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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 811-01494
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GENERAL ELECTRIC S&S PROGRAM MUTUAL FUND
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(Exact name of registrant as specified in charter)
3001, SUMMER STREET,STAMFORD, CONNECTICUT, 06905
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(Address of principal executive offices) (Zip code)
GE ASSET MANAGEMENT INC,3001, SUMMER STREET,STAMFORD,CONNECTICUT, 06905
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(Name and address of agent for service)
Registrant"s telephone number, including area code: 800-242-0134
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Date of fiscal year end: 12/31
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Date of reporting period: : 12/31/06
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<page>
ITEM 1. REPORTS TO STOCKHOLDERS.
S&S PROGRAM
Program Mutual Fund
Income Fund
Annual Report
December 31, 2006
[GE LOGO OMITTED]
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Contents
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NOTES TO PERFORMANCE ...................................................... 1
MANAGER REVIEWS AND SCHEDULES OF INVESTMENTS
PROGRAM MUTUAL FUND .................................................... 2
INCOME FUND ............................................................ 10
NOTES TO SCHEDULES OF INVESTMENTS ......................................... 29
FINANCIAL STATEMENTS
Financial Highlights ................................................... 30
Statements of Assets and Liabilities ................................... 32
Statements of Operations ............................................... 33
Statements of Changes in Net Assets .................................... 34
Notes to Financial Statements .......................................... 35
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 43
TAX INFORMATION ........................................................... 44
ADVISORY AGREEMENT RENEWAL ................................................ 45
ADDITIONAL INFORMATION .................................................... 48
INVESTMENT TEAM ........................................................... 51
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Notes to Performance (unaudited)
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Information on the preceding performance pages relating to the GE S&S Program
Mutual Fund and GE S&S Income Fund (each a "Fund" and collectively the "Funds")
one year total return is audited, all other information, including the portfolio
manager Q&A pages, is unaudited.
Total returns take into account changes in share price and assume reinvestment
of dividends and capital gains distributions, if any. Investment returns and net
asset value on an investment will fluctuate and you may have a gain or loss when
you sell your shares.
Shares of the Funds are neither insured nor guaranteed by the U.S. Government,
and their prices will fluctuate with market conditions.
The Standard & Poor's ("S&P") 500 Composite Index of stocks (S&P 500) and the
Lehman Brothers Aggregate Bond Index (LB Aggregate) are unmanaged indices and do
not reflect the actual cost of investing in the instruments that comprise each
index. S&P 500 is an unmanaged, market capitalization-weighted index of stocks
of 500 large U.S. companies, which is widely used as a measure of large-cap
stock market performance. LB Aggregate is a market value-weighted index of
investment-grade debt issues, including government, corporate, asset-backed and
mortgage-backed securities, with maturities of one year or more. The results
shown for the foregoing indices assume the reinvestment of net dividends or
interest and are unaudited.
The peer universe of funds used in our peer ranking calculation is based on the
blend of Lipper peer categories, as shown. This blend is the same as the
category blend used by the Wall Street Journal. The actual number of funds and
numerical rankings in the Lipper and Wall Street Journal universes could differ
since the Wall Street Journal excludes certain funds, which do not meet their
net asset or number of shareholder publication thresholds. Lipper is an
independent mutual fund rating service. A Fund's performance may be compared to
or ranked within a universe of mutual funds with investment objectives and
policies similar but not necessarily identical to the Fund's. Such comparisons
or rankings are made on the basis of several factors, including the Fund's
objectives and policies, management style and strategy, and portfolio
composition, and may change over time if any of those factors change.
1
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GE S&S Program Mutual Fund
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THE S&S PROGRAM MUTUAL FUND IS MANAGED BY A TEAM OF PORTFOLIO MANAGERS THAT
INCLUDES CHRISTOPHER D. BROWN, GEORGE A. BICHER, PAUL C. REINHARDT AND STEPHEN
V. GELHAUS (PICTURED BELOW FROM LEFT TO RIGHT). EACH OF THE FOREGOING PORTFOLIO
MANAGERS MANAGES (OR CO-MANAGES) ONE OF THREE SUB-PORTFOLIOS, WHICH COMPRISE THE
FUND. THE THREE SUB-PORTFOLIOS ARE MANAGED INDEPENDENTLY OF EACH OTHER AND THE
PORTFOLIO MANAGERS HAVE FULL DISCRETION OVER THEIR SUB-PORTFOLIO. THE WEIGHTINGS
TO EACH SUB-PORTFOLIO IN THE FUND, WHICH CAN BE CHANGED AT ANY TIME BUT
GENERALLY REMAIN STABLE FOR 18 TO 24 MONTHS, ARE DRIVEN BY THE OBJECTIVE OF
KEEPING THE FUND "STYLE NEUTRAL" SUCH THAT IT COMBINES BOTH GROWTH AND VALUE
INVESTMENT MANAGEMENT STYLES AND DOES NOT TEND TO FAVOR EITHER STYLE.
GEORGE A. BICHER IS A SENIOR VICE PRESIDENT OF GEAM. MR. BICHER IS DIRECTOR OF
THE U.S. EQUITY RESEARCH TEAM AND A PORTFOLIO MANAGER FOR THE S&S PROGRAM MUTUAL
FUND SINCE JANUARY 2007. MR. BICHER HAS HELD THE POSITION OF EQUITY RESEARCH
ANALYST SINCE JOINING GEAM IN JUNE 2002. PRIOR TO JOINING GEAM, HE SERVED IN A
NUMBER OF POSITIONS AT DEUTSCHE BANC ALEX BROWN SINCE 1994.
CHRISTOPHER D. BROWN IS A SENIOR VICE PRESIDENT OF GEAM. HE HAS SERVED ON THE
PORTFOLIO MANAGEMENT TEAM FOR THE S&S PROGRAM MUTUAL FUND SINCE DECEMBER 1998.
MR. BROWN JOINED GEAM IN 1985 AS A MANAGER OF FUNDS ACCOUNTING. HE BECAME A U.S.
EQUITY ANALYST IN 1989, A VICE PRESIDENT AND PORTFOLIO MANAGER IN 1992, AND A
SENIOR VICE PRESIDENT IN 1996.
STEPHEN V. GELHAUS IS A VICE PRESIDENT OF GEAM. HE HAS BEEN A MEMBER OF THE
PORTFOLIO MANAGEMENT TEAM FOR THE S&S PROGRAM MUTUAL FUND SINCE JANUARY 2002.
MR. GELHAUS JOINED GEAM IN JUNE 1991 AND WAS A RESEARCH ANALYST IN THE U.S.
EQUITY DEPARTMENT FROM 1995 THROUGH 2001 AND BECAME AN ASSOCIATE PORTFOLIO
MANAGER AT GEAM IN 1999.
PAUL C. REINHARDT IS A SENIOR VICE PRESIDENT OF GEAM. HE HAS BEEN A MEMBER OF
THE PORTFOLIO MANAGEMENT TEAM FOR THE S&S PROGRAM MUTUAL FUND SINCE JANUARY
2001. MR. REINHARDT JOINED GEAM IN 1982 AS AN EQUITY ANALYST AND HAS BEEN A
PORTFOLIO MANAGER SINCE 1987.
[PHOTOS OMITTED]
2
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Q&A
Q. HOW DID THE GE S&S PROGRAM MUTUAL FUND PERFORM COMPARED TO ITS BENCHMARK
AND LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2006?
A. For the twelve-month period ended December 31, 2006, the GE S&S Program
Mutual Fund returned 16.82%. The S&P 500 Index, the Fund's benchmark,
returned 15.79% and the Fund's Lipper peer group of 814 Large-Cap Core
funds returned an average of 13.53% for the same period.
Q. WHAT MARKET CONDITIONS IMPACTED FUND PERFORMANCE?
A. The U.S. equity markets had a strong year, with upbeat returns across all
market sectors. 2006 marked the fourth consecutive year of positive equity
returns, establishing the second-longest running bull market since 1928.
However, we characterized this bull market as muted -- its average annual
return of +17% versus an average of +38% for the past 20 bull markets
ranked it dead last in terms of magnitude.
After an uneventful first half of 2006, most of this year's gains occurred
in the second half with strong advances in each of the broad market
indices. It seems Santa took advantage of declining oil prices to power up
his sleigh early, and investors enjoyed a remarkable second-half rally
bolstered by continued profit growth, an abundance of deal-making, cooling
inflation worries and a pause in Fed tightening. For the year, the Dow
Jones Industrial Average posted a +19.1% total return -- its best annual
gain since 2003 (and at 12,463, near an all-time high). The S&P 500 ended
the year +15.8%, at a level unseen for the past six years, and the Russell
1000 gained +15.5%. The Russell 2000 (+18.4%) outpaced the larger cap
indices, and the tech-heavy NASDAQ (+9.5%) lagged, while still turning in
a respectable absolute return.
During the year, telecommunications services (+36.8%), energy (+24.2%) and
utilities (+21.0%) led broad market returns, while technology (+8.3%) and
health care (+7.5%) trailed the S&P 500 by the widest margins. While
telecom services was one of the worst performing sectors in 2005,
investors applauded M&A activity in the space in 2006, especially AT&T's
announced acquisition of BellSouth (up +53% and +80%, respectively). Given
the sector leadership, it was not surprising that value once again
outperformed growth. For the eighth consecutive year, small caps
outperformed large caps, but this year it was by a narrower margin. While
lagging significantly in 2005, the returns of the 100 largest stocks
(+15.7%) were approximately in-line with the S&P 500 benchmark (+15.8%) in
2006.
Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE?
A. A slightly more defensive positioning and strong stock selection across
most all sectors benefited the Fund in 2006. Our technology, energy,
industrials, and consumer holdings contributed most to our winning
performance during the year. Within technology, many of the high-quality
names that lagged in 2005 rebounded in 2006, and a well-diversified group
of tech names bolstered the Fund. For example, Cisco (+59.6%) enjoyed
accelerating demand for its data networking products (due to increased
video content on the Internet), and Oracle (+40.4%) continued to beat
earnings expectations and gain share of the enterprise software market. We
also achieved strong stock selection in energy, with particular strength
in
3
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GE S&S Program Mutual Fund
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Q&A
energy services companies, including Schlumberger (+31.1%). The Fund's
industrials holdings bolstered returns as unprecedented levels of global
infrastructure investment spending continued to benefit companies like
electrical equipment manufacturer, ABB (+86.0%). In the consumer space,
avoiding stocks that might lag in a mid-cycle slowdown helped, for
example, underweighting Wal-Mart (-3.5%). We felt household products
companies like Colgate-Palmolive (+21.5%) were a safer place to focus,
given the non-discretionary nature of their products. Additionally, a
turnaround in media companies added to returns. Comcast (+63.0%) and
Cablevision (+84.6%) put up terrific results throughout the year, quelling
fears over significant subscriber losses to telephone companies' bundled
services (cable, telephone and broadband).
Slightly offsetting these positives were underweights in the
telecommunications and financials sectors. Underweighting diversified
telecom services companies was the single greatest drag on performance, as
the group soared over +50% amid restructuring initiatives and heightened
M&A activity. While BellSouth rose +79.9% on their announced combination
with AT&T (+53.2%), we had been underweight with respect to both names in
the Fund. However, the value portion of the Fund did initiate a position
in AT&T during the third quarter, due to better fundamentals and synergies
expected from the merger. During the year we owned fewer financial stocks
than the S&P 500 due to concerns about the aging credit cycle and higher
interest rates. Despite positive contributions from several financials,
including Mellon (+26.0%), State Street (+23.2%) and Fannie Mae (+24.3%),
the Fund's underweight in this outperforming sector dragged on returns.
Q. WERE THERE ANY SIGNIFICANT CHANGES TO THE FUND OVER THE PERIOD?
A. We have remained resolutely committed to investing in high quality
large-cap stocks with predictable and steady earnings growth, and that
discipline served us well in 2006. We continue to be relatively
defensively positioned, although at year-end our largest overweight was in
technology, an area that we believe could benefit from increased capital
expenditures in the year ahead. We also expected our portfolio of
diversified, high quality tech names to perform well in a slowing growth
environment. We increased our overweight in health care -- a traditionally
defensive area --valuing its relatively steady growth and attractive
dividend yields. Accordingly, we decreased our weighting in consumer
discretionary names, and initiated an overweight in consumer staples
sector. We moved away from cyclicals, increasing our underweight in energy
and going underweight in materials as commodity prices moderated. We
believed many commodity-based stocks were over-owned, making them
vulnerable to short-term pullbacks. Our largest underweight remained in
financials, reflecting headwinds from a higher interest rate environment
and concerns about the credit cycle.
We remain focused on a long-term investment horizon and continue to
utilize a bottom-up, research-driven, fundamental approach to stock
selection. Over the long-term, our stock selection has added value to
performance and we believe the high quality companies we own should
provide above-average returns going forward.
4
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GE S&S Program Mutual Fund
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Understanding Your Fund's Expenses
As a shareholder of the Fund you incur transaction and ongoing expenses.
Transaction expenses including sales charges on purchase payments, reinvested
dividends (or other distributions), and redemption fees directly reduce the
investment return of the Fund. Ongoing costs include portfolio management fees,
distribution and service fees, professional fees, administrative fees and other
Fund expenses. The following example is intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors in each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the entire
six-month period ended December 31, 2006.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund's
actual return. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholders
reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2006 - DECEMBER 31, 2006
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ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
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Actual Fund Return** 1,000.00 1,127.66 0.58
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Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,024.37 0.55
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* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.11% (FROM
PERIOD JULY 1, 2006 - DECEMBER 31, 2006), MULTIPLIED BY THE AVERAGE
ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/365 (TO REFLECT THE SIX
MONTH PERIOD).
** ACTUAL FUND RETURNS FOR SIX-MONTH PERIOD ENDED DECEMBER 31, 2006 ARE AS
FOLLOWS: 12.77%.
5
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GE S&S Program Mutual Fund
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CHANGE IN VALUE OF A $10,000 INVESTMENT
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[LINE GRAPH OMITTED PLOT POINTS ARE AS FOLLOWS:]
GE S&S Program S&P 500 Index
Mutual Fund
12/96 10,000 10,000
12/97 13,307 13,329
12/98 16,473 17,154
12/99 19,727 20,768
12/00 19,738 18,861
12/01 18,014 16,614
12/02 14,610 12,942
12/03 18,080 16,660
12/04 19,616 18,473
12/05 20,193 19,382
12/06 23,585 22,442
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2006
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ONE FIVE TEN
YEAR YEAR YEAR
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GE S&S Program Mutual Fund 16.82% 5.54% 8.96%
S&P 500 Index 15.79% 6.20% 8.42%
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GE S&S Program Mutual Fund (ending value $23,585)
S&P 500 Index (ending value $22,442)
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INVESTMENT PROFILE
A fund designed for investors who seek long-term growth of capital and income by
investing primarily in a diversified portfolio of equity securities of U.S.
companies.
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LIPPER PERFORMANCE COMPARISON
LARGE CAP CORE PEER GROUP
BASED ON AVERAGE ANNUAL TOTAL RETURNS
FOR THE PERIODS ENDED 12/31/06
ONE FIVE TEN
YEAR YEAR YEAR
Fund's rank in peer group: 111 210 31
Number of Funds in peer group: 814 583 251
Peer group average annual total return: 13.53% 4.83% 6.87%
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TOP TEN HOLDINGS
AS OF DECEMBER 31, 2006
AS A % OF MARKET VALUE
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Exxon Mobil Corp. 4.73%
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Microsoft Corp. 3.40%
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American International Group, Inc. 2.84%
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PepsiCo, Inc. 2.75%
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Bank of America Corp. 2.71%
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Pfizer Inc. 2.40%
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Wyeth 2.36%
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Amgen, Inc. 2.05%
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Cisco Systems, Inc. 1.84%
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Oracle Corp. 1.78%
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SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF LIPPER PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES.
6
GE S&S PROGRAM MUTUAL FUND (dollars in thousands) -- December 31, 2006
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Schedule of Investments
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GE S&S PROGRAM MUTUAL FUND
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PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $4,646,503 AS OF DECEMBER
31, 2006.
[PIE CHART OMITTED PLOT POINTS ARE AS FOLLOWS:]
Telecommunication Services 1.8%
Financials 18.5%
Information Technology 18.3%
Healthcare 14.2%
Consumer Discretionary 10.4%
Consumer Staples 10.0%
Industrials 9.2%
Energy 8.4%
Short-Term 3.6%
Utilities 3.0%
Materials 2.6%
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NUMBER
OF SHARES VALUE
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COMMON STOCK -- 98.6%
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CONSUMER DISCRETIONARY -- 10.7%
Autozone, Inc. 61,981 $ 7,163 (a)
Bed Bath & Beyond, Inc. 1,122,684 42,774 (a)
Cablevision Systems Corp. 337,009 9,598
Carnival Corp. 625,207 30,666 (j)
CBS Corp. 19,265 601
Comcast Corp. (Class A) 1,805,978 75,634 (a,j)
Home Depot, Inc. 862,029 34,619
Koninklijke Philips Electronics
N.V. ADR 486,238 18,273
Liberty Global, Inc. (Series C) 677,245 18,963 (a)
Liberty Media Holding Corp -
Capital (Series A) 233,143 22,843 (a)
Liberty Media Holding Corp -
Interactive (Series A) 1,165,717 25,145 (a)
News Corp. (Class A) 642,651 13,804
Omnicom Group, Inc. 640,769 66,986
Staples, Inc. 932,284 24,892
Starwood Hotels & Resorts
Worldwide, Inc. 126,456 7,904
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NUMBER
OF SHARES VALUE
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Target Corp. 661,468 $ 37,737
Time Warner, Inc. 1,354,667 29,505
Viacom Inc. (Class B) 423,298 17,368 (a)
484,475
CONSUMER STAPLES -- 10.2%
Alberto-Culver Co. 420,131 9,012
Clorox Co. 745,539 47,826
Colgate-Palmolive Co. 880,015 57,412
Diageo PLC ADR 111,133 8,814
General Mills, Inc. 492,707 28,380
Kellogg Co. 707,373 35,411 (j)
Kimberly-Clark Corp. 554,779 37,697
PepsiCo, Inc. 2,045,217 127,928
Procter & Gamble Co. 454,802 29,230
Sally Beauty Holdings, Inc. 420,131 3,277 (a)
Sara Lee Corp. 190,754 3,249
The Coca-Cola Co. 1,564,896 75,506
463,742
ENERGY -- 8.6%
EOG Resources, Inc. 317,360 19,819
Exxon Mobil Corp. 2,865,483 219,582
Halliburton Co. 501,284 15,565
Hess Corp. 515,878 25,572
Occidental Petroleum Corp. 533,514 26,052
Schlumberger Ltd. 948,029 59,878
Transocean Inc. 296,348 23,972 (a)
390,440
FINANCIALS -- 18.9%
ACE Ltd. 535,109 32,412
AFLAC Incorporated 368,234 16,939
Allstate Corp. 424,054 27,610
American International
Group, Inc. 1,840,665 131,902
AON Corp. 138,731 4,903
Bank of America Corp. 2,361,661 126,089
Berkshire Hathaway, Inc.
(Class B) 895 3,281 (a)
BlackRock Inc. (Class A) 55,574 8,442 (j)
CB Richard Ellis Group, Inc.
