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: 811-05324
ELFUN DIVERSIFIED FUND
(Exact name of registrant as specified in charter)
One Iron Street
Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
| | |
| (Name and Address of Agent for Service) | | Copy to: |
| |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Item 1. Shareholder Report.
(a) The Report to Shareholders is attached herewith.
Annual Report
December 31, 2021
| Elfun Funds |
| Elfun International Equity Fund |
| Elfun Trusts |
| Elfun Diversified Fund |
| Elfun Tax-Exempt Income Fund |
| Elfun Income Fund |
| Elfun Government Money Market Fund |
Elfun Funds
Annual Report
December 31, 2021
| | Page |
| 1 |
| Management's Discussion of Fund Performance, Understanding Your Fund's Expenses, Performance Summary and Schedule of Investments | |
| 2 |
| 10 |
| 17 |
| 59 |
| 71 |
| 96 |
| Financial Statements | |
| 103 |
| 110 |
| 112 |
| 114 |
| 117 |
| 128 |
| 129 |
This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.
[This page intentionally left blank]
Elfun Funds
Notes to Performance — December 31, 2021 (Unaudited)
Information on the following performance pages relates to the Elfun Funds.
Total returns take into account changes in share price and assume reinvestment of all dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at www.ssga.com for the most recent month-end performance data.
A portion of the Elfun Tax-Exempt Income Fund’s income may be subject to state, federal and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index, MSCI® Europe, Australasia, Far East Index (“MSCI® EAFE® Index”), MSCI® All-Country World ex USA Investable Market Index (“MSCI® ACWI ex USA Investable Market Index”), Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Municipal Bond Index and 90 Day U.S. T-Bill are unmanaged indices and do not reflect the actual cost of investing in the instruments that comprise each index. The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect the fees, expenses or taxes.
The S&P 500® Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The MSCI® EAFE® Index is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.
The MSCI ACWI ex USA Investable Market Index captures large, mid and small cap representation across 22 of 23 Developed Markets countries (excluding the United States) and 27 Emerging Markets countries.
The Bloomberg U.S. Aggregate Bond Index is a market value-weighted index of taxable investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first-rate bond market.
The Bloomberg U.S. Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed rate securities with maturities of at least eight years and less than twelve years.
The 90 Day U.S. T-Bill is an unmanaged measure/index of the performance of the most recently auctioned 90 Day U.S. Treasury bills (i.e. having a total maturity of 90 days) currently available in the marketplace.
The views, expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the Elfun Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
Elfun International Equity Fund
Management's Discussion of Fund Performance — December 31, 2021 (Unaudited)
The Elfun International Equity Fund (the “Fund”) seeks to provide long-term growth of capital and future income by investing principally in foreign securities consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the MSCI EAFE Index (the “Index”).
For the 12-month period ended December 31, 2021 (the “Reporting Period”), the total return for the Fund was 9.05%, and the Index was 11.26%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Positions in IT services, Japan and industrials were primary drivers of Fund performance during the Reporting Period relative to the Index.
In IT services, French company Worldline, a maker of payments software and credit card readers, was weak as a resurgent COVID-19 took some momentum out of in-store retailing and travel. It was also impacted as a plan to divest its hardware business was delayed. We view both of these issues as transitory and think that the company may benefit from economic reopening. Another source of weakness was the Fund’s Japanese holdings, which were weak across a range of sectors as lower quality cyclicals outperformed. These included consumer oriented names like Fast Retailing and Shiseido, tech names like Murata and Disco, and industrials Secom and Komatsu. The companies remain strong fundamentally in our view, but were out of favor in the market environment of 2021.
On the positive side, the Fund outperformed in industrials. One example was the Fund’s top relative contributor for the year: Ashtead Group, a UK based provider of rental equipment. Ashtead is the parent company of Sunbelt Rentals in the U.S., which has been strong on economic recovery and increasing infrastructure spending. Ashtead is a market leader in an industry that is seeing secular growth and consolidation.
The Fund used futures in order to efficiently manage cash flows during the Reporting Period. The Fund’s use of futures contributed negligibly to Fund performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were ASML, Ashtead Group and Schneider Electric. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Worldline, Fast Retailing and London Stock Exchange.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
| 2 | Elfun International Equity Fund |
Elfun International Equity Fund
Performance Summary — December 31, 2021 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $203,627 (in thousands) as of December 31, 2021 (a)(b) |
| Top Ten Largest Holdings |
| as of December 31, 2021 (as a % of Fair Value) (a)(b) |
| Nestle S.A. | 3.74% |
| ASML Holding N.V. | 3.54% |
| Schneider Electric SE | 3.53% |
| LVMH Moet Hennessy Louis Vuitton SE | 3.21% |
| Roche Holding AG | 3.12% |
| AstraZeneca PLC | 2.87% |
| Novartis AG | 2.79% |
| Air Liquide S.A. | 2.66% |
| Infineon Technologies AG | 2.51% |
| Daikin Industries Ltd. | 2.42% |
| Average Annual Total Return for the years ended December 31, 2021 |
| (Inception date 1/1/88) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun International Equity Fund | 9.05% | | 10.60% | | 8.34% | | $22,286 |
| MSCI EAFE Index | 11.26% | | 9.55% | | 8.03% | | $21,650 |
|
| (a) | Fair Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund Class G Shares. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| Elfun International Equity Fund | 3 |
Elfun International Equity Fund
Performance Summary, continued — December 31, 2021 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
| 4 | Elfun International Equity Fund |
Elfun International Equity Fund
Understanding Your Fund’s Expenses — December 31, 2021 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors 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, 2021.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
July 1, 2021 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2021 | $1,018.70 | | $1,023.40 |
| Expenses Paid During Period* | $ 1.83 | | $ 1.84 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.36%** (for the period July 1, 2021 - December 31, 2021), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year's data. |
| Elfun International Equity Fund | 5 |
Elfun International Equity Fund
Schedule of Investments — December 31, 2021
| | Number
of Shares | Fair
Value |
| Common Stock - 96.0% † |
| Australia - 1.8% |
| BHP Group PLC | 124,722 | $ 3,715,609 |
| Brazil - 0.3% |
| Itau Unibanco Holding S.A. ADR | 176,415 | 661,556 |
| Canada - 1.3% |
| Brookfield Asset Management Inc., Class A | 45,067 | 2,725,463 |
| France - 16.9% |
| Air Liquide S.A. | 31,059 | 5,415,306 |
| AXA S.A. | 125,439 | 3,735,269 |
| BNP Paribas S.A. | 65,479 | 4,525,099 |
| Cie de Saint-Gobain | 54,586 | 3,840,592 |
| Dassault Systemes SE | 46,075 | 2,740,860 |
| LVMH Moet Hennessy Louis Vuitton SE | 7,900 | 6,531,279 |
| Safran S.A. | 30,978 | 3,792,665 |
| Worldline S.A. (a)(b) | 70,483 | 3,928,311 |
| | | 34,509,381 |
| Germany - 6.8% |
| adidas AG | 9,490 | 2,732,541 |
| HeidelbergCement AG | 33,223 | 2,248,736 |
| Infineon Technologies AG | 110,219 | 5,108,900 |
| SAP SE | 27,310 | 3,879,010 |
| | | 13,969,187 |
| Hong Kong - 2.3% |
| AIA Group Ltd. | 468,567 | 4,723,954 |
| Ireland - 1.3% |
| Kerry Group PLC, Class A | 21,205 | 2,730,947 |
| Japan - 23.3% |
| Daikin Industries Ltd. | 21,800 | 4,939,099 |
| Disco Corp. | 11,800 | 3,601,841 |
| FANUC Corp. | 7,500 | 1,587,860 |
| Fast Retailing Company Ltd. | 4,020 | 2,279,937 |
| Hoya Corp. | 30,152 | 4,480,055 |
| Kao Corp. | 43,600 | 2,278,915 |
| Komatsu Ltd. | 154,000 | 3,602,093 |
| Mitsubishi UFJ Financial Group Inc. | 744,326 | 4,039,159 |
| Murata Manufacturing Company Ltd. | 40,291 | 3,203,896 |
| Nidec Corp. | 14,173 | 1,664,009 |
| | Number
of Shares | Fair
Value |
| Recruit Holdings Company Ltd. | 78,900 | $ 4,776,960 |
| Secom Company Ltd. | 25,300 | 1,754,555 |
| Shimadzu Corp. | 75,657 | 3,189,742 |
| Shiseido Company Ltd. | 54,662 | 3,044,610 |
| Tokio Marine Holdings Inc. | 60,498 | 3,358,110 |
| | | 47,800,841 |
| Netherlands - 9.4% |
| ASML Holding N.V. | 8,976 | 7,213,644 |
| ING Groep N.V. | 296,199 | 4,123,564 |
| Koninklijke DSM N.V. | 19,452 | 4,379,920 |
| Universal Music Group N.V. | 123,516 | 3,480,657 |
| | | 19,197,785 |
| Norway - 1.8% |
| Equinor ASA | 139,646 | 3,735,696 |
| Portugal - 0.9% |
| Galp Energia SGPS S.A. | 180,462 | 1,748,486 |
| Spain - 3.7% |
| Cellnex Telecom S.A. (a) | 61,012 | 3,551,014 |
| Industria de Diseno Textil S.A. | 121,603 | 3,945,325 |
| | | 7,496,339 |
| Sweden - 2.2% |
| Assa Abloy AB, Class B | 148,447 | 4,528,578 |
| Switzerland - 9.6% |
| Nestle S.A. | 54,531 | 7,627,098 |
| Novartis AG | 64,495 | 5,682,554 |
| Roche Holding AG | 15,249 | 6,344,615 |
| | | 19,654,267 |
| Taiwan - 1.2% |
| Taiwan Semiconductor Manufacturing Company Ltd. | 107,900 | 2,398,471 |
| United Kingdom - 9.7% |
| Ashtead Group PLC | 57,268 | 4,609,010 |
| AstraZeneca PLC | 49,743 | 5,846,751 |
| London Stock Exchange Group PLC | 43,149 | 4,050,112 |
| Prudential PLC | 170,230 | 2,938,590 |
| Vodafone Group PLC | 1,634,484 | 2,485,242 |
| | | 19,929,705 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 6 | Elfun International Equity Fund |
Elfun International Equity Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| United States - 3.5% |
| Schneider Electric SE | 36,647 | $ 7,187,263 |
Total Common Stock
(Cost $132,113,857) | | 196,713,528 |
| Short-Term Investments - 3.4% |
| State Street Institutional Treasury Money Market Fund - Premier Class 0.01% (c)(d) | 3,575,026 | 3,575,026 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (c)(d) | 3,338,440 | 3,338,440 |
Total Short-Term Investments
(Cost $6,913,466) | | 6,913,466 |
Total Investments
(Cost $139,027,323) | | 203,626,994 |
| Other Assets and Liabilities, net - 0.6% | | 1,172,463 |
| NET ASSETS - 100.0% | | $ 204,799,457 |
Other Information:
| The Fund had the following long futures contracts open at December 31, 2021: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| MSCI EAFE Mini Index Futures | March 2022 | 29 | $ 3,327,883 | $ 3,366,610 | $ 38,727 |
During the year ended December 31, 2021, the average notional values related to long and short futures contracts were $1,650,470 and $137,145, respectively.
Notes to Schedule of Investments – December 31, 2021
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund's future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund's summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) | 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, 2021, these securities amounted to $7,479,325 or 3.65% of the net assets of the Elfun International Equity Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
| (b) | Non-income producing security. |
| (c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun International Equity Fund | 7 |
Elfun International Equity Fund
Schedule of Investments, continued — December 31, 2021
| (d) | Coupon amount represents effective yield. |
| † | Percentages are based on net assets as of December 31, 2021. |
| Abbreviations: |
| ADR - American Depositary Receipt |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2021:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Common Stock | $ 196,713,528 | | $ — | | $ — | | $ 196,713,528 |
| Short-Term Investments | 6,913,466 | | — | | — | | 6,913,466 |
| Total Investments in Securities | $ 203,626,994 | | $ — | | $ — | | $ 203,626,994 |
| Other Financial Instruments | | | | | | | |
| Long Futures Contracts - Unrealized Appreciation | $ 38,727 | | $ — | | $ — | | $ 38,727 |
| Total Other Financial Instruments | $ 38,727 | | $ — | | $ — | | $ 38,727 |
The Fund was invested in the following sectors at December 31, 2021 (Unaudited):
| Sector | | Percentage (based
on Fair Value) |
| Pharmaceuticals | | | 8.78% |
| Diversified Banks | | | 6.56% |
| Building Products | | | 6.53% |
| Semiconductor Equipment | | | 5.31% |
| Packaged Foods & Meats | | | 5.08% |
| Apparel, Accessories & Luxury Goods | | | 4.55% |
| Electrical Components & Equipment | | | 4.35% |
| Life & Health Insurance | | | 3.76% |
| Semiconductors | | | 3.69% |
| Application Software | | | 3.26% |
| Apparel Retail | | | 3.06% |
| Integrated Oil & Gas | | | 2.69% |
| Industrial Gases | | | 2.66% |
| Personal Products | | | 2.61% |
| Human Resource & Employment Services | | | 2.35% |
| Trading Companies & Distributors | | | 2.27% |
| Healthcare Supplies | | | 2.20% |
| Specialty Chemicals | | | 2.15% |
| Financial Exchanges & Data | | | 1.99% |
| Data Processing & Outsourced Services | | | 1.93% |
| Aerospace & Defense | | | 1.86% |
| Multi-Line Insurance | | | 1.83% |
| Diversified Metals & Mining | | | 1.82% |
| Construction Machinery & Heavy Trucks | | | 1.77% |
| Integrated Telecommunication Services | | | 1.74% |
| Movies & Entertainment | | | 1.71% |
| Property & Casualty Insurance | | | 1.65% |
| Electronic Components | | | 1.57% |
| Electronic Equipment & Instruments | | | 1.57% |
| Asset Management & Custody Banks | | | 1.34% |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 8 | Elfun International Equity Fund |
Elfun International Equity Fund
Schedule of Investments, continued — December 31, 2021
| Sector | | Percentage (based
on Fair Value) |
| Wireless Telecommunication Services | | | 1.22% |
| Construction Materials | | | 1.10% |
| Security & Alarm Services | | | 0.86% |
| Industrial Machinery | | | 0.78% |
| | | | 96.60% |
| Short-Term Investments | | |
| Short-Term Investments | | 3.40% |
| | | | 100.00% |
| | Number
of Shares
Held at
12/31/20 | Value at
12/31/20 | | Cost of
Purchases | | Proceeds
from
Shares
Sold | | Realized
Gain
(Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/21 | Value at
12/31/21 | | Dividend
Income |
| State Street Institutional Treasury Money Market Fund - Premier Class | 1,998,676 | $1,998,676 | | $15,510,445 | | $13,934,095 | | $— | | $— | 3,575,026 | $3,575,026 | | $117 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 1,981,767 | 1,981,767 | | 15,510,317 | | 14,153,644 | | — | | — | 3,338,440 | 3,338,440 | | 525 |
| TOTAL | | $3,980,443 | | $31,020,762 | | $28,087,739 | | $— | | $— | | $6,913,466 | | $642 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun International Equity Fund | 9 |
Elfun Trusts
Management's Discussion of Fund Performance — December 31, 2021 (Unaudited)
The Elfun Trusts (the “Fund”) seeks to provide long-term growth of capital and future income rather than current income. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the 12-month period ended December 31, 2021 (the “Reporting Period”), the total return for the Fund was 24.28%, and the Index was 28.71%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Positions in payments companies, pharmaceuticals, and communication services were the primary drivers of Fund performance during the Reporting Period relative to the Index
The Fund’s positions in payments companies such as Visa detracted from relative performance in 2021 as travel, and international travel in particular, suffered due to a resurgent COVID-19. In our view these companies have long-term secular growth prospects and strong market positions and believe that they may benefit as COVID-19 starts to fade and travel resumes. A second detractor was stock selection in pharmaceuticals, most notably Elanco Animal Health and Merck. Elanco, an animal healthcare company, has been out of favor as its suffered from a number of pandemic related headwinds, but we think it has a durable business model in a growing area. Merck has been ignored by the market during the pandemic, but in our view Merck is a dominant player in an industry with high barriers to entry. It may benefit from strong cash flow and diversified high margin businesses with further scope for growth. It has a strong oncology business, and its vaccine and animal health businesses give it less exposure to patent cliffs than other competitors. But despite all of these advantages, Merck lagged in the Reporting Period because of no clear near-term catalyst or direct COVID-19 treatments.
