||
State of Michigan | 4,415,000 | 5,406,432 | ||||||
State of Michigan Trunk Line Revenue | 6,000,000 | 6,198,600 | ||||||
University of Michigan Revenue | 1,000,000 | 1,179,470 | ||||||
|
| |||||||
21,007,637 | ||||||||
|
| |||||||
Minnesota - 0.4% |
| |||||||
Housing & Redevelopment Authority of The City of St. Paul Minnesota | 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 | 8,010,000 | 8,991,866 | ||||||
Kansas City Sanitary Sewer System Revenue | 1,725,000 | 1,844,335 | ||||||
Metropolitan St. Louis Sewer District | 3,000,000 | 3,530,160 | ||||||
Missouri Highway & Transportation Commission | 4,610,000 | 4,961,144 | ||||||
Missouri Joint Municipal Electric Utility Commission | 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 $ | |||||||
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 | 14,700,000 | 16,933,880 | ||||||
New Jersey Health Care Facilities Financing Authority | 5,000,000 | 5,234,950 | ||||||
New Jersey Health Care Facilities Financing Authority (AGMC Insured) | 6,215,000 | 6,591,132 | ||||||
New Jersey Higher Education Student Assistance Authority | 7,500,000 | 7,895,625 | ||||||
New Jersey State Turnpike Authority | ||||||||
5.00% | 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 | 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. | 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 $ | |||||||
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 | 10,000,000 | 10,226,800 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 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 | 6,000,000 | 6,257,940 | ||||||
New York State Urban Development Corp. | 9,000,000 | 9,351,270 | ||||||
Port Authority of New York & New Jersey | 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 | 1,800,000 | 1,985,328 | ||||||
City of Charlotte | 4,320,000 | 4,660,632 | ||||||
City of Charlotte Water & Sewer System Revenue | 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 $ | |||||||
North Carolina Eastern Municipal Power Agency | 5,000,000 | 5,176,150 | ||||||
North Carolina Medical Care Commission | 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 | 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 | 2,500,000 | 2,809,850 | ||||||
City of Columbus | 18,055,000 | 21,021,677 | ||||||
County of Franklin | ||||||||
5.00% 12/01/47 | 1,125,000 | 1,307,216 | ||||||
Cuyahoga Community College District | 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 | 5,000,000 | 5,195,350 | ||||||
Ohio State Turnpike Commission | 6,000,000 | 6,831,000 | ||||||
University of Cincinnati | 3,500,000 | 4,126,745 | ||||||
|
| |||||||
70,362,356 | ||||||||
|
| |||||||
Oklahoma - 0.8% | ||||||||
Oklahoma Capital Improvement Authority | 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 $ | |||||||
Oregon - 0.1% | ||||||||
Eugene Water Revenue | 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% | 13,000,000 | 14,432,620 | ||||||
Delaware River Port Authority | 5,000,000 | 5,815,750 | ||||||
Pennsylvania Economic Development Financing Authority | 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 | 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% | 12,000,000 | 13,695,540 | ||||||
5.50% 01/01/38 (l) | 14,970,000 | 15,540,656 | ||||||
|
| |||||||
37,959,848 | ||||||||
|
|
Principal Amount ($) | Fair $ | |||||||
Tennessee - 0.3% | ||||||||
County of Shelby | 3,500,000 | 3,746,295 | ||||||
State of Tennessee | 1,000,000 | 1,011,640 | ||||||
|
| |||||||
4,757,935 | ||||||||
|
| |||||||
Texas - 6.8% | ||||||||
City of Austin Airport System Revenue | 3,000,000 | 3,499,560 | ||||||
City of Austin Water & Wastewater System Revenue | 13,595,000 | 15,282,139 | ||||||
City of Dallas Waterworks & Sewer System Revenue | 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 | 3,000,000 | 3,497,100 | ||||||
Dallas/Fort Worth International Airport | 5,000,000 | 5,925,850 | ||||||
Harris County-Houston Sports Authority | 2,000,000 | 2,305,440 | ||||||
North Texas Tollway Authority (AGMC Insured) | 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 | 9,750,000 | 11,309,805 | ||||||
The University of Texas System | 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 | 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 $ | |||||||
Virginia - 1.6% | ||||||||
County of Henrico Water & Sewer Revenue | 2,530,000 | 2,990,258 | ||||||
University of Virginia | 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 | Fair $ | |||||||
Short-Term Investments - 0.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.25% | 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)
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)
(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. | ||||||||
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 | ||||||||
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% 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% 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% 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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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 |
Table of Contents
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)
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 |
(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 $1.00 per unit, it is possible to lose money by investing in the Fund.
Elfun Government Money Market Fund | 83 |
Table of Contents
Elfun Government Money Market Fund
Schedule of Investments — December 31, 2107
Principal Amount ($) | Amortized $ | |||||||
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% | 8,000,000 | 7,992,410 | ||||||
1.27% 04/19/18 (d) | 1,000,000 | 996,280 | ||||||
1.31% | 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 | ||||||||
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 - | ||||||||
1.30% 11/13/18 (i) | 750,000 | 749,967 |
Principal Amount ($) | Amortized $ | |||||||
Federal Farm Credit Banks 1 month USD LIBOR - | ||||||||
1.39% 11/07/18 (i) | 1,000,000 | 999,974 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
1.10% | 600,000 | 599,838 | ||||||
1.31% 02/02/18 (d) | 3,000,000 | 2,996,568 | ||||||
1.32% | 5,500,000 | 5,492,037 | ||||||
1.33% | 6,000,000 | 5,986,810 | ||||||
1.35% 03/14/18 (d) | 2,000,000 | 1,994,700 | ||||||
1.36% | 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% | 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 $ | |||||||
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 $ | |||||||
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
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 | 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 | 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, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | |||||||||||||
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, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | |||||||||||
$ | 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, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | |||||||||||||
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 |
Table of Contents
Elfun Funds
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 |
Table of Contents
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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Elfun Funds
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 | — | 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 | — | 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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Elfun Funds
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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Elfun Funds
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.
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 |
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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 |
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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) | ||||||||||||
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 Income 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 |
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
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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 $32,930 and $27,100, 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. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
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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 INCOME 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 |