(Class A) 27,746 921 (a)
Chubb Corp. 368,198 19,481
Citigroup, Inc. 1,259,238 70,140
Everest Re Group, Ltd. 131,936 12,944
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See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
7
GE S&S PROGRAM MUTUAL FUND (dollars in thousands) -- December 31, 2006
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Schedule of Investments
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NUMBER
OF SHARES VALUE
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Federal Home Loan
Mortgage Corp. 562,687 $ 38,206
Federal National
Mortgage Assoc. 718,989 42,701
HCC Insurance Holdings, Inc. 265,323 8,514
Mellon Financial Corp. 1,021,457 43,054
Merrill Lynch & Company, Inc. 494,804 46,066
Metlife, Inc. 993,125 58,604
Morgan Stanley 153,092 12,466
Prudential Financial, Inc. 162,180 13,925 (e)
State Street Corp. 890,941 60,085
SunTrust Banks, Inc. 663,741 56,053
The Bank of New York
Company, Inc. 138,976 5,472
US Bancorp 508,294 18,395
858,605
HEALTHCARE -- 14.6%
Abbott Laboratories 926,222 45,116 (h)
Advanced Medical Optics, Inc. 71,799 2,527 (a,j)
Aetna, Inc. 1,255,568 54,215
Amgen, Inc. 1,395,752 95,344 (a)
Baxter International, Inc. 933,115 43,287
Boston Scientific Corp. 226,037 3,883 (a)
Bristol-Myers Squibb Co. 110,984 2,921
DaVita, Inc. 121,389 6,905 (a)
Eli Lilly & Co. 163,346 8,510
Gilead Sciences, Inc. 177,702 11,538 (a)
GlaxoSmithKline PLC ADR 305,689 16,128
Johnson & Johnson 443,448 29,276
Lincare Holdings Inc. 566,104 22,554 (a)
Medco Health Solutions, Inc. 347,322 18,561 (a)
Medtronic Inc. 616,568 32,993
Novartis AG ADR 253,536 14,563
Pfizer Inc. 4,300,383 111,380
Quest Diagnostics Inc. 90,373 4,790
Thermo Electron Corp. 208,199 9,429 (a)
UnitedHealth Group, Inc. 330,958 17,782
Wyeth 2,152,752 109,618
661,320
INDUSTRIALS -- 9.4%
ABB Ltd. ADR 937,811 16,862
Burlington Northern
Santa Fe Corp. 97,315 7,183
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NUMBER
OF SHARES VALUE
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Cooper Industries Ltd. 266,069 $ 24,061
Corinthian Colleges, Inc. 320,545 4,369 (a)
CSX Corp. 305,595 10,522
Deere & Co. 239,708 22,789
Dover Corp. 1,478,477 72,475
Eaton Corp. 496,242 37,288
Emerson Electric Co. 615,486 27,137
General Dynamics Corp. 166,778 12,400
ITT Corp. 111,148 6,315
Northrop Grumman Corp. 347,277 23,511
Rockwell Collins, Inc. 76,429 4,837
Southwest Airlines Co. 1,364,662 20,907
Textron Inc. 328,390 30,793
3M Co. 194,326 15,144
Tyco International Ltd. 1,082,502 32,908
United Technologies Corp. 862,137 53,901
Waste Management, Inc. 52,396 1,927
WESCO International, Inc. 65,897 3,875 (a,j)
429,204
INFORMATION TECHNOLOGY -- 18.7%
Activision, Inc. 416,804 7,186 (a,j)
Analog Devices, Inc. 927,836 30,498
Automatic Data
Processing, Inc. 514,006 25,315
Checkfree Corp. 104,201 4,185 (a,j)
Cisco Systems, Inc. 3,130,009 85,543 (a)
Dell, Inc. 278,227 6,981 (a)
eBay, Inc. 392,666 11,807 (a)
EMC Corp. 1,059,857 13,990 (a)
Fidelity National Information
Services, Inc. 406,169 16,283
First Data Corp. 1,252,168 31,955
Hewlett-Packard Co. 392,316 16,159
Intel Corp. 1,458,588 29,536
International Business
Machines Corp. 422,405 41,037
Intuit Inc. 681,128 20,781 (a)
Lam Research Corp. 20,810 1,053
Linear Technology Corp. 298,016 9,036
Maxim Integrated Products, Inc. 886,395 27,141
Microchip Technology Inc. 548,393 17,932 (j)
Microsoft Corp. 5,290,287 157,968
Molex, Inc. (Class A) 1,118,395 30,980
National Semiconductor Corp. 579,200 13,148
Oracle Corp. 4,828,628 82,763 (a)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
8
GE S&S PROGRAM MUTUAL FUND (dollars in thousands) -- December 31, 2006
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Schedule of Investments
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NUMBER
OF SHARES VALUE
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Paychex, Inc. 619,676 $ 24,502
Sun Microsystems, Inc. 799,611 4,334 (a)
Texas Instruments
Incorporated. 1,207,530 34,777
Western Union Company 2,706,779 60,686
Xerox Corp. 70,080 1,188 (a)
Yahoo! Inc. 1,637,241 41,815 (a)
848,579
MATERIALS -- 2.6%
Air Products & Chemicals, Inc. 104,446 7,340
Barrick Gold Corp. 1,092,784 33,548
Freeport-McMoRan Copper &
Gold Inc. (Class B) 242,863 13,535 (j)
Monsanto Co. 866,235 45,503
PAN American Silver Corp. 45,088 1,135 (a)
Praxair, Inc. 248,152 14,723
Vulcan Materials Co. 24,278 2,182
117,966
TELECOMMUNICATION SERVICES -- 1.8%
Alltel Corp. 478,424 28,935
AT&T, Inc. 86,706 3,100
Sprint Nextel Corp. (Series 1) 755,944 14,280
Verizon Communications Inc. 764,117 28,456
Vodafone Group, PLC ADR 375,936 10,444
85,215
UTILITIES -- 3.1%
American Electric Power
Company, Inc. 87,012 3,705
Constellation Energy
Group, Inc. 378,500 26,067
Dominion Resources, Inc. 347,286 29,116 (j)
Duke Energy Corp. 814,541 27,051
Edison International 371,106 16,878
Entergy Corp. 78,238 7,223
FirstEnergy Corp. 161,774 9,755
FPL Group, Inc. 197,690 10,758 (j)
PG&E Corp. 204,693 9,688
140,241
TOTAL INVESTMENTS IN SECURITIES
(COST $3,831,098) 4,479,787
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.7%
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.2%
REPURCHASE AGREEMENTS
State Street Corp.
4.75% date 12/29/06,
to be repurchased at
$55,222 on 01/03/07
collateralized by $56,290
U.S. Government Agency
Bond, Zero Coupon,
maturing 01/03/07 $ 55,186 $ 55,186 (e)
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM SECURITIES PURCHASED WITH COLLATERAL FROM
SECURITIES ON LOAN -- 2.5%
State Street Navigator Securities
Lending Prime Portfolio
5.33% 111,529,850 111,530 (d,e)
TOTAL SHORT-TERM INVESTMENTS
(COST $166,716) 166,716
TOTAL INVESTMENTS
(COST $3,997,814) 4,646,503
LIABILITIES IN EXCESS OF OTHER
ASSETS, NET -- (2.3)% (105,482)
----------
NET ASSETS -- 100.0% $4,541,021
==========
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
9
- --------------------------------------------------------------------------------
GE S&S Income Fund
- --------------------------------------------------------------------------------
THE S&S INCOME FUND IS MANAGED BY A TEAM OF PORTFOLIO MANAGERS THAT INCLUDES
PAUL M. COLONNA (PICTURED BELOW), MARK DELANEY, ERIC H. GOULD, WILLIAM M.
HEALEY, JAMES F. PALMIERI AND VITA MARIE PIKE. AS LEAD PORTFOLIO MANAGER FOR THE
INCOME FUND, MR. COLONNA (PICTURED BELOW) HAS OVERSIGHT AUTHORITY BUT DOES NOT
POSSESS THE POWER TO VETO THE INVESTMENT DECISIONS OF HIS CO-MANAGERS.
PAUL M. COLONNA IS A SENIOR VICE PRESIDENT OF GE ASSET MANAGEMENT. SINCE JANUARY
2005, HE HAS LED THE TEAM OF PORTFOLIO MANAGERS FOR THE FIXED INCOME INVESTMENTS
FOR GE ASSET MANAGEMENT AND HE HAS LED THE TEAM OF PORTFOLIO MANAGERS FOR THE
S&S INCOME FUND. PRIOR TO JOINING GE ASSET MANAGEMENT IN FEBRUARY 2000, MR.
COLONNA WAS A SENIOR PORTFOLIO MANAGER WITH THE FEDERAL HOME LOAN MORTGAGE
CORPORATION, OVERSEEING THE MORTGAGE INVESTMENT GROUP.
MARK DELANEY IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS BEEN A MEMBER OF
THE PORTFOLIO MANAGEMENT TEAM FOR THE S&S INCOME FUND SINCE JOINING GE ASSET
MANAGEMENT IN APRIL 2002. PRIOR TO JOINING GE ASSET MANAGEMENT, MR. DELANEY WAS
THE ASSISTANT INVESTMENT OFFICER FOR THE PUBLIC EMPLOYEES RETIREMENT SYSTEM OF
OHIO.
ERIC H. GOULD IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS BEEN A
PORTFOLIO MANAGER FOR THE S&S INCOME FUND SINCE JOINING GE ASSET MANAGEMENT IN
SEPTEMBER 2000. PRIOR TO JOINING GE ASSET MANAGEMENT, MR. GOULD WAS A SENIOR
ASSET MANAGER FOR METROPOLITAN LIFE INSURANCE COMPANY.
WILLIAM M. HEALEY IS A SENIOR VICE PRESIDENT OF GE ASSET MANAGEMENT. HE HAS
SERVED ON THE PORTFOLIO MANAGEMENT TEAMS FOR THE S&S INCOME FUND SINCE JOINING
GE ASSET MANAGEMENT IN 1996. PRIOR TO JOINING GE ASSET MANAGEMENT, MR. HEALEY
SPENT OVER 10 YEARS IN THE FIXED INCOME GROUP AT METLIFE.
JAMES F. PALMIERI IS AN ASSISTANT PORTFOLIO MANAGER OF GEAM. SINCE MARCH 2006,
HE HAS MANAGED THE MORTGAGE-BACKED SECURITIES SECTOR FOR THE S&S INCOME FUND.
PRIOR TO JOINING GEAM, MR. PALMIERI WAS A DIRECTOR OF INVESTMENTS FOR
CONSTITUTION CORPORATE FEDERAL CREDIT UNION FROM FEBRUARY 2005 TO MARCH 2006 AND
A PORTFOLIO MANAGER FOR CIGNA INVESTMENT MANAGEMENT FROM JANUARY 2000 TO
FEBRUARY 2005.
VITA MARIE PIKE IS A VICE PRESIDENT OF GE ASSET MANAGEMENT. SHE HAS SERVED ON
THE PORTFOLIO MANAGEMENT TEAM FOR THE S&S INCOME FUND SINCE JUNE 2004. PRIOR TO
JOINING GE ASSET MANAGEMENT IN JANUARY 2001, SHE WAS WITH ALLIANCE CAPITAL FOR
OVER NINE YEARS SERVING IN A NUMBER OF DIFFERENT CAPACITIES INCLUDING PORTFOLIO
MANAGER.
[PHOTO OMITTED]
10
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Q&A
Q. HOW DID THE GE S&S INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND
LIPPER PEER GROUP FOR THE TWELVE-MONTH PERIOD ENDED DECEMBER 31, 2006?
A. For the twelve-month period ended December 31, 2006, the GE S&S Income
Fund returned 4.74%. The Lehman Brothers Aggregate Bond Index, the Fund's
benchmark, returned 4.33% and the Fund's Lipper peer group of 486
Intermediate Investment Grade Debt Funds returned an average of 4.06% for
the same period
Q. DESCRIBE WHAT HAPPENED IN THE U.S. ECONOMY DURING THE 12-MONTH PERIOD
ENDING DECEMBER 31, 2006.
A. The Federal Reserve, under Dr. Ben Bernanke's leadership, continued to
raise the Fed funds rate in the first half of 2006, stopping in June at
5.25%. Although the Fed kept the rate steady in the second half, language
from the Federal Open Market Committee and various Fed members emphasized
nascent inflation risks, despite economic growth slowed by weakness in the
housing and auto markets. While the Fed appears to be biased towards
further rate hikes in 2007, the U.S. Treasury market is priced for a
reduction in rates. Interest rates did backup in 2006 with yields on the
2-year and 10-year notes ending at 4.8% and 4.7%, respectively, up 41 and
31 basis points. The 10-year note traded to a higher yield through June as
the Fed raised short rates amid strong economic growth above 4%. Yields
moved lower by December after the Fed paused and GDP growth slipped to
roughly 2%.
Q. WHAT WERE THE PRIMARY DRIVERS OF FUND PERFORMANCE?
A. Fund performance benefited from the allocation in high yield and emerging
market debt securities. These two sectors significantly outperformed the
high-grade market with returns of 11.85% (high yield) and 9.86% (EMD). The
Fund's overweight in BBB-rated corporate bonds also contributed
positively. Some value was obtained from yield curve positioning while the
contribution from tactical duration moves was neutral.
11
- --------------------------------------------------------------------------------
GE S&S Income Fund
- --------------------------------------------------------------------------------
Understanding Your Fund's Expenses
As a shareholder of the Fund you incur transaction and ongoing expenses.
Transaction expenses including sales charges on purchase payments, reinvested
dividends (or other distributions), and redemption fees directly reduce the
investment return of the Fund. Ongoing costs include portfolio management fees,
distribution and service fees, professional fees, administrative fees and other
Fund expenses. The following example is intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated
the expenses paid by investors in each share class of the Fund during the
period. The information in the following table is based on an investment of
$1,000, which is invested at the beginning of the period and held for the entire
six-month period ended December 31, 2006.
ACTUAL EXPENSES
The first section of the table provides information about actual account values
and actual expenses. You may use the information in this section, together with
the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your class under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund's
actual return. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholders
reports of other funds.
Please note that the expenses shown in the table do not reflect any transaction
costs, such as sales charges or redemption fees.
JULY 1, 2006 - DECEMBER 31, 2006
- ----------------------------------------------------------------------------
ACCOUNT VALUE AT ACCOUNT VALUE EXPENSES
THE BEGINNING OF AT THE END OF PAID DURING
THE PERIOD ($) THE PERIOD ($) THE PERIOD ($)*
- ----------------------------------------------------------------------------
Actual Fund Return** 1,000.00 1,051.29 0.84
- ----------------------------------------------------------------------------
Hypothetical 5% Return
(2.5% for the period) 1,000.00 1,024.11 0.82
- ----------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.16% (FROM
PERIOD JULY 1, 2006 - DECEMBER 31, 2006), MULTIPLIED BY THE AVERAGE
ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/365 (TO REFLECT THE SIX
MONTH PERIOD).
** ACTUAL FUND RETURNS FOR SIX-MONTH PERIOD ENDED DECEMBER 31, 2006 ARE AS
FOLLOWS: 5.13%.
12
- --------------------------------------------------------------------------------
GE S&S Income Fund
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CHANGE IN VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED PLOT POINTS ARE AS FOLLOWS:]
GE S&S Income Fund LB Aggregate Bond Index
12/96 10,000 10,000
12/97 10,954 10,965
12/98 11,883 11,918
12/99 11,773 11,820
12/00 13,079 13,194
12/01 14,158 14,308
12/02 15,631 15,776
12/03 16,303 16,423
12/04 16,975 17,136
12/05 17,421 17,552
12/06 18,248 18,312
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2006
- --------------------------------------------------------------------------------
ONE FIVE TEN
YEAR YEAR YEAR
- --------------------------------------------------------------------------------
GE S&S Income Fund 4.74% 5.21% 6.20%
LB Aggregate Bond Index 4.33% 5.06% 6.24%
- --------------------------------------------------------------------------------
GE S&S Income Fund (ending value $18,248)
LB Aggregate Bond Index (ending value $18,312)
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek a high interest rate of return over a
long-term period consistent with the preservation of capital by investing at
least 80% of its net assets in debt securities under normal circumstances. The
Fund invests primarily in a variety of investment-grade debt securities, such as
U.S. Government securities, mortgage-backed securities, corporate bonds and
money market instruments.
- --------------------------------------------------------------------------------
LIPPER PERFORMANCE COMPARISON
INTERMEDIATE INVESTMENT GRADE DEBT PEER GROUP
BASED ON AVERAGE ANNUAL TOTAL RETURNS
FOR THE PERIODS ENDED 12/31/06
ONE FIVE TEN
YEAR YEAR YEAR
Fund's rank in peer group: 65 61 24
Number of Funds in peer group: 486 357 151
Peer group average annual total return: 4.06% 4.53% 5.52%
- --------------------------------------------------------------------------------
QUALITY RATINGS AS OF DECEMBER 31, 2006
AS A % OF MARKET VALUE
- --------------------------------------------------------------------------------
MOODY'S/S&P/ PERCENTAGE OF
FITCH RATING* MARKET VALUE
- --------------------------------------------------------------------------------
Aaa / AAA 71.17%
- --------------------------------------------------------------------------------
Aa / AA 5.01%
- --------------------------------------------------------------------------------
A / A 8.34%
- --------------------------------------------------------------------------------
Baa / BBB 7.87%
- --------------------------------------------------------------------------------
Ba / BB and lower 7.61%
- --------------------------------------------------------------------------------
100.00%
- --------------------------------------------------------------------------------
* MOODY'S INVESTORS SERVICES INC, STANDARD & POOR'S AND FITCH ARE NATIONALLY
RECOGNIZED STATISTICAL RATING ORGANIZATIONS.
SEE NOTES TO PERFORMANCE ON PAGE 1 FOR FURTHER INFORMATION, INCLUDING AN
EXPLANATION OF LIPPER PEER CATEGORIES.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE GRAPH AND TABLE DO
NOT REFLECT THE DEDUCTION OF TAXES.
13
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
GE S&S INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION AS A % OF THE MARKET VALUE OF $3,307,647 AS OF DECEMBER
31, 2006.
[PIE CHART OMITTED PLOT POINTS ARE AS FOLLOWS:]
Asset-Backed 46.3%
Corporate Notes 25.1%
U.S.Treasuries 17.2%
Short-Term & Others 11.4%
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 101.2%
- --------------------------------------------------------------------------------
U.S. TREASURIES -- 22.8%
U.S. Treasury Bonds
4.50% 02/15/36 $ 68,885 $ 65,559 (j)
U.S. Treasury Inflation
Indexed Bonds
2.00% 01/15/16 14,467 13,976 (j,m)
3.50% 01/15/11 27,488 28,614 (j,m)
U.S. Treasury Notes
4.63% 11/30/08 - 11/15/16 464,005 462,576 (j)
570,725
AGENCY MORTGAGE BACKED -- 21.8%
Federal Home Loan Mortgage Corp.
4.50% 06/01/33 - 02/01/35 5,517 5,170 (h)
5.00% 07/01/35 - 10/01/35 6,727 6,492 (h)
5.50% 05/01/20 1,373 1,371 (h)
6.00% 04/01/17 - 11/01/36 16,686 16,850 (h)
6.50% 01/01/27 - 09/01/36 13,769 14,043 (h)
7.00% 10/01/16 - 08/01/36 4,398 4,530 (h)
7.50% 11/01/09 - 09/01/33 1,577 1,620 (h)
8.00% 08/01/30 - 11/01/30 17 18 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
8.50% 04/01/30 - 05/01/30 $ 50 $ 53 (h)
9.00% 05/01/16 - 11/01/16 277 295 (h)
Federal National Mortgage Assoc.