On the positive side, the Fund benefitted from stock selection in communication services, especially a significant overweight in Alphabet, parent company to Google, which rose more than 60% during the year. Alphabet has continued to deliver impressive results showing the strength of its business mix. Cloud revenues have been up strongly, while advertising spend is benefitting from the cyclical recovery. Another contributor in communication services was an underweight (no holdings) in the lagging telecom segment.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Alphabet, Microsoft and Applied Materials. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Fidelity National Information Services, Walt Disney and Splunk.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based onnumerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
Elfun Trusts
Performance Summary — December 31, 2021 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $3,962,647 (in thousands) as of December 31, 2021 (a)(b) |
| Top Ten Largest Holdings |
| as of December 31, 2021 (as a % of Fair Value) (a)(b) |
| Microsoft Corp. | 7.60% |
| Apple Inc. | 5.38% |
| Amazon.com Inc. | 4.86% |
| Alphabet Inc., Class C | 4.62% |
| Meta Platforms Inc., Class A | 4.12% |
| JPMorgan Chase & Co. | 3.73% |
| Johnson & Johnson | 3.44% |
| QUALCOMM Inc. | 3.22% |
| Visa Inc., Class A | 2.97% |
| Mastercard Inc., Class A | 2.90% |
| Average Annual Total Return for the years ended December 31, 2021 |
| (Inception date 5/27/35) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Trusts | 24.28% | | 20.66% | | 17.71% | | $51,082 |
| S&P 500® Index | 28.71% | | 18.48% | | 16.55% | | $46,257 |
|
| (a) | Fair Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares and State Street Treasury Money Market Fund - Premier Class. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
Elfun Trusts
Performance Summary, continued — December 31, 2021 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
Elfun Trusts
Understanding Your Fund’s Expenses — December 31, 2021 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors 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, 2021.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
July 1, 2021 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2021 | $1,074.20 | | $1,024.30 |
| Expenses Paid During Period* | $ 0.94 | | $ 0.92 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.18%** (for the period July 1, 2021 - December 31, 2021), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year's data. |
Elfun Trusts
Schedule of Investments — December 31, 2021
| | Number
of Shares | Fair
Value |
| Common Stock - 99.6% † |
| Apparel Retail - 2.4% |
| Ross Stores Inc. | 839,800 | $ 95,972,344 |
| Application Software - 2.7% |
| salesforce.com Inc. (a) | 235,549 | 59,860,067 |
| Splunk Inc. (a) | 403,522 | 46,695,566 |
| | | 106,555,633 |
| Biotechnology - 1.3% |
| Vertex Pharmaceuticals Inc. (a) | 230,042 | 50,517,223 |
| Cable & Satellite - 1.5% |
| Charter Communications Inc., Class A (a) | 93,900 | 61,219,983 |
| Data Processing & Outsourced Services - 7.7% |
| Fidelity National Information Services Inc. | 664,249 | 72,502,778 |
| Mastercard Inc., Class A | 319,900 | 114,946,468 |
| Visa Inc., Class A | 542,300 | 117,521,833 |
| | | 304,971,079 |
| Diversified Banks - 3.7% |
| JPMorgan Chase & Co. | 934,121 | 147,918,060 |
| Financial Exchanges & Data - 1.4% |
| S&P Global Inc. | 118,500 | 55,923,705 |
| Healthcare Equipment - 1.9% |
| Boston Scientific Corp. (a) | 1,771,203 | 75,240,704 |
| Home Improvement Retail - 2.8% |
| Lowe's Companies Inc. | 426,949 | 110,357,778 |
| Hotels, Resorts & Cruise Lines - 1.2% |
| Marriott International Inc., Class A (a) | 287,900 | 47,572,596 |
| Industrial Conglomerates - 2.3% |
| Honeywell International Inc. | 428,700 | 89,388,237 |
| Industrial Gases - 1.9% |
| Air Products & Chemicals Inc. | 251,200 | 76,430,112 |
| Industrial Machinery - 2.4% |
| Parker-Hannifin Corp. | 305,900 | 97,312,908 |
| Interactive Media & Services - 11.0% |
| Alphabet Inc., Class C (a) | 63,300 | 183,164,247 |
| | Number
of Shares | Fair
Value |
| Alphabet Inc., Class A (a) | 30,400 | $ 88,070,016 |
| Meta Platforms Inc., Class A (a) | 485,292 | 163,227,964 |
| | | 434,462,227 |
| Internet & Direct Marketing Retail - 4.9% |
| Amazon.com Inc. (a) | 57,800 | 192,724,852 |
| Investment Banking & Brokerage - 1.8% |
| The Charles Schwab Corp. | 853,400 | 71,770,940 |
| Managed Healthcare - 2.8% |
| UnitedHealth Group Inc. | 223,156 | 112,055,554 |
| Movies & Entertainment - 1.7% |
| The Walt Disney Co. (a) | 432,500 | 66,989,925 |
| Multi-Utilities - 1.0% |
| Sempra Energy | 304,997 | 40,345,003 |
| Oil & Gas Exploration & Production - 2.3% |
| ConocoPhillips | 1,243,400 | 89,748,612 |
| Packaged Foods & Meats - 2.7% |
| Mondelez International Inc., Class A | 1,588,283 | 105,319,046 |
| Pharmaceuticals - 6.5% |
| Elanco Animal Health Inc. (a) | 1,751,685 | 49,712,820 |
| Johnson & Johnson | 796,100 | 136,188,827 |
| Merck & Company Inc. | 956,776 | 73,327,313 |
| | | 259,228,960 |
| Property & Casualty Insurance - 1.9% |
| Chubb Ltd. | 391,700 | 75,719,527 |
| Regional Banks - 3.6% |
| First Republic Bank | 231,200 | 47,745,112 |
| Regions Financial Corp. | 4,274,800 | 93,190,640 |
| | | 140,935,752 |
| Semiconductor Equipment - 2.0% |
| Applied Materials Inc. | 509,100 | 80,111,976 |
| Semiconductors - 6.4% |
| Advanced Micro Devices Inc. (a) | 387,400 | 55,746,860 |
| QUALCOMM Inc. | 698,200 | 127,679,834 |
| Texas Instruments Inc. | 375,761 | 70,819,676 |
| | | 254,246,370 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Trusts
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Specialized REITs - 1.9% |
| American Tower Corp. | 259,929 | $ 76,029,233 |
| Systems Software - 7.6% |
| Microsoft Corp. | 895,835 | 301,287,227 |
| Technology Hardware, Storage & Peripherals - 5.4% |
| Apple Inc. | 1,200,700 | 213,208,299 |
| Trading Companies & Distributors - 1.9% |
| United Rentals Inc. (a) | 224,267 | 74,521,681 |
| Trucking - 1.0% |
| Lyft Inc., Class A (a) | 942,100 | 40,255,933 |
Total Common Stock
(Cost $1,994,127,340) | | 3,948,341,479 |
| Short-Term Investments - 0.3% |
| State Street Institutional Treasury Money Market Fund - Premier Class 0.01% (b)(c) | 7,320,718 | 7,320,718 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (b)(c) | 6,984,701 | 6,984,701 |
Total Short-Term Investments
(Cost $14,305,419) | | 14,305,419 |
Total Investments
(Cost $2,008,432,759) | | 3,962,646,898 |
| Other Assets and Liabilities, net - 0.1% | | 2,508,916 |
| NET ASSETS - 100.0% | | $ 3,965,155,814 |
Notes to Schedule of Investments – December 31, 2021
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund's future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund's summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) | Non-income producing security. |
| (b) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
| (c) | Coupon amount represents effective yield. |
| † | Percentages are based on net assets as of December 31, 2021. |
| Abbreviations: |
| REIT - Real Estate Investment Trust |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2021:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Common Stock | $ 3,948,341,479 | | $ — | | $ — | | $ 3,948,341,479 |
| Short-Term Investments | 14,305,419 | | — | | — | | 14,305,419 |
| Total Investments in Securities | $ 3,962,646,898 | | $ — | | $ — | | $ 3,962,646,898 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Trusts
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares
Held at
12/31/20 | Value at
12/31/20 | | Cost of
Purchases | | Proceeds
from
Shares
Sold | | Realized
Gain
(Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/21 | Value at
12/31/21 | | Dividend
Income |
| State Street Institutional Treasury Money Market Fund - Premier Class | 23,915,719 | $23,915,719 | | $164,248,952 | | $180,843,953 | | $— | | $— | 7,320,718 | $ 7,320,718 | | $ 862 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 22,224,983 | 22,224,983 | | 164,462,925 | | 179,703,207 | | — | | — | 6,984,701 | 6,984,701 | | 3,526 |
| TOTAL | | $46,140,702 | | $328,711,877 | | $360,547,160 | | $— | | $— | | $14,305,419 | | $4,388 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Management's Discussion of Fund Performance — December 31, 2021 (Unaudited)
The Elfun Diversified Fund (the “Fund”) seeks the highest total return consistent with prudent investment management and the preservation of capital (total return includes both income and capital appreciation). The Fund’s benchmarks are the S&P 500 Index, MSCI ACWI ex USA Investable Market Index and the Bloomberg U.S. Aggregate Bond Index (the “Indices”).
For the 12-month period ended December 31, 2021 (the “Reporting Period”), the total return for the Fund was 11.56%, and the returns for the S&P 500 Index, the MSCI ACWI ex USA Investable Market Index and the Bloomberg U.S. Aggregate Bond Index were 28.71%, 8.53% and -1.54% respectively. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The biggest drivers of the Fund’s performance were its positions in the S&P 500® Index and the MSCI® All Country World ex-USA Investable Market Index both of which posted strong positive returns for the year, particularly the S&P 500® Index. Investments in fixed income securities produced slightly negative absolute returns.
The Fund began the year with an overweight to cash and U.S. equities offset with an underweight to fixed income. Equities rallied in the first quarter, particularly in the latter half, as a successful rollout of vaccinations and the promise of global monetary and fiscal support lifted investor sentiment. As the equity rally picked up steam in February and March, the Fund reduced the overweight to cash to increase U.S equity exposure while maintaining an underweight to fixed income. The Fund remained overweight in equities, particularly U.S. equity, throughout the second quarter as strong economic data propelled stocks to climb higher, notably in the developed markets. A tactical reduction in fixed income was implemented in late July to increase U.S. equity exposure as implied volatilities and risky debt spreads signaled a favorable environment for growth oriented assets. However, a confluence of events weighed on investor risk appetite as we moved into the latter half of the third quarter. Lingering supply chain disruptions and elevated price pressures dampened the near-term corporate earnings outlook, while ambiguity around the pace and timing of monetary tightening combined with fears of contagion from China’s debt-laden property sector soured investor sentiment. With an environment less supportive for risk assets, the Fund reduced its tactical overweight to equities in September. The Fund remained overweight equity through October and November as strong corporate earnings allowed stocks to move higher despite headwinds arising from the monetary policy front as global central banks turned hawkish. Rising COVID-19 cases from the Omicron variant along with elevated inflation undermined investor confidence as the calendar moved further into the fourth quarter. The backdrop suggested an environment less supportive of risk assets leading to the Fund de-risking in December by removing the overweight in equites while maintaining an underweight to fixed income offset with an overweight to cash.
Global equity markets performed well in the first quarter of 2021 buoyed by a continued recovery in economic data, additional fiscal stimulus, and positive news on the COVID-19 front. The performance of developed market equities outpaced that of the emerging markets. In the U.S., the majority of the gains occurred in the latter half of the quarter as the COVID-19 infection rate continued to trend down and the vaccine rollout accelerated during the period. In March, President Biden signed into law the American Rescue Plan worth 9% of U.S. GDP leading to upgrades in consensus forecasts for U.S. growth. The Federal Reserve (“the Fed”) reassured the market in March that the current dovish policy wouldn’t change in the near term with Cleveland Fed President Charles Evans indicating there may be no rate hikes until 2024.
The S&P 500 Index gained 6.17% for the quarter with cyclical and value sectors outperforming growth. Small-cap stocks as represented by the Russell 2000 Index delivered better gains compared to their larger counterparts posting a gain of 12.70%. Outside of the U.S., international equity markets as measured by the MSCI ACWI ex USA Investable Market Index posted a gain of 3.87% for the first quarter. Emerging market equities posted a modest positive returns with the MSCI Emerging Markets Index gaining 2.34% for the quarter. The underperformance reflected lower vaccination rollouts as well as U.S. dollar strength, with the U.S. dollar registering its best quarterly performance since 2018. European equities fared better as fiscal policies were announced to efficiently use the resources of the European Recovery Fund boosting sentiment and leading to the MSCI Europe Index gaining 4.21% in the quarter.
Elfun Diversified Fund
Management's Discussion of Fund Performance, continued — December 31, 2021 (Unaudited)
The U.S. equity market momentum continued through the second quarter as strong economic data and corporate earnings elevated investor sentiment. The U.S. economy recorded 6.4% annualized growth in the first quarter with retail sales recording 17% above the pre-pandemic level. Inflation and growth were highlights of the quarter as the U.S. Purchasing Managers Index (PMI) for manufacturing and services rose to record levels while the May consumer inflation data represented by the U.S. Consumer Price Index (CPI) increased 5.00% year-over-year. The prospects of additional fiscal stimulus improved with President Biden outlining a $2.3 trillion American Jobs plan designed to boost infrastructure spending. The S&P 500 Index gained 8.55% in the quarter outpacing the Russell 2000 Index which gained 4.29%. European equity markets were supported by a reopening of regional economies amid an increasing vaccination rate. Eurozone PMIs reached multi-year highs in many regions as vaccinations boosted confidence in the service sector. The MSCI Europe Index posted a strong return of 7.74% for the quarter. The Pacific region was a notable laggard with the MSCI Pacific Index rising only 1.36% for the quarter. Japanese equity markets were particularly weak as a slow vaccination policy and an emergence of new forms of the Covid-19 virus weighed on performance. The MSCI ACWI ex USA Investable Market Index posted a gain of 5.76% for the quarter.
Economic growth remained strong in the third quarter as the job market in the U.S. improved with approximately 943,000 jobs added in July, the largest addition since August 2020. However, the seasonal headwinds arrived on cue in September as investors dealt with an increasing number of uncertainties, including sticky inflation as August CPI came in at 5.30% year-over-year. Debt ceiling negotiations in Washington added to the market anxiety as did the Fed announcing it could begin scaling back asset purchases as soon as November. Overall, September lived up to its reputation as the weakest month of the year as the S&P 500 Index posted a -4.65% return, its worst month since March 2020. Given positive returns in July and August the S&P 500 Index managed to post a modest gain of 0.58% in the third quarter. The Russell 2000 Index declined by -4.36% for the third quarter. International equity markets experienced poor performance in the third quarter with the MSCI ACWI ex USA Investable Market Index falling 2.45%. China was a notable drag on Emerging market equity performance as fears around the potential default of a large Chinese property developer (Evergrande) created market volatility and worries about the potential spillover effects across the globe. Tighter government regulations in China including increased scrutiny of the technology sector and reforms to stabilize the housing market resulted in China equities selling off with the MSCI China Index losing 18.13% for the quarter and the MSCI Emerging Markets Index falling 7.97%, respectively.
An increase in COVID-19 infections and rising inflation were the two main risks for global equity markets in the fourth quarter. In a continuation of a theme which played out throughout 2021, developed market equities mitigated those risks better than their emerging market counterparts. The quarter began with a strong corporate earnings season as more than 80% of S&P 500 companies beat their earnings estimates, propelling the S&P 500 Index to a gain of 7.01% for the month of October, its best monthly performance of the year. The bipartisan Infrastructure and Jobs Act was passed in early November and it appeared the equity market would continue to climb the “wall of worry”. However, the arrival of the COVID-19 Omicron variant threatened to further exacerbate supply chain bottlenecks. The increase in COVID-19 cases coupled with inflation showing no signs of transitioning lower, the Consumer Price Index surged 6.20% in October crossing above 6.00% for the first time since 1990, temporarily halted the equity rally. The inflation spike forced the Fed to taper bond purchases faster than expected and to move up their rate hike probabilities in 2022. Nonetheless, market volatility subsided as investors responded favorably to reports that the Omicron variant, while more infectious, is less lethal than past variants. The S&P 500 Index gained 11.03% during the quarter and gained 28.71% for the Reporting Period. Small-cap companies lagged on a relative basis with the Russell 2000 Index gaining 2.14% for the fourth quarter and 14.82% for the Reporting Period. The Euro area posted a positive return for the 4th quarter despite higher energy prices helping to lift inflation to 4.9% year-over-year in November, the highest reading since July 1991. Strong corporate profits and economic resilience offset the aforementioned risks as the MSCI Europe Index gained 5.72% for the quarter, and 16.97% for the Reporting Period. Emerging market equities displayed no such resilience as the MSCI Emerging markets Index fell 1.24% for the fourth quarter and drastically underperformed developed markets for the year posting a return of -2.22% for the Reporting Period. Overall, the MSCI ACWI ex USA Investable Market Index gained 1.71% in the fourth quarter and 8.99% for the Reporting Period.
Within fixed income, large bear steepening moves were witnessed in U.S. treasury yields in the first quarter. The 5 year and 10 year U.S. Treasury yields rose by 58 and 83 basis points, respectively, leading to a pickup in volatility across risk assets. Progress in COVID-19 vaccinations, the move higher in commodity prices, and the signing of the third stimulus
Elfun Diversified Fund
Management's Discussion of Fund Performance, continued — December 31, 2021 (Unaudited)
package in the U.S. led to markets expecting a reflationary environment, which in turn saw the return of long-suppressed term premia in U.S. Treasury yields. In June, the Fed indicated through their “dot plot” projections that interest rates would rise earlier than expected, which resulted in curve flattening as the 2 year U.S. Treasury yield rose following the meeting and the 10 year U.S. Treasury yield fell. The 2 year to 10 year U.S. Treasury yield flattened by 36 basis points for the second quarter. Meanwhile U.S. investment grade credit spreads tightened further in the second quarter after spreads tightened modestly, 5 basis points, in the first quarter. Positive earnings outlook and business sentiment lead to spreads tightening by 11 basis points in the second quarter, ending at 80 basis points over treasuries, a new post financial crisis tight.
Treasury yields initially fell in the third quarter but reversed course in the latter half as Fed chairman Powell announced tapering asset purchases may begin as soon as November. The 10 year Treasury yield increased 18 basis points in September to 1.49% up one basis point overall for the quarter. U.S. investment grade spreads widened 4 basis points over the third quarter finishing at 84 basis points above Treasuries. In the final quarter of the year, the U.S. 10 year Treasury yield reached a high of 1.70% in October only to fall as low as 1.36% in December as the market dealt with conflicting narratives. Increased inflation fears and expectations of policy tightening initially lead to rising yields, but the Omicron variant sent yields lower as investors looked for safety amid the increasing COVID-19 infection rate. Overall, the U.S. 10 year yield ended the quarter little changed up 2 basis points ending the year at 1.51%. The U.S. Treasury curve flattened considerably in the fourth quarter as the U.S. 2 year Treasury yield increased from .28% to .73%. U.S. Investment grade credit spreads widened by 8 basis points over the fourth quarter to end the year at 92 basis points over Treasuries. Overall, U.S. Investment grade bonds as proxied by the Bloomberg U.S. Aggregate Bond Index posted slightly negative returns for the year, losing 1.54% for the Reporting Period.