4.00% 05/01/19 - 06/01/19 5,573 5,250 (h)
4.50% 05/01/18 - 02/01/35 37,787 36,199 (h)
5.00% 06/01/20 - 08/01/35 27,426 26,594 (h)
5.02% 07/01/35 12,239 12,162 (i)
5.11% 08/01/35 7,686 7,708 (i)
5.50% 01/01/14 - 08/01/35 24,959 24,921 (h)
6.00% 02/01/14 - 08/01/35 32,825 33,081 (h)
6.50% 01/01/14 - 09/01/36 45,346 46,270 (h)
7.00% 08/01/13 - 06/01/36 13,347 13,746 (h)
7.50% 12/01/09 - 03/01/34 4,882 5,058 (h)
8.00% 12/01/11 - 11/01/33 2,899 3,047 (h)
8.50% 04/01/30 - 05/01/31 311 334 (h)
9.00% 02/01/09 - 12/01/22 2,930 3,086 (h)
5.00% TBA 66,987 65,133 (c)
5.50% TBA 109,805 108,708 (c)
6.00% TBA 17,721 17,838 (c)
6.50% TBA 25,507 25,985 (c)
Government National
Mortgage Assoc.
4.50% 08/15/33 - 09/15/34 10,332 9,811 (h)
5.00% 08/15/33 2,427 2,367 (h)
5.13% 11/20/21 - 10/20/25 22 22 (h,i)
5.38% 05/20/21 - 04/20/24 37 38 (h,i)
5.75% 08/20/23 - 09/20/24 24 25 (h,i)
6.00% 04/15/27 - 09/15/36 6,374 6,465 (h)
6.50% 04/15/19 - 09/15/36 10,661 10,966 (h)
7.00% 03/15/12 - 10/15/36 8,458 8,714 (h)
7.50% 11/15/22 - 10/15/33 1,265 1,318 (h)
8.00% 11/15/29 - 06/15/30 18 18 (h)
8.50% 10/15/17 884 942 (h)
9.00% 11/15/16 - 12/15/21 2,273 2,443 (h)
5.50% TBA 17,560 17,472 (c)
546,163
AGENCY COLLATERALIZED MORTGAGE
OBLIGATIONS -- 6.0%
Collateralized Mortgage Obligation
Trust (Class B)
6.00% 11/01/18 449 379 (d,f,h)
Federal Home Loan Mortgage Corp.
1.30% 10/15/18 7,821 431 (g,h,i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
14
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
1.80% 12/15/30 $ 16,311 $ 749 (g,h,i)
2.43% 09/15/36 9,581 802 (g,i)
3.20% 10/15/33 3,215 2,491 (h,i)
3.94% 12/15/33 1,970 1,624 (h,i)
4.00% 02/15/21 3,803 550 (g)
4.50% 04/15/13 - 12/15/20 26,507 3,243 (g,h)
4.50% 05/15/17 - 11/15/19 6,800 6,437 (h)
5.00% 05/15/20 - 02/15/35 38,334 35,925 (h)
5.00% 12/15/13 - 12/01/34 89,085 16,630 (g,h)
5.04% 06/15/33 7,313 7,097 (h,i)
5.50% 10/15/34 4,497 4,509 (h)
5.50% 04/15/17 - 06/15/33 7,874 1,438 (g,h)
7.50% 01/15/16 723 744 (h)
7.50% 07/15/27 93 19 (g,h)
8.00% 04/15/20 298 297 (h)
8.00% 02/01/23 - 07/01/24 263 56 (g,h)
18.20% 09/25/43 25,415 248 (d,g,h,i)
Federal Home Loan
Mortgage STRIPS
5.94% 08/01/27 ......................... 60 49 (d,f,h)
Federal National Mortgage Assoc
STRIPS (Class 1)
4.23% 11/01/34 ......................... 11,748 8,928 (d,f,h)
Federal National Mortgage Assoc
STRIPS (Class 2)
7.50% 11/01/23 1,161 293 (g,h)
8.00% 08/01/23 - 07/01/24 559 122 (g,h)
8.50% 03/01/17 - 07/25/22 973 204 (g,h)
9.00% 05/25/22 291 74 (g,h)
Federal National Mortgage Assoc.
1.19% 12/25/42 4,614 94 (g,h,i)
1.65% 10/25/29 6,023 348 (g,h,i)
1.75% 12/25/30 7,949 401 (g,h,i)
1.85% 06/25/36 - 12/25/36 74,638 5,287 (g,i)
2.15% 05/25/18 2,308 152 (g,h,i)
2.25% 09/25/42 16,616 903 (g,h,i)
2.30% 04/25/17 - 10/25/17 13,155 813 (g,h,i)
2.35% 08/25/16 4,025 185 (g,h,i)
2.75% 06/25/42 5,293 337 (g,h,i)
3.50% 09/25/31 3,975 3,649 (h,i)
4.00% 02/25/28 353 346 (h)
4.50% 05/25/18 2,551 232 (g,h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
4.50% 12/25/19 $ 2,375 $ 2,190 (h)
4.75% 11/25/14 1,401 87 (g,h)
5.00% 08/25/17 - 02/25/32 2,968 318 (g,h)
5.00% 03/25/35 3,225 3,008 (h)
5.50% 07/25/34 - 02/25/35 9,156 9,165 (h)
5.75% 02/25/35 4,975 5,022 (h)
6.00% 12/25/34 3,250 3,303 (h)
6.50% 12/25/34 1,965 2,000 (h)
8.00% 07/25/14 1,811 1,835 (h)
Federal National Mortgage
Assoc. (Class 1)
4.24% 01/25/36 8,794 6,631 (d,f)
Federal National Mortgage
Assoc. (Class S)
1.75% 02/25/31 5,752 276 (g,h,i)
Federal National Mortgage
Assoc. REMIC
1.88% 01/25/37 24,760 1,598 (g,i)
4.50% 11/25/13 4,302 165 (g,h)
4.84% 03/25/31 5,655 5,550 (h,i)
5.00% 10/25/22 2,644 395 (g,h)
Federal National Mortgage
Assoc. REMIC (Class B)
5.11% 12/25/22 282 234 (d,f,h)
Federal National Mortgage
Assoc. REMIC (Class J)
1080.91%** 03/25/22 - 2 (g,h)
Federal National Mortgage
Assoc. REMIC (Class K)
1008.00%** 05/25/22 - 12 (g,h)
Government National
Mortgage Assoc.
1.04% 11/06/46 8,022 530 (g,i)
5.00% 02/16/34 2,349 2,178 (h)
150,585
ASSET BACKED -- 4.8%
Accredited Mortgage Loan
Trust (Class A)
5.65% 07/25/34 1,194 1,198 (h,i)
AESOP Funding II LLC
5.47% 04/20/08 1,733 1,734 (b,h,i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
15
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
AESOP Funding II LLC (Class A)
5.47% 04/20/10 ......................... $ 3,000 $ 3,007 (b,h,i)
Bank One Issuance Trust
3.59% 05/17/10 1,080 1,067 (h)
Bear Stearns Asset Backed
Securities Inc. (Class A)
5.72% 01/25/34 323 324 (h,i)
Capital One Auto Finance
Trust (Class A)
5.45% 03/15/11 3,583 3,585 (h,i)
Capital One Master Trust (Class C)
6.70% 06/15/11 2,344 2,390 (b,h)
Carmax Auto Owner Trust
4.35% 03/15/10 3,032 2,993 (h)
Chase Credit Card Master
Trust (Class A)
5.46% 07/15/10 5,000 5,008 (h,i)
Chase Funding Mortgage Loan
Asset-Backed Certificates
5.75% 05/25/32 429 413 (h)
Citibank Credit Card Issuance Trust
4.45% 04/07/10 3,078 3,040 (h)
5.44% 03/20/09 4,000 4,001 (h,i)
5.70% 06/25/09 5,000 5,010 (h,i)
Countrywide Asset-Backed
Certificates
5.87% 02/25/35 15,000 15,087 (h,i)
Countrywide Asset-Backed
Certificates (Class A)
5.62% 05/25/36 831 832 (h,i)
5.72% 08/25/34 214 214 (h,i)
5.91% 08/25/32 301 301 (h,i)
6.01% 04/25/32 168 168 (h,i)
Discover Card Master Trust I
(Class A)
5.38% 04/17/12 25,700 25,757 (h,i)
First Franklin Mortgage Loan
Asset Backed Certificates
5.53% 09/25/35 5,000 5,002 (h,i)
5.63% 01/25/35 939 939 (h,i)
5.65% 01/25/35 1,191 1,194 (h,i)
First Franklin Mortgage Loan Asset
Backed Certificates (Class A)
5.64% 06/25/34 46 46 (h,i)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
First Horizon Asset Back
Trust (Class A)
5.57% 02/25/34 $ 981 $ 981 (h,i)
GMAC Mortgage Corp. Loan
Trust (Class A)
5.45% 06/25/34 5,500 5,501 (h,i)
GSAA Trust
5.38% 10/25/36 2,279 2,279 (h,i)
5.75% 05/25/34 896 902 (h,i)
Honda Auto Receivables Owner
Trust (Class A)
4.15% 10/15/10 2,798 2,756 (h)
Long Beach Mortgage Loan Trust
5.51% 05/25/36 2,000 2,001 (h,i)
5.81% 11/26/32 433 433 (h,i)
Mid-State Trust
7.54% 07/01/35 994 1,061 (h)
Peco Energy Transition Trust
6.52% 12/31/10 2,219 2,317 (h)
Providian Gateway Master
Trust (Class B)
5.85% 03/15/11 6,200 6,205 (b,h,i)
Residential Asset Mortgage
Products, Inc.
5.59% 03/25/34 206 206 (h,i)
Residential Asset Securities Corp.
5.60% 07/25/32 748 748 (h,i)
Residential Asset Securities
Corp. (Class A)
4.16% 07/25/30 1,353 1,335 (h,i)
5.64% 06/25/33 1,189 1,189 (h,i)
5.67% 11/25/33 1,470 1,473 (h,i)
SLM Student Loan Trust (Class A)
5.41% 06/15/18 1,384 1,385 (h,i)
Structured Asset Investment
Loan Trust
5.58% 02/25/35 4,155 4,159 (b,h,i)
Volkswagen Auto Lease
Trust (Class A)
3.94% 10/20/10 1,727 1,709 (h)
Wells Fargo Home Equity Trust
3.97% 05/25/34 1,332 1,303 (h,i)
121,253
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
16
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
CORPORATE NOTES -- 32.0%
Abbey National PLC
7.95% 10/26/29 $ 3,205 $ 4,042 (h)
Abbott Laboratories
5.88% 05/15/16 4,830 4,981 (h)
AES Panama S.A.
6.35% 12/21/16 1,565 1,536 (b)
AIG SunAmerica Global
Financing VII
5.85% 08/01/08 3,330 3,356 (b,h)
Allied Waste North America Inc.
(Series B)
7.13% 05/15/16 8,280 8,197
Allied World Assurance
Holdings Ltd.
7.50% 08/01/16 2,080 2,233
Allstate Life Global Funding Trusts
3.85% 01/25/08 2,655 2,615 (h)
Altria Group, Inc.
7.20% 02/01/07 2,675 2,677 (h)
American Electric Power
Company, Inc.
4.71% 08/16/07 2,845 2,831 (h,k)
American Electric Power
Company, Inc. (Series C)
5.38% 03/15/10 1,340 1,333 (h)
American Electric Power
Company, Inc. (Series D)
5.25% 06/01/15 2,155 2,090 (h)
American Express Travel Related
Services Company Inc.
5.25% 11/21/11 4,730 4,727 (b)
American General Corp.
7.50% 08/11/10 1,855 1,987 (h)
American International Group, Inc.
6.25% 05/01/36 3,015 3,223
Appalachian Power Co. (Series G)
3.60% 05/15/08 1,630 1,591 (h)
Appalachian Power Co. (Series K)
5.00% 06/01/17 2,135 2,002 (h)
Archstone-Smith Operating Trust
3.00% 06/15/08 2,780 2,689 (h)
Arizona Public Service Co.
6.25% 08/01/16 3,165 3,232 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
AT&T, Inc.
4.13% 09/15/09 $ 7,380 $ 7,168 (h)
5.63% 06/15/16 4,985 4,953 (h)
5.88% 08/15/12 2,130 2,174 (h)
AvalonBay Communities, Inc. (REIT)
5.75% 09/15/16 2,075 2,082 (h)
BAC CAP TRUST V
5.63% 03/08/35 3,200 3,034 (h)
Banco BMG S.A.
9.15% 01/15/16 2,165 2,194 (b,h)
Banco de Credito del Peru
6.95% 11/07/21 1,565 1,565 (b,h,i)
Banco Mercantil del Norte S.A.
5.88% 02/17/14 4,400 4,431 (b,h,i)
6.86% 10/13/21 3,040 3,073 (b,h)
Banco Santander Chile
5.38% 12/09/14 3,465 3,412 (b,h)
Bank of America Corp.
5.75% 08/15/16 2,530 2,583 (h)
Bear Stearns Companies, Inc.
5.55% 01/22/17 3,270 3,264
BellSouth Corp.
4.20% 09/15/09 2,890 2,813 (h)
6.55% 06/15/34 3,035 3,109 (h)
Bertin Ltda
10.25% 10/05/16 1,365 1,440 (b)
10.25% 10/05/16 1,490 1,576
BJ Services Co.
5.75% 06/01/11 3,150 3,175 (h)
BNP US Funding LLC (Series A)
7.74% 12/31/49 1,710 1,741 (b,h,i)
Boyd Gaming Corp.
7.13% 02/01/16 3,310 3,293 (h)
Braskem S.A.
8.00% 01/26/17 1,750 1,844 (b,h)
Bristol-Myers Squibb Co.
5.88% 11/15/36 2,145 2,120
British Telecommunications PLC
8.63% 12/15/10 1,260 1,407 (h)
Burlington Northern
Santa Fe Corp.
8.13% 04/15/20 4,840 5,791 (h)
Cablevision Systems Corp.
8.00% 04/15/12 2,825 2,776 (h)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
17
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Cadbury Schweppes US
Finance LLC
3.88% 10/01/08 $ 2,035 $ 1,982 (b,h)
Campbell Soup Co.
5.50% 03/15/07 2,725 2,726 (h)
Cap Cana S.A.
9.63% 11/03/13 1,565 1,587 (b,h)
Capital One Bank
6.50% 06/13/13 1,325 1,397 (h)
Capital One Financial Corp.
8.75% 02/01/07 3,200 3,208 (h)
Carolina Power & Light Co.
5.15% 04/01/15 1,500 1,465 (h)
5.70% 04/01/35 815 796 (h)
6.13% 09/15/33 3,090 3,197 (h)
CBS Corp.
5.63% 05/01/07 2,325 2,326 (h)
CCSA Finance Ltd.
7.88% 05/17/16 1,690 1,813 (b,h)
Chaoda Modern Agriculture
7.75% 02/08/10 2,725 2,725 (b,h)
Cia de Transporte de Energia
Electrica de Alta Tension S.A.
(Series 1)
8.88% 12/15/16 1,005 1,008 (b)
CIT Group, Inc.
5.13% 09/30/14 3,515 3,416
Citigroup, Inc.
5.10% 09/29/11 4,825 4,804
5.85% 12/11/34 5,265 5,353
Clarendon Alumina
Production Ltd.
8.50% 11/16/21 1,565 1,632 (b)
Clear Channel
Communications, Inc.
4.63% 01/15/08 3,355 3,323 (h)
CNA Financial Corp.
6.50% 08/15/16 1,990 2,076 (h)
Comcast Cable Communications
Holdings, Inc.
9.46% 11/15/22 3,730 4,829 (h)
Comcast Cable
Communications, Inc.
6.88% 06/15/09 4,998 5,172 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Comcast Corp.
5.88% 02/15/18 $ 3,275 $ 3,233
Commonwealth Bank
of Australia
6.02% 03/29/49 3,070 3,106 (b,h,i)
Commonwealth Edison Co.
5.40% 12/15/11 2,495 2,480
ConocoPhillips Canada
Funding Co.
5.95% 10/15/36 3,120 3,168
Consolidated Edison
Company of New York
5.63% 07/01/12 4,075 4,137 (h)
Constellation Brands, Inc.
7.25% 09/01/16 8,280 8,508
Consumers Energy Co.
5.15% 02/15/17 2,060 1,965 (h)
Corp Andina de Fomento
5.75% 01/12/17 2,385 2,399 (h)
Cosan S.A. Industria e Comercio
8.25% 02/28/49 2,690 2,616 (b,h)
Cosipa Commercial Ltd.
8.25% 06/14/16 2,165 2,403 (b,h)
Countrywide Home Loans, Inc.
5.63% 05/15/07 2,035 2,037 (h)
CRH America, Inc.
6.00% 09/30/16 2,100 2,120 (h)
Crown Americas LLC and
Crown Americas Capital Corp.
7.75% 11/15/15 8,460 8,777 (h)
CSX Transportation, Inc.
9.75% 06/15/20 1,365 1,824 (h)
DaimlerChrysler NA Holding Corp.
4.05% 06/04/08 2,000 1,960 (h)
4.75% 01/15/08 2,000 1,983 (h)
5.88% 03/15/11 2,080 2,089 (h)
DBS Bank Ltd.
5.00% 11/15/19 2,820 2,733 (b,h,i)
7.88% 08/10/09 3,350 3,559 (b)
Delhaize America, Inc.
8.13% 04/15/11 2,225 2,400 (h)
Detroit Edison Co.
6.13% 10/01/10 3,245 3,316
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
18
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Detroit Edison Co. (Series B)
5.45% 02/15/35 $ 3,470 $ 3,228 (h)
Deutsche Bank Capital
Funding Trust VII
5.63% 01/19/49 1,380 1,356 (b,h,i)
Devon OEI Operating Inc.
4.38% 10/01/07 1,410 1,399 (h)
Diageo Capital PLC
5.50% 09/30/16 3,145 3,105 (h)
Dominion Resources, Inc.
5.69% 05/15/08 3,165 3,170 (h,k)
Dominion Resources, Inc.
(Series B)
4.13% 02/15/08 3,330 3,282 (h)
6.30% 09/30/66 4,335 4,355 (h,i)
Dover Corp.
6.50% 02/15/11 1,930 2,012
6.65% 06/01/28 1,250 1,381
Duke Capital LLC
5.67% 08/15/14 2,050 2,045 (h)
Duke Energy Corp.
5.38% 01/01/09 1,065 1,063
Echostar DBS Corp.
7.00% 10/01/13 9,120 9,109
EI Du Pont de Nemours & Co.
4.88% 04/30/14 2,080 2,008
El Paso Corp.
7.63% 09/01/08 3,050 3,141 (h)
El Paso Electric Co.
6.00% 05/15/35 3,210 3,100 (h)
El Paso Production
Holding Company
7.75% 06/01/13 5,525 5,781 (h)
Embarq Corp.
7.08% 06/01/16 3,140 3,197 (h)
Empresa Energetica de Sergipe
and Sociedade Anonima de
Eletrificaao da Paraiba
10.50% 07/19/13 2,210 2,354 (b,h)
Enterprise Products Operating LP
4.00% 10/15/07 5,570 5,502 (h)
EOP Operating LP
7.00% 07/15/11 4,240 4,589 (h)
7.75% 11/15/07 2,845 2,904 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Evraz Group S.A.
8.25% 11/10/15 $ 2,725 $ 2,803 (b,h)
Firstar Bank NA
7.13% 12/01/09 2,240 2,357
FirstEnergy Corp. (Series B)
6.45% 11/15/11 2,980 3,108 (h)
FPL Group Capital, Inc. (Series B)
5.55% 02/16/08 3,630 3,635 (h)
Gaz Capital for Gazprom
6.21% 11/22/16 2,690 2,709 (b)
Georgia Gulf Corp.
9.50% 10/15/14 5,500 5,363 (b)
Georgia Power Co.
4.88% 07/15/07 3,565 3,554 (h)
Goldman Sachs Group, Inc.
5.75% 10/01/16 7,115 7,223
Greater Bay Bancorp
5.25% 03/31/08 4,870 4,856 (h)
Greentown China Holdings Ltd.
9.00% 11/08/13 1,565 1,612 (b)
GS Caltex Corp.
5.50% 10/15/15 3,245 3,210 (b,h)
GTE Corp.
6.94% 04/15/28 4,600 4,788 (h)
7.51% 04/01/09 2,125 2,217 (h)
Halliburton Co.
8.75% 02/15/21 1,945 2,436 (h)
Harrah's Operating Company Inc.
5.75% 10/01/17 1,470 1,232 (h)
Hexion US Finance Corp.
9.75% 11/15/14 5,500 5,576 (b)
Home Depot, Inc.
5.25% 12/16/13 3,120 3,097
5.40% 03/01/16 2,280 2,229
Host Hotels & Resorts LP (Series R)
6.88% 11/01/14 1,950 1,974 (b)
HSBC Capital Funding LP
4.61% 12/29/49 3,400 3,166 (b,h,i)
HSBC Capital Funding LP (Series 1)
9.55% 12/31/49 3,380 3,808 (b,h,i)
HSBC Finance Corp.
5.25% 01/15/14 3,215 3,188
6.50% 11/15/08 3,396 3,470 (h)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
19
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
HSBC Holdings PLC
6.50% 05/02/36 $ 625 $ 672
Hutchison Whampoa Finance
CI Ltd. (Series C)
7.50% 08/01/27 5,410 6,169 (b,h)
Hydro Quebec
8.05% 07/07/24 4,465 5,777
8.50% 12/01/29 1,455 2,027
IBM Canada Credit Services Co.
3.75% 11/30/07 1,790 1,760 (b,h)
Idearc Inc.
8.00% 11/15/16 5,445 5,527 (b)
IIRSA Norte Finance Ltd.
8.75% 05/30/24 2,690 3,154 (b,h)
Indiana Michigan Power
Company (Series H)
6.05% 03/15/37 1,280 1,257
Industrias Unidas S.A.
11.50% 11/15/16 2,825 2,966 (b)
ING Capital Funding TR III
8.44% 12/29/49 2,765 3,060 (h,i)
ING Groep N.V.
5.78% 12/29/49 5,280 5,258 (h,i)
International Business
Machines Corp.
3.80% 02/01/08 2,140 2,106 (h)
IPSCO, Inc.
8.75% 06/01/13 2,265 2,426
iStar Financial, Inc. (REIT)
4.88% 01/15/09 1,070 1,054 (h)
7.00% 03/15/08 2,040 2,074 (h)
JBS S.A.
10.50% 08/04/16 1,700 1,810 (b,h)
JP Morgan Chase & Co.
7.00% 11/15/09 3,965 4,147 (h)
JP Morgan Chase Bank
5.88% 06/13/16 4,250 4,377
Kansas Gas & Electric
5.65% 03/29/21 1,705 1,666 (h)
Kazkommerts International
7.50% 11/29/16 2,830 2,823 (b)
Kimco Realty Corp. (REIT)
4.82% 06/01/14 2,135 2,037 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- ------ -------------------------------------------------------------------------
Kinder Morgan Energy
Partners LP
5.13% 11/15/14 $ 2,540 $ 2,417 (h)
Kraft Foods, Inc.
5.25% 06/01/07 2,310 2,308 (h)
Landsbanki Islands
6.07% 08/25/09 3,245 3,269 (b,i)
6.10% 08/25/11 2,160 2,196 (b,h)
Lehman Brothers Holdings, Inc.
5.75% 07/18/11 1,795 1,831
Lloyds TSB Group PLC
6.27% 12/31/49 2,195 2,195 (b,i)
MacDermid, Inc.
9.13% 07/15/11 5,685 5,912 (h)
Majapahit Holding BV
7.25% 10/17/11 5,295 5,447 (b)
7.75% 10/17/16 4,480 4,743 (b)
Majestic Star Casino LLC
9.50% 10/15/10 5,880 6,174
Markel Corp.
7.35% 08/15/34 1,195 1,290
Mediacom LLC
9.50% 01/15/13 5,520 5,686
Merck & Company, Inc.
5.75% 11/15/36 1,589 1,572
Merrill Lynch & Company, Inc.
6.05% 05/16/16 3,550 3,682 (h)
Metropolitan Life Global
Funding I
4.25% 07/30/09 3,910 3,816 (b)
MGM Mirage
5.88% 02/27/14 3,845 3,557 (h)
Midamerican Energy
Holdings Co.
3.50% 05/15/08 3,160 3,081 (h)
6.13% 04/01/36 2,165 2,182
Mohegan Tribal Gaming Authority
8.00% 04/01/12 5,645 5,878 (h)
Morgan Stanley (Series F)
5.50% 01/18/08 9,000 9,013 (h,i)
6.25% 08/09/26 2,520 2,635 (h)
Motorola, Inc.
4.61% 11/16/07 3,340 3,318 (h)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
20
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
MUFG Capital Finance 1 Ltd.
6.35% 07/25/49 $ 2,070 $ 2,103 (h,i)
Munich Re America Corp.
(Series B)
7.45% 12/15/26 2,080 2,386
NAK Naftogaz Ukrainy
8.13% 09/30/09 5,600 5,467
Nakilat Inc.
6.07% 12/31/33 3,230 3,206 (b)
6.27% 12/31/33 2,725 2,700 (b)
National Power Corp.
9.63% 05/15/28 2,760 3,347 (h)
NB Capital Trust IV
8.25% 04/15/27 4,160 4,345 (h)
Nelnet, Inc.
5.13% 06/01/10 2,800 2,739 (h)
Nevada Power Co. (Series N)
6.65% 04/01/36 1,480 1,537
New Cingular Wireless
Services Inc.
8.75% 03/01/31 3,600 4,665 (h)
News America, Inc.
7.25% 05/18/18 1,915 2,090 (h)
Nisource Finance Corp.
5.45% 09/15/20 3,165 2,946 (h)
7.88% 11/15/10 1,080 1,164
Noble Group, Ltd.
6.63% 03/17/15 2,725 2,475 (b)
Norfolk Southern Corp.
6.00% 04/30/08 475 479 (h)
8.63% 05/15/10 3,125 3,421
Norfolk Southern Railway Co.
9.75% 06/15/20 2,360 3,180 (h)
Northeast Utilities (Series B)
3.30% 06/01/08 2,105 2,044 (h)
Northern States Power Co.
6.25% 06/01/36 1,240 1,326 (h)
NorthWestern Corp.
5.88% 11/01/14 3,875 3,807 (h)
Ohio Power Co. (Series E)
6.60% 02/15/33 1,120 1,191 (h)
ONEOK Partners LP
5.90% 04/01/12 2,075 2,098 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Pacific Bell
7.13% 03/15/26 $ 1,495 $ 1,598 (h)
Pacific Gas & Electric Co.
6.05% 03/01/34 1,630 1,645 (h)
PanAmSat Corp.
9.00% 08/15/14 6,305 6,660 (h)
Pemex Finance Ltd.
9.03% 02/15/11 5,729 6,107 (h)
9.69% 08/15/09 3,638 3,931 (h)
Pemex Project Funding
Master Trust
6.13% 08/15/08 3,145 3,167 (h)
7.38% 12/15/14 2,020 2,220 (h)
Pepco Holdings, Inc.
5.50% 08/15/07 1,385 1,384 (h)
5.99% 06/01/10 3,250 3,254 (h,i)
Peru Enhanced Pass-Through
Finance Ltd.
3.65% 05/31/18 2,470 1,636 (b,d)
Petrobras International
Finance Company
6.13% 10/06/16 2,085 2,106 (h)
Pioneer Natural Resources Co.
6.88% 05/01/18 5,525 5,342 (h)
Popular North America, Inc.
4.25% 04/01/08 3,200 3,148 (h)
Potomac Edison Co.
5.35% 11/15/14 1,520 1,497 (h)
Procter & Gamble - ESOP
(Series A)
9.36% 01/01/21 4,726 5,906 (h)
Prudential Financial, Inc.
5.51% 06/13/08 5,000 5,012 (h,i)
5.70% 12/14/36 3,120 3,046
Prudential Holdings LLC
(Series C)
8.70% 12/18/23 3,210 3,925 (b,h)
Public Service Company
of Colorado
7.88% 10/01/12 3,330 3,726
Puget Sound Energy, Inc.
3.36% 06/01/08 2,120 2,061 (h)
5.48% 06/01/35 2,135 1,950 (h)
6.27% 03/15/37 1,260 1,280 (h)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
21
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Rabobank Capital Funding II
5.26% 12/31/49 $ 3,670 $ 3,589 (b,h,i)
Rabobank Capital Funding Trust
5.25% 12/29/49 2,130 2,054 (b,h,i)
Ranhill Labuan Ltd.
12.50% 10/26/11 1,720 1,703 (b)
Reichhold Industries, Inc.
9.00% 08/15/14 5,450 5,341 (b)
Resona Bank Ltd.
5.85% 09/29/49 3,070 2,998 (b,h,i)
Roseton Danskammer (Series B)
7.67% 11/08/16 5,520 5,720 (h)
Rouse Company LP (REIT)
6.75% 05/01/13 3,245 3,259 (b,h)
Royal Bank of Scotland
Group PLC
5.00% 10/01/14 2,450 2,388
RSHB Capital S.A.
7.18% 05/16/13 2,750 2,898 (b,h)
Simon Property Group, L.P. (REIT)
4.60% 06/15/10 2,165 2,112 (h)
4.88% 08/15/10 3,870 3,803 (h)
Skandinaviska Enskilda
Banken AB
7.50% 03/29/49 2,510 2,634 (b,i)
SLM Corp.
4.00% 01/15/10 3,125 3,016
Smith International, Inc.
6.00% 06/15/16 2,105 2,141 (h)
Southern Copper Corp.
7.50% 07/27/35 5,380 5,833 (h)
Standard Chartered Bank
Hong Kong Ltd.
4.38% 12/03/14 3,730 3,624 (i)
Station Casinos Inc.
7.75% 08/15/16 2,160 2,176 (h)
Stewart Enterprises, Inc.
6.25% 02/15/13 6,860 6,603 (h)
Sunoco, Inc.
5.75% 01/15/17 3,120 3,052
Telecom Italia Capital S.A.
4.88% 10/01/10 5,200 5,055
5.98% 07/18/11 1,705 1,702 (h,i)
7.20% 07/18/36 2,080 2,164
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Telefonos de Mexico S.A. de C.V.
4.50% 11/19/08 $ 1,225 $ 1,203 (h)
The Kroger Co.
6.80% 12/15/18 2,085 2,185 (h)
The Thomson Corp.
5.50% 08/15/35 2,125 1,951 (h)
TNK-BP Finance S.A.
7.50% 07/18/16 1,450 1,542 (b,h)
Tronox Worldwide LLC
9.50% 12/01/12 5,450 5,736
TXU Electric Delivery Co.
5.00% 09/01/07 674 671 (h)
6.38% 05/01/12 875 900 (h)
Union Pacific Railroad Co.
5.87% 07/02/30 2,110 2,166 (h)
United Overseas Bank Ltd.
4.50% 07/02/13 4,325 4,112 (b,h)
Vale Overseas Ltd.
8.25% 01/17/34 2,760 3,269 (h)
Valero Energy Corp.
3.50% 04/01/09 3,465 3,327 (h)
Verizon Pennsylvania Inc.
8.75% 08/15/31 2,125 2,540 (h)
VTB Capital S.A.
5.97% 08/01/08 2,185 2,186 (b,i)
6.12% 09/21/07 2,115 2,115 (b,h,i)
Wachovia Corp.
5.25% 08/01/14 3,195 3,153
5.63% 10/15/16 3,210 3,234
Wal-Mart Stores, Inc.
5.25% 09/01/35 2,150 1,980
Wells Fargo & Co.
5.25% 12/01/07 805 804 (h)
Wells Fargo Bank NA
5.95% 08/26/36 1,320 1,361 (h)
Westar Energy, Inc.
5.15% 01/01/17 1,450 1,377 (h)
7.13% 08/01/09 1,160 1,199 (h)
Westfield Capital Corporation Ltd.
4.38% 11/15/10 3,100 2,990 (b,h)
Weyerhaeuser Co.
6.13% 03/15/07 583 583 (h)
7.38% 03/15/32 1,040 1,085
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
22
- --------------------------------------------------------------------------------
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Williams Partners LP
7.25% 02/01/17 $ 3,265 $ 3,330 (b)
Wisconsin Electric Power
3.50% 12/01/07 2,565 2,521 (h)
5.70% 12/01/36 315 313
Wyeth
4.38% 03/01/08 2,400 2,374 (h)
6.95% 03/15/11 2,075 2,204 (h)
803,642
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 11.8%
Banc of America Commercial
Mortgage Inc.
5.32% 10/10/11 3,131 3,137 (h)
Banc of America Funding Corp.
5.75% 03/20/36 1,755 1,746 (h,i)
5.87% 02/20/36 2,989 2,987 (h,i)
Banc of America Mortgage
Securities (Class B)
5.33% 10/25/35 1,208 1,169 (h,i)
5.38% 01/25/36 1,844 1,806 (h,i)
5.56% 02/25/36 1,395 1,376 (h,i)
Bank of America Alternative
Loan Trust
6.50% 07/25/35 2,469 2,500 (h)
Bear Stearns Commercial
Mortgage Securities
5.41% 03/11/39 1,472 1,486 (h,i)
5.48% 10/12/41 4,563 4,600 (h,i)
5.53% 10/12/41 4,563 4,617 (h,i)
6.02% 02/14/31 3,657 3,697 (h)
CalSTRS Trust
4.13% 11/20/12 5,926 5,859 (b,h)
Citigroup Mortgage Loan
Trust, Inc.
6.10% 08/25/36 3,772 3,781 (h,i)
Countrywide Alternative
Loan Trust
5.98% 05/25/36 660 597 (h,i)
6.00% 03/25/36 - 08/25/36 3,196 2,776 (h)
Countrywide Alternative Loan
Trust (Class B)
6.00% 05/25/36 - 08/25/36 1,997 1,793 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Countrywide Home Loan
Mortgage Pass Through
Trust (Class M)
5.50% 12/25/35 $ 1,658 $ 1,609 (h)
Credit Suisse Mortgage
Capital Certificates
5.47% 09/15/39 3,967 3,998 (h)
Credit Suisse Mortgage Capital
Certificates (Class C)
5.65% 02/25/36 995 970 (h,i)
CS First Boston Mortgage
Securities Corp.
1.50% 03/15/35 73,482 2,543 (b,h,i)
5.22% 07/15/37 54,140 1,427 (b,d,h,i)
5.25% 08/25/34 1,644 1,628
5.33% 10/25/35 1,665 1,593 (h,i)
DLJ Commercial Mortgage Corp.
6.24% 11/12/31 7,638 7,728 (h)
First Horizon Alternative Mortgage
Securities (Class B)
5.98% 05/25/36 433 389 (h,i)
First Union-Lehman Brothers-
Bank of America
6.56% 11/18/35 2,935 2,964 (h)
GMAC Commercial Mortgage
Securities, Inc.
6.42% 05/15/35 5,034 5,091 (h)
6.47% 04/15/34 2,000 2,080 (h)
GMAC Commercial Mortgage
Securities, Inc. (Class X)
5.12% 12/10/41 83,857 1,884 (d,h,i)
Greenwich Capital Commercial
Funding Corp.
5.12% 04/10/37 4,200 4,185 (h)
Impac CMB Trust
5.61% 04/25/35 3,662 3,667 (h,i)
Impac CMB Trust (Class 1)
5.71% 10/25/34 3,744 3,748 (h,i)
Impac CMB Trust (Class A)
6.11% 12/25/33 936 936 (h,i)
Impac Secured Assets CMN
Owner Trust (Class A)
5.57% 11/25/36 13,962 13,979 (i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
23
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Indymac INDA Mortgage
Loan Trust
5.16% 01/25/36 $ 474 $ 460 (h,i)
Indymac INDA Mortgage Loan
Trust (Class B)
5.16% 01/25/36 955 946 (h,i)
Indymac Index Mortgage
Loan Trust
5.38% 06/25/35 2,797 2,750 (h,i)
JP Morgan Chase Commercial
Mortgage Securities Corp.
1.12% 01/12/39 45,323 1,538 (b,h,i)
6.47% 11/15/35 5,391 5,649 (h)
JP Morgan Mortgage Trust
5.41% 11/25/35 5,413 5,342 (h,i)
LB-UBS Commercial
Mortgage Trust
4.06% 09/15/27 6,696 6,521 (h,i)
4.51% 12/15/29 3,039 2,946 (h)
4.53% 01/15/36 23,080 1,525 (b,d,h)
5.06% 01/18/12 76,496 2,037 (d,h,i)
5.26% 09/15/39 5,130 5,136 (h)
5.37% 09/15/39 3,000 3,005 (h)
6.23% 03/15/26 3,000 3,054 (h)
6.31% 10/15/35 23,376 974 (b,d,h,i)
6.92% 09/15/39 24,986 480 (b,d,h,i)
7.34% 02/15/40 52,674 1,125 (b,d,h,i)
7.67% 03/15/36 87,646 2,479 (b,d,h,i)
LB-UBS Commercial Mortgage
Trust (Class A)
6.13% 12/15/30 1,777 1,841 (h)
6.65% 11/15/27 8,377 8,803 (h)
LB-UBS Commercial Mortgage
Trust (Class B)
6.65% 07/14/16 750 793 (b,h)
LB-UBS Commercial Mortgage
Trust (Class X)
5.28% 09/15/39 145,010 4,929 (d,h,i)
7.65% 12/15/39 52,997 919 (b,d,h,i)
8.38% 03/15/32 58,265 818 (d,h,i)
Lehman Brothers Floating Rate
Commercial Mortgage Trust
5.61% 10/15/17 7,000 7,001 (b,h,i)
5.66% 10/15/17 4,000 4,000 (b,h,i)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Master Alternative Loans Trust
5.00% 08/25/18 $ 2,376 $ 368 (g,h)
6.50% 08/25/34 - 05/25/35 9,628 9,759 (h)
Master Alternative Loans
Trust (Class 3)
6.50% 01/25/35 2,649 2,686 (h)
Merrill Lynch Mortgage
Trust (Class A)
5.62% 05/12/39 5,006 5,088 (h,i)
MLCC Mortgage Investors, Inc.
5.39% 02/25/36 1,505 1,482 (h,i)
Morgan Stanley Capital I
5.28% 12/15/43 2,021 2,023 (i)
5.33% 12/15/43 2,021 2,016 (i)
5.39% 11/12/41 4,629 4,621 (i)
5.71% 07/20/44 3,000 3,064 (h)
7.11% 04/15/33 1,020 1,060 (h)
Morgan Stanley Dean Witter
Capital I (Class A)
5.72% 12/18/32 68 69 (h)
6.39% 10/15/35 5,000 5,228 (h)
6.54% 02/15/31 695 711 (h)
Mortgage Capital Funding Inc.
(Class C)
6.73% 06/18/30 2,046 2,079 (h)
MortgageIT Trust (Class A)
5.65% 08/25/35 5,685 5,702 (h,i)
Nomura Asset Securities Corp.
(Class A)
6.59% 03/15/30 8,306 8,407 (h)
Opteum Mortgage
Acceptance Corp.