The Fund used treasury futures and index credit default swaps in order to actively manage duration and credit spread duration and also used equity index futures to actively manage equity exposure during the Reporting Period.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
Elfun Diversified Fund
Performance Summary — December 31, 2021 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $220,790 (in thousands) as of December 31, 2021 (a)(b) |
| Top Ten Largest Equity Holdings |
| as of December 31, 2021 (as a % of Fair Value) (a)(b) |
| Apple Inc. | 2.32% |
| Microsoft Corp. | 2.12% |
| Amazon.com Inc. | 1.22% |
| Alphabet Inc., Class A | 0.73% |
| Tesla Inc. | 0.72% |
| Alphabet Inc., Class C | 0.68% |
| Meta Platforms Inc., Class A | 0.67% |
| NVIDIA Corp. | 0.62% |
| Berkshire Hathaway Inc., Class B | 0.46% |
| UnitedHealth Group Inc. | 0.40% |
| Average Annual Total Return for the years ended December 31, 2021 |
| (Inception date 1/1/88) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Diversified Fund | 11.56% | | 10.30% | | 8.92% | | $23,504 |
| S&P 500® Index | 28.71% | | 18.48% | | 16.55% | | $46,257 |
| MSCI ACWI ex USA Investable Market Index | 8.53% | | 9.83% | | 7.57% | | $20,737 |
| Bloomberg U.S. Aggregate Bond Index | (1.54)% | | 3.57% | | 2.90% | | $13,307 |
|
| (a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| (b) | Fair Value basis is inclusive of short-term investment in affiliated money market funds. |
Elfun Diversified Fund
Performance Summary, continued — December 31, 2021 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
Elfun Diversified Fund
Understanding Your Fund’s Expenses — December 31, 2021 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors 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, 2021.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
July 1, 2021 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2021 | $1,038.30 | | $1,023.80 |
| Expenses Paid During Period* | $ 1.44 | | $ 1.43 |
| * | Expenses are equal to the Fund's annualized net expense ratio of 0.28%** (for the period July 1, 2021 - December 31, 2021), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year's data. |
Elfun Diversified Fund
Schedule of Investments — December 31, 2021
| | Number
of Shares | Fair
Value |
| Domestic Equity - 34.4% † |
| Common Stock - 34.4% |
| Advertising - 0.0% * |
| Omnicom Group Inc. | 441 | $ 32,312 |
| The Interpublic Group of Companies Inc. (a) | 766 | 28,687 |
| | | 60,999 |
| Aerospace & Defense - 0.5% |
| General Dynamics Corp. (a) | 425 | 88,600 |
| Howmet Aerospace Inc. (a) | 819 | 26,069 |
| Huntington Ingalls Industries Inc. (a) | 71 | 13,258 |
| L3Harris Technologies Inc. (a) | 359 | 76,553 |
| Lockheed Martin Corp. (a) | 453 | 161,001 |
| Northrop Grumman Corp. (a) | 274 | 106,057 |
| Raytheon Technologies Corp. (a) | 2,807 | 241,570 |
| Textron Inc. (a) | 398 | 30,726 |
| The Boeing Co. (a)(b) | 1,022 | 205,749 |
| TransDigm Group Inc. (a)(b) | 95 | 60,447 |
| | | 1,010,030 |
| Agricultural & Farm Machinery - 0.1% |
| Deere & Co. (a) | 522 | 178,989 |
| Agricultural Products - 0.0% * |
| Archer-Daniels-Midland Co. (a) | 1,009 | 68,198 |
| Air Freight & Logistics - 0.2% |
| CH Robinson Worldwide Inc. (a) | 213 | 22,925 |
| Expeditors International of Washington Inc. (a) | 336 | 45,121 |
| FedEx Corp. (a) | 450 | 116,388 |
| United Parcel Service Inc., Class B (a) | 1,352 | 289,788 |
| | | 474,222 |
| Airlines - 0.1% |
| Alaska Air Group Inc. (a)(b) | 252 | 13,129 |
| American Airlines Group Inc. (a)(b) | 1,294 | 23,240 |
| Delta Air Lines Inc. (a)(b) | 1,200 | 46,896 |
| Southwest Airlines Co. (a)(b) | 1,166 | 49,952 |
| United Airlines Holdings Inc. (a)(b) | 636 | 27,844 |
| | | 161,061 |
| | Number
of Shares | Fair
Value |
| Alternative Carriers - 0.0% * |
| Lumen Technologies Inc. (a) | 1,574 | $ 19,754 |
| Apparel Retail - 0.1% |
| Ross Stores Inc. (a) | 689 | 78,739 |
| The Gap Inc. (a) | 530 | 9,354 |
| The TJX Companies Inc. (a) | 2,229 | 169,226 |
| | | 257,319 |
| Apparel, Accessories & Luxury Goods - 0.1% |
| PVH Corp. (a) | 134 | 14,291 |
| Ralph Lauren Corp. (a) | 113 | 13,431 |
| Tapestry Inc. (a) | 536 | 21,762 |
| Under Armour Inc., Class A (a)(b) | 379 | 8,031 |
| Under Armour Inc., Class C (a)(b) | 482 | 8,695 |
| VF Corp. (a) | 624 | 45,689 |
| | | 111,899 |
| Application Software - 0.9% |
| Adobe Inc. (b) | 884 | 501,281 |
| ANSYS Inc. (a)(b) | 159 | 63,778 |
| Autodesk Inc. (a)(b) | 404 | 113,601 |
| Cadence Design Systems Inc. (a)(b) | 508 | 94,666 |
| Ceridian HCM Holding Inc. (a)(b) | 264 | 27,577 |
| Citrix Systems Inc. (a) | 252 | 23,837 |
| Intuit Inc. (a) | 525 | 337,691 |
| Paycom Software Inc. (a)(b) | 96 | 39,858 |
| PTC Inc. (a)(b) | 200 | 24,230 |
| salesforce.com Inc. (a)(b) | 1,819 | 462,262 |
| Synopsys Inc. (a)(b) | 280 | 103,180 |
| Tyler Technologies Inc. (a)(b) | 78 | 41,960 |
| | | 1,833,921 |
| Asset Management & Custody Banks - 0.3% |
| Ameriprise Financial Inc. (a) | 200 | 60,332 |
| BlackRock Inc. (a) | 265 | 242,624 |
| Franklin Resources Inc. (a) | 592 | 19,826 |
| Invesco Ltd. (a) | 609 | 14,019 |
| Northern Trust Corp. (a) | 407 | 48,681 |
| State Street Corp. (a)(c) | 712 | 66,216 |
| T Rowe Price Group Inc. (a) | 411 | 80,819 |
| The Bank of New York Mellon Corp. (a) | 1,395 | 81,022 |
| | | 613,539 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Auto Parts & Equipment - 0.0% * |
| BorgWarner Inc. | 439 | $ 19,786 |
| Automobile Manufacturers - 0.9% |
| Ford Motor Co. (a) | 7,215 | 149,855 |
| General Motors Co. (a)(b) | 2,633 | 154,373 |
| Tesla Inc. (a)(b) | 1,505 | 1,590,454 |
| | | 1,894,682 |
| Automotive Retail - 0.1% |
| Advance Auto Parts Inc. | 111 | 26,627 |
| AutoZone Inc. (a)(b) | 38 | 79,663 |
| CarMax Inc. (a)(b) | 314 | 40,892 |
| O'Reilly Automotive Inc. (a)(b) | 123 | 86,866 |
| | | 234,048 |
| Biotechnology - 0.6% |
| AbbVie Inc. (a) | 3,283 | 444,518 |
| Amgen Inc. (a) | 1,043 | 234,644 |
| Biogen Inc. (a)(b) | 268 | 64,299 |
| Gilead Sciences Inc. (a) | 2,276 | 165,260 |
| Incyte Corp. (a)(b) | 394 | 28,920 |
| Moderna Inc. (a)(b) | 652 | 165,595 |
| Regeneron Pharmaceuticals Inc. (a)(b) | 195 | 123,146 |
| Vertex Pharmaceuticals Inc. (a)(b) | 467 | 102,553 |
| | | 1,328,935 |
| Brewers - 0.0% * |
| Molson Coors Beverage Co., Class B (a) | 381 | 17,659 |
| Broadcasting - 0.0% * |
| Discovery Inc., Class A (a)(b) | 361 | 8,498 |
| Discovery Inc., Class C (a)(b) | 697 | 15,961 |
| Fox Corp., Class A (a) | 597 | 22,029 |
| Fox Corp., Class B (a) | 283 | 9,699 |
| ViacomCBS Inc., Class B (a) | 1,204 | 36,337 |
| | | 92,524 |
| Building Products - 0.1% |
| A O Smith Corp. (a) | 200 | 17,170 |
| Carrier Global Corp. (a) | 1,613 | 87,489 |
| Fortune Brands Home & Security Inc. (a) | 238 | 25,442 |
| Johnson Controls International PLC (a) | 1,285 | 104,484 |
| | Number
of Shares | Fair
Value |
| Masco Corp. (a) | 473 | $ 33,214 |
| | | 267,799 |
| Cable & Satellite - 0.3% |
| Charter Communications Inc., Class A (a)(b) | 228 | 148,649 |
| Comcast Corp., Class A (a) | 8,425 | 424,030 |
| DISH Network Corp., Class A (a)(b) | 532 | 17,258 |
| | | 589,937 |
| Casinos & Gaming - 0.1% |
| Caesars Entertainment Inc. (a)(b) | 382 | 35,729 |
| Las Vegas Sands Corp. (a)(b) | 671 | 25,256 |
| MGM Resorts International (a) | 720 | 32,314 |
| Penn National Gaming Inc. (a)(b) | 300 | 15,555 |
| Wynn Resorts Ltd. (a)(b) | 233 | 19,814 |
| | | 128,668 |
| Commodity Chemicals - 0.1% |
| Dow Inc. (a) | 1,422 | 80,656 |
| LyondellBasell Industries N.V., Class A (a) | 456 | 42,057 |
| | | 122,713 |
| Communications Equipment - 0.3% |
| Arista Networks Inc. (b) | 400 | 57,500 |
| Cisco Systems Inc. (a) | 7,813 | 495,110 |
| F5 Inc. (a)(b) | 117 | 28,631 |
| Juniper Networks Inc. (a) | 645 | 23,033 |
| Motorola Solutions Inc. (a) | 305 | 82,868 |
| | | 687,142 |
| Computer & Electronics Retail - 0.0% * |
| Best Buy Company Inc. (a) | 397 | 40,335 |
| Construction & Engineering - 0.0% * |
| Quanta Services Inc. (a) | 292 | 33,481 |
| Construction Machinery & Heavy Trucks - 0.2% |
| Caterpillar Inc. (a) | 1,001 | 206,947 |
| Cummins Inc. (a) | 279 | 60,861 |
| PACCAR Inc. (a) | 629 | 55,515 |
| Westinghouse Air Brake Technologies Corp. (a) | 299 | 27,541 |
| | | 350,864 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Construction Materials - 0.0% * |
| Martin Marietta Materials Inc. (a) | 120 | $ 52,863 |
| Vulcan Materials Co. (a) | 259 | 53,763 |
| | | 106,626 |
| Consumer Finance - 0.2% |
| American Express Co. (a) | 1,160 | 189,776 |
| Capital One Financial Corp. (a) | 783 | 113,605 |
| Discover Financial Services (a) | 533 | 61,594 |
| Synchrony Financial (a) | 1,003 | 46,529 |
| | | 411,504 |
| Copper - 0.1% |
| Freeport-McMoRan Inc. (a) | 2,727 | 113,798 |
| Data Processing & Outsourced Services - 1.1% |
| Automatic Data Processing Inc. (a) | 779 | 192,086 |
| Broadridge Financial Solutions Inc. (a) | 222 | 40,586 |
| Fidelity National Information Services Inc. (a) | 1,121 | 122,357 |
| Fiserv Inc. (a)(b) | 1,093 | 113,442 |
| FleetCor Technologies Inc. (a)(b) | 144 | 32,233 |
| Global Payments Inc. (a) | 529 | 71,510 |
| Jack Henry & Associates Inc. (a) | 157 | 26,217 |
| Mastercard Inc., Class A (a) | 1,612 | 579,224 |
| Paychex Inc. (a) | 618 | 84,357 |
| PayPal Holdings Inc. (a)(b) | 2,182 | 411,482 |
| Visa Inc., Class A (a) | 3,118 | 675,702 |
| | | 2,349,196 |
| Distillers & Vintners - 0.0% * |
| Brown-Forman Corp., Class B (a) | 362 | 26,375 |
| Constellation Brands Inc., Class A (a) | 300 | 75,291 |
| | | 101,666 |
| Distributors - 0.1% |
| Genuine Parts Co. (a) | 273 | 38,275 |
| LKQ Corp. (a) | 536 | 32,176 |
| Pool Corp. (a) | 77 | 43,582 |
| | | 114,033 |
| | Number
of Shares | Fair
Value |
| Diversified Banks - 1.0% |
| Bank of America Corp. (a) | 13,391 | $ 595,766 |
| Citigroup Inc. (a) | 3,714 | 224,288 |
| JPMorgan Chase & Co. (a) | 5,462 | 864,908 |
| U.S. Bancorp (a) | 2,453 | 137,785 |
| Wells Fargo & Co. (a) | 7,432 | 356,587 |
| | | 2,179,334 |
| Diversified Support Services - 0.1% |
| Cintas Corp. (a) | 155 | 68,691 |
| Copart Inc. (a)(b) | 413 | 62,619 |
| | | 131,310 |
| Drug Retail - 0.0% * |
| Walgreens Boots Alliance Inc. (a) | 1,287 | 67,130 |
| Electric Utilities - 0.6% |
| Alliant Energy Corp. (a) | 434 | 26,678 |
| American Electric Power Company Inc. (a) | 908 | 80,785 |
| Duke Energy Corp. (a) | 1,420 | 148,958 |
| Edison International (a) | 743 | 50,710 |
| Entergy Corp. (a) | 400 | 45,060 |
| Evergy Inc. (a) | 406 | 27,856 |
| Eversource Energy (a) | 612 | 55,680 |
| Exelon Corp. (a) | 1,823 | 105,296 |
| FirstEnergy Corp. (a) | 1,062 | 44,169 |
| NextEra Energy Inc. (a) | 3,640 | 339,830 |
| NRG Energy Inc. (a) | 455 | 19,601 |
| Pinnacle West Capital Corp. (a) | 200 | 14,118 |
| PPL Corp. (a) | 1,455 | 43,737 |
| The Southern Co. (a) | 1,906 | 130,714 |
| Xcel Energy Inc. (a) | 966 | 65,398 |
| | | 1,198,590 |
| Electrical Components & Equipment - 0.2% |
| AMETEK Inc. (a) | 421 | 61,904 |
| Eaton Corporation PLC (a) | 734 | 126,850 |
| Emerson Electric Co. (a) | 1,089 | 101,245 |
| Generac Holdings Inc. (a)(b) | 109 | 38,359 |
| Rockwell Automation Inc. (a) | 212 | 73,956 |
| | | 402,314 |
| Electronic Components - 0.1% |
| Amphenol Corp., Class A (a) | 1,097 | 95,944 |
| Corning Inc. (a) | 1,440 | 53,611 |
| | | 149,555 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Electronic Equipment & Instruments - 0.1% |
| Keysight Technologies Inc. (a)(b) | 336 | $ 69,387 |
| Teledyne Technologies Inc. (a)(b) | 83 | 36,262 |
| Trimble Inc. (a)(b) | 500 | 43,595 |
| Zebra Technologies Corp., Class A (a)(b) | 104 | 61,901 |
| | | 211,145 |
| Electronic Manufacturing Services - 0.0% * |
| IPG Photonics Corp. (a)(b) | 83 | 14,288 |
| Environmental & Facilities Services - 0.1% |
| Republic Services Inc. (a) | 362 | 50,481 |
| Rollins Inc. (a) | 425 | 14,539 |
| Waste Management Inc. (a) | 708 | 118,165 |
| | | 183,185 |
| Fertilizers & Agricultural Chemicals - 0.1% |
| CF Industries Holdings Inc. (a) | 401 | 28,383 |
| Corteva Inc. (a) | 1,282 | 60,613 |
| FMC Corp. (a) | 241 | 26,483 |
| The Mosaic Co. (a) | 730 | 28,682 |
| | | 144,161 |
| Financial Exchanges & Data - 0.4% |
| Cboe Global Markets Inc. (a) | 225 | 29,340 |
| CME Group Inc. (a) | 663 | 151,469 |
| FactSet Research Systems Inc. | 67 | 32,563 |
| Intercontinental Exchange Inc. (a) | 1,039 | 142,104 |
| MarketAxess Holdings Inc. (a) | 67 | 27,555 |
| Moody's Corp. (a) | 298 | 116,393 |
| MSCI Inc. (a) | 151 | 92,516 |
| Nasdaq Inc. (a) | 226 | 47,462 |
| S&P Global Inc. (a) | 446 | 210,481 |
| | | 849,883 |
| Food Distributors - 0.0% * |
| Sysco Corp. (a) | 928 | 72,894 |
| Food Retail - 0.0% * |
| The Kroger Co. (a) | 1,181 | 53,452 |
| Footwear - 0.2% |
| NIKE Inc., Class B (a) | 2,372 | 395,341 |
| | Number
of Shares | Fair
Value |
| Gas Utilities - 0.0% * |
| Atmos Energy Corp. (a) | 243 | $ 25,459 |
| General Merchandise Stores - 0.2% |
| Dollar General Corp. (a) | 428 | 100,935 |
| Dollar Tree Inc. (a)(b) | 409 | 57,473 |
| Target Corp. (a) | 903 | 208,990 |
| | | 367,398 |
| Gold - 0.0% * |
| Newmont Corp. (a) | 1,455 | 90,239 |
| Health Care REITs - 0.1% |
| Healthpeak Properties Inc. (a) | 927 | 33,455 |
| Ventas Inc. (a) | 718 | 36,704 |
| Welltower Inc. (a) | 776 | 66,558 |
| | | 136,717 |
| Healthcare Distributors - 0.1% |
| AmerisourceBergen Corp. (a) | 267 | 35,482 |
| Cardinal Health Inc. (a) | 500 | 25,745 |
| Henry Schein Inc. (a)(b) | 264 | 20,468 |
| McKesson Corp. (a) | 278 | 69,102 |
| | | 150,797 |
| Healthcare Equipment - 0.9% |
| Abbott Laboratories (a) | 3,284 | 462,190 |
| ABIOMED Inc. (a)(b) | 93 | 33,403 |