5.65% 02/25/35 3,446 3,445 (h,i)
Puma Finance Ltd. (Class A)
5.53% 03/25/34 1,662 1,663 (h,i)
Residential Accredit Loans, Inc.
6.00% 01/25/36 - 04/25/36 3,778 3,655 (h)
6.03% 01/25/36 1,037 1,041 (h,i)
Residential Funding Mortgage
Security I
5.75% 01/25/36 1,759 1,715 (h)
Residential Mortgage Securities
5.44% 08/10/30 2,195 2,194 (b,h,i)
Sequoia Mortgage Trust
5.61% 06/20/34 489 490 (h,i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
24
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Structured Asset Securities
Corp. (Class X)
2.15% 02/25/28 $ 8,568 $ 369 (i)
Wachovia Bank Commercial
Mortgage Trust
5.51% 03/15/45 12,216 12,319 (h)
5.68% 05/15/43 4,341 4,407 (h,i)
Wachovia Bank Commercial
Mortgage Trust (Class A)
5.77% 07/15/45 5,016 5,163 (h)
Washington Mutual Inc.
5.68% 01/25/45 2,212 2,219 (h,i)
Wells Fargo Mortgage Backed
Securities Trust
5.00% 11/25/20 4,334 4,273 (h)
5.35% 10/25/36 7,120 7,079 (h,i)
5.39% 08/25/35 4,169 4,069 (h,i)
5.50% 01/25/36 - 03/25/36 4,132 3,956 (h)
Wells Fargo Mortgage Backed
Securities Trust (Class B)
5.50% 03/25/36 2,970 2,869 (h)
294,706
SOVEREIGN BONDS -- 2.0%
Government of Argentina
7.00% 03/28/11 - 09/12/13 8,420 8,334
8.28% 12/31/33 3,032 3,297 (j)
9.38% 09/14/18 1,565 1,617 (b)
Government of Bahamas
6.63% 05/15/33 2,400 2,678 (b,h)
Government of Brazil
12.50% 01/05/22 9,030 4,841
Government of Colombia
7.38% 09/18/37 2,690 2,888 (h)
8.13% 05/21/24 2,400 2,772 (h)
Government of
Manitoba Canada
4.90% 12/06/16 2,120 2,090
Government of Philippine
7.75% 01/14/31 2,690 3,053 (h)
Government of Turkey
7.38% 02/05/25 2,690 2,757 (h)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Government of Ukraine
6.58% 11/21/16 $ 4,585 $ 4,585 (b)
Government of Uruguay
7.63% 03/21/36 2,725 2,997
8.00% 11/18/22 1,930 2,191 (h)
Government of Venezuela
7.65% 04/21/25 2,725 2,970
9.38% 01/13/34 3,295 4,349
51,419
TOTAL BONDS AND NOTES
(COST $2,577,813) 2,538,493
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
PREFERRED STOCK - 0.1%
- --------------------------------------------------------------------------------
KeyCorp Capital
(COST $2,145) 85,800 2,166 (a)
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
SECURITIES PURCHASED WITH COLLATERAL
FROM SECURITIES ON LOAN -- 17.8%
- --------------------------------------------------------------------------------
ASSET BACKED -- 13.2%
AESOP Funding II LLC (Class A)
5.47% 04/20/10 $ 5,000 5,012 (b,i)
American Express Credit Account
Master Trust (Class A)
5.46% 10/15/10 4,000 4,007 (i)
Arran Master Trust (Class A)
5.37% 12/15/10 3,000 3,000 (i)
Bayview Financial Acquisition
Trust (Class A)
5.80% 02/28/44 5,862 5,868 (i)
Capital Auto Receivables Asset
Trust (Class A)
5.41% 04/15/08 1,049 1,049 (i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
25
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Chase Credit Card Master Trust
(Class A)
5.39% 09/15/09 $ 3,000 $ 3,001 (i)
Chase Issuance Trust
5.36% 12/15/10 10,000 10,004 (i)
Citibank Credit Card Issuance Trust
5.36% 12/15/10 4,500 4,503 (i)
5.44% 03/20/09 8,000 8,002 (i)
5.46% 11/22/10 10,000 10,018 (i)
CNH Equipment Trust
5.42% 10/15/08 1,199 1,199 (i)
CNH Equipment Trust (Class A)
5.51% 12/15/10 1,200 1,202 (b,i)
CNH Wholesale Master Note
Trust (Class A)
5.46% 06/15/11 2,000 2,002 (i)
Countrywide Asset-Backed
Certificates
5.43% 06/25/35 5,260 5,260 (i)
5.55% 05/25/35 3,704 3,704 (i)
5.61% 07/25/34 3,000 3,004 (i)
5.78% 05/25/33 52 52 (i)
Countrywide Asset-Backed
Certificates (Class 2)
5.65% 06/25/33 20 20 (i)
Countrywide Asset-Backed
Certificates (Class A)
5.75% 03/25/33 802 803 (i)
Countrywide Home Equity
Loan Trust
5.59% 01/15/30 8,570 8,579 (i)
Countrywide Home Equity Loan
Trust (Class A)
5.59% 05/15/28 3,635 3,636 (i)
Discover Card Master Trust I
(Class A)
5.37% 05/15/11 6,500 6,503 (i)
First Franklin Mortgage Loan
Asset Backed Certificates
5.61% 11/25/36 3,000 3,005 (i)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
First Franklin Mortgage Loan
Asset Backed Certificates
(Class M)
5.80% 03/25/35 $ 10,000 $ 10,055 (i)
First Horizon Asset Back
Trust (Class A)
5.57% 02/25/34 1,177 1,178 (i)
Fleet Credit Card Master
Trust II (Class A)
5.49% 04/15/10 8,000 8,009 (i)
Fleet Home Equity Loan
Trust (Class A)
5.60% 01/20/33 2,140 2,142 (i)
Ford Credit Floorplan Master
Owner Trust (Class A)
5.39% 07/15/09 35,000 34,991 (i)
Fremont Home Loan Trust
5.55% 04/25/35 5,177 5,180 (i)
GMAC Mortgage Corp. Loan Trust
5.44% 08/25/35 4,700 4,701 (i)
Gracechurch Card Funding PLC
5.36% 06/15/10 5,000 5,002 (i)
Gracechurch Card Funding PLC
(Class A)
5.36% 11/15/10 2,500 2,501 (i)
5.38% 02/17/09 10,000 10,000 (i)
5.46% 03/15/10 3,500 3,505 (i)
GSAA Trust
5.38% 10/25/36 2,279 2,279 (i)
5.60% 01/25/36 10,000 10,017 (i)
GSAMP Trust
5.50% 12/25/35 12,500 12,505 (i)
Hertz Vehicle Financing LLC
5.44% 05/25/08 9,167 9,167 (b,i)
5.49% 02/25/10 5,000 5,002 (b,i)
Indymac Residential
Asset Backed Trust
5.37% 11/25/36 4,504 4,503 (i)
5.43% 09/13/36 10,449 10,446 (i)
5.52% 10/25/35 20,000 20,008 (i)
Irwin Home Equity
5.50% 02/25/36 804 804 (b,i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
26
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
JP Morgan Mortgage
Acquisition Corp.
5.43% 01/25/36 $ 6,511 $ 6,512 (i)
Long Beach Mortgage
Loan Trust
5.45% 05/25/36 3,800 3,801 (i)
5.47% 09/25/35 265 265 (i)
5.63% 09/25/35 6,000 6,010 (i)
Meritage Mortgage Loan
Trust (Class II)
5.62% 07/25/64 1,855 1,856 (i)
Metris Master Trust (Class A)
5.45% 03/21/11 7,000 6,971 (i)
Option One Mortgage Loan
Trust (Class A)
5.77% 02/25/33 416 417 (i)
Residential Asset Mortgage
Products, Inc.
5.62% 12/25/33 4,508 4,521 (i)
Residential Asset Mortgage
Products, Inc. (Class A)
5.63% 06/25/32 123 125 (i)
Residential Asset
Securities Corp.
5.45% 06/25/36 3,000 3,000 (i)
5.60% 01/25/36 12,000 12,026 (i)
Residential Asset Securities
Corp. (Class A)
5.64% 06/25/33 183 183 (i)
Residential Funding Mortgage
Securities II Inc. (Class A)
5.56% 02/25/34 281 281 (i)
Saxon Asset Securities Trust
5.46% 03/25/36 10,671 10,672 (i)
5.58% 05/25/35 1,375 1,376 (i)
5.64% 08/25/35 130 130 (i)
Structured Asset Investment
Loan Trust
5.52% 04/25/35 5,700 5,703 (i)
Structured Asset
Securities Corp.
5.55% 02/25/35 4,166 4,170 (i)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Wachovia Asset Securitization
Inc. (Class A)
5.57% 06/25/34 $ 1,746 $ 1,748 (i)
Waverly Community School
5.45% 05/25/36 5,527 5,528 (i)
330,723
CORPORATE NOTES -- 1.0%
Countrywide Financial Corp.
5.52% 09/02/08 12,000 12,007 (i)
Marsh & McLennan
Companies, Inc.
5.51% 07/13/07 3,000 3,000 (i)
VTB Capital S.A.
6.12% 09/21/07 10,000 10,000 (b,i)
25,007
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.6%
Banc of America Large Loan
5.56% 03/15/22 10,000 10,004 (b,i)
Crusade Global Trust (Class A)
5.55% 09/18/34 1,647 1,650 (i)
Granite Master Issuer PLC
5.45% 12/20/24 13,000 13,006 (i)
5.46% 12/20/54 9,000 9,005 (i)
Granite Mortgages PLC (Class 1)
5.55% 01/20/43 965 966 (i)
Impac CMB Trust
5.68% 08/25/33 1,163 1,163 (i)
Impac CMB Trust (Class 1)
5.71% 10/25/34 4,529 4,534 (i)
Impac Secured Assets CMN
Owner Trust
5.74% 03/25/36 5,435 5,449 (i)
Interstar Millennium
Trust (Class A)
5.56% 03/14/36 1,158 1,160 (i)
JP Morgan Alternative Loan Trust
5.38% 08/25/36 - 10/25/36 14,674 14,650 (i)
Medallion Trust (Class A)
5.41% 08/22/36 3,032 3,040 (i)
Morgan Stanley Capital I
5.94% 01/15/21 9,000 9,000 (b,i)
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
27
GE S&S INCOME FUND (dollars in thousands) -- December 31, 2006
- --------------------------------------------------------------------------------
Schedule of Investments
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
National RMBS Trust
5.48% 03/20/34 $ 1,738 $ 1,738 (i)
Residential Accredit Loans, Inc.
5.53% 07/25/36 4,299 4,300 (i)
Thornburg Mortgage Securities
Trust (Class A)
5.56% 12/25/35 3,796 3,792 (i)
5.69% 04/25/43 1,041 1,042 (i)
Washington Mutual Inc.
5.69% 01/25/45 1,785 1,787 (i)
5.80% 07/25/44 2,961 2,984 (i)
89,270
TOTAL SECURITIES PURCHASED WITH COLLATERAL
FROM SECURITIES ON LOAN
(COST $444,910) 445,000
TOTAL INVESTMENTS IN SECURITIES
(COST $3,024,868) 2,985,659
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 12.8%
- --------------------------------------------------------------------------------
AFFILIATED SHORT-TERM INVESTMENTS -- 6.0%
GEI Short Term Investment Fund
5.56% 151,928,991 $ 151,929 (d,l)
AFFILIATED SHORT-TERM SECURITIES PURCHASED
WITH COLLATERAL FROM SECURITIES ON
LOAN -- 6.8%
GEI Short Term Investment Fund
5.56% 170,059,354 170,059 (d,l)
TOTAL SHORT-TERM INVESTMENTS
(COST $321,988) 321,988
TOTAL INVESTMENTS
(COST $3,346,856) 3,307,647
LIABILITIES IN EXCESS OF OTHER
ASSETS, NET -- (31.9)% (799,992)
----------
NET ASSETS -- 100.0% $2,507,655
==========
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
The S&S Income Fund had the following long futures contracts open at December
31, 2006:
NUMBER CURRENT
EXPIRATION OF NOTIONAL UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION
- --------------------------------------------------------------------------------
Long Gilt Futures March 2007 69 $ 14,602 $ (102)
U.S. Treasury Notes 2 Yr.
Futures March 2007 350 $ 71,411 (285)
U.S. Treasury Notes 10 Yr.
Futures March 2007 918 $ 98,656 (837)
-------------
The S&S Income Fund had the following short futures contracts open at December
31, 2006:
NUMBER CURRENT UNREALIZED
EXPIRATION OF NOTIONAL APPRECIATION/
DESCRIPTION DATE CONTRACTS VALUE DEPRECIATION
- --------------------------------------------------------------------------------
Euro Bund Future March 2007 84 $(12,852) $ 209
-------------
$ (1,015)
=============
The S&S Income Fund had the following forward foreign currency contracts open
at December 31, 2006:
UNREALIZED
CURRENCY CURRENCY SETTLEMENT APPRECIATION/
BOUGHT SOLD DATE DEPRECIATION
- -------------------------------------------------------------------------------
7,725 EUR 10,144 USD January 16, 2007 $ 52
7,648 USD 5,794 EUR January 16, 2007 1
1,093,134 JPY 9,270 USD January 16, 2007 (74)
------------
$ (21)
============
- ----------
See Notes to Schedules of Investments on page 29 and Notes to Financial
Statements.
28
- --------------------------------------------------------------------------------
Notes to Schedules of Investments
- --------------------------------------------------------------------------------
(dollars in thousands) -- December 31, 2006
(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, 2006, these
securities amounted to $298,405 or 11.90% of net assets for the GE S&S
Income Fund. These securities have been determined to be liquid using
procedures established by the Board of Trustees.
(c) Settlement is on a delayed delivery or when-issued basis with final
maturity to be announced (TBA) in the future.
(d) Coupon amount represents effective yield.
(e) State Street Corp. is the parent company of State Street Bank & Trust Co.,
the Fund's custodian and accounting agent.
(f) Principal only securities represent the right to receive the monthly
principal payments on an underlying pool of mortgages. No payments of
interest on the pool are passed through to the "principal only" holder.
(g) Interest only securities represent the right to receive the monthly
interest payments on an underlying pool of mortgages. Payments of
principal on the pool reduce the value of the "interest only" holding.
(h) At December 31, 2006, all or a portion of this security was pledged to
cover collateral requirements for futures, options, forward foreign
currency contracts and/or TBA's.
(i) Variable or floating rate security. The stated rate represents the rate at
December 31, 2006.
(j) All or a portion of the security is out on loan.
(k) Step coupon bond. Security becomes interest bearing at a future date.
(l) GE Asset Management Incorporated, the investment adviser of the Fund, also
serves as investment adviser of the GEI Short Term Investment Fund.
(m) Treasury Inflation Protected Securities. The stated rate represents the
rate at December 31, 2006.
+ Percentages are based on net assets as of December 31, 2006.
* Less than 0.1%.
** Par Value less than 500.
ABBREVIATIONS:
ADR -- American Depository Receipt
REIT -- Real Estate Investment Trust
REMIC -- Real Estate Mortgage Investment Conduit
STRIPS -- Separate Trading of Registered Interest and Principal of Security
TBA -- To Be Announced
29
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE YEARS INDICATED
GE S&S PROGRAM MUTUAL FUND 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/1/80
Net asset value, beginning of year ...... $ 42.85 $ 45.36 $ 42.94 $ 35.13 $ 44.03
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................ 0.91 0.74 0.79 0.52 0.54
Net realized and unrealized
gains (losses) on investments ..... 6.31 0.63 2.86 7.82 (8.87)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM
INVESTMENT OPERATIONS ................ 7.22 1.37 3.65 8.34 (8.33)
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ................ 0.90 0.76 0.79 0.53 0.54
Net realized gains ................... 2.86 3.12 0.44 -- 0.03
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ..................... 3.76 3.88 1.23 0.53 0.57
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR ............ $ 46.31 $ 42.85 $ 45.36 $ 42.94 $ 35.13
==========================================================================================================================
TOTAL RETURN(a) ......................... 16.82% 2.95% 8.50% 23.77% (18.91)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year
(in thousands) ..................... $ 4,541,021 $ 4,074,331 $ 4,154,143 $ 3,939,274 $ 3,161,490
Ratios to average net assets:
Net investment income .............. 1.95% 1.60% 1.80% 1.38% 1.36%
Net expenses ....................... 0.11% 0.09% 0.13% 0.18% 0.13%
Gross expenses .................... 0.11% 0.09% 0.13% 0.18% 0.13%
Portfolio turnover rate .............. 40% 42% 28% 25% 32%
(a) TOTAL RETURNS ARE HISTORICAL AND ASSUME CHANGES IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AND ASSUME NO
SALES CHARGE.
- ----------
See Notes to Financial Statements.
30
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE YEARS INDICATED
GE S&S INCOME FUND 2006 2005 2004 2003 2002
- -------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/3/80
Net asset value, beginning of year ...... $ 11.24 $ 11.52 $ 11.70 $ 11.80 $ 11.25
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) ......... 0.60 0.55 0.47 0.47 0.55
Net realized and unrealized
gains (losses) on investments ..... (0.09) (0.26) 0.01 0.02 0.59
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM
INVESTMENT OPERATIONS ................ 0.51 0.29 0.48 0.49 1.14
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ................ 0.60 0.54 0.47 0.49 0.59
Net realized gains ................... -- 0.03 0.19 0.10 --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ..................... 0.60 0.57 0.66 0.59 0.59
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR ............ $ 11.15 $ 11.24 $ 11.52 $ 11.70 $ 11.80
=========================================================================================================================
TOTAL RETURN (a) ........................ 4.74% 2.63% 4.12% 4.29% 10.42%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year
(in thousands) .................... $ 2,507,655 $ 2,557,311 $ 2,601,599 $ 2,614,617 $ 2,640,387
Ratios to average net assets:
Net investment income ............. 5.47% 4.80% 4.02% 3.96% 4.83%
Net expenses ...................... 0.15% 0.13% 0.14% 0.15% 0.13%
Gross expenses .................... 0.15% 0.13% 0.14% 0.15% 0.13%
Portfolio turnover rate .............. 322% 323% 342% 335% 300%
(a) TOTAL RETURNS ARE HISTORICAL AND ASSUME CHANGES IN SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AND ASSUME NO
SALES CHARGE.
- ----------
See Notes to Financial Statements.
31
- -----------------------------------------------------------------------------------------
GE S&S
STATEMENTS OF ASSETS AND LIABILITIES PROGRAM GE S&S
DECEMBER 31, 2006 (AMOUNTS IN THOUSANDS) MUTUAL FUND INCOME FUND
- -----------------------------------------------------------------------------------------
ASSETS
Investments in securities, at market* (cost $3,831,098
and 3,024,868, respectively) ......................... $ 4,479,787 $ 2,985,659
Short-term Investments (at amortized cost) .............. 166,716 --
Short-term affiliated investments (at amortized cost) ... -- 321,988
Foreign currency (cost $0 and $6,536, respectively) ..... -- 6,509
Receivable for investments sold ......................... -- 108,253
Income receivables ...................................... 4,272 24,387
Receivable for fund shares sold ......................... 3,182 5
Unrealized gain on forward foreign currency contracts ... -- 53
- -----------------------------------------------------------------------------------------
TOTAL ASSETS ......................................... 4,653,957 3,446,854
- -----------------------------------------------------------------------------------------
LIABILITIES
Distribution Payable to Shareholders .................... 1 734
Payable upon return of securities loaned ................ 111,530 590,773
Payable for investments purchased ....................... -- 345,390
Payable for fund shares redeemed ........................ 94 330
Payable to GEAM ......................................... 222 596
Accrued other expenses .................................. 1,089 1,234
Variation margin payable ................................ -- 68
Unrealized loss on forward foreign currency contracts ... -- 74
- -----------------------------------------------------------------------------------------
TOTAL LIABILITIES .................................... 112,936 939,199
- -----------------------------------------------------------------------------------------
NET ASSETS ................................................. $ 4,541,021 $ 2,507,655
=========================================================================================
NET ASSETS CONSIST OF:
Capital paid in ......................................... 3,930,727 2,584,645
Undistributed (distribution in excess of)
net investment income ................................ 389 4,274
Accumulated net realized gain (loss) .................... (38,784) (40,991)
Net unrealized appreciation/(depreciation) on:
Investments ............................................. 648,689 (39,209)
Futures ................................................. -- (1,015)
Foreign currency related transactions ................... -- (49)
- -----------------------------------------------------------------------------------------
NET ASSETS ................................................. $ 4,541,021 $ 2,507,655
- -----------------------------------------------------------------------------------------
Shares outstanding ($25.00 and $10.00 par value
respectively; unlimited shares authorized) .............. 98,067 224,993
Net asset value per share .................................. $ 46.31 $ 11.15
* Includes $108,117 and $578,561 of securities on loan in the GE S&S Program
Mutual Fund and GE S&S Income Fund, respectively.
- ----------
See Notes to Financial Statements.
32
- -----------------------------------------------------------------------------------------------
GE S&S
STATEMENTS OF OPERATIONS PROGRAM GE S&S
FOR THE YEAR ENDED DECEMBER 31, 2006 (AMOUNTS IN THOUSANDS) MUTUAL FUND INCOME FUND
- -----------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME:
Dividend .................................................... $ 83,823 $ 64
Interest* ................................................... 3,094 125,731
Interest from affliated investments** ....................... -- 13,387
Less: Foreign taxes withheld ................................ (118) --
- ------------------------------------------------------------------------------------------------
TOTAL INCOME ................................................... 86,799 139,182
- ------------------------------------------------------------------------------------------------
EXPENSES:
Administration fees ......................................... 2,789 1,827
Transfer agent fees ......................................... 649 622
Shareholder servicing agent expenses ........................ 307 295
Custody and accounting expenses ............................. 230 277
Professional fees ........................................... 36 25
Registration, printing, filing and miscellaneous expenses ... 446 619
- ------------------------------------------------------------------------------------------------
TOTAL EXPENSES .............................................. 4,457 3,665
- ------------------------------------------------------------------------------------------------
NET EXPENSES ................................................ 4,457 3,665
- ------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME .......................................... 82,342 135,517
================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments ................................................. 266,964 (17,692)
Futures ..................................................... -- (8)
Written options ............................................. -- (230)
Foreign currency related transactions ....................... -- 128
INCREASE (DECREASE) IN UNREALIZED APPRECIATION/(DEPRECIATION)
ON:
Investments ................................................. 312,425 (3,885)
Futures ..................................................... -- (975)
Foreign currency related transactions ....................... -- (49)
- ------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments ................ 579,389 (22,711)
- ------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........... $ 661,731 $ 112,806
================================================================================================
* Income attributable to securities lending activity, net of rebate, for GE
S&S Program Mutual Fund and GE S&S Income Fund was $81 and $4,132
respectively.
** Income attributable to securities lending activity, net of rebate, for GE
S&S Income Fund was $1,246.
- ----------
See Notes to Financial Statements.
33
- ----------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES GE S&S
IN NET ASSETS FOR THE YEARS ENDED PROGRAM GE S&S
DECEMBER 31, 2006 AND 2005 (AMOUNTS IN THOUSANDS) MUTUAL FUND INCOME FUND
- ----------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investments income ............................. $ 82,342 $ 64,934 $ 135,517 $ 123,287
Net realized gain (loss) on investments, futures,
written options, foreign currency related
transactions and swaps ........................... 266,964 264,954 (17,802) (19,545)
Net increase (decrease) in unrealized
appreciation/(depreciation) on investments,
futures, written options, foreign currency related
translations ..................................... 312,425 (212,083) (4,909) (36,159)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations ............ 661,731 117,805 112,806 67,583
- ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .............................. (81,953) (66,492) (135,156) (122,793)
Net realized gains ................................. (260,255) (272,873) - (7,208)
- ----------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .................................. (342,208) (339,365) (135,156) (130,001)
- ----------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations
and distributions .................................. 319,523 (221,560) (22,350) (62,418)
- ----------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Proceeds from sale of shares ....................... 194,273 193,508 98,864 153,934
Value of distributions reinvested .................. 317,064 313,372 127,497 123,221
Cost of shares redeemed ............................ (364,170) (365,132) (253,667) (259,025)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from share transactions ...... 147,167 141,748 (27,306) 18,130
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS .............. 466,690 (79,812) (49,656) (44,288)
NET ASSETS
Beginning of year .................................... 4,074,331 4,154,143 2,557,311 2,601,599
- ----------------------------------------------------------------------------------------------------------------------
END OF YEAR .......................................... $ 4,541,021 $ 4,074,331 $ 2,507,655 $ 2,557,311
======================================================================================================================
UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF)
NET INVESTMENT INCOME, END OF YEAR ................... $ 389 $ 0 $ 4,274 $ 3,785
- ----------------------------------------------------------------------------------------------------------------------
CHANGES IN FUND SHARES
- ----------------------------------------------------------------------------------------------------------------------
Shares sold by subscription ............................. 4,228 4,310 8,911 13,513
Issued for distributions reinvested ..................... 6,814 7,257 11,497 10,827
Shares redeemed ......................................... (8,051) (8,070) (22,874) (22,739)
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN FUND SHARES .................. 2,991 3,497 (2,466) 1,601
======================================================================================================================
- ----------
See Notes to Financial Statements.
34
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. ORGANIZATION OF THE FUNDS
The GE S&S Program Mutual Fund and GE S&S Income Fund are registered under the
Investment Company Act of 1940, as amended, (the "1940 Act") as open-end
management investment companies. The Funds are two of the investment options
offered under the GE Savings & Security Program (the "Program"). The Program,
through a trust, owns 63% of the GE S&S Program Mutual Fund and 69% of the GE
S&S Income Fund. The Funds operate as Employees' Securities Companies (as
defined in the 1940 Act) and as such are exempt from certain provisions of the
1940 Act.
GE Asset Management Incorporated (GEAM) is the Funds' investment adviser and a
wholly-owned subsidiary of General Electric Company.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions at the date of the financial statements. Actual results may differ
from those estimates.
The following summarizes the significant accounting policies of the Funds:
SECURITY VALUATION AND TRANSACTIONS
Securities for which exchange quotations are readily available are valued at the
last sale price, or if no sales occurred on that day, at the last quoted bid
price. Securities listed on the NASDAQ will be valued at the NASDAQ's official
close price. Certain fixed income securities are valued by a dealer or by a
pricing service based upon a matrix system, which considers market transactions
as well as dealer supplied valuations. Short-term investments maturing within
sixty days are valued at amortized cost. If quotations are not readily available
for a portfolio security, or if it is believed that a quotation or other market
price for a portfolio security does not represent its fair value, the security
may be valued using procedures approved by the Funds' Board of Trustees that are
designed to establish its "fair value". These procedures require that the fair
value of a security be established by the valuation committee. The fair value
committee follows different protocols for different types of investments and
circumstances.
Foreign securities are valued with the assistance of an independent fair value
pricing service in circumstances where it is believed that they have been or
would be materially affected by events occuring after the close of the portfolio
security's primary market and before the close of regular trading on the NYSE.
This independent fair value pricing service uses a computerized system to
appraise affected securities and portfolios taking into consideration various
factors and the fair value of such securities may be something other than the
last available quotation or other market price. GE Asset Management may also
separately monitor portfolio securities and, consistent with the Funds' fair
value procedures, apply a different value to a porfolio security than would be
applied had it been priced using market quotations or by an independent fair
value pricing service.
Determining the fair value of securities involves the application of both
subjective and objective considerations. Security values may differ depending on
the methodology used to determine their values, and may differ from the last
quoted sale or closing price. No assurance can be given that use of these fair
value procedures will always better represent the price at which a Fund could
sell the affected portfolio security.
35
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
Security transactions are accounted for as of the trade date. Realized gains and
losses on investments sold are recorded on the basis of identified cost for both
financial statement and federal tax purposes.
In September 2006, FASB issued Statement of Financial Accounting Standards No.
157, FAIR VALUE MEASUREMENTS ("FAS 157"). FAS 157 establishes a single
authoritative definition of fair value, establishes a framework for measuring
fair value and expands disclosures about fair value measurements. FAS 157
applies to fair value measurements already required or permitted by existing
standards. The change to current generally accepted accounting principles from
the application of FAS 157 relate to the definition of fair value, the methods
used to measure fair value, and the expanded disclosures about fair value
measurements. Management of the Fund does not believe the adoption of FAS 157
will materially impact the financial statement amounts, however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements on changes in net assets for the
period. FAS 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007 and interim periods within those fiscal years.
REPURCHASE AGREEMENTS
Each of the Funds may engage in repurchase agreement transaction with respect to
instruments that are consistent with the Fund's investment objectives or
policies. The Funds' custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Funds. The Funds value the
underlying collateral daily on a mark-to-market basis to determine that the
value, including accrued interest, is at least equal to 102% of the repurchase
price. In the event the seller defaults and the value of the security declines,
or if the seller enters an insolvency proceeding, realization of the collateral
by the Funds may be delayed or limited.
SECURITY LENDING
Each of the Funds may loan securities to brokers, dealers, and financial
institutions determined by GEAM to be creditworthy, subject to certain
limitations. The Funds continue to receive the interest and dividends on the
loaned securities during the term of the loan. The loans of securities are
secured by collateral in the form of cash or other liquid assets, which are
segregated and maintained with the custodian in an amount at least equal to 102%
of the current market value of the loaned securities. During the term of the
loan, the Funds will record any gain or loss in the market value of its loaned
securities and of securities in which cash collateral is invested. A Fund will
also earn interest, net of any rebate, from securities in which cash collateral
is invested. In the event the counterparty (borrower) does not meet its
contracted obligation to return the securities, the Funds may be exposed to the
risk of loss of reacquiring the loaned securities at prevailing market prices
using the proceeds of the sale of the collateral.
FOREIGN CURRENCY
Accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in a foreign currency
are translated into U.S. dollars at the prevailing rates of exchange at year
end. Purchases and sales of securities, income receipts and expense payments
denominated in foreign currencies are translated into U.S. dollars at the
prevailing exchange rate on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting
from changes in foreign exchange rates from the fluctuations arising from
36
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
changes in market prices of securities during the year. Such fluctuations are
included in net realized or unrealized gain or loss from investments. Net
realized gains or losses on foreign currency transactions represent net gains or
losses on sales and maturities of foreign currency contracts, disposition of
foreign currencies, the difference between the amount of net investment income
and withholding taxes accrued and the U.S. dollar amount actually received and
paid, and gains or losses between the trade and settlement date on purchases and
sales of securities. Net unrealized foreign exchange gains and losses arising
from changes in the value of other assets and liabilities as a result of changes
in foreign exchange rates are included as increases or decreases in unrealized
appreciation/depreciation on foreign currency related transactions.
FUTURES CONTRACTS
The GE S&S Income Fund may invest in futures contracts subject to certain
limitations. The Fund may invest in futures contracts to manage its exposure to
the stock and bond markets and fluctuations in currency values. Buying futures
tends to increase a Fund's exposure to the underlying instrument while selling
futures tends to decrease a Fund's exposure to the underlying instrument, or
hedge other Fund investments. The Fund will not enter into a transaction
involving futures for speculative purposes. The Fund's risks in using these
contracts include changes in the value of the underlying instruments,
non-performance of the counterparties under the contracts' terms and changes in
the liquidity of the secondary market for the contracts. Futures contracts are
valued at the settlement price established each day by the board of trade or
exchange on which they principally trade.
Upon entering into a financial futures contract, the Fund is required to pledge
to the broker an amount of cash and/or other assets equal to a certain
percentage of the contract amount, known as initial margin deposit. Subsequent
payments, known as variation margin, are made or received by the Fund each day,
depending on the daily fluctuation in the fair value of the underlying security.
The Fund records an unrealized gain or loss equal to the daily variation margin.
Should market conditions move unexpectedly, the Fund may not achieve the
anticipated benefits of the futures contracts and may incur a loss. The Fund
recognizes a realized gain or loss on the expiration or closing of a futures
contract.
OPTIONS
The GE S&S Income Fund may purchase and write options, subject to certain
limitations. The Fund may invest in options contracts to manage its exposure to
the stock and bond markets and fluctuations in foreign currency values. Writing
puts and buying calls tend to increase a Fund's exposure to the underlying
instrument while buying puts and writing calls tend to decrease a Fund's
exposure to the underlying instrument, or hedge other Fund investments. The Fund
will not enter into a transaction involving options for speculative purposes.
The Fund's risks in using these contracts include changes in the value of the
underlying instruments, non-performance of the counterparties under the
contracts' terms and changes in the liquidity of the secondary market for the
contracts. Options are valued at the last sale price, or if no sales occurred on
that day, at the last quoted bid price.
When a Fund writes an option, the amount of the premium received is recorded as
a liability and is subsequently adjusted to the current fair value of the option
written. Premiums received from writing options that expire unexercised are
treated by the Funds on the expiration date as realized gains from investments.
The difference between the premium and the amount paid on effecting a closing
37
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
purchase transaction, including brokerage commissions, is also treated as a
realized gain, or if the premium is less than the amount paid for the closing
purchase, as a realized loss. When an option is exercised, the proceeds from the
sale of the underlying security or the cost basis of the securities purchased is
adjusted by the original premium received or paid.
SWAP CONTRACTS
As part of its investment strategy, the GE S&S Income Fund may invest in swap
agreements which are agreements to exchange the return generated by one
instrument for the return generated by another instrument. Total return swap
agreements involve commitments to pay interest in exchange for a market linked
return based upon a notional principal amount. To the extent the total return of
the security or index underlying the agreement exceeds or falls short of the
offsetting interest rate obligation, the Fund will receive a payment from or
make a payment to the counterparty. Swaps are marked to market daily based upon
the underlying security or index. Payments received or made are recorded as
realized gain or loss in the Statement of Operations. Entering into swap
agreements involves, to varying degrees, elements of credit and market risk in
excess of the amounts recognized on the Statement of Assets and Liabilities.
Such risks involve the possibility that there will be no liquid market for these
agreements, that the counterparty to the agreements may default on its
obligation to perform and that there may be unfavorable changes in the value of
the index or securities underlying the agreement. Notional principal amounts are
used to express the extent of involvement in these transactions, but the amounts
potentially subject to credit risk are much smaller.
WHEN-ISSUED SECURITIES AND FORWARD COMMITMENTS
Each of the Funds may purchase or sell securities on a when-issued or forward
commitment basis. These transactions are arrangements in which the Funds
purchase and sell securities with payment and delivery scheduled a month or more
after entering into the transactions. The price of the underlying securities and
the date when these securities will be delivered and paid for are fixed at the
time the transaction is negotiated. Losses may arise due to changes in the
market value of the underlying securities or if the counterparty does not
perform under the contract. In connection with such purchases, the Funds
maintain cash or liquid assets in an amount equal to purchase commitments for
such underlying securities until settlement date and for sales commitments the
Funds maintain equivalent deliverable securities as "cover" for the transaction.
Unsettled commitments are valued at the current market value of the underlying
security. Daily fluctuations in the value of such contracts are recorded as
unrealized gains or losses. The Funds will not enter into such commitments for
the purpose of investment leverage.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
The GE S&S Income Fund may enter into forward foreign currency exchange
contracts to facilitate transactions in foreign denominated securities and to
manage the Fund's currency exposure. Forward foreign currency exchange contracts
are valued at the mean between the bid and the offered forward rates as last
quoted by a recognized dealer. The aggregate principal amounts of the contracts
are not recorded in the Fund's financial statements. Such amounts appear under
the caption forward foreign currency contracts in the Schedule of Investments.
Fluctuations in the value of the
38
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
contracts are recorded in the Statement of Assets and Liabilities as an asset
(or liability) and in the Statement of Operations as unrealized appreciation
(depreciation) until the contracts are closed, when they are recorded as
realized gains or losses on foreign currency related transactions. The Fund's
risks in using these contracts include changes in the value of foreign currency
or the possibility that the counterparties do not perform under the contracts'
terms. When a Fund enters into a forward foreign currency exchange contract, it
is required to segregate cash or liquid securities with its custodian in an
amount equal to the value of the Fund's total assets committed to the
consummation of the forward contract. If the value of the segregated securities
declines, additional cash or securities is segregated so that the value of the
account will equal the amount of the Fund's commitment with respect to the
contract.
INCOME TAXES
(DOLLARS IN THOUSANDS)
The Funds intend to comply with all sections of the Internal Revenue Code
applicable to regulated investment companies including the distribution of
substantially all of their taxable net investment income and net realized
capital gains to their shareholders. Therefore, no provision for federal income
tax has been made. Each Fund is treated as a separate taxpayer for federal
income tax purposes.
At December 31, 2006, information on the tax components of capital is as
follows:
NET TAX
COST OF GROSS TAX GROSS TAX APPRECIATION/
INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION)
FOR TAX PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS
- -----------------------------------------------------------------------------------------------------------
GE S&S Program Mutual Fund $ 4,039,371 $ 715,228 $(108,096) $ 607,132
GE S&S Income Fund 3,348,002 15,099 (55,454) (40,355)
NET TAX APPRECIATION/ UNDISTRIBUTED POST
(DEPRECIATION) ON LONG-TERM GAINS/ OCTOBER
DERIVATIVES, CURRENCY UNDISTRIBUTED (ACCUMULATED LOSSES
AND OTHER NET ASSETS INCOME CAPITAL LOSS) (SEE DETAIL BELOW)
- -----------------------------------------------------------------------------------------------------------
GE S&S Program Mutual Fund $ - $ 867 $ 2,295 $ -
GE S&S Income Fund 79 4,254 (40,968) -
As of December 31, 2006, the following Funds have capital loss carryovers as
indicated below. The capital loss carryover is available to offset future
realized capital gains to the extent provided in the Internal Revenue Code and
regulations thereunder. To the extent that these carryover losses are used to
offset future capital gains, it is probable that the gains so offset will not be
distributed to shareholders because they would be taxable as ordinary income.
FUND AMOUNT EXPIRES
- --------------------------------------------------------------------------------
GE S&S Income Fund $ 15,435 12/31/13
25,533 12/31/14
39
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
Any net capital and currency losses incurred after October 31, within each
Fund's tax year, are deemed to arise on the first day of the Fund's next tax
year if the Fund so elects to defer such losses.
The Funds incurred no such losses after October 31, 2006.
The tax composition of distributions paid during the year ended December 31,
2006 was as follows:
ORDINARY LONG-TERM
FUND INCOME CAPITAL GAINS TOTAL
- --------------------------------------------------------------------------------
GE S&S Program Mutual Fund $112,672 $ 229,536 $ 342,208
GE S&S Income Fund 135,156 - 135,156
DISTRIBUTIONS TO SHAREHOLDERS
GE S&S Income Fund declares investment income dividends daily and pays them
monthly. The GE S&S Program Mutual Fund declares and pays dividends from
investment income annually. The Funds declare and pay net realized capital gains
in excess of capital loss carryforwards distributions annually. The character of
income and gains to be distributed is determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences include (but are not limited to) treatment of realized gains
and losses on foreign currency contracts, futures and losses deferred due to
wash sale transactions. Reclassifications are made to the Funds' capital
accounts to reflect income and gains available for distribution (or available
capital loss carryovers) under income tax regulations. These reclassifications
have no impact on net investment income, realized gains or losses, or net asset
value of the Funds. The calculation of net investment income per share in the
Financial Highlights table excludes these adjustments.