| Baxter International Inc. | 902 | 77,428 |
| Becton Dickinson & Co. (a) | 529 | 133,033 |
| Boston Scientific Corp. (a)(b) | 2,599 | 110,406 |
| Dexcom Inc. (a)(b) | 178 | 95,577 |
| Edwards Lifesciences Corp. (a)(b) | 1,151 | 149,112 |
| Hologic Inc. (a)(b) | 454 | 34,758 |
| IDEXX Laboratories Inc. (a)(b) | 156 | 102,720 |
| Intuitive Surgical Inc. (a)(b) | 661 | 237,497 |
| ResMed Inc. (a) | 284 | 73,976 |
| STERIS PLC (a) | 192 | 46,735 |
| Stryker Corp. (a) | 620 | 165,800 |
| Teleflex Inc. (a) | 88 | 28,906 |
| Zimmer Biomet Holdings Inc. (a) | 413 | 52,468 |
| | | 1,804,009 |
| Healthcare Facilities - 0.1% |
| HCA Healthcare Inc. (a) | 440 | 113,045 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Universal Health Services Inc., Class B (a) | 152 | $ 19,708 |
| | | 132,753 |
| Healthcare Services - 0.2% |
| Cigna Corp. (a) | 611 | 140,304 |
| CVS Health Corp. (a) | 2,446 | 252,329 |
| DaVita Inc. (a)(b) | 138 | 15,699 |
| Laboratory Corporation of America Holdings (a)(b) | 174 | 54,673 |
| Quest Diagnostics Inc. (a) | 232 | 40,138 |
| | | 503,143 |
| Healthcare Supplies - 0.1% |
| Align Technology Inc. (a)(b) | 134 | 88,062 |
| DENTSPLY SIRONA Inc. (a) | 453 | 25,273 |
| The Cooper Companies Inc. (a) | 86 | 36,029 |
| | | 149,364 |
| Healthcare Technology - 0.0% * |
| Cerner Corp. (a) | 563 | 52,286 |
| Home Building - 0.1% |
| D.R. Horton Inc. (a) | 609 | 66,046 |
| Lennar Corp., Class A (a) | 509 | 59,126 |
| NVR Inc. (a)(b) | 6 | 35,453 |
| PulteGroup Inc. (a) | 499 | 28,523 |
| | | 189,148 |
| Home Furnishings - 0.0% * |
| Mohawk Industries Inc. (a)(b) | 85 | 15,485 |
| Home Improvement Retail - 0.5% |
| Lowe's Companies Inc. (a) | 1,284 | 331,888 |
| The Home Depot Inc. (a) | 1,950 | 809,270 |
| | | 1,141,158 |
| Hotel & Resort REITs - 0.0% * |
| Host Hotels & Resorts Inc. (a)(b) | 1,433 | 24,920 |
| Hotels, Resorts & Cruise Lines - 0.2% |
| Booking Holdings Inc. (a)(b) | 76 | 182,341 |
| Carnival Corp. (a)(b) | 1,599 | 32,172 |
| Expedia Group Inc. (a)(b) | 251 | 45,361 |
| Hilton Worldwide Holdings Inc. (a)(b) | 502 | 78,307 |
| Marriott International Inc., Class A (a)(b) | 500 | 82,620 |
| | Number
of Shares | Fair
Value |
| Norwegian Cruise Line Holdings Ltd. (a)(b) | 648 | $ 13,440 |
| Royal Caribbean Cruises Ltd. (a)(b) | 378 | 29,068 |
| | | 463,309 |
| Household Appliances - 0.0% * |
| Whirlpool Corp. (a) | 118 | 27,690 |
| Household Products - 0.5% |
| Church & Dwight Company Inc. (a) | 455 | 46,638 |
| Colgate-Palmolive Co. (a) | 1,553 | 132,533 |
| Kimberly-Clark Corp. (a) | 608 | 86,895 |
| The Clorox Co. (a) | 244 | 42,544 |
| The Procter & Gamble Co. (a) | 4,500 | 736,110 |
| | | 1,044,720 |
| Housewares & Specialties - 0.0% * |
| Newell Brands Inc. (a) | 812 | 17,734 |
| Human Resource & Employment Services - 0.0% * |
| Robert Half International Inc. (a) | 209 | 23,308 |
| Hypermarkets & Super Centers - 0.4% |
| Costco Wholesale Corp. (a) | 821 | 466,082 |
| Walmart Inc. (a) | 2,640 | 381,981 |
| | | 848,063 |
| Independent Power Producers & Energy Traders - 0.0% * |
| The AES Corp. | 1,324 | 32,173 |
| Industrial Conglomerates - 0.3% |
| 3M Co. (a) | 1,065 | 189,176 |
| General Electric Co. (a) | 1,995 | 188,467 |
| Honeywell International Inc. (a) | 1,276 | 266,059 |
| Roper Technologies Inc. (a) | 193 | 94,929 |
| | | 738,631 |
| Industrial Gases - 0.1% |
| Air Products & Chemicals Inc. (a) | 408 | 124,138 |
| Industrial Machinery - 0.3% |
| Dover Corp. (a) | 281 | 51,030 |
| Fortive Corp. (a) | 693 | 52,869 |
| IDEX Corp. (a) | 156 | 36,866 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Illinois Tool Works Inc. (a) | 526 | $ 129,817 |
| Ingersoll Rand Inc. (a) | 759 | 46,959 |
| Otis Worldwide Corp. (a) | 756 | 65,825 |
| Parker-Hannifin Corp. (a) | 232 | 73,804 |
| Snap-on Inc. (a) | 109 | 23,476 |
| Stanley Black & Decker Inc. (a) | 316 | 59,604 |
| Xylem Inc. (a) | 347 | 41,612 |
| | | 581,862 |
| Industrial REITs - 0.1% |
| Duke Realty Corp. (a) | 705 | 46,276 |
| Prologis Inc. (a) | 1,369 | 230,485 |
| | | 276,761 |
| Insurance Brokers - 0.2% |
| Aon PLC, Class A (a) | 406 | 122,028 |
| Arthur J Gallagher & Co. (a) | 402 | 68,207 |
| Brown & Brown Inc. (a) | 400 | 28,112 |
| Marsh & McLennan Companies Inc. (a) | 932 | 162,000 |
| | | 380,347 |
| Integrated Oil & Gas - 0.4% |
| Chevron Corp. (a) | 3,580 | 420,113 |
| Exxon Mobil Corp. (a) | 7,865 | 481,259 |
| Occidental Petroleum Corp. (a) | 1,547 | 44,848 |
| | | 946,220 |
| Integrated Telecommunication Services - 0.3% |
| AT&T Inc. (a) | 13,203 | 324,794 |
| Verizon Communications Inc. (a) | 7,650 | 397,494 |
| | | 722,288 |
| Interactive Home Entertainment - 0.1% |
| Activision Blizzard Inc. | 1,428 | 95,005 |
| Electronic Arts Inc. (a) | 516 | 68,061 |
| Take-Two Interactive Software Inc. (a)(b) | 231 | 41,053 |
| | | 204,119 |
| Interactive Media & Services - 2.2% |
| Alphabet Inc., Class C (a)(b) | 516 | 1,493,092 |
| Alphabet Inc., Class A (a)(b) | 557 | 1,613,651 |
| Match Group Inc. (a)(b) | 498 | 65,861 |
| Meta Platforms Inc., Class A (a)(b) | 4,389 | 1,476,240 |
| | Number
of Shares | Fair
Value |
| Twitter Inc. (a)(b) | 1,534 | $ 66,300 |
| | | 4,715,144 |
| Internet & Direct Marketing Retail - 1.3% |
| Amazon.com Inc. (a)(b) | 807 | 2,690,812 |
| eBay Inc. (a) | 1,144 | 76,076 |
| Etsy Inc. (a)(b) | 219 | 47,948 |
| | | 2,814,836 |
| Internet Services & Infrastructure - 0.0% * |
| Akamai Technologies Inc. (a)(b) | 308 | 36,049 |
| VeriSign Inc. (a)(b) | 193 | 48,987 |
| | | 85,036 |
| Investment Banking & Brokerage - 0.4% |
| Morgan Stanley (a) | 2,651 | 260,222 |
| Raymond James Financial Inc. (a) | 351 | 35,241 |
| The Charles Schwab Corp. (a) | 2,790 | 234,639 |
| The Goldman Sachs Group Inc. (a) | 629 | 240,624 |
| | | 770,726 |
| IT Consulting & Other Services - 0.2% |
| Cognizant Technology Solutions Corp., Class A (a) | 944 | 83,752 |
| DXC Technology Co. (a)(b) | 486 | 15,644 |
| EPAM Systems Inc. (b) | 100 | 66,845 |
| Gartner Inc. (a)(b) | 149 | 49,814 |
| International Business Machines Corp. (a) | 1,660 | 221,875 |
| | | 437,930 |
| Leisure Products - 0.0% * |
| Hasbro Inc. (a) | 250 | 25,445 |
| Life & Health Insurance - 0.1% |
| Aflac Inc. | 1,114 | 65,046 |
| Globe Life Inc. (a) | 195 | 18,275 |
| Lincoln National Corp. (a) | 284 | 19,386 |
| MetLife Inc. (a) | 1,320 | 82,487 |
| Principal Financial Group Inc. (a) | 426 | 30,813 |
| Prudential Financial Inc. (a) | 690 | 74,686 |
| | | 290,693 |
| Life Sciences Tools & Services - 0.7% |
| Agilent Technologies Inc. (a) | 555 | 88,606 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Bio-Rad Laboratories Inc., Class A (b) | 44 | $ 33,245 |
| Bio-Techne Corp. (a) | 74 | 38,283 |
| Charles River Laboratories International Inc. (a)(b) | 100 | 37,678 |
| Danaher Corp. (a) | 1,181 | 388,561 |
| Illumina Inc. (a)(b) | 288 | 109,567 |
| IQVIA Holdings Inc. (a)(b) | 351 | 99,031 |
| Mettler-Toledo International Inc. (a)(b) | 41 | 69,585 |
| PerkinElmer Inc. (a) | 219 | 44,032 |
| Thermo Fisher Scientific Inc. (a) | 732 | 488,420 |
| Waters Corp. (a)(b) | 118 | 43,967 |
| West Pharmaceutical Services Inc. (a) | 143 | 67,068 |
| | | 1,508,043 |
| Managed Healthcare - 0.6% |
| Anthem Inc. | 449 | 208,129 |
| Centene Corp. (a)(b) | 1,054 | 86,850 |
| Humana Inc. (a) | 236 | 109,471 |
| UnitedHealth Group Inc. (a) | 1,741 | 874,226 |
| | | 1,278,676 |
| Metal & Glass Containers - 0.0% * |
| Ball Corp. (a) | 561 | 54,007 |
| Movies & Entertainment - 0.5% |
| Live Nation Entertainment Inc. (a)(b) | 247 | 29,563 |
| Netflix Inc. (a)(b) | 823 | 495,808 |
| The Walt Disney Co. (a)(b) | 3,376 | 522,909 |
| | | 1,048,280 |
| Multi-Line Insurance - 0.1% |
| American International Group Inc. (a) | 1,482 | 84,267 |
| Assurant Inc. (a) | 116 | 18,080 |
| The Hartford Financial Services Group Inc. (a) | 658 | 45,428 |
| | | 147,775 |
| Multi-Sector Holdings - 0.5% |
| Berkshire Hathaway Inc., Class B (a)(b) | 3,386 | 1,012,414 |
| Multi-Utilities - 0.3% |
| Ameren Corp. (a) | 493 | 43,882 |
| CenterPoint Energy Inc. (a) | 1,240 | 34,608 |
| | Number
of Shares | Fair
Value |
| CMS Energy Corp. (a) | 550 | $ 35,778 |
| Consolidated Edison Inc. (a) | 642 | 54,775 |
| Dominion Energy Inc. (a) | 1,491 | 117,133 |
| DTE Energy Co. (a) | 371 | 44,349 |
| NiSource Inc. (a) | 792 | 21,867 |
| Public Service Enterprise Group Inc. (a) | 908 | 60,591 |
| Sempra Energy (a) | 565 | 74,738 |
| WEC Energy Group Inc. (a) | 610 | 59,213 |
| | | 546,934 |
| Office REITs - 0.0% * |
| Alexandria Real Estate Equities Inc. (a) | 267 | 59,530 |
| Boston Properties Inc. (a) | 275 | 31,675 |
| Vornado Realty Trust (a) | 312 | 13,060 |
| | | 104,265 |
| Oil & Gas Equipment & Services - 0.1% |
| Baker Hughes Co. (a) | 1,615 | 38,857 |
| Halliburton Co. (a) | 1,763 | 40,320 |
| Schlumberger N.V. (a) | 2,550 | 76,372 |
| | | 155,549 |
| Oil & Gas Exploration & Production - 0.3% |
| APA Corp. (a) | 721 | 19,388 |
| ConocoPhillips (a) | 2,440 | 176,119 |
| Coterra Energy Inc. (a) | 1,395 | 26,505 |
| Devon Energy Corp. (a) | 1,086 | 47,838 |
| Diamondback Energy Inc. (a) | 337 | 36,345 |
| EOG Resources Inc. (a) | 1,073 | 95,315 |
| Hess Corp. (a) | 489 | 36,201 |
| Marathon Oil Corp. (a) | 1,599 | 26,255 |
| Pioneer Natural Resources Co. (a) | 402 | 73,116 |
| | | 537,082 |
| Oil & Gas Refining & Marketing - 0.1% |
| Marathon Petroleum Corp. (a) | 1,168 | 74,740 |
| Phillips 66 (a) | 796 | 57,678 |
| Valero Energy Corp. (a) | 741 | 55,657 |
| | | 188,075 |
| Oil & Gas Storage & Transportation - 0.1% |
| Kinder Morgan Inc. (a) | 3,804 | 60,332 |
| ONEOK Inc. (a) | 863 | 50,710 |
| The Williams Companies Inc. (a) | 2,331 | 60,699 |
| | | 171,741 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Packaged Foods & Meats - 0.3% |
| Campbell Soup Co. (a) | 441 | $ 19,166 |
| Conagra Brands Inc. (a) | 926 | 31,623 |
| General Mills Inc. (a) | 1,164 | 78,430 |
| Hormel Foods Corp. (a) | 517 | 25,235 |
| Kellogg Co. (a) | 438 | 28,216 |
| Lamb Weston Holdings Inc. (a) | 262 | 16,606 |
| McCormick & Company Inc. (a) | 476 | 45,986 |
| Mondelez International Inc., Class A (a) | 2,578 | 170,947 |
| The Hershey Co. (a) | 280 | 54,172 |
| The J M Smucker Co. (a) | 220 | 29,880 |
| The Kraft Heinz Co. (a) | 1,363 | 48,932 |
| Tyson Foods Inc., Class A (a) | 507 | 44,190 |
| | | 593,383 |
| Paper Packaging - 0.1% |
| Avery Dennison Corp. (a) | 171 | 37,033 |
| International Paper Co. (a) | 744 | 34,953 |
| Packaging Corporation of America (a) | 193 | 26,277 |
| Sealed Air Corp. (a) | 264 | 17,812 |
| Westrock Co. (a) | 533 | 23,644 |
| | | 139,719 |
| Personal Products - 0.1% |
| The Estee Lauder Companies Inc., Class A (a) | 428 | 158,446 |
| Pharmaceuticals - 1.3% |
| Bristol-Myers Squibb Co. (a) | 4,097 | 255,448 |
| Catalent Inc. (a)(b) | 326 | 41,738 |
| Eli Lilly & Co. (a) | 1,474 | 407,148 |
| Johnson & Johnson (a) | 4,897 | 837,730 |
| Merck & Company Inc. (a) | 4,672 | 358,062 |
| Organon & Co. (a) | 487 | 14,829 |
| Pfizer Inc. (a) | 10,439 | 616,423 |
| Viatris Inc. (a) | 2,287 | 30,943 |
| Zoetis Inc. (a) | 876 | 213,770 |
| | | 2,776,091 |
| Property & Casualty Insurance - 0.2% |
| Cincinnati Financial Corp. (a) | 286 | 32,584 |
| Loews Corp. (a) | 411 | 23,739 |
| The Allstate Corp. (a) | 521 | 61,296 |
| The Progressive Corp. (a) | 1,076 | 110,451 |
| The Travelers Companies Inc. (a) | 441 | 68,986 |
| | Number
of Shares | Fair
Value |
| WR Berkley Corp. (a) | 300 | $ 24,717 |
| | | 321,773 |
| Publishing - 0.0% * |
| News Corp., Class A (a) | 811 | 18,093 |
| News Corp., Class B (a) | 342 | 7,695 |
| | | 25,788 |
| Railroads - 0.3% |
| CSX Corp. (a) | 4,049 | 152,242 |
| Norfolk Southern Corp. (a) | 448 | 133,374 |
| Union Pacific Corp. (a) | 1,192 | 300,301 |
| | | 585,917 |
| Real Estate Services - 0.0% * |
| CBRE Group Inc., Class A (a)(b) | 609 | 66,083 |
| Regional Banks - 0.4% |
| Citizens Financial Group Inc. (a) | 801 | 37,847 |
| Comerica Inc. (a) | 266 | 23,142 |
| Fifth Third Bancorp (a) | 1,239 | 53,959 |
| First Republic Bank (a) | 327 | 67,529 |
| Huntington Bancshares Inc. (a) | 2,534 | 39,074 |
| KeyCorp (a) | 1,872 | 43,299 |
| M&T Bank Corp. (a) | 230 | 35,323 |
| People's United Financial Inc. (a) | 850 | 15,147 |
| Regions Financial Corp. (a) | 1,897 | 41,355 |
| Signature Bank | 100 | 32,347 |
| SVB Financial Group (a)(b) | 113 | 76,641 |
| The PNC Financial Services Group Inc. (a) | 780 | 156,406 |
| Truist Financial Corp. (a) | 2,477 | 145,028 |
| Zions Bancorp NA (a) | 252 | 15,916 |
| | | 783,013 |
| Research & Consulting Services - 0.1% |
| Equifax Inc. (a) | 222 | 64,999 |
| Jacobs Engineering Group Inc. (a) | 253 | 35,225 |
| Leidos Holdings Inc. (a) | 292 | 25,959 |
| Nielsen Holdings PLC (a) | 801 | 16,429 |
| Verisk Analytics Inc. (a) | 314 | 71,821 |
| | | 214,433 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Residential REITs - 0.1% |
| AvalonBay Communities Inc. (a) | 254 | $ 64,158 |
| Equity Residential (a) | 619 | 56,019 |
| Essex Property Trust Inc. (a) | 124 | 43,677 |
| Mid-America Apartment Communities Inc. (a) | 223 | 51,165 |
| UDR Inc. (a) | 517 | 31,015 |
| | | 246,034 |
| Restaurants - 0.4% |
| Chipotle Mexican Grill Inc. (a)(b) | 52 | 90,909 |
| Darden Restaurants Inc. (a) | 249 | 37,509 |
| Domino's Pizza Inc. (a) | 65 | 36,682 |
| McDonald's Corp. (a) | 1,387 | 371,813 |
| Starbucks Corp. (a) | 2,186 | 255,696 |
| Yum! Brands Inc. (a) | 535 | 74,290 |
| | | 866,899 |
| Retail REITs - 0.1% |
| Federal Realty Investment Trust (a) | 139 | 18,948 |
| Kimco Realty Corp. (a) | 1,210 | 29,827 |
| Realty Income Corp. (a) | 1,074 | 76,888 |
| Regency Centers Corp. (a) | 234 | 17,632 |
| Simon Property Group Inc. (a) | 603 | 96,341 |