The reclassifications for the year ended December 31, 2006 were as follows:
UNDISTRIBUTED ACCUMULATED PAID
NET INVESTMENT NET REALIZED IN
INCOME LOSS CAPITAL
- --------------------------------------------------------------------------------
GE S&S Program Mutual Fund $ - $ - $ -
GE S&S Income Fund 128 (128) -
On July 13, 2006, the FASB released FIN48, "Accounting for Uncertainty in Income
Taxes." FIN48 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN48
requires evaluation of tax positions taken or expected to be taken in the course
of preparing the Fund's tax returns to determine whether the tax positions are
"more likely than not" of being sustained by the applicable tax authority. The
adoption of FIN48 will require financial statements to be adjusted to reflect
only those tax positions that are more likely that not to be sustained as of the
adoption date. Adoption of FIN48 is required for fiscal years beginning after
December 15, 2006 no later than June 29, 2007 and is applied to all open years
as of the effective date. At this time, management is evaluating the
implications of FIN48 and its impact on the financial statements has not yet
been determined.
INVESTMENT INCOME
Corporate actions (including cash dividends) are recorded on the ex-dividend
date, net of applicable withholding taxes, except for certain foreign corporate
actions, which are recorded as soon after ex-dividend date as such information
becomes available. Interest income is recorded on the accrual basis. All
discounts and premiums on bonds are accreted and amortized, respectively, to
call or maturity date, whichever is shorter, using the effective yield method.
40
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
EXPENSES
Expenses of the Funds which are directly identifiable to a specific Fund are
allocated to that Fund. Expenses which are not directly identifiable to a
specific Fund are allocated in such a manner as deemed equitable, taking into
consideration the nature and type of expense and the relative sizes of the
Funds. All expenses of the Funds are paid by GEAM, and reimbursed by the Funds.
TRANSFER AGENT CONVERSION EXPENSES
On September 18, 2004, the Funds changed its Transfer Agent from Boston
Financial Data Services (BFDS) to PFPC Inc. (PFPC). PFPC has agreed to pay for
certain conversion expenses incurred by GEAM for the entire GEAM Mutual Fund
complex. For the year ended December 31, 2005, PFPC paid $44,794 (dollars not in
thousands) of those conversion expenses related to the Funds.
3. LINE OF CREDIT
The Funds share a revolving credit facility of up to $25 million with a number
of their affiliates. The credit facility is with their custodian bank, State
Street Bank and Trust Company. The revolving credit facility requires the
payment of a commitment fee equal to 0.09% per annum on the daily unused portion
of the credit facility, payable quarterly. The portion borne by the Funds
generally is borne proportionally based upon net assets. Generally, borrowings
under the credit facility would accrue interest at the Federal Funds Rate plus
50 bps and is borne by the borrowing Fund. The maximum amount allowed to be
borrowed by any one Fund is the lesser of its prospectus limitation, 20% of its
net assets, or $25 million. The credit facility was not utilized by the Funds
during the year ended December 31, 2006.
4. AMOUNTS PAID TO AFFILIATES
ADVISORY AND ADMINISTRATION EXPENSES
During 2006, the Funds incurred expenses for the cost of services rendered by
GEAM as investment adviser and for services GEAM rendered as shareholder
servicing agent. These expenses are included as advisory and administration
expenses and shareholder servicing agent expense in the Statements of
Operations. The Trustees received no compensation as trustees for the Funds.
GENPACT performs certain accounting and certain administration services not
provided by GEAM. For the year ending December 31, 2006, $73,367 (dollars not in
thousands) was charged to the GE S&S Program Mutual Fund and $43,440 (dollars
not in thousands) was charged to the GE S&S Income Fund. Administrative services
not performed by GEAM or GENPACT were provided by an unaffiliated service
provider.
5. INVESTMENT TRANSACTIONS
(DOLLARS IN THOUSANDS)
PURCHASES AND SALES OF SECURITIES
The cost of purchases and the proceeds from sales of investments, other than
short-term securities and options, for the year ended December 31, 2006, were as
follows:
PURCHASES SALES
- --------------------------------------------------------------------------------
GE S&S Program Mutual Fund $ 1,665,907 $ 1,790,033
GE S&S Income Fund 9,592,195 9,417,463
41
December 31, 2006
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
OPTIONS
During the year ended December 31, 2006, the following option contracts were
written:
S&S INCOME FUND
-----------------------
NUMBER
OF CONTRACTS PREMIUM
- --------------------------------------------------------------------------------
Balance as of December 31, 2005 - $ -
Written 7 164
Closed and Expired (7) (164)
- --------------------------------------------------------------------------------
Balance as of
December 31, 2006 - $ -
- --------------------------------------------------------------------------------
SECURITY LENDING
At December 31, 2006, the following Funds participated in securities lending:
LOANED SECURITIES
AT MARKET VALUE
(INCLUDING CASH
ACCRUED INTEREST) COLLATERAL*
- --------------------------------------------------------------------------------
GE S&S Program Mutual Fund $ 108,117 $ 111,530
GE S&S Income Fund 578,561 590,773
* Collateral of $112,633 for GE S&S Program Mutual Fund, decreased by $1,103
on January 1, 2007 to reflect the December 31, 2006 change in value of
securities on loan.
42
- --------------------------------------------------------------------------------
Report of Independent Registered
- --------------------------------------------------------------------------------
Public Accounting Firm
[KPMG LOGO OMITTED]
THE SHAREHOLDERS AND BOARD OF TRUSTEES
GE S&S FUNDS
We have audited the accompanying statements of assets and liabilities of the GE
S&S Program Mutual Fund and GE S&S Income Fund, each a series of GE S&S Funds,
including the schedules of investments, as of December 31, 2006, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the years in the two-year period then ended, and the
financial highlights for each of the years in the five-year period then ended.
These financial statements and financial highlights are the responsibility of GE
S&S Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 2006 by correspondence with the custodian
and brokers, or by other appropriate auditing procedures where replies from
brokers were not received. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the GE
S&S Program Mutual Fund and GE S&S Income Fund as of December 31, 2006, the
results of their operations, changes in their net assets and financial
highlights for the years described above, in conformity with U.S. generally
accepted accounting principles.
/s/ KPMG LLP
Boston, Massachusetts
February 14, 2007
43
- --------------------------------------------------------------------------------
Tax Information, unaudited
- --------------------------------------------------------------------------------
For the year ended December 31, 2006
SUMMARY
For the fiscal year ended December 31, 2006 certain dividends paid by the fund
may be subject to a maximum income tax rate of 15%, as providied for by the Jobs
and Growth Tax Relief Reconciliation Act of 2003. Of the ordinary dividends paid
during the fiscal year, the following represent the amounts that may be
considered qualified dividend income:
QUALIFIED
DIVIDEND
FUND NAME INCOME
----------------------------------------------------------------
General Electric S&S Progam Mutual Fund 68.90%
For corporate shareholders, of the ordinary dividends paid, the following
represent the amounts that may be eligible for the dividends received deduction:
DIVIDENDS
RECEIVED
FUND NAME DEDUCTION
----------------------------------------------------------------
General Electric S&S Progam Mutual Fund 64.49%
During the year ended December 31, 2006, the following funds paid to
shareholders of record on December 27, 2006, the following long-term capital
gain dividends reported on Form 1099 for 2006:
FUND NAME PER SHARE AMOUNT
----------------------------------------------------------------
General Electric S&S Progam Mutual Fund $2.52503
44
- --------------------------------------------------------------------------------
Advisory Agreement Renewal, unaudited
- --------------------------------------------------------------------------------
The Board of Trustees of each Fund considered and unanimously approved the
continuance of the investment advisory agreements with GE Asset Management
Incorporated ("GEAM") at meetings held on April 5 and December 12, 2006.
In considering whether to approve the Funds' investment advisory agreements, the
Board members considered and discussed a substantial amount of information and
analysis provided, at the Board's request, by GEAM personnel. The Board members
also considered detailed information regarding performance and expenses of other
investment companies with similar investment objectives and sizes, which was
prepared by an independent third party provider, Lipper Inc. ("Lipper"). The
Board members reviewed the fees charged by GEAM for other mutual funds and
investment products other than mutual funds that employ the same investment
strategies as the Funds. The Board members also reviewed materials discussing
the legal standards for the consideration of the proposed continuances.
In connection with their approval of the Funds' investment advisory agreements,
the Board members received and considered memoranda prepared by GEAM personnel,
which set forth detailed information, including substantial exhibits and other
materials, related to GEAM's business and the services it provides to each Fund.
The Board members reviewed and discussed the proposed continuance of the
agreements with GEAM personnel, including representatives from the legal and
compliance departments, senior members of each relevant investment group (e.g.,
equity, fixed income) and research personnel. The Board members also heard
presentations by these representatives, and posed questions and engaged in
substantive discussions with them concerning the Funds' operations and the
investment process employed for each Fund. The Board members took into account
that many of them possess multi-year experience as Board members and that all of
them possess a great deal of knowledge about GEAM and the Funds in their
capacities as senior officers of GEAM. They also took into account their
consideration of these agreements in recent years, noting that the information
they received was presented in a similar manner and format.
In reaching their determinations relating to continuance of the Funds'
investment advisory agreements, the Board members considered all factors they
believed relevant, including the factors discussed below. In their
deliberations, the Board members did not identify any particular information
that was all-important or controlling, and each Board member attributed
different weights to the various factors. The Board members evaluated this
information, and all other information available to them, for each Fund
separately, and their determinations were made separately in respect of each
Fund. In particular, the Board members focused on the following with respect to
each Fund:
THE NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED.
The Board members reviewed the services provided by GEAM and concurred that GEAM
provides high quality advisory and administrative services to the Funds. In
connection with their consideration of GEAM's services, the Board members
focused on the favorable attributes of GEAM, including (i) an investment
philosophy oriented toward long-term performance; (ii) effective processes used
for selecting investments, selecting brokers and with respect to Fund
administration, controllership and compliance activities; (iii) highly skilled
professionals, including analysts, research professionals and portfolio managers
with a depth of experience involving the types of Funds they oversee; (iv)
access to significant technological resources from which the Funds may benefit;
and (v) a favorable history and reputation. The Board members discussed the
personnel changes made, and proposed to be
45
- --------------------------------------------------------------------------------
Advisory Agreement Renewal, unaudited
- --------------------------------------------------------------------------------
made, by GEAM, and that GEAM has expended significant sums to enhance services,
including improvements to its information technology capabilities. The Board
members noted that each Fund represents only a small amount of the overall
assets managed by GEAM, but benefits from a full array of services and resources
provided by GEAM. In particular, the Board members discussed that the Funds
benefit from a large staff of research analysts employed by GEAM.
In light of the foregoing, the Board members concluded that the services
provided by GEAM were of a high quality and had benefited the Funds.
INVESTMENT PERFORMANCE OF THE FUNDS.
The Board members considered the investment performance of the Funds for various
periods. The Board members reviewed detailed comparisons of the performance of
the Funds with the relevant securities indexes and peer groupings of mutual
funds prepared by Lipper with respect to various periods. The Board members also
engaged in discussions regarding the investment process for each Fund, the
portfolio management and supporting research personnel, the investment style and
approach employed for each Fund, the likely market cycles for the investment
style, and, in some instances, relative underperformance in certain periods in
light of GEAM's commitment to long-term satisfactory performance with respect to
each Fund's investment objective and investment approach. The Board members
concluded that the Funds' performance was acceptable overall taking into
consideration the factors discussed above.
COST OF THE SERVICES TO BE PROVIDED TO THE FUNDS.
The Board members considered the cost of the services provided by GEAM. The
Board members noted that, under each investment advisory agreement, GEAM is
reimbursed for its reasonable costs incurred in providing the services
contemplated by the agreement and for the reasonable costs incurred by its
affiliate, GE Investment Distributors, Inc. ("GEID"), in providing services
specified in its agreement with the Funds as unitholder servicing agent. The
Board members considered that the charges resulting from this arrangement
involve all of the expenses incurred by GEAM and GEID with respect to the
management and unitholder operations of the Funds, including, without
limitation, indirect allocable overhead costs and the direct and indirect costs
of GEAM and GEID personnel providing investment management and other services to
the Funds. The Board members noted and discussed the additional services
provided by GEAM to the Funds compared to other investment products managed by
GEAM and the charges that result from those services. The Board members also
noted that none of the charges resulting from the Funds' arrangements with GEAM
and GEID may include any element of profit.
The Board members reviewed the information they had requested from GEAM
personnel concerning the underlying assumptions and methods of cost allocation
used by GEAM in allocating its costs and those of the other Fund service
providers, including GEID. The Board members also discussed with GEAM personnel
the basis for their belief that the methods of allocation used were reasonable
and consistent across GEAM's business.
Based on their review, the Board members concluded that they were satisfied that
the assumptions and methods used in cost allocation and the level of expenses
incurred by the Funds were not unreasonable or excessive.
THE EXTENT TO WHICH ECONOMIES OF SCALE WOULD BE REALIZED FOR THE BENEFIT OF FUND
SHAREHOLDERS AS THE FUNDS GROW.
The Board members considered the extent to which economies of scale would be
realized for the benefit of Fund investors as the Funds grow. The Board members
recognized the significant benefits
46
- --------------------------------------------------------------------------------
Advisory Agreement Renewal, unaudited
- --------------------------------------------------------------------------------
to the Funds resulting from their arrangement with GEAM, which causes them to
bear only the reasonable costs incurred by GEAM and GEID, without any element of
profit, for the substantial services they provide to the Funds. The Board
members also recognized the benefits to the Funds of being able to leverage a
favorable cost structure achieved with respect to the Funds' other operating
expenses as a result of GEAM's large overall base of assets under management and
its vendor management practices. The Board members reviewed and concurred with
information provided by GEAM personnel, which showed how significant Fund asset
growth can reduce a Fund's operating expenses.
COMPARISON OF SERVICES TO BE RENDERED AND COSTS TO BE INCURRED.
The Board members discussed the services provided to the Funds by GEAM, and the
costs incurred by the Funds for those services. The Board members reviewed
information concerning the Funds' expense ratios, and comparative information
with respect to similar products. They discussed that, in all cases, the Funds
enjoy expense levels within or below the group of lowest cost funds in each peer
group comparison. In light of this information, the Board members determined
that the level of expenses incurred was reasonable in relation to the services
provided to the Funds.
FALL-OUT BENEFITS.
The Board members considered other actual and potential financial benefits that
GEAM may derive from its relationship with the Funds, including, where
applicable, soft dollar commission benefits generated through Fund portfolio
transactions. The Board members noted, however, that the Funds benefit from the
vast array of resources available through GEAM, and that each Fund represents
only a small amount of the overall assets managed by GEAM.
CONCLUSION.
No single factor was determinative to the Board members' decision. Based on
their discussion and such other matters as were deemed relevant, the Board
members concluded that the proposed level of cost reimbursement to GEAM and
projected total expense ratios for the Funds are reasonable in relation to the
services provided. In view of these facts, the Board members concluded that the
renewal of each advisory agreement was in the best interests of the Funds and
their shareholders.
47
- --------------------------------------------------------------------------------
Additional Information, unaudited
- --------------------------------------------------------------------------------
INFORMATION ABOUT TRUSTEES AND EXECUTIVE OFFICERS:
The business and affairs of the Trust are managed under the direction of the
Trust's Board of Trustees. Information pertaining to the Trustees and officers
of the Trust is set forth below.
INTERESTED TRUSTEES AND EXECUTIVE OFFICERS
- --------------------------------------------------------------------------------
RONALD R. PRESSMAN
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE: 48
POSITION HELD WITH FUND: Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED: Until successor is elected and
qualified - less than one year
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chairman, President and Chief
Executive Officer of GEAM since 2006; President and CEO of GE Insurance and
Chairman, President and CEO of GE Insurance Solutions from 2000 to 2006;
President and CEO of GE Capital Real Estate from 1997 to 2000.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE: GE Capital Corporation since 2000, GE
Capital Services, Inc. since 2000, Board of the Pathways to College since 2003;
National Board Chair of A Better Chance since 2007, Director since 1999; Trustee
of Elfun Funds and General Electric Pension Trust since 2006.
- --------------------------------------------------------------------------------
DAVID B. CARLSON
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 49
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 3 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, Domestic
Equities of GEAM since September 2003, Senior Vice President, Domestic Equities
of GEAM from 1989 to 2003.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds and General Electric
Pension Trust since 2003.
- --------------------------------------------------------------------------------
MICHAEL J. COSGROVE
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 57
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 19 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS President, GE Asset Management
Services division ("GEAMS") of GE Financial Assurance Holdings, Inc., an
indirect wholly-owned subsidiary of General Electric Company ("GE"), since
February 1997; Vice President, GE Capital Corporation, an indirect wholly-owned
subsidiary of GE, since December 1999; Executive Vice President -Mutual Funds of
GEAM, a wholly-owned subsidiary of GE that is registered as an investment
adviser under the Investment Advisers Act of 1940, as amended, since March 1993;
Director of GEAM since 1988.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 48
OTHER DIRECTORSHIPS HELD BY TRUSTEE Chairman of the Board and President of GE
Funds since 1993 and GE Institutional Funds, GE LifeStyle Funds and GE
Investments Funds, Inc. since 1997; Trustee of Elfun Funds and General Electric
Pension Trust since 1988; Trustee of Fordham University since 2003 and Marymount
College from 1994 through 2002.
- --------------------------------------------------------------------------------
KATHRYN D. KARLIC
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 51
POSITIONS HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - Less than one year
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, Fixed
Income of GEAM since March 2004, Senior Vice President Fixed Income of GEAM from
2002 to 2004.
NUMBER OF PORFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BYTRUSTEE Trustee of Elfun Funds and General Electric
Pension Trust since 2006; Trustee of Babson College since 1999.
48
- --------------------------------------------------------------------------------
Additional Information, unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
RALPH R. LAYMAN
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 51
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 15 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President -
International Equity Investments of GEAM since 1993; Executive Vice President -
International Equity Investments of GEIC from 1993-2000 (when GEIC was merged
into GEAM); Senior Vice President - International Equity Investments of GEAM and
GEIC from 1991 until 1993; Executive Vice President, Partner and Portfolio
Manager of Northern Capital Management from 1989-1991; and prior thereto, Vice
President and Portfolio Manager of Templeton Investment Counsel.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds and General Electric
Pension Trust since 1993.
- --------------------------------------------------------------------------------
ALAN M. LEWIS
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 60
POSITION(S) HELD WITH FUND Trustee and Secretary
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 19 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President, General
Counsel and Secretary of GEAM since 1987
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 48
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee and Executive Vice President of GE
Funds since 1993 and GE Institutional Funds and GE LifeStyle Funds since 1997;
Director of GE Investments Funds, Inc. since 2001; Trustee of Elfun Funds and
General Electric Pension Trust since 1987.
- --------------------------------------------------------------------------------
JUDITH A. STUDER
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 54
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 3 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Executive Vice President -
Investment Strategies since 2006; Senior Vice President - International Equities
of GEAM from 1995-2006; Senior Vice President - Domestic Equities of GEAM from
1991-1995; Vice President of Domestic Equities from 1987-1991.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds and General Electric
Pension Trust since 2004.