| | | 239,636 |
| Semiconductor Equipment - 0.3% |
| Applied Materials Inc. (a) | 1,673 | 263,263 |
| Enphase Energy Inc. (a)(b) | 267 | 48,845 |
| KLA Corp. (a) | 279 | 120,001 |
| Lam Research Corp. (a) | 260 | 186,979 |
| Teradyne Inc. (a) | 317 | 51,839 |
| | | 670,927 |
| Semiconductors - 1.9% |
| Advanced Micro Devices Inc. (b) | 2,213 | 318,451 |
| Analog Devices Inc. (a) | 993 | 174,540 |
| Broadcom Inc. (a) | 765 | 509,039 |
| Intel Corp. (a) | 7,526 | 387,589 |
| Microchip Technology Inc. (a) | 1,060 | 92,284 |
| Micron Technology Inc. (a) | 2,044 | 190,398 |
| Monolithic Power Systems Inc. (a) | 83 | 40,946 |
| NVIDIA Corp. (a) | 4,625 | 1,360,259 |
| Qorvo Inc. (a)(b) | 196 | 30,652 |
| | Number
of Shares | Fair
Value |
| QUALCOMM Inc. (a) | 2,079 | $ 380,187 |
| Skyworks Solutions Inc. (a) | 292 | 45,301 |
| Texas Instruments Inc. (a) | 1,713 | 322,849 |
| Xilinx Inc. (a) | 476 | 100,926 |
| | | 3,953,421 |
| Soft Drinks - 0.4% |
| Monster Beverage Corp. (a)(b) | 677 | 65,019 |
| PepsiCo Inc. (a) | 2,568 | 446,088 |
| The Coca-Cola Co. (a) | 7,182 | 425,246 |
| | | 936,353 |
| Specialized REITs - 0.5% |
| American Tower Corp. (a) | 843 | 246,577 |
| Crown Castle International Corp. (a) | 798 | 166,575 |
| Digital Realty Trust Inc. (a) | 546 | 96,571 |
| Equinix Inc. (a) | 166 | 140,409 |
| Extra Space Storage Inc. (a) | 258 | 58,496 |
| Iron Mountain Inc. (a) | 605 | 31,660 |
| Public Storage (a) | 280 | 104,877 |
| SBA Communications Corp. (a) | 199 | 77,415 |
| Weyerhaeuser Co. (a) | 1,331 | 54,811 |
| | | 977,391 |
| Specialty Chemicals - 0.3% |
| Albemarle Corp. (a) | 201 | 46,988 |
| Celanese Corp. (a) | 194 | 32,604 |
| DuPont de Nemours Inc. (a) | 940 | 75,933 |
| Eastman Chemical Co. (a) | 266 | 32,162 |
| Ecolab Inc. (a) | 458 | 107,442 |
| International Flavors & Fragrances Inc. (a) | 464 | 69,902 |
| PPG Industries Inc. (a) | 458 | 78,977 |
| The Sherwin-Williams Co. (a) | 445 | 156,711 |
| | | 600,719 |
| Specialty Stores - 0.1% |
| Bath & Body Works Inc. (a) | 487 | 33,988 |
| Tractor Supply Co. (a) | 221 | 52,730 |
| Ulta Beauty Inc. (a)(b) | 108 | 44,533 |
| | | 131,251 |
| Steel - 0.0% * |
| Nucor Corp. (a) | 520 | 59,358 |
| Systems Software - 2.5% |
| Fortinet Inc. (a)(b) | 249 | 89,491 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Microsoft Corp. (a) | 13,905 | $ 4,676,530 |
| NortonLifeLock Inc. (a) | 1,123 | 29,175 |
| Oracle Corp. (a) | 2,968 | 258,839 |
| ServiceNow Inc. (a)(b) | 368 | 238,872 |
| | | 5,292,907 |
| Technology Distributors - 0.0% * |
| CDW Corp. (a) | 245 | 50,171 |
| Technology Hardware, Storage & Peripherals - 2.5% |
| Apple Inc. (a) | 28,867 | 5,125,913 |
| Hewlett Packard Enterprise Co. (a) | 2,463 | 38,842 |
| HP Inc. (a) | 2,079 | 78,316 |
| NetApp Inc. (a) | 367 | 33,760 |
| Western Digital Corp. (a)(b) | 544 | 35,474 |
| | | 5,312,305 |
| Tobacco - 0.2% |
| Altria Group Inc. (a) | 3,363 | 159,373 |
| Philip Morris International Inc. (a) | 2,886 | 274,170 |
| | | 433,543 |
| Trading Companies & Distributors - 0.1% |
| Fastenal Co. (a) | 1,087 | 69,633 |
| United Rentals Inc. (a)(b) | 126 | 41,869 |
| WW Grainger Inc. (a) | 84 | 43,532 |
| | | 155,034 |
| Trucking - 0.0% * |
| JB Hunt Transport Services Inc. (a) | 173 | 35,361 |
| Old Dominion Freight Line Inc. (a) | 169 | 60,566 |
| | | 95,927 |
| Water Utilities - 0.0% * |
| American Water Works Company Inc. (a) | 330 | 62,324 |
| Wireless Telecommunication Services - 0.1% |
| T-Mobile US Inc. (a)(b) | 1,082 | 125,490 |
Total Common Stock
(Cost $39,551,403) | | 72,829,135 |
| | Number
of Shares | Fair
Value |
| Preferred Stock - 0.0% * |
| Banks - 0.0% * |
| Wells Fargo & Co. 5.85%, (3.09% + 3 month USD LIBOR) (d) | 1,469 | $ 39,354 |
Total Preferred Stock
(Cost $36,725) | | 39,354 |
Total Domestic Equity
(Cost $39,588,128) | | 72,868,489 |
| Foreign Equity - 1.0% |
| Common Stock - 1.0% |
| Auto Parts & Equipment - 0.0% * |
| Aptiv PLC (a)(b) | 480 | 79,176 |
| Building Products - 0.1% |
| Allegion plc (a) | 186 | 24,634 |
| Trane Technologies PLC (a) | 423 | 85,459 |
| | | 110,093 |
| Consumer Electronics - 0.0% * |
| Garmin Ltd. (a) | 296 | 40,306 |
| Electronic Manufacturing Services - 0.1% |
| TE Connectivity Ltd. (a) | 599 | 96,643 |
| Healthcare Equipment - 0.1% |
| Medtronic PLC (a) | 2,493 | 257,901 |
| Industrial Gases - 0.2% |
| Linde PLC (a)(b) | 951 | 329,455 |
| Industrial Machinery - 0.0% * |
| Pentair PLC (a) | 353 | 25,780 |
| Insurance Brokers - 0.0% * |
| Willis Towers Watson PLC (a) | 226 | 53,673 |
| IT Consulting & Other Services - 0.2% |
| Accenture PLC, Class A (a) | 1,173 | 486,267 |
| Paper Packaging - 0.0% * |
| Amcor PLC (a) | 2,985 | 35,850 |
| Property & Casualty Insurance - 0.1% |
| Chubb Ltd. (a) | 795 | 153,681 |
| Reinsurance - 0.0% * |
| Everest Re Group Ltd. (a) | 76 | 20,818 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares | Fair
Value |
| Research & Consulting Services - 0.1% |
| IHS Markit Ltd. (a) | 732 | $ 97,297 |
| Semiconductor Equipment - 0.0% * |
| SolarEdge Technologies Inc. (b) | 100 | 28,057 |
| Semiconductors - 0.1% |
| NXP Semiconductors N.V. (a) | 489 | 111,384 |
| Technology Hardware, Storage & Peripherals - 0.0% * |
| Seagate Technology Holdings PLC (a) | 401 | 45,305 |
Total Common Stock
(Cost $1,101,354) | | 1,971,686 |
Total Foreign Equity
(Cost $1,101,354) | | 1,971,686 |
| | Principal
Amount | |
| Bonds and Notes - 36.0% |
| U.S. Treasuries - 11.4% |
| U.S. Treasury Bonds | | |
| 1.13% 05/15/40 | $ 1,342,000 | 1,180,331 |
| 1.88% 02/15/41 - 02/15/51 | 1,398,000 | 1,388,897 |
| 2.25% 08/15/46 | 626,000 | 664,440 |
| 3.00% 08/15/48 | 1,633,600 | 2,007,286 |
| U.S. Treasury Notes | | |
| 0.13% 07/15/23 - 12/15/23 | 1,062,000 | 1,050,777 |
| 0.25% 07/31/25 | 2,840,200 | 2,755,882 |
| 0.63% 10/15/24 | 1,140,000 | 1,131,183 |
| 0.75% 04/30/26 - 01/31/28 | 9,452,000 | 9,152,884 |
| 1.38% 01/31/22 | 2,343,000 | 2,345,105 |
| 1.63% 05/15/31 | 2,471,000 | 2,505,748 |
| | | 24,182,533 |
| Agency Mortgage Backed - 9.2% |
| Federal Home Loan Mortgage Corp. | | |
| 3.00% 04/01/43 - 10/01/49 | 1,625,628 | 1,704,968 |
| 4.50% 06/01/33 - 02/01/35 | 1,359 | 1,492 |
| 5.00% 07/01/35 | 9,661 | 10,869 |
| 5.50% 01/01/38 - 04/01/39 | 16,736 | 19,079 |
| 6.00% 06/01/33 - 11/01/37 | 41,759 | 47,751 |
| 6.50% 11/01/28 | 495 | 554 |
| 7.00% 12/01/29 - 08/01/36 | 10,097 | 11,604 |
| 7.50% 09/01/33 | 960 | 1,065 |
| 8.00% 07/01/26 - 11/01/30 | 1,187 | 1,328 |
| 8.50% 04/01/30 | 3,162 | 3,897 |
| | Principal
Amount | Fair
Value |
| Federal National Mortgage Assoc. | | |
| 2.50% 02/01/51 - 03/01/51 | $ 3,630,886 | $ 3,718,761 |
| 3.00% 03/01/50 | 302,701 | 313,955 |
| 3.50% 08/01/45 - 01/01/48 | 683,772 | 731,438 |
| 4.00% 01/01/41 - 01/01/50 | 712,446 | 769,164 |
| 4.50% 07/01/33 - 12/01/48 | 348,838 | 381,277 |
| 5.00% 03/01/34 - 05/01/39 | 26,054 | 29,283 |
| 5.50% 07/01/33 - 01/01/39 | 58,906 | 66,671 |
| 6.00% 02/01/29 - 05/01/41 | 203,857 | 233,612 |
| 6.50% 07/01/29 - 08/01/36 | 5,561 | 6,132 |
| 7.00% 05/01/33 - 12/01/33 | 486 | 532 |
| 7.50% 12/01/26 - 03/01/33 | 2,654 | 2,979 |
| 8.00% 06/01/24 - 12/01/30 | 2,467 | 2,519 |
| 9.00% 12/01/22 | 25 | 25 |
| Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | | |
| 1.85% 04/01/37 | 398 | 408 |
| Federal National Mortgage Assoc. TBA | | |
| 2.00% 01/01/37 - 01/01/52 (e) | 681,504 | 687,557 |
| 2.50% 02/01/52 (e) | 1,025,977 | 1,044,927 |
| 3.00% 01/01/52 - 02/01/52 (e) | 4,558,923 | 4,723,445 |
| Government National Mortgage Assoc. | | |
| 3.00% 12/20/42 - 05/20/45 | 1,637,973 | 1,724,505 |
| 3.50% 08/20/48 | 306,559 | 321,698 |
| 4.00% 01/20/41 - 04/20/43 | 141,027 | 153,897 |
| 4.50% 08/15/33 - 03/20/41 | 58,580 | 65,182 |
| 5.00% 08/15/33 | 3,234 | 3,564 |
| 6.00% 07/15/33 - 04/15/34 | 4,498 | 5,177 |
| 6.50% 04/15/28 - 07/15/36 | 6,951 | 7,891 |
| 7.00% 04/15/28 - 10/15/36 | 2,554 | 2,857 |
| 7.50% 07/15/23 - 04/15/28 | 4,352 | 4,546 |
| 8.00% 05/15/30 | 141 | 153 |
| Government National Mortgage Assoc. TBA | | |
| 2.50% 01/01/52 (e) | 1,244,000 | 1,274,826 |
| 3.00% 01/01/52 (e) | 1,394,162 | 1,443,013 |
| | | 19,522,601 |
| Agency Collateralized Mortgage Obligations - 0.2% |
| Federal Home Loan Mortgage Corp. | | |
| 0.08% 09/25/43 (d)(f) | 94,927 | 435 |
| 2.51% 07/25/29 | 224,000 | 236,236 |
| 4.05% 09/25/28 (d) | 71,000 | 81,629 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Federal Home Loan Mortgage Corp. REMIC | | |
| 3.50% 11/15/30 (f) | $ 7,795 | $ 158 |
| 5.50% 06/15/33 (f) | 2,847 | 431 |
| 7.50% 07/15/27 (f) | 2,443 | 325 |
| Federal Home Loan Mortgage Corp. STRIPS | | |
| 0.00% 08/01/27 (g) | 106 | 101 |
| 8.00% 02/01/23 - 07/01/24 (f) | 201 | 14 |
| Federal National Mortgage Assoc. REMIC | | |
| 1.12% 12/25/42 (d)(f) | 20,527 | 630 |
| 5.00% 09/25/40 (f) | 8,328 | 876 |
| Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | | |
| 5.90% 07/25/38 (f) | 4,486 | 613 |
| Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | | |
| 6.45% 11/25/41 (f) | 641,953 | 121,376 |
| Federal National Mortgage Assoc. STRIPS | | |
| 4.50% 08/25/35 - 01/25/36 (f) | 6,354 | 883 |
| 5.00% 03/25/38 - 05/25/38 (f) | 4,161 | 772 |
| 5.50% 12/25/33 (f) | 1,427 | 264 |
| 6.00% 01/25/35 (f) | 4,015 | 688 |
| 7.50% 11/25/23 (f) | 1,084 | 48 |
| 8.00% 08/25/23 - 07/25/24 (f) | 383 | 27 |
| 8.50% 07/25/22 (f)** | 3 | — |
| | | 445,506 |
| Asset Backed - 0.3% |
| Enterprise Fleet Financing 2019-1 LLC | | |
| 3.07% 10/20/24 (h) | 137,000 | 138,017 |
| Ford Credit Auto Owner Trust 2020-B | | |
| 0.56% 10/15/24 | 283,906 | 283,779 |
| Santander Retail Auto Lease Trust 2019-B | | |
| 2.30% 01/20/23 (h) | 94,746 | 94,901 |
| | | 516,697 |
| Corporate Notes - 12.6% |
| 3M Co. | | |
| 3.13% 09/19/46 | 24,000 | 25,301 |
| | Principal
Amount | Fair
Value |
| 7-Eleven Inc. | | |
| 0.80% 02/10/24 (h) | $ 46,000 | $ 45,472 |
| 0.95% 02/10/26 (h) | 105,000 | 101,661 |
| Abbott Laboratories | | |
| 3.75% 11/30/26 | 21,000 | 23,203 |
| 4.90% 11/30/46 | 17,000 | 23,334 |
| AbbVie Inc. | | |
| 2.60% 11/21/24 | 37,000 | 38,375 |
| 2.95% 11/21/26 | 43,000 | 45,295 |
| 3.20% 05/14/26 - 11/21/29 | 82,000 | 87,495 |
| 3.25% 10/01/22 | 18,000 | 18,228 |
| 3.45% 03/15/22 | 49,000 | 49,056 |
| 3.75% 11/14/23 | 46,000 | 48,214 |
| 4.05% 11/21/39 | 12,000 | 13,756 |
| 4.25% 11/21/49 | 21,000 | 25,212 |
| 4.63% 10/01/42 | 3,000 | 3,658 |
| 4.70% 05/14/45 | 4,000 | 4,946 |
| 4.88% 11/14/48 | 5,000 | 6,472 |
| Advance Auto Parts Inc. | | |
| 3.90% 04/15/30 | 76,000 | 83,172 |
| AEP Texas Inc. | | |
| 3.45% 05/15/51 | 38,000 | 38,765 |
| Aetna Inc. | | |
| 3.50% 11/15/24 | 19,000 | 20,071 |
| Aircastle Ltd. | | |
| 4.25% 06/15/26 | 21,000 | 22,516 |
| Alexandria Real Estate Equities Inc. | | |
| 1.88% 02/01/33 | 12,000 | 11,274 |
| 4.70% 07/01/30 | 8,000 | 9,370 |
| Ally Financial Inc. | | |
| 2.20% 11/02/28 | 36,000 | 35,775 |
| 5.75% 11/20/25 | 12,000 | 13,538 |
| Altria Group Inc. | | |
| 3.40% 05/06/30 - 02/04/41 | 58,000 | 58,135 |
| 4.00% 02/04/61 | 6,000 | 5,754 |
| 4.25% 08/09/42 | 2,000 | 2,032 |
| 4.45% 05/06/50 | 7,000 | 7,287 |
| 4.50% 05/02/43 | 7,000 | 7,300 |
| Amazon.com Inc. | | |
| 1.50% 06/03/30 | 8,000 | 7,762 |
| 2.50% 06/03/50 | 39,000 | 37,117 |
| 2.70% 06/03/60 | 9,000 | 8,663 |
| 2.88% 05/12/41 | 26,000 | 26,854 |
| 3.15% 08/22/27 | 8,000 | 8,647 |
| 3.25% 05/12/61 | 18,000 | 19,411 |
| 4.05% 08/22/47 | 7,000 | 8,522 |
| 4.25% 08/22/57 | 5,000 | 6,413 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Ameren Corp. | | |
| 2.50% 09/15/24 | $ 56,000 | $ 57,543 |
| 3.65% 02/15/26 | 10,000 | 10,657 |
| American Campus Communities Operating Partnership LP | | |
| 4.13% 07/01/24 | 10,000 | 10,690 |
| American Electric Power Company Inc. | | |
| 3.25% 03/01/50 | 4,000 | 3,970 |
| American International Group Inc. | | |
| 4.25% 03/15/29 | 54,000 | 61,667 |
| 4.50% 07/16/44 | 33,000 | 40,673 |
| American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | | |
| 5.75% 04/01/48 (d) | 4,000 | 4,500 |
| American Tower Corp. | | |
| 1.50% 01/31/28 | 128,000 | 122,580 |
| 2.90% 01/15/30 | 11,000 | 11,285 |
| 3.80% 08/15/29 | 36,000 | 39,196 |
| American Water Capital Corp. | | |
| 2.95% 09/01/27 | 16,000 | 16,908 |
| Amgen Inc. | | |
| 2.00% 01/15/32 | 126,000 | 121,846 |
| 3.00% 01/15/52 | 28,000 | 27,297 |
| 3.15% 02/21/40 | 24,000 | 24,561 |
| 3.38% 02/21/50 | 5,000 | 5,194 |
| 4.56% 06/15/48 | 9,000 | 11,145 |
| 4.66% 06/15/51 | 5,000 | 6,365 |
| AngloGold Ashanti Holdings PLC | | |
| 3.38% 11/01/28 | 200,000 | 198,076 |
| Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | | |
| 3.65% 02/01/26 | 54,000 | 58,251 |
| 4.70% 02/01/36 | 10,000 | 12,079 |
| 4.90% 02/01/46 | 42,000 | 53,200 |
| Anheuser-Busch InBev Worldwide Inc. | | |
| 3.50% 06/01/30 | 20,000 | 21,914 |
| 4.00% 04/13/28 | 8,000 | 8,895 |
| 4.35% 06/01/40 | 15,000 | 17,640 |
| 4.38% 04/15/38 | 25,000 | 29,222 |
| 4.50% 06/01/50 | 14,000 | 17,290 |
| 4.60% 04/15/48 | 20,000 | 24,477 |
| 4.75% 04/15/58 | 11,000 | 13,849 |
| | Principal
Amount | Fair
Value |
| 5.55% 01/23/49 | $ 23,000 | $ 31,812 |
| Anthem Inc. | | |
| 2.88% 09/15/29 | 9,000 | 9,413 |
| 3.30% 01/15/23 | 15,000 | 15,406 |
| 3.60% 03/15/51 | 10,000 | 11,118 |
| 3.70% 09/15/49 | 9,000 | 10,051 |
| Aon Corp./Aon Global Holdings PLC | | |
| 2.90% 08/23/51 | 27,000 | 26,038 |
| Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | | |
| 4.95% 01/14/50 (d)(h) | 27,000 | 27,676 |
| Apple Inc. | | |
| 2.20% 09/11/29 | 14,000 | 14,333 |
| 2.65% 02/08/51 | 20,000 | 19,649 |
| 2.80% 02/08/61 | 18,000 | 17,792 |
| 2.95% 09/11/49 | 9,000 | 9,305 |
| 3.35% 02/09/27 | 8,000 | 8,694 |
| 3.45% 02/09/45 | 31,000 | 34,619 |
| 3.85% 08/04/46 | 22,000 | 26,063 |
| Applied Materials Inc. | | |
| 4.35% 04/01/47 | 6,000 | 7,646 |
| Aptiv PLC | | |
| 4.40% 10/01/46 | 9,000 | 10,573 |
| Archer-Daniels-Midland Co. | | |
| 2.50% 08/11/26 | 9,000 | 9,384 |
| Ares Capital Corp. | | |
| 2.88% 06/15/28 | 40,000 | 39,898 |
| 3.25% 07/15/25 | 128,000 | 132,787 |
| Arthur J Gallagher & Co. | | |
| 3.50% 05/20/51 | 32,000 | 33,692 |
| Ascension Health | | |
| 4.85% 11/15/53 | 11,000 | 15,643 |
| Astrazeneca Finance LLC | | |
| 1.75% 05/28/28 | 161,000 | 159,965 |
| AstraZeneca PLC | | |
| 3.00% 05/28/51 | 19,000 | 19,988 |
| 4.00% 01/17/29 | 8,000 | 9,019 |
| 4.38% 08/17/48 | 6,000 | 7,740 |
| AT&T Inc. | | |
| 1.70% 03/25/26 | 200,000 | 199,176 |
| 2.30% 06/01/27 | 141,000 | 143,702 |
| 2.75% 06/01/31 | 318,000 | 324,281 |
| 3.30% 02/01/52 | 65,000 | 63,675 |
| 3.85% 06/01/60 | 70,000 | 73,115 |
| 4.35% 03/01/29 | 43,000 | 48,381 |
| 4.50% 05/15/35 | 17,000 | 19,620 |
| 4.55% 03/09/49 | 9,000 | 10,609 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 4.75% 05/15/46 | $ 7,000 | $ 8,462 |
| 4.80% 06/15/44 | 9,000 | 10,713 |
| 4.85% 03/01/39 | 20,000 | 23,894 |
| 5.25% 03/01/37 | 9,000 | 11,134 |
| 5.35% 12/15/43 | 20,000 | 24,417 |
| 5.45% 03/01/47 | 10,000 | 13,110 |
| Athene Holding Ltd. | | |
| 4.13% 01/12/28 | 9,000 | 9,853 |
| 6.15% 04/03/30 | 24,000 | 29,690 |
| Avangrid Inc. | | |
| 3.15% 12/01/24 | 29,000 | 30,378 |
| Bain Capital Specialty Finance Inc. | | |
| 2.95% 03/10/26 | 47,000 | 46,892 |
| Bank of America Corp. | | |
| 3.25% 10/21/27 | 34,000 | 36,247 |
| 4.18% 11/25/27 | 28,000 | 30,651 |
| 4.25% 10/22/26 | 32,000 | 35,329 |
| Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | | |
| 2.09% 06/14/29 (d) | 257,000 | 255,499 |
| Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | | |
| 2.59% 04/29/31 (d) | 200,000 | 201,940 |
| Bank of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) | | |
| 2.97% 07/21/52 (d) | 29,000 | 29,123 |
| Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | | |
| 3.42% 12/20/28 (d) | 44,000 | 47,021 |
| Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | | |
| 3.56% 04/23/27 (d) | 26,000 | 27,820 |
| Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter) | | |
| 3.71% 04/24/28 (d) | 33,000 | 35,834 |
| Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | | |
| 3.95% 01/23/49 (d) | 23,000 | 26,834 |
| | Principal
Amount | Fair
Value |
| Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | | |
| 4.24% 04/24/38 (d) | $ 22,000 | $ 25,776 |
| Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | | |
| 4.27% 07/23/29 (d) | 16,000 | 17,836 |
| Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter) | | |
| 4.30% 12/31/99 (d) | 39,000 | 39,551 |
| Barrick North America Finance LLC | | |
| 5.70% 05/30/41 | 2,000 | 2,714 |
| BAT Capital Corp. | | |
| 2.73% 03/25/31 | 26,000 | 25,253 |
| 4.39% 08/15/37 | 16,000 | 16,884 |
| 4.54% 08/15/47 | 9,000 | 9,409 |
| 4.70% 04/02/27 | 200,000 | 220,386 |
| 4.91% 04/02/30 | 14,000 | 15,749 |
| BAT International Finance PLC | | |
| 1.67% 03/25/26 | 10,000 | 9,828 |
| Baxter International Inc. | | |
| 1.92% 02/01/27 (h) | 99,000 | 99,389 |
| 2.27% 12/01/28 (h) | 99,000 | 99,791 |
| 2.54% 02/01/32 (h) | 99,000 | 100,018 |
| 3.13% 12/01/51 (h) | 32,000 | 33,011 |
| Baylor Scott & White Holdings | | |
| 2.84% 11/15/50 | 5,000 | 4,989 |
| Becton Dickinson & Co. | | |
| 3.70% 06/06/27 | 23,000 | 25,080 |
| 4.67% 06/06/47 | 4,000 | 5,041 |
| 4.69% 12/15/44 | 2,000 | 2,515 |
| Berkshire Hathaway Energy Co. | | |
| 3.25% 04/15/28 | 8,000 | 8,582 |
| 3.70% 07/15/30 | 16,000 | 17,765 |
| 3.80% 07/15/48 | 8,000 | 8,930 |
| 4.25% 10/15/50 | 12,000 | 14,652 |
| Berkshire Hathaway Finance Corp. | | |
| 1.45% 10/15/30 | 32,000 | 30,664 |
| 2.85% 10/15/50 | 19,000 | 18,769 |
| 4.25% 01/15/49 | 25,000 | 30,679 |
| Berkshire Hathaway Inc. | | |
| 4.50% 02/11/43 | 4,000 | 4,944 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Berry Global Inc. | | |
| 4.88% 07/15/26 (h) | $ 36,000 | $ 37,274 |
| BHP Billiton Finance USA Ltd. | | |
| 5.00% 09/30/43 | 3,000 | 3,968 |
| Biogen Inc. | | |
| 2.25% 05/01/30 | 8,000 | 7,884 |
| Block Financial LLC | | |
| 2.50% 07/15/28 | 26,000 | 26,057 |
| 3.88% 08/15/30 | 7,000 | 7,495 |
| Boardwalk Pipelines LP | | |
| 4.80% 05/03/29 | 13,000 | 14,574 |
| Boston Scientific Corp. | | |
| 4.70% 03/01/49 | 8,000 | 10,161 |
| BP Capital Markets America Inc. | | |
| 3.00% 02/24/50 | 20,000 | 19,700 |
| 3.02% 01/16/27 | 39,000 | 41,186 |
| 3.38% 02/08/61 | 43,000 | 44,381 |
| BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | | |
| 4.38% 12/31/99 (d) | 39,000 | 40,740 |
| BP Capital Markets PLC (4.88% fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) | | |
| 4.88% 12/31/99 (d) | 30,000 | 32,690 |
| Bristol-Myers Squibb Co. | | |
| 1.45% 11/13/30 | 18,000 | 17,139 |
| 2.35% 11/13/40 | 8,000 | 7,574 |
| 3.20% 06/15/26 | 9,000 | 9,663 |
| 3.40% 07/26/29 | 11,000 | 12,032 |
| 3.45% 11/15/27 | 2,000 | 2,187 |
| 4.13% 06/15/39 | 10,000 | 11,828 |
| 4.25% 10/26/49 | 10,000 | 12,369 |
| 4.35% 11/15/47 | 3,000 | 3,720 |
| 4.55% 02/20/48 | 4,000 | 5,113 |
| Brixmor Operating Partnership LP | | |
| 2.25% 04/01/28 | 43,000 | 42,925 |
| 3.90% 03/15/27 | 8,000 | 8,619 |
| Broadcom Inc. | | |
| 3.19% 11/15/36 (h) | 3,000 | 3,010 |
| 3.42% 04/15/33 (h) | 16,000 | 16,704 |
| 3.47% 04/15/34 (h) | 26,000 | 27,127 |
| 4.15% 11/15/30 | 57,000 | 63,213 |
| 4.30% 11/15/32 | 10,000 | 11,262 |
| Brown-Forman Corp. | | |
| 4.00% 04/15/38 | 3,000 | 3,488 |
| | Principal
Amount | Fair
Value |
| Brunswick Corp. | | |
| 2.40% 08/18/31 | $ 94,000 | $ 90,615 |
| Bunge Limited Finance Corp. | | |
| 3.75% 09/25/27 | 5,000 | 5,442 |
| Burlington Northern Santa Fe LLC | | |
| 4.15% 12/15/48 | 9,000 | 11,030 |
| 4.55% 09/01/44 | 20,000 | 25,151 |
| Cameron LNG LLC | | |
| 3.30% 01/15/35 (h) | 7,000 | 7,338 |
| Canadian Natural Resources Ltd. | | |
| 3.85% 06/01/27 | 13,000 | 13,977 |
| 4.95% 06/01/47 | 4,000 | 4,958 |
| Canadian Pacific Railway Co. | | |
| 1.75% 12/02/26 | 40,000 | 40,179 |
| 2.45% 12/02/31 | 35,000 | 35,622 |
| 3.00% 12/02/41 | 15,000 | 15,337 |
| 3.10% 12/02/51 | 15,000 | 15,341 |
| Cantor Fitzgerald LP | | |
| 4.88% 05/01/24 (h) | 57,000 | 60,938 |
| Capital One Financial Corp. | | |
| 3.75% 07/28/26 | 30,000 | 32,142 |
| Cardinal Health Inc. | | |
| 3.08% 06/15/24 | 8,000 | 8,297 |
| Carlisle Companies Inc. | | |
| 2.20% 03/01/32 | 51,000 | 49,079 |
| Carrier Global Corp. | | |
| 2.72% 02/15/30 | 32,000 | 32,693 |
| 3.58% 04/05/50 | 12,000 | 12,765 |
| Caterpillar Inc. | | |
| 3.25% 09/19/49 - 04/09/50 | 35,000 | 38,620 |
| Cenovus Energy Inc. | | |
| 2.65% 01/15/32 | 16,000 | 15,670 |
| 3.75% 02/15/52 | 21,000 | 21,158 |
| Centene Corp. | | |
| 3.00% 10/15/30 | 33,000 | 33,578 |
| 3.38% 02/15/30 | 68,000 | 69,455 |
| 4.25% 12/15/27 | 112,000 | 117,162 |
| CenterPoint Energy Inc. | | |
| 2.65% 06/01/31 | 32,000 | 32,383 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | |
| 3.50% 06/01/41 | 73,000 | 71,153 |
| 3.70% 04/01/51 | 45,000 | 43,497 |
| 4.80% 03/01/50 | 38,000 | 42,597 |
| 4.91% 07/23/25 | 166,000 | 182,839 |
| 5.05% 03/30/29 | 29,000 | 33,331 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 5.75% 04/01/48 | $ 20,000 | $ 24,973 |
| Cheniere Corpus Christi Holdings LLC | | |
| 5.88% 03/31/25 | 95,000 | 105,427 |
| 7.00% 06/30/24 | 101,000 | 111,795 |
| Chevron Corp. | | |
| 2.24% 05/11/30 | 7,000 | 7,105 |
| 3.08% 05/11/50 | 8,000 | 8,500 |
| Chevron USA Inc. | | |
| 3.85% 01/15/28 | 30,000 | 33,332 |
| 3.90% 11/15/24 | 13,000 | 13,945 |
| Choice Hotels International Inc. | | |
| 3.70% 01/15/31 | 16,000 | 16,943 |
| Chubb INA Holdings Inc. | | |
| 4.35% 11/03/45 | 8,000 | 9,942 |
| Church & Dwight Company Inc. | | |
| 2.30% 12/15/31 | 20,000 | 20,141 |
| Cigna Corp. | | |
| 2.40% 03/15/30 | 13,000 | 13,090 |
| 3.25% 04/15/25 | 13,000 | 13,697 |
| 3.40% 03/01/27 - 03/15/51 | 31,000 | 32,838 |
| 3.75% 07/15/23 | 6,000 | 6,245 |
| 3.88% 10/15/47 | 5,000 | 5,551 |
| 4.13% 11/15/25 | 25,000 | 27,371 |
| 4.38% 10/15/28 | 8,000 | 9,094 |
| 4.80% 08/15/38 | 8,000 | 9,833 |
| 4.90% 12/15/48 | 5,000 | 6,456 |
| Cisco Systems Inc. | | |
| 5.90% 02/15/39 | 8,000 | 11,512 |
| Citigroup Inc. | | |
| 4.13% 07/25/28 | 94,000 | 103,319 |
| 4.45% 09/29/27 | 17,000 | 18,955 |
| 4.65% 07/23/48 | 20,000 | 25,766 |
| Citigroup Inc. (0.98% fixed rate until 05/01/24; 0.67% + SOFR thereafter) | | |
| 0.98% 05/01/25 (d) | 31,000 | 30,777 |
| Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | | |
| 1.68% 05/15/24 (d) | 124,000 | 125,352 |
| Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | | |
| 2.56% 05/01/32 (d) | 191,000 | 192,089 |
| | Principal
Amount | Fair
Value |
| Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | | |
| 2.88% 07/24/23 (d) | $ 129,000 | $ 130,496 |
| Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | | |
| 2.98% 11/05/30 (d) | 56,000 | 58,188 |
| Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | | |
| 3.88% 01/24/39 (d) | 10,000 | 11,342 |
| Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | | |
| 4.70% 12/31/99 (d) | 22,000 | 22,370 |
| CME Group Inc. | | |
| 3.75% 06/15/28 | 9,000 | 9,993 |
| CMS Energy Corp. | | |
| 4.88% 03/01/44 | 19,000 | 23,920 |
| CNA Financial Corp. | | |
| 3.45% 08/15/27 | 7,000 | 7,541 |
| 3.90% 05/01/29 | 13,000 | 14,398 |
| CNH Industrial Capital LLC | | |
| 1.95% 07/02/23 | 37,000 | 37,484 |
| CNOOC Petroleum North America ULC | | |
| 6.40% 05/15/37 | 8,000 | 10,561 |
| Comcast Corp. | | |
| 2.65% 08/15/62 | 9,000 | 7,992 |
| 2.80% 01/15/51 | 9,000 | 8,579 |
| 2.89% 11/01/51 (h) | 13,000 | 12,577 |
| 2.94% 11/01/56 (h) | 9,000 | 8,573 |
| 2.99% 11/01/63 (h) | 9,000 | 8,554 |
| 3.20% 07/15/36 | 10,000 | 10,646 |
| 3.25% 11/01/39 | 24,000 | 25,278 |
| 3.97% 11/01/47 | 36,000 | 41,224 |
| 4.15% 10/15/28 | 19,000 | 21,561 |
| CommonSpirit Health | | |
| 4.35% 11/01/42 | 24,000 | 27,452 |
| Conagra Brands Inc. | | |
| 5.30% 11/01/38 | 7,000 | 8,851 |
| 5.40% 11/01/48 | 7,000 | 9,464 |
| ConocoPhillips | | |
| 3.75% 10/01/27 (h) | 5,000 | 5,472 |
| 4.30% 08/15/28 (h) | 14,000 | 15,756 |
| 4.88% 10/01/47 (h) | 6,000 | 7,922 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| ConocoPhillips Co. | | |
| 4.30% 11/15/44 | $ 11,000 | $ 13,248 |
| Consolidated Edison Company of New York Inc. | | |
| 2.90% 12/01/26 | 20,000 | 20,712 |
| 3.35% 04/01/30 | 6,000 | 6,453 |
| 3.88% 06/15/47 | 8,000 | 8,784 |
| 3.95% 04/01/50 | 9,000 | 10,336 |
| Constellation Brands Inc. | | |
| 3.15% 08/01/29 | 38,000 | 40,032 |
| 3.70% 12/06/26 | 32,000 | 34,694 |
| 4.50% 05/09/47 | 9,000 | 10,751 |
| Continental Resources Inc. | | |
| 2.88% 04/01/32 (h) | 31,000 | 30,337 |
| 3.80% 06/01/24 | 150,000 | 156,576 |
| 4.50% 04/15/23 | 90,000 | 92,916 |
| Corning Inc. | | |
| 4.38% 11/15/57 | 7,000 | 8,381 |
| Corporate Nacional del Cobre de Chile | | |
| 3.15% 01/15/51 (h) | 85,000 | 79,153 |
| Corporate Office Properties LP | | |
| 2.00% 01/15/29 | 33,000 | 31,772 |
| 2.25% 03/15/26 | 20,000 | 20,208 |
| 2.75% 04/15/31 | 15,000 | 14,919 |
| Crown Castle International Corp. | | |
| 3.30% 07/01/30 | 43,000 | 45,439 |
| 4.15% 07/01/50 | 20,000 | 22,619 |
| 5.20% 02/15/49 | 8,000 | 10,289 |
| CSX Corp. | | |
| 4.50% 03/15/49 - 08/01/54 | 26,000 | 32,738 |
| CubeSmart LP | | |
| 2.50% 02/15/32 | 40,000 | 39,920 |
| 4.38% 02/15/29 | 20,000 | 22,669 |
| Cummins Inc. | | |
| 1.50% 09/01/30 | 16,000 | 15,164 |
| 2.60% 09/01/50 | 16,000 | 15,030 |
| CVS Health Corp. | | |
| 3.00% 08/15/26 | 15,000 | 15,799 |
| 3.25% 08/15/29 | 13,000 | 13,859 |
| 3.63% 04/01/27 | 13,000 | 14,103 |
| 3.75% 04/01/30 | 10,000 | 10,982 |
| 3.88% 07/20/25 | 10,000 | 10,756 |
| 4.25% 04/01/50 | 9,000 | 10,868 |
| 4.30% 03/25/28 | 2,000 | 2,246 |
| 4.78% 03/25/38 | 17,000 | 20,714 |
| 5.00% 12/01/24 | 17,000 | 18,572 |
| 5.13% 07/20/45 | 6,000 | 7,802 |
| | Principal
Amount | Fair
Value |
| 5.30% 12/05/43 | $ 14,000 | $ 18,453 |
| Daimler Trucks Finance North America LLC | | |
| 2.00% 12/14/26 (h) | 150,000 | 150,717 |
| Danaher Corp. | | |
| 2.80% 12/10/51 | 52,000 | 51,445 |
| Dell International LLC/EMC Corp. | | |
| 4.00% 07/15/24 | 24,000 | 25,484 |
| 5.45% 06/15/23 | 3,000 | 3,168 |
| 6.02% 06/15/26 | 5,000 | 5,794 |
| Deutsche Bank AG (2.31% fixed rate until 11/16/26; 1.22% + SOFR thereafter) | | |
| 2.31% 11/16/27 (d) | 150,000 | 149,969 |
| Devon Energy Corp. | | |
| 5.00% 06/15/45 | 4,000 | 4,862 |
| DH Europe Finance II Sarl | | |
| 2.60% 11/15/29 | 11,000 | 11,356 |
| 3.25% 11/15/39 | 8,000 | 8,520 |
| 3.40% 11/15/49 | 5,000 | 5,448 |
| Diamondback Energy Inc. | | |
| 2.88% 12/01/24 | 27,000 | 28,031 |
| 3.13% 03/24/31 | 23,000 | 23,716 |
| 3.25% 12/01/26 | 12,000 | 12,667 |
| 3.50% 12/01/29 | 10,000 | 10,599 |
| 4.40% 03/24/51 | 11,000 | 12,625 |
| Digital Realty Trust LP | | |
| 3.60% 07/01/29 | 28,000 | 30,420 |
| Discovery Communications LLC | | |
| 2.95% 03/20/23 | 28,000 | 28,640 |
| 3.95% 03/20/28 | 27,000 | 29,326 |
| 4.95% 05/15/42 | 4,000 | 4,710 |
| 5.00% 09/20/37 | 6,000 | 7,161 |
| Dollar General Corp. | | |
| 3.50% 04/03/30 | 44,000 | 47,612 |
| 4.13% 04/03/50 | 10,000 | 11,554 |
| Dollar Tree Inc. | | |
| 4.00% 05/15/25 | 90,000 | 96,728 |
| Dominion Energy Inc. | | |
| 3.07% 08/15/24 (i) | 21,000 | 21,760 |
| 3.38% 04/01/30 | 23,000 | 24,498 |
| Dover Corp. | | |
| 2.95% 11/04/29 | 16,000 | 16,894 |
| DTE Energy Co. | | |
| 2.85% 10/01/26 | 26,000 | 27,139 |
| Duke Energy Carolinas LLC | | |
| 3.95% 03/15/48 | 8,000 | 9,276 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Duke Energy Corp. | | |
| 2.55% 06/15/31 | $ 42,000 | $ 41,976 |
| 3.30% 06/15/41 | 39,000 | 39,685 |
| 3.50% 06/15/51 | 39,000 | 40,542 |