- --------------------------------------------------------------------------------
DONALD W. TOREY
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 50
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 13 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Director of GEAM since 1993;
Executive Vice President - Alternative Investments of GEAM since 1997; Director
of GEIC from 1993-2000 (when GEIC was merged into GEAM); Executive Vice
President - Alternative Investments of GEIC from 1997-2000; Executive Vice
President -Finance and Administration of GEAM and GEIC from 1993 to 1997;
Manager - Mergers and Acquisitions Finance for GE from 1989-1993; Vice President
- - Private Placements of GEIC from 1988-1989.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds and General Electric
Pension Trust since 1993.
49
- --------------------------------------------------------------------------------
Additional Information, unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
JOHN J. WALKER
- --------------------------------------------------------------------------------
ADDRESS c/o GEAM 3001 Summer St. Stamford, CT 06905
AGE 53
POSITION(S) HELD WITH FUND Trustee
TERM OF OFFICE AND LENGTH OF TIME SERVED Until successor is elected and
qualified - 7 years
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS Chief Financial Officer of GEAM
since 1999; Chief Financial Officer of GEIC from 1999-2000 (when GEIC was merged
into GEAM); Chief Financial Officer of GE Capital - Global Consumer Finance from
1996-1999; Chief Financial Officer of GE Capital - Commercial Finance from 1992
to 1996; Finance Director of GE Capital - TIFC from 1988-1992.
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE 8
OTHER DIRECTORSHIPS HELD BY TRUSTEE Trustee of Elfun Funds and General Electric
Pension Trust since 1999.
50
- --------------------------------------------------------------------------------
GE S&S Mutual Funds' Investment Team
- --------------------------------------------------------------------------------
INVESTMENT ADVISER
GE Asset Management Incorporated
PROGRAM TRUSTEES AND OFFICERS OF THE INVESTMENT ADVISER
Ronald R. Pressman, TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER, GE ASSET
MANAGEMENT INCORPORATED (AS OF JULY 1, 2006)
David B. Carlson, TRUSTEE, EXECUTIVE VICE PRESIDENT, DOMESTIC EQUITIES
Michael J. Cosgrove, TRUSTEE, EXECUTIVE VICE PRESIDENT, CHIEF COMMERCIAL OFFICER
Kathryn D. Karlic, TRUSTEE, EXECUTIVE VICE PRESIDENT, FIXED INCOME
Ralph R. Layman, TRUSTEE, EXECUTIVE VICE PRESIDENT, INTERNATIONAL EQUITIES
Alan M. Lewis, TRUSTEE, EXECUTIVE VICE PRESIDENT, GENERAL COUNSEL AND SECRETARY
Judith A. Studer, TRUSTEE, EXECUTIVE VICE PRESIDENT, INVESTMENT STRATEGIES
Donald W. Torey, TRUSTEE, EXECUTIVE VICE PRESIDENT, ALTERNATIVE INVESTMENTS AND
REAL ESTATE
John J. Walker, TRUSTEE, EXECUTIVE VICE PRESIDENT, CHIEF FINANCIAL OFFICER
PORTFOLIO MANAGERS
GE S&S PROGRAM MUTUAL FUND
TEAM MEMBERS: George A. Bicher
Christopher D. Brown
Stephen V. Gelhaus
Paul C. Reinhardt
GE S&S INCOME FUND
Team led by Paul M. Colonna
TEAM MEMBERS: Mark Delaney
Eric H. Gould
William Healey
James F. Palmieri
Vita Marie Pike
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
CUSTODIAN
State Street Bank & Trust Company
SHAREHOLDER SERVICING AGENT
Address all inquiries INSIDE the Program to:
GE S&SP Transaction Processing Center
P.O. Box 44079
Jacksonville, FL 32231-4079
Address all inquiries OUTSIDE the Program to:
GE Funds
c/o PFPC, Inc.
P.O. Box 9838
Providence, RI 02940
51
- --------------------------------------------------------------------------------
Shareholder Services
- --------------------------------------------------------------------------------
DAILY VALUE, YIELDS/PERFORMANCE: 1-800-843-3359
INSIDE THE SAVINGS & SECURITY PROGRAM
Shares or units held INSIDE the Program have been credited to your account
as a result of contributions and investment earnings. For a statement
summarizing your account balance in the Program, please refer to Your
Personal Share statement (a copy of which may be obtained at the web site
listed below) or GE Savings and Security Program Annual Statement. You may
obtain additional information and process account transactions on
investments held INSIDE the Program by calling:
GE S&SP TRANSACTION PROCESSING CENTER: 1-800-432-4313
OR VISIT BENEFITS.GE.COM
OUTSIDE THE SAVINGS & SECURITY PROGRAM
If shares of Program Mutual and Income Funds have been distributed to you
from the Program, information on these investments may be obtained by
calling:
GE ASSET MANAGEMENT -- SHAREHOLDER SERVICES: 1-800-242-0134
OR VISIT WWW.GEFUNDS.COM
52
- --------------------------------------------------------------------------------
Highly Rated S&S Funds
- --------------------------------------------------------------------------------
MORNING STAR RATINGS (TM)
THROUGH DECEMBER 31, 2006
- --------------------------------------------------------------------------------
FUND NUMBER OF STAR
(CATEGORY) FUNDS IN CATEGORY RATING
- --------------------------------------------------------------------------------
S&S PROGRAM MUTUAL -- (Large Blend)
- --------------------------------------------------------------------------------
Overall 1574 ***
-----------------------------------------------------------------------
3 year 1574 ***
-----------------------------------------------------------------------
5 year 1238 ***
-----------------------------------------------------------------------
10 year 518 ****
- --------------------------------------------------------------------------------
S&S INCOME -- (Intermediate-Term Bond Fund)
- --------------------------------------------------------------------------------
Overall 951 ****
-----------------------------------------------------------------------
3 year 951 ****
-----------------------------------------------------------------------
5 year 759 ****
-----------------------------------------------------------------------
10 year 364 ****
-----------------------------------------------------------------------
- --------------------------------------------------------------------------------
Morningstar is an independent fund rating company that seeks to provide a
non-biased rating system used in making investment decisions. A fund is rated in
its category on a scale of one to five stars through the evaluation of the
historical balance of risk and adjusted return after 3 years of performance.
Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted
Return measure that accounts for variation in a fund's monthly performance
(including the effects of sales charges, loads and redemption fees), placing
more emphasis on downward variations and rewarding consistent performance. The
top ten percent of the funds in each category receive five stars, the next 22.5%
receive four stars, the next 35% receive three stars, the next 22.5% receive 2
stars and the bottom 10% receive 1 star. The ratings are subject to change every
month. The overall Morningstar Rating for a fund is derived from a weighted
average of the performance figures associated with its three-, five- and ten
year (if applicable) Morningstar Rating metrics.
Investment return and principal value of an investment will fluctuate and you
may have a gain or loss when you sell your shares. Returns assume changes in
share price and reinvestment of dividends and capital gains.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
THIS DOES NOT CONSTITUTE A PART OF THE FUNDS' SHAREHOLDER REPORT
GE S&S FUNDS
3001 SUMMER STREET
STAMFORD, CT 06905
DISTRIBUTOR
GE INVESTMENT DISTRIBUTORS INC.
MEMBER NASD AND SIPC
3001 SUMMER STREET
PO BOX 7900
STAMFORD, CT 06904-7900
WWW.GEFUNDS.COM
- --------------------------------------------------------------------------------
The Funds file their complete schedules of portfolio holdings with the
Securities and Exchange Commission for the first, second and third quarters of
each fiscal year on Form N-Q. The Funds' Forms N-Q, as well as a description of
the policies and procedures that the Funds use to determine how to vote proxies
(if any) relating to portfolio securities is available without charge (i) upon
request, by calling 1-800-242-0134; (ii) on the Funds' website at
http://www.gefunds.com; and (iii) on the Commission's website at
http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the
Commission's Public Reference Room in Washington, DC -- information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
Information (if any) regarding how the Funds voted proxies relating to portfolio
securities during the most recently disclosed 12-months period ended June 30 is
available without charge (i) through the Funds' website at
http://www.gefunds.com; and (ii) on the Commission's website at
http://www.sec.gov.
- --------------------------------------------------------------------------------
[GE LOGO OMITTED]
SS-2 (2/07)
- --------------------------------------------------------------------------------
ITEM 2. CODE OF ETHICS.
Please refer to the Code of Ethics included in the following link:
www.ge.com/files/usa/en/commitment/social/integrity/downloads/english.pdf
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that both John R.
Costantino and William J. Lucas are designated as audit committee financial
experts for the Funds; and further that it is the finding of the Boards that
Messrs. Costantino and Lucas, the audit committee financial experts, qualify
as being 'independent' pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal
years (the "Reporting Periods") for professional services rendered by the
Registrant's principal accountant (the "Auditor") for the audit of the
Registrant's annual financial statements, or services that are normally
provide by the Auditor in connection with the statutory and regulatory
filings or engagements for the Reporting Periods were $19,906 in 2005 and
$18,400 in 2006.
(b) AUDIT RELATED FEES. There were no fees billed by the Auditor for
assurance and related services that were related to the performance of the
audit for the Registrant during the Reporting Periods.
(c) TAX FEES. There were no fees billed for professional services
rendered by the Auditor for tax compliance, tax advice or tax planning for
the Registrant during the Reporting Periods.
(d) ALL OTHER FEES. There were no fees billed for products and services
provided by the Auditor, other than the services reported in paragraphs
(a) through (c) of this Item for the Registrant during the Reporting Periods.
(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES.
The Audit Committee of the S&S Funds (the "Funds") Board of
Trustees is responsible, among other things, for the appointment,
compensation and oversight of the work of the Fund's independent
accountants/auditors (the "Auditor"). As part of this responsibility and
to ensure that the Auditor's independence is not impaired, the Audit Committee
(1) pre-approves the audit and non-audit services provided to the Funds by
the Auditor, and (2) all non-audit services provided to the Funds' investment
adviser and covered affiliates (as defined in the Audit Committee Charter) that
provide ongoing services to the Funds if the services directly impact the
Funds' operations or financial reporting, in accordance with the Audit
Committee Charter. Following are excerpts from the Audit Committee Charter
that sets forth the pre-approval policies and procedures:
1. Selection and Pre-Approval of Auditor and Approval of Fees.
(i) The Audit Committee shall pre-approve the selection of the Auditor and
shall recommend for ratification the selection, retention or termination of the
Auditor by the full Board, including the independent Trustees/Directors, and,
in connection therewith, shall evaluate the independence of the Auditor,
including: (i) an evaluation of whether the Auditor provides any consulting
services to the Fund's investment adviser and the extent to which the Auditor
provides non-audit services to the Fund's investment adviser and certain other
affiliated service providers as defined in Section 2(f) below, which services
are not subject to the pre-approval requirements set forth in Section 4 below;
(ii) an evaluation of the extent to which the Auditor has any relationships
with the Fund or its affiliated persons that are brought to the attention of
the Audit Committee by the Auditor in accordance with applicable standards of
the Independence Standards Board ("ISB"), because, in the Auditor's
professional judgment, such relationships may reasonably be thought to bear
on the Auditor's independence with respect to the Fund; and (iii) monitoring
the Auditor's compliance with respect to the rotation requirements for the
lead and coordinating partners having primary responsibility for the Fund's
audits and any partner responsible for the reviewing the Fund's audits.
The Audit Committee shall review the Auditor's specific representations as
to its independence.
(b) The Audit Committee shall pre-approve and review the fees charged by
the Auditor for audit and non-audit services to be provided to the Fund and
certain affiliated service providers (as defined in Section 2(f) below) in
accordance with the pre-approval requirements set forth in Section 4 below.
The Fund shall provide for appropriate funding, as determined by the Audit
Committee, to compensate the Auditor for any authorized service provided to
the Fund.
2. Meetings with the Auditor. The Audit Committee shall meet with the
Auditor, including private meetings, prior to the commencement of substantial
work on the audit and following the conclusion of the audit, as well as such
other times as the Audit Committee shall deem necessary or appropriate. The
Auditor shall report directly to the Audit Committee. The Auditor shall
report at least annually, concerning the following and other pertinent matters:
(a) to review the arrangements for and scope of the annual audit and any
special audits;
(b) to provide the Auditor the opportunity to report to the Audit
Committee, on a timely basis, all critical accounting policies and practices
to be used;
(c) to discuss any matters of concern relating to the Fund's financial
statements, including: (i) any adjustments to such statements recommended by
the Auditor, or other results of said audit(s), and (ii) any alternative
treatments of financial information within GAAP that have been discussed with
Fund management, the ramifications of the use of such alternative disclosures
and treatments, and the treatment preferred by the Auditor;
(d) to provide the Auditor the opportunity to report to the Audit
Committee, on a timely basis, any material written communication between the
Auditor and Fund management, such as any management letter or schedule of
unadjusted differences;
(e) to discuss the opinion the Auditor has rendered regarding the Fund's
financial statements;
(f) to report all non-audit services that do not require Audit Committee
pre-approval and are provided to certain affiliated persons of the Fund,
including: (1) the Fund's investment adviser or sub-advisers (but excluding
any investment sub-adviser whose role is primarily portfolio management and
is overseen by the investment adviser), (2) the Fund's principal underwriter,
and (3) any entity controlling, controlled by, or under common control with
the investment adviser or principal underwriter, that provides "ongoing"
services to the Funds in accordance with the pre-approval requirements of
paragraph (c)(7)(i) of Rule 2-01 of Regulation S-X (each, a "Covered Affiliate"
and collectively, "Covered Affiliates");
(g) to review, in accordance with current standards of ISB, all
relationships between the Auditor and the Fund or its affiliated persons that,
in the Auditor's professional judgment, may reasonably be thought to bear
on its independence, and to confirm, in light of such information, whether
the Auditor believes, in its professional judgment, that it may properly serve
as independent accountants/auditors with respect to the Fund;
(h) to consider the Auditor's comments with respect to the Fund's financial
policies, procedures and internal accounting controls and responses thereto by
the Fund's officers and Fund management, as well as other personnel;
(i) to investigate any improprieties or suspected improprieties in the
operations of the Fund to the extent necessary or appropriate in light of any
internal investigations by the Fund's officers and/or by officers or employees
of the Fund management of such improprieties;
(j) to receive periodic reports concerning regulatory changes and new
accounting pronouncements that significantly affect the value of the Fund's
assets and their financial reporting;
(k) to report on the Fund's qualification under Subchapter M of the Internal
Revenue Code, amounts distributed and reported to shareholders for Federal tax
purposes and the Fund's tax returns; and
(l) to provide the Auditor the opportunity to report on any other matter
that the Auditor deems necessary or appropriate to discuss with the Audit
Committee.
If the Auditor's report on the above-listed (and other pertinent)
matters is not made in person to the Audit Committee within 60 days following
the end of the Fund's fiscal year, the Auditor shall deliver a written report
to the Audit Committee concerning these matters within such 60 day period.
3. Change in Accounting Principles. The Audit Committee shall consider
the effect upon the Fund of any changes in accounting principles or practices
proposed by the Auditor or the Fund's officers.
4. Pre-Approval of Audit Related Services and Permissible Non-Audit
Services. The Audit Committee shall pre-approve both audit (including audit,
review, and attest) services and permissible non-audit services provided to
the Fund and, if the nature of the engagement relates directly to the
operations and financial reporting of the Fund, permissible non-audit services
provided to any Covered Affiliate.
The Audit Committee may determine to delegate the authority to grant
pre-approvals to one or more Audit Committee members, each acting on behalf
of the Audit Committee. In this event, the member of the Audit Committee so
delegated shall report each delegated pre-approval to the Audit Committee at
its next regularly scheduled meeting. The Audit Committee may also adopt and
follow, in lieu of explicit pre-approval described above, written policies
and procedures detailed as to the particular service, designed to safeguard
the continued independence of the Auditor, consistent with the requirements
of the Act and SEC regulations thereunder.
Notwithstanding the foregoing, the pre-approval requirement concerning
permissible non-audit services provided to the Fund or any Covered Affiliate
is waived if: (1) the aggregate amount of all such non-audit services provided
constitutes no more than five percent (5%) of the total amount of revenues paid
to the Auditor by the Fund and the Covered Affiliates during the fiscal year in
which the services are provided that would have to be pre-approved by the Audit
Committee, (2) the non-audit services were not recognized as non-audit services
at the time of the engagement, and (3) such non-audit services are promptly
brought to the attention of the Audit Committee and approved by the Audit
Committee or one or more designated members of the Audit Committee prior to the
completion of the audit.
5. Prohibited Activities of the Auditor. The Audit Committee shall confirm
with the Auditor that it is not performing contemporaneously (during the audit
and professional engagement period) non-audit services for the Fund that the
Audit Committee believes may taint the independence of the Auditor.
The Auditor will be responsible for informing the Audit Committee of whether it
believes that a particular non-audit service is permissible or prohibited
pursuant to applicable regulations and standards.
(2) PERCENTAGE OF SERVICES IN PARAGRAGHS (b) THROUGH (d) APPROVED BY AUDIT
COMMITTEE. No fees were charged during 2003 or 2004 for audit related, tax or
other services as indicated in sections (b) through (d) of this Item.
(f) Not applicable.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor
for services rendered to the Registrant, and rendered to Service Affiliates,
for the Reporting Periods were $0 in 2005 and $0 in 2006.
(h) AUDITOR INDEPENDENCE. There were no non-audit services rendered to
Service Affiliates that were not pre-approved.
ITEM 5. Audit Committee of Listed Registrants
The Registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange Act.
The Registrant's audit committee members are: John R. Costantino,
William J. Lucas and Robert P. Quinn.
ITEM 6. Schedule of Investments.
Attached as part of ITEM 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Applicable only to Closed-End Management Investment Companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Applicable only to Closed-End Management Investment Companies.
ITEM 9. Purchases of Equity Securities by Closed-End Management
Investment Company and Affiliated Purchasers.
Applicable only to Closed-End Management Investment Companies.
ITEM 10. Submission of Matters to a Vote of Security Holders.
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
The officers providing the certifications in this report in accordance
with Rule 30a-3 under the Investment Company Act of 1940 have concluded,
based on their evaluation of the registrant's disclosure controls and
procedures (as such term is defined in such rule), that such controls and
procedures are adequate and reasonably designed to achieve the purpose
described in paragraph (c) of such rule.
There were no significant changes in the registrant's internal controls or
in other factors that could significantly affect these controls subsequent
to the date of their last evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.
ITEM 12. EXHIBITS.
(a) Not applicable.
(b) Attached hereto as Exhibit 1 and Exhibit 2 are the Certifications of
John H. Myers and Scott Rhodes as principal executive officer and
principal financial officer, respectively, as required by Rule 30a-2 under
the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the Registrant has duly
caused this Report to be signed on its behalf by the undersigned,
thereunto duly authorized.
GENERAL ELECTRIC S&S PROGRAM MUTUAL FUND
By: /S/John H. Myers
John H. Myers
TRUSTEE, PRESIDENT AND CHIEF EXECUTIVE OFFICER,
GE ASSET MANAGEMENT INCORPORATED
Date: March 06, 2007
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/John H. Myers
John H. Myers
Chairman, S&S FUNDS
Date: March 06, 2007
By: /S/SCOTT RHODES
Scott Rhodes
TREASURER, S&S FUNDS
Date: March 06, 2007
EXHIBIT INDEX
(b)(1) Certifications of principal executive officer and
principal financial officer as required by Rule 30a-2 under the
Investment Company Act of 1940.
(b)(2) Certification of principal executive officer and
principal financial officer as required by Section 906 of the
Sarbanes-Oxley Act of 2002.