| 3.75% 09/01/46 | 57,000 | 61,073 |
| Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | | |
| 4.88% 12/31/99 (d) | 40,000 | 41,736 |
| Duke Energy Progress LLC | | |
| 4.15% 12/01/44 | 17,000 | 20,006 |
| Duke Realty LP | | |
| 3.05% 03/01/50 | 6,000 | 5,926 |
| 3.25% 06/30/26 | 8,000 | 8,516 |
| DuPont de Nemours Inc. | | |
| 5.42% 11/15/48 | 7,000 | 9,787 |
| Duquesne Light Holdings Inc. | | |
| 3.62% 08/01/27 (h) | 20,000 | 21,216 |
| Eastman Chemical Co. | | |
| 4.65% 10/15/44 | 13,000 | 15,495 |
| Eaton Corp. | | |
| 3.10% 09/15/27 | 8,000 | 8,554 |
| Ecolab Inc. | | |
| 1.30% 01/30/31 | 18,000 | 16,840 |
| Edison International | | |
| 4.95% 04/15/25 | 40,000 | 43,616 |
| 5.75% 06/15/27 | 7,000 | 8,006 |
| EI du Pont de Nemours & Co. | | |
| 2.30% 07/15/30 | 43,000 | 43,220 |
| Electronic Arts Inc. | | |
| 1.85% 02/15/31 | 43,000 | 41,150 |
| Emera US Finance LP | | |
| 2.64% 06/15/31 | 47,000 | 46,578 |
| Emerson Electric Co. | | |
| 1.80% 10/15/27 | 62,000 | 62,234 |
| 2.75% 10/15/50 | 8,000 | 7,721 |
| Empower Finance 2020 LP | | |
| 1.36% 09/17/27 (h) | 28,000 | 27,154 |
| 1.78% 03/17/31 (h) | 39,000 | 37,520 |
| Enbridge Energy Partners LP | | |
| 5.50% 09/15/40 | 4,000 | 5,132 |
| Enbridge Inc. | | |
| 1.60% 10/04/26 | 85,000 | 83,915 |
| Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | | |
| 5.75% 07/15/80 (d) | 54,000 | 59,996 |
| Energy Transfer LP | | |
| 4.25% 03/15/23 | 15,000 | 15,431 |
| | Principal
Amount | Fair
Value |
| 4.50% 04/15/24 | $ 24,000 | $ 25,470 |
| 4.95% 06/15/28 | 9,000 | 10,149 |
| 5.30% 04/01/44 - 04/15/47 | 24,000 | 27,592 |
| 5.35% 05/15/45 | 25,000 | 28,891 |
| 6.13% 12/15/45 | 5,000 | 6,242 |
| 6.50% 02/01/42 | 9,000 | 11,557 |
| Energy Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | | |
| 6.75% 12/31/99 (d) | 85,000 | 85,723 |
| Energy Transfer LP/Regency Energy Finance Corp. | | |
| 4.50% 11/01/23 | 11,000 | 11,540 |
| Enstar Group Ltd. | | |
| 3.10% 09/01/31 | 26,000 | 25,453 |
| Enterprise Products Operating LLC | | |
| 4.25% 02/15/48 | 29,000 | 33,047 |
| Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | | |
| 5.25% 08/16/77 (d) | 7,000 | 7,160 |
| EOG Resources Inc. | | |
| 4.15% 01/15/26 | 4,000 | 4,376 |
| 4.38% 04/15/30 | 16,000 | 18,497 |
| 4.95% 04/15/50 | 8,000 | 10,865 |
| 5.10% 01/15/36 | 8,000 | 9,756 |
| Equinix Inc. | | |
| 1.25% 07/15/25 | 16,000 | 15,726 |
| 2.15% 07/15/30 | 23,000 | 22,350 |
| Equinor ASA | | |
| 3.25% 11/18/49 | 15,000 | 15,945 |
| ERP Operating LP | | |
| 4.50% 07/01/44 | 9,000 | 11,358 |
| Everest Reinsurance Holdings Inc. | | |
| 3.13% 10/15/52 | 30,000 | 29,402 |
| Eversource Energy | | |
| 3.45% 01/15/50 | 16,000 | 16,945 |
| Exelon Corp. | | |
| 3.50% 06/01/22 | 18,000 | 18,162 |
| 4.05% 04/15/30 | 24,000 | 26,744 |
| 4.45% 04/15/46 | 13,000 | 15,689 |
| 4.70% 04/15/50 | 13,000 | 16,391 |
| Exxon Mobil Corp. | | |
| 2.61% 10/15/30 | 65,000 | 67,456 |
| 3.45% 04/15/51 | 14,000 | 15,192 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| FedEx Corp. | | |
| 4.10% 02/01/45 | $ 42,000 | $ 47,020 |
| Fidelity National Financial Inc. | | |
| 3.20% 09/17/51 | 27,000 | 25,910 |
| Fidelity National Information Services Inc. | | |
| 1.15% 03/01/26 | 24,000 | 23,417 |
| 1.65% 03/01/28 | 22,000 | 21,302 |
| 3.10% 03/01/41 | 6,000 | 6,046 |
| FirstEnergy Transmission LLC | | |
| 4.55% 04/01/49 (h) | 23,000 | 26,379 |
| Fiserv Inc. | | |
| 3.50% 07/01/29 | 48,000 | 51,624 |
| 4.40% 07/01/49 | 6,000 | 7,155 |
| Florida Power & Light Co. | | |
| 2.85% 04/01/25 | 42,000 | 43,951 |
| 4.13% 02/01/42 | 11,000 | 13,141 |
| Flowers Foods Inc. | | |
| 2.40% 03/15/31 | 22,000 | 21,680 |
| Flowserve Corp. | | |
| 2.80% 01/15/32 | 28,000 | 27,276 |
| Ford Motor Co. | | |
| 4.35% 12/08/26 | 38,000 | 41,436 |
| Fox Corp. | | |
| 3.50% 04/08/30 | 34,000 | 36,673 |
| GA Global Funding Trust | | |
| 1.63% 01/15/26 (h) | 32,000 | 31,751 |
| General Mills Inc. | | |
| 3.00% 02/01/51 | 24,000 | 24,038 |
| General Motors Co. | | |
| 5.20% 04/01/45 | 3,000 | 3,712 |
| 5.40% 10/02/23 - 04/01/48 | 13,000 | 15,574 |
| 6.13% 10/01/25 | 74,000 | 85,082 |
| 6.80% 10/01/27 | 9,000 | 11,067 |
| General Motors Financial Company Inc. | | |
| 1.25% 01/08/26 | 42,000 | 41,066 |
| 2.35% 01/08/31 | 16,000 | 15,538 |
| 3.45% 04/10/22 | 80,000 | 80,238 |
| 5.25% 03/01/26 | 40,000 | 44,863 |
| Georgia-Pacific LLC | | |
| 1.75% 09/30/25 (h) | 38,000 | 38,194 |
| 3.60% 03/01/25 (h) | 92,000 | 97,530 |
| Gilead Sciences Inc. | | |
| 1.65% 10/01/30 | 94,000 | 90,126 |
| 2.60% 10/01/40 | 10,000 | 9,588 |
| 2.80% 10/01/50 | 19,000 | 18,395 |
| 2.95% 03/01/27 | 3,000 | 3,160 |
| 3.50% 02/01/25 | 10,000 | 10,581 |
| | Principal
Amount | Fair
Value |
| 3.65% 03/01/26 | $ 8,000 | $ 8,628 |
| 4.15% 03/01/47 | 9,000 | 10,609 |
| GlaxoSmithKline Capital Inc. | | |
| 3.38% 05/15/23 | 21,000 | 21,749 |
| 3.63% 05/15/25 | 21,000 | 22,601 |
| GlaxoSmithKline Capital PLC | | |
| 3.38% 06/01/29 | 16,000 | 17,433 |
| Glencore Funding LLC | | |
| 3.88% 04/27/51 (h) | 5,000 | 5,242 |
| Graphic Packaging International LLC | | |
| 1.51% 04/15/26 (h) | 36,000 | 35,375 |
| Gray Oak Pipeline LLC | | |
| 2.00% 09/15/23 (h) | 63,000 | 63,703 |
| 2.60% 10/15/25 (h) | 39,000 | 39,597 |
| Halliburton Co. | | |
| 3.80% 11/15/25 | 2,000 | 2,159 |
| 5.00% 11/15/45 | 8,000 | 9,648 |
| HCA Inc. | | |
| 3.50% 09/01/30 - 07/15/51 | 112,000 | 117,390 |
| 5.38% 02/01/25 | 65,000 | 71,420 |
| Health Care Service Corp. | | |
| 2.20% 06/01/30 (h) | 22,000 | 21,681 |
| 3.20% 06/01/50 (h) | 7,000 | 7,128 |
| Healthcare Trust of America Holdings LP | | |
| 2.00% 03/15/31 | 12,000 | 11,390 |
| Helmerich & Payne Inc. | | |
| 2.90% 09/29/31 (h) | 16,000 | 15,793 |
| Hess Corp. | | |
| 5.60% 02/15/41 | 3,000 | 3,705 |
| 5.80% 04/01/47 | 2,000 | 2,572 |
| Hewlett Packard Enterprise Co. | | |
| 6.35% 10/15/45 | 3,000 | 4,017 |
| Highwoods Realty LP | | |
| 4.13% 03/15/28 | 9,000 | 9,932 |
| 4.20% 04/15/29 | 27,000 | 29,897 |
| Hill-Rom Holdings Inc. | | |
| 4.38% 09/15/27 (h) | 100,000 | 104,680 |
| Honeywell International Inc. | | |
| 1.75% 09/01/31 | 25,000 | 24,339 |
| 2.70% 08/15/29 | 18,000 | 18,859 |
| Hormel Foods Corp. | | |
| 1.80% 06/11/30 | 40,000 | 39,230 |
| HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | | |
| 2.01% 09/22/28 (d) | 250,000 | 244,773 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Humana Inc. | | |
| 1.35% 02/03/27 | $ 51,000 | $ 49,616 |
| 2.15% 02/03/32 | 21,000 | 20,341 |
| Huntington Bancshares Inc. | | |
| 2.55% 02/04/30 | 28,000 | 28,453 |
| Huntington Ingalls Industries Inc. | | |
| 2.04% 08/16/28 (h) | 53,000 | 51,920 |
| Hyundai Capital America | | |
| 1.30% 01/08/26 (h) | 74,000 | 71,995 |
| 3.10% 04/05/22 (h) | 10,000 | 10,054 |
| Indiana Michigan Power Co. | | |
| 3.25% 05/01/51 | 19,000 | 19,739 |
| ING Groep N.V. (1.06% fixed rate until 04/01/26; 1.01% + SOFR thereafter) | | |
| 1.06% 04/01/27 | 200,000 | 201,966 |
| Intel Corp. | | |
| 2.00% 08/12/31 | 78,000 | 77,498 |
| 2.45% 11/15/29 | 33,000 | 34,136 |
| 2.60% 05/19/26 | 27,000 | 28,342 |
| 2.80% 08/12/41 | 31,000 | 30,910 |
| 2.88% 05/11/24 | 10,000 | 10,409 |
| 3.10% 02/15/60 | 12,000 | 12,091 |
| Intercontinental Exchange Inc. | | |
| 1.85% 09/15/32 | 8,000 | 7,675 |
| 2.65% 09/15/40 | 8,000 | 7,773 |
| International Business Machines Corp. | | |
| 2.95% 05/15/50 | 100,000 | 97,748 |
| International Paper Co. | | |
| 4.40% 08/15/47 | 9,000 | 11,145 |
| Interstate Power & Light Co. | | |
| 3.40% 08/15/25 | 118,000 | 124,660 |
| ITC Holdings Corp. | | |
| 2.95% 05/14/30 (h) | 44,000 | 45,009 |
| Jabil Inc. | | |
| 3.95% 01/12/28 | 9,000 | 9,833 |
| John Deere Capital Corp. | | |
| 2.45% 01/09/30 | 34,000 | 35,040 |
| Johnson & Johnson | | |
| 3.63% 03/03/37 | 9,000 | 10,362 |
| Johnson Controls International PLC | | |
| 4.50% 02/15/47 | 4,000 | 4,868 |
| JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | | |
| 1.58% 04/22/27 (d) | 56,000 | 55,347 |
| | Principal
Amount | Fair
Value |
| JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | | |
| 2.96% 05/13/31 (d) | $ 23,000 | $ 23,802 |
| JPMorgan Chase & Co. (3.11% fixed rate until 04/22/50; 2.44% + SOFR thereafter) | | |
| 3.11% 04/22/51 (d) | 54,000 | 55,717 |
| JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | | |
| 3.16% 04/22/42 (d) | 25,000 | 26,031 |
| JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | | |
| 3.88% 07/24/38 (d) | 18,000 | 20,391 |
| JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | | |
| 3.90% 01/23/49 (d) | 16,000 | 18,541 |
| JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | | |
| 3.96% 01/29/27 (d) | 32,000 | 34,643 |
| JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | | |
| 4.01% 04/23/29 (d) | 13,000 | 14,362 |
| JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | | |
| 4.03% 07/24/48 (d) | 9,000 | 10,637 |
| JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | | |
| 4.49% 03/24/31 (d) | 79,000 | 91,456 |
| JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | | |
| 4.60% 12/31/99 (d) | 50,000 | 51,109 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | | |
| 6.10% 10/29/49 (d) | $ 77,000 | $ 81,588 |
| Kaiser Foundation Hospitals | | |
| 3.00% 06/01/51 | 24,000 | 24,743 |
| Kansas City Southern | | |
| 3.50% 05/01/50 | 13,000 | 13,887 |
| Keurig Dr Pepper Inc. | | |
| 3.20% 05/01/30 | 15,000 | 15,874 |
| 3.80% 05/01/50 | 9,000 | 9,963 |
| Kinder Morgan Energy Partners LP | | |
| 4.70% 11/01/42 | 3,000 | 3,382 |
| 5.00% 03/01/43 | 8,000 | 9,307 |
| 6.38% 03/01/41 | 8,000 | 10,583 |
| Kinder Morgan Inc. | | |
| 1.75% 11/15/26 | 99,000 | 98,755 |
| 5.05% 02/15/46 | 8,000 | 9,579 |
| KLA Corp. | | |
| 3.30% 03/01/50 | 12,000 | 12,825 |
| 4.65% 11/01/24 | 20,000 | 21,685 |
| Kohl's Corp. | | |
| 3.38% 05/01/31 | 17,000 | 17,305 |
| Kreditanstalt fuer Wiederaufbau | | |
| 2.00% 10/04/22 | 46,000 | 46,554 |
| Kyndryl Holdings Inc. | | |
| 2.05% 10/15/26 (h) | 36,000 | 35,106 |
| 2.70% 10/15/28 (h) | 77,000 | 74,611 |
| L3Harris Technologies Inc. | | |
| 3.85% 12/15/26 | 27,000 | 29,375 |
| Lear Corp. | | |
| 4.25% 05/15/29 | 8,000 | 8,842 |
| Leidos Inc. | | |
| 3.63% 05/15/25 | 9,000 | 9,555 |
| 4.38% 05/15/30 | 70,000 | 78,087 |
| Liberty Mutual Group Inc. | | |
| 3.95% 05/15/60 (h) | 8,000 | 8,856 |
| Life Storage LP | | |
| 2.20% 10/15/30 | 23,000 | 22,614 |
| Lincoln National Corp. | | |
| 4.35% 03/01/48 | 8,000 | 9,629 |
| Lockheed Martin Corp. | | |
| 3.55% 01/15/26 | 9,000 | 9,755 |
| 3.80% 03/01/45 | 4,000 | 4,582 |
| 4.50% 05/15/36 | 10,000 | 12,219 |
| Lowe's Companies Inc. | | |
| 1.30% 04/15/28 | 9,000 | 8,633 |
| | Principal
Amount | Fair
Value |
| 1.70% 09/15/28 - 10/15/30 | $ 67,000 | $ 65,430 |
| 3.00% 10/15/50 | 9,000 | 8,889 |
| 3.50% 04/01/51 | 20,000 | 21,550 |
| 3.70% 04/15/46 | 3,000 | 3,287 |
| 4.05% 05/03/47 | 13,000 | 15,009 |
| LYB International Finance III LLC | | |
| 1.25% 10/01/25 | 33,000 | 32,517 |
| 3.63% 04/01/51 | 24,000 | 25,493 |
| 3.80% 10/01/60 | 8,000 | 8,457 |
| Marsh & McLennan Companies Inc. | | |
| 2.38% 12/15/31 | 15,000 | 15,142 |
| 2.90% 12/15/51 | 20,000 | 19,994 |
| Marvell Technology Inc. | | |
| 1.65% 04/15/26 | 14,000 | 13,847 |
| 2.45% 04/15/28 | 97,000 | 98,475 |
| Masco Corp. | | |
| 3.50% 11/15/27 | 3,000 | 3,224 |
| McCormick & Company Inc. | | |
| 1.85% 02/15/31 | 11,000 | 10,534 |
| 3.25% 11/15/25 | 73,000 | 77,212 |
| McDonald's Corp. | | |
| 3.60% 07/01/30 | 29,000 | 32,069 |
| 3.63% 09/01/49 | 9,000 | 9,953 |
| 4.88% 12/09/45 | 8,000 | 10,302 |
| Medtronic Inc. | | |
| 4.63% 03/15/45 | 4,000 | 5,247 |
| Memorial Sloan-Kettering Cancer Center | | |
| 4.13% 07/01/52 | 19,000 | 23,880 |
| Merck & Company Inc. | | |
| 1.70% 06/10/27 | 50,000 | 50,333 |
| 1.90% 12/10/28 | 50,000 | 50,218 |
| 2.15% 12/10/31 | 35,000 | 35,105 |
| 2.45% 06/24/50 | 13,000 | 12,273 |
| 2.75% 02/10/25 - 12/10/51 | 56,000 | 57,585 |
| 2.90% 12/10/61 | 10,000 | 9,976 |
| 4.00% 03/07/49 | 4,000 | 4,868 |
| MetLife Inc. | | |
| 4.72% 12/15/44 | 12,000 | 15,555 |
| Microchip Technology Inc. | | |
| 2.67% 09/01/23 | 103,000 | 105,269 |
| Micron Technology Inc. | | |
| 3.37% 11/01/41 | 26,000 | 26,700 |
| 3.48% 11/01/51 | 36,000 | 36,717 |
| Microsoft Corp. | | |
| 2.40% 08/08/26 | 30,000 | 31,397 |
| 2.68% 06/01/60 | 4,000 | 3,983 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 2.92% 03/17/52 | $ 54,000 | $ 57,181 |
| 3.04% 03/17/62 | 31,000 | 33,376 |
| 3.45% 08/08/36 | 4,000 | 4,588 |
| 3.50% 02/12/35 | 10,000 | 11,452 |
| Mid-America Apartments LP | | |
| 2.88% 09/15/51 | 28,000 | 27,593 |
| Molson Coors Beverage Co. | | |
| 4.20% 07/15/46 | 5,000 | 5,551 |
| Morgan Stanley | | |
| 3.63% 01/20/27 | 4,000 | 4,341 |
| 3.70% 10/23/24 | 11,000 | 11,718 |
| 4.35% 09/08/26 | 39,000 | 43,197 |
| 4.38% 01/22/47 | 12,000 | 15,049 |
| Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | | |
| 1.51% 07/20/27 (d) | 30,000 | 29,526 |
| Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | | |
| 2.48% 09/16/36 (d) | 148,000 | 142,460 |
| Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | | |
| 2.80% 01/25/52 (d) | 27,000 | 26,509 |
| Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | | |
| 3.62% 04/01/31 (d) | 177,000 | 193,080 |
| Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | | |
| 3.97% 07/22/38 (d) | 12,000 | 13,658 |
| MPLX LP | | |
| 2.65% 08/15/30 | 20,000 | 19,965 |
| 3.38% 03/15/23 | 9,000 | 9,231 |
| 5.20% 12/01/47 | 8,000 | 9,794 |
| Mylan Inc. | | |
| 5.20% 04/15/48 | 7,000 | 8,669 |
| National Retail Properties Inc. | | |
| 4.00% 11/15/25 | 13,000 | 14,105 |
| NewMarket Corp. | | |
| 2.70% 03/18/31 | 16,000 | 15,951 |
| Newmont Corp. | | |
| 4.88% 03/15/42 | 9,000 | 11,281 |
| | Principal
Amount | Fair
Value |
| NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) | | |
| 5.65% 05/01/79 (d) | $ 10,000 | $ 11,345 |
| NGPL PipeCo LLC | | |
| 3.25% 07/15/31 (h) | 43,000 | 43,756 |
| NIKE Inc. | | |
| 3.38% 03/27/50 | 9,000 | 10,186 |
| NiSource Inc. | | |
| 3.60% 05/01/30 | 18,000 | 19,445 |
| 3.95% 03/30/48 | 4,000 | 4,508 |
| Norfolk Southern Corp. | | |
| 3.95% 10/01/42 | 9,000 | 10,296 |
| NOV Inc. | | |
| 3.60% 12/01/29 | 24,000 | 25,138 |
| Novant Health Inc. | | |
| 3.32% 11/01/61 | 16,000 | 17,235 |
| Novartis Capital Corp. | | |
| 2.20% 08/14/30 | 27,000 | 27,411 |
| 3.00% 11/20/25 | 4,000 | 4,239 |
| Nutrien Ltd. | | |
| 4.90% 06/01/43 | 8,000 | 10,170 |
| NVIDIA Corp. | | |
| 2.85% 04/01/30 | 20,000 | 21,220 |
| 3.50% 04/01/50 | 9,000 | 10,275 |
| NXP BV/NXP Funding LLC/NXP USA Inc. | | |
| 3.25% 11/30/51 (h) | 35,000 | 35,014 |
| Oklahoma Gas & Electric Co. | | |
| 3.25% 04/01/30 | 12,000 | 12,768 |
| Oncor Electric Delivery Company LLC | | |
| 3.80% 09/30/47 | 6,000 | 6,963 |
| ONEOK Inc. | | |
| 4.35% 03/15/29 | 13,000 | 14,263 |
| Oracle Corp. | | |
| 1.65% 03/25/26 | 76,000 | 75,368 |
| 2.30% 03/25/28 | 10,000 | 9,956 |
| 2.40% 09/15/23 | 10,000 | 10,198 |
| 2.65% 07/15/26 | 13,000 | 13,374 |
| 2.88% 03/25/31 | 19,000 | 19,095 |
| 2.95% 04/01/30 | 30,000 | 30,322 |
| 3.60% 04/01/50 | 13,000 | 12,731 |
| 3.65% 03/25/41 | 19,000 | 19,238 |
| 3.80% 11/15/37 | 4,000 | 4,168 |
| 3.95% 03/25/51 | 8,000 | 8,324 |
| 4.00% 07/15/46 - 11/15/47 | 21,000 | 21,801 |
| 4.10% 03/25/61 | 23,000 | 24,013 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Otis Worldwide Corp. | | |
| 2.06% 04/05/25 | $ 76,000 | $ 77,452 |
| 2.57% 02/15/30 | 7,000 | 7,099 |
| 3.36% 02/15/50 | 7,000 | 7,398 |
| Ovintiv Exploration Inc. | | |
| 5.63% 07/01/24 | 149,000 | 164,180 |
| Owens Corning | | |
| 4.40% 01/30/48 | 6,000 | 7,031 |
| Pacific Gas & Electric Co. | | |
| 2.10% 08/01/27 | 12,000 | 11,605 |
| 2.50% 02/01/31 | 27,000 | 25,722 |
| 3.00% 06/15/28 | 23,000 | 23,045 |
| 3.30% 08/01/40 | 27,000 | 25,123 |
| 3.50% 08/01/50 | 9,000 | 8,414 |
| 4.30% 03/15/45 | 21,000 | 21,235 |
| PacifiCorp | | |
| 2.70% 09/15/30 | 17,000 | 17,553 |
| 2.90% 06/15/52 | 47,000 | 46,386 |
| 6.25% 10/15/37 | 18,000 | 25,032 |
| Packaging Corp. of America | | |
| 3.05% 10/01/51 | 28,000 | 27,865 |
| Parker-Hannifin Corp. | | |
| 3.25% 06/14/29 | 12,000 | 12,710 |
| PartnerRe Finance B LLC (4.50% fixed rate until 04/01/30; 3.82% + 5 year CMT Rate thereafter) | | |
| 4.50% 10/01/50 (d) | 27,000 | 28,620 |
| PayPal Holdings Inc. | | |
| 2.65% 10/01/26 | 20,000 | 21,036 |
| 3.25% 06/01/50 | 9,000 | 9,648 |
| PepsiCo Inc. | | |
| 1.63% 05/01/30 | 12,000 | 11,686 |
| 2.63% 07/29/29 | 20,000 | 21,034 |
| 2.75% 10/21/51 | 46,000 | 47,363 |
| Petroleos Mexicanos | | |
| 6.70% 02/16/32 (h) | 50,000 | 50,352 |
| 7.69% 01/23/50 | 12,000 | 11,575 |
| Pfizer Inc. | | |
| 2.70% 05/28/50 | 43,000 | 43,307 |
| 3.45% 03/15/29 | 7,000 | 7,720 |
| 3.60% 09/15/28 | 19,000 | 21,122 |
| 3.90% 03/15/39 | 9,000 | 10,529 |
| 4.13% 12/15/46 | 7,000 | 8,652 |
| 4.40% 05/15/44 | 4,000 | 5,008 |
| Philip Morris International Inc. | | |
| 1.50% 05/01/25 | 106,000 | 106,350 |
| 2.10% 05/01/30 | 8,000 | 7,854 |
| 3.38% 08/15/29 | 9,000 | 9,709 |
| | Principal
Amount | Fair
Value |
| 4.13% 03/04/43 | $ 4,000 | $ 4,426 |
| Phillips 66 | | |
| 2.15% 12/15/30 | 103,000 | 99,179 |
| 3.30% 03/15/52 | 33,000 | 33,082 |
| Phillips 66 Partners LP | | |
| 3.15% 12/15/29 | 53,000 | 54,862 |
| 3.75% 03/01/28 | 9,000 | 9,670 |
| 4.68% 02/15/45 | 9,000 | 10,555 |
| Pioneer Natural Resources Co. | | |
| 1.13% 01/15/26 | 60,000 | 58,360 |
| 2.15% 01/15/31 | 15,000 | 14,484 |
| Plains All American Pipeline LP/PAA Finance Corp. | | |
| 3.55% 12/15/29 | 23,000 | 23,919 |
| 3.65% 06/01/22 | 29,000 | 29,136 |
| PPL Capital Funding Inc. | | |
| 3.10% 05/15/26 | 19,000 | 19,928 |
| Precision Castparts Corp. | | |
| 4.38% 06/15/45 | 7,000 | 8,660 |
| Prospect Capital Corp. | | |
| 3.36% 11/15/26 | 39,000 | 38,822 |
| Prudential Financial Inc. | | |
| 3.94% 12/07/49 | 20,000 | 23,419 |
| Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | | |
| 5.70% 09/15/48 (d) | 18,000 | 20,252 |
| Public Service Company of Colorado | | |
| 3.70% 06/15/28 | 17,000 | 18,694 |
| Public Service Electric & Gas Co. | | |
| 2.38% 05/15/23 | 42,000 | 42,745 |
| PVH Corp. | | |
| 4.63% 07/10/25 | 47,000 | 51,246 |
| QUALCOMM Inc. | | |
| 1.30% 05/20/28 | 5,000 | 4,845 |
| 4.30% 05/20/47 | 3,000 | 3,769 |
| Quanta Services Inc. | | |
| 2.35% 01/15/32 | 31,000 | 30,158 |
| 3.05% 10/01/41 | 36,000 | 35,222 |
| Quest Diagnostics Inc. | | |
| 2.95% 06/30/30 | 6,000 | 6,255 |
| Ralph Lauren Corp. | | |
| 1.70% 06/15/22 | 8,000 | 8,045 |
| Raytheon Technologies Corp. | | |
| 1.90% 09/01/31 | 36,000 | 34,718 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 2.82% 09/01/51 | $ 19,000 | $ 18,365 |
| 3.13% 05/04/27 | 63,000 | 67,099 |
| 3.50% 03/15/27 | 9,000 | 9,705 |
| 3.95% 08/16/25 | 10,000 | 10,841 |
| 4.15% 05/15/45 | 9,000 | 10,520 |
| 4.45% 11/16/38 | 8,000 | 9,635 |
| Realty Income Corp. | | |
| 2.85% 12/15/32 | 18,000 | 18,722 |
| 3.00% 01/15/27 | 5,000 | 5,279 |
| 3.25% 01/15/31 | 12,000 | 12,893 |
| Regeneron Pharmaceuticals Inc. | | |
| 1.75% 09/15/30 | 32,000 | 30,283 |
| Regions Financial Corp. | | |
| 1.80% 08/12/28 | 75,000 | 73,436 |
| Republic Services Inc. | | |
| 2.38% 03/15/33 | 54,000 | 53,725 |
| Reynolds American Inc. | | |
| 4.45% 06/12/25 | 5,000 | 5,399 |
| Rio Tinto Finance Ltd. | | |
| 2.75% 11/02/51 | 94,000 | 93,307 |
| Rio Tinto Finance USA PLC | | |
| 4.13% 08/21/42 | 7,000 | 8,390 |
| Rockwell Automation Inc. | | |
| 2.80% 08/15/61 | 8,000 | 7,860 |
| 4.20% 03/01/49 | 9,000 | 11,289 |
| Rogers Communications Inc. | | |
| 5.00% 03/15/44 | 3,000 | 3,698 |
| Roper Technologies Inc. | | |
| 2.95% 09/15/29 | 14,000 | 14,503 |
| Ross Stores Inc. | | |
| 4.70% 04/15/27 | 6,000 | 6,765 |
| Royalty Pharma PLC | | |
| 0.75% 09/02/23 | 17,000 | 16,891 |
| 1.20% 09/02/25 | 22,000 | 21,609 |
| 1.75% 09/02/27 | 9,000 | 8,850 |
| 2.15% 09/02/31 | 21,000 | 20,037 |
| 2.20% 09/02/30 | 8,000 | 7,748 |
| 3.30% 09/02/40 | 2,000 | 1,994 |
| 3.35% 09/02/51 | 26,000 | 24,995 |
| RPM International Inc. | | |
| 3.75% 03/15/27 | 8,000 | 8,718 |
| Ryder System Inc. | | |
| 2.90% 12/01/26 | 54,000 | 56,490 |
| Sabine Pass Liquefaction LLC | | |
| 4.20% 03/15/28 | 9,000 | 9,880 |
| 4.50% 05/15/30 | 7,000 | 7,910 |
| 5.00% 03/15/27 | 4,000 | 4,502 |
| 5.88% 06/30/26 | 30,000 | 34,426 |
| | Principal
Amount | Fair
Value |
| Salesforce.com Inc. | | |
| 1.95% 07/15/31 | $ 47,000 | $ 46,551 |
| 2.70% 07/15/41 | 32,000 | 31,915 |
| Schlumberger Holdings Corp. | | |
| 3.90% 05/17/28 (h) | 21,000 | 22,713 |
| Sealed Air Corp. | | |
| 1.57% 10/15/26 (h) | 118,000 | 114,477 |
| Selective Insurance Group Inc. | | |
| 5.38% 03/01/49 | 4,000 | 5,302 |
| Sempra Energy | | |
| 3.80% 02/01/38 | 6,000 | 6,600 |
| 4.00% 02/01/48 | 8,000 | 8,945 |
| Sempra Energy (4.13% fixed rate until 01/04/27; 2.87% + 5 year CMT Rate thereafter) | | |
| 4.13% 04/01/52 (d) | 51,000 | 51,537 |
| Shell International Finance BV | | |
| 3.13% 11/07/49 | 20,000 | 20,621 |
| 3.75% 09/12/46 | 8,000 | 9,005 |
| 4.13% 05/11/35 | 10,000 | 11,697 |
| Shire Acquisitions Investments Ireland DAC | | |
| 2.88% 09/23/23 | 13,000 | 13,367 |
| 3.20% 09/23/26 | 4,000 | 4,244 |
| Simon Property Group LP | | |
| 3.38% 06/15/27 | 9,000 | 9,665 |
| SLM Corp. | | |
| 3.13% 11/02/26 | 50,000 | 49,728 |
| South Jersey Industries Inc. | | |
| 5.02% 04/15/31 | 54,000 | 59,209 |
| Southern California Edison Co. | | |
| 2.40% 02/01/22 | 23,000 | 23,031 |
| 4.00% 04/01/47 | 32,000 | 35,339 |
| 4.20% 03/01/29 | 25,000 | 27,920 |
| Southern Company Gas Capital Corp. | | |
| 3.95% 10/01/46 | 13,000 | 14,383 |
| 4.40% 05/30/47 | 2,000 | 2,329 |
| Southwest Airlines Co. | | |
| 2.63% 02/10/30 | 30,000 | 29,997 |
| Southwestern Electric Power Co. | | |
| 2.75% 10/01/26 | 9,000 | 9,318 |
| Spectra Energy Partners LP | | |
| 3.38% 10/15/26 | 3,000 | 3,184 |
| 4.50% 03/15/45 | 2,000 | 2,304 |
| Spirit Realty LP | | |
| 4.00% 07/15/29 | 16,000 | 17,576 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Starbucks Corp. | | |
| 4.00% 11/15/28 | $ 8,000 | $ 8,951 |
| STERIS Irish FinCo UnLtd Co. | | |
| 2.70% 03/15/31 | 105,000 | 106,231 |
| Stryker Corp. | | |
| 1.95% 06/15/30 | 38,000 | 37,146 |
| 2.90% 06/15/50 | 29,000 | 29,279 |
| Sumitomo Mitsui Trust Bank Ltd. | | |
| 1.35% 09/16/26 (h) | 200,000 | 196,960 |
| Suncor Energy Inc. | | |
| 4.00% 11/15/47 | 3,000 | 3,361 |
| Sysco Corp. | | |
| 3.25% 07/15/27 | 9,000 | 9,565 |
| 5.95% 04/01/30 | 4,000 | 5,000 |
| 6.60% 04/01/50 | 3,000 | 4,685 |
| Tampa Electric Co. | | |
| 2.40% 03/15/31 | 38,000 | 38,425 |
| 3.45% 03/15/51 | 23,000 | 25,284 |
| 4.35% 05/15/44 | 22,000 | 26,350 |
| Tapestry Inc. | | |
| 4.13% 07/15/27 | 3,000 | 3,246 |
| Target Corp. | | |
| 2.50% 04/15/26 | 9,000 | 9,438 |
| Teck Resources Ltd. | | |
| 3.90% 07/15/30 | 29,000 | 31,203 |
| 5.40% 02/01/43 | 4,000 | 4,904 |
| Telefonica Emisiones S.A. | | |
| 4.10% 03/08/27 | 150,000 | 165,161 |
| Texas Instruments Inc. | | |
| 3.88% 03/15/39 | 9,000 | 10,625 |
| The Allstate Corp. | | |
| 4.20% 12/15/46 | 6,000 | 7,230 |
| The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | | |
| 5.75% 08/15/53 (d) | 35,000 | 36,403 |
| The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | | |
| 4.63% 12/29/49 (d) | 61,000 | 64,150 |
| The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | | |
| 4.65% 12/31/99 (d) | 38,000 | 37,777 |
| The Boeing Co. | | |
| 2.20% 02/04/26 | 77,000 | 76,988 |
| | Principal
Amount | Fair
Value |
| 2.70% 02/01/27 | $ 178,000 | $ 181,469 |
| 2.95% 02/01/30 | 7,000 | 7,089 |
| 3.25% 03/01/28 | 8,000 | 8,270 |
| 3.55% 03/01/38 | 6,000 | 6,081 |
| 3.75% 02/01/50 | 7,000 | 7,253 |
| 5.04% 05/01/27 | 56,000 | 63,241 |
| 5.15% 05/01/30 | 22,000 | 25,669 |
| 5.81% 05/01/50 | 16,000 | 21,660 |
| The Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT Rate thereafter) | | |
| 4.00% 12/31/99 (d) | 52,000 | 52,467 |
| The Cleveland Electric Illuminating Co. | | |
| 4.55% 11/15/30 (h) | 43,000 | 49,432 |
| The Coca-Cola Co. | | |
| 2.60% 06/01/50 | 16,000 | 15,735 |
| 2.75% 06/01/60 | 7,000 | 6,954 |
| The Dow Chemical Co. | | |
| 2.10% 11/15/30 | 29,000 | 28,525 |
| 3.60% 11/15/50 | 9,000 | 9,759 |
| 4.25% 10/01/34 | 8,000 | 9,233 |
| The Estee Lauder Companies Inc. | | |
| 2.38% 12/01/29 | 9,000 | 9,215 |
| The George Washington University | | |
| 4.13% 09/15/48 | 15,000 | 18,223 |
| The Goldman Sachs Group Inc. | | |
| 3.50% 04/01/25 - 11/16/26 | 62,000 | 65,982 |
| 3.85% 01/26/27 | 97,000 | 104,436 |
| 4.25% 10/21/25 | 191,000 | 208,404 |
| 5.15% 05/22/45 | 12,000 | 15,573 |
| The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | | |
| 1.54% 09/10/27 (d) | 33,000 | 32,350 |
| The Goldman Sachs Group Inc. (1.99% fixed rate until 01/27/31; 1.09% + SOFR thereafter) | | |
| 1.99% 01/27/32 (d) | 174,000 | 166,537 |
| The Goldman Sachs Group Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) | | |
| 2.38% 07/21/32 (d) | 21,000 | 20,679 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| The Goldman Sachs Group Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) | | |
| 2.91% 07/21/42 (d) | $ 16,000 | $ 15,902 |
| The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | | |
| 3.21% 04/22/42 (d) | 24,000 | 24,847 |
| The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | | |
| 3.81% 04/23/29 (d) | 13,000 | 14,149 |
| The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | | |
| 4.02% 10/31/38 (d) | 8,000 | 9,149 |
| The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter) | | |
| 4.22% 05/01/29 (d) | 26,000 | 28,893 |
| The Hartford Financial Services Group Inc. | | |
| 2.80% 08/19/29 | 78,000 | 80,854 |
| The Hartford Financial Services Group Inc. (2.28% fixed rate until 01/31/22; 2.13% + 3 month USD LIBOR thereafter) | | |
| 2.28% 02/12/47 (h) | 16,000 | 15,146 |
| The Home Depot Inc. | | |
| 2.70% 04/15/30 | 9,000 | 9,453 |
| 3.35% 04/15/50 | 15,000 | 16,398 |
| 3.50% 09/15/56 | 8,000 | 9,030 |
| 3.90% 12/06/28 - 06/15/47 | 16,000 | 18,381 |
| 4.50% 12/06/48 | 7,000 | 9,075 |
| The Kroger Co. | | |
| 2.20% 05/01/30 | 10,000 | 9,955 |
| 4.65% 01/15/48 | 5,000 | 6,212 |
| The Northwestern Mutual Life Insurance Co. | | |
| 3.45% 03/30/51 (h) | 16,000 | 17,114 |
| The Southern Co. | | |
| 3.25% 07/01/26 | 5,000 | 5,298 |
| | Principal
Amount | Fair
Value |
| The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | | |
| 3.63% 09/15/31 (d) | $ 40,000 | $ 42,965 |
| The Travelers Companies Inc. | | |
| 2.55% 04/27/50 | 69,000 | 65,801 |
| The Walt Disney Co. | | |
| 2.65% 01/13/31 | 177,000 | 183,984 |
| 3.38% 11/15/26 | 2,000 | 2,152 |
| 3.60% 01/13/51 | 13,000 | 14,709 |
| 4.75% 11/15/46 | 4,000 | 5,149 |
| 6.65% 11/15/37 | 20,000 | 29,646 |
| The Williams Companies Inc. | | |
| 3.75% 06/15/27 | 2,000 | 2,161 |
| 4.85% 03/01/48 | 9,000 | 10,956 |
| 4.90% 01/15/45 | 20,000 | 23,943 |
| 5.40% 03/04/44 | 3,000 | 3,723 |
| Thermo Fisher Scientific Inc. | | |
| 2.80% 10/15/41 | 21,000 | 21,206 |
| Time Warner Cable LLC | | |
| 6.55% 05/01/37 | 8,000 | 10,480 |
| T-Mobile USA Inc. | | |
| 3.75% 04/15/27 | 207,000 | 224,138 |
| 3.88% 04/15/30 | 3,000 | 3,283 |
| 4.50% 04/15/50 | 6,000 | 7,030 |
| Total Capital International S.A. | | |
| 3.46% 02/19/29 | 34,000 | 36,976 |
| Trane Technologies Luxembourg Finance S.A. | | |
| 3.55% 11/01/24 | 17,000 | 17,991 |
| 3.80% 03/21/29 | 19,000 | 20,760 |
| TransCanada PipeLines Ltd. | | |
| 4.25% 05/15/28 | 33,000 | 36,853 |
| 4.88% 01/15/26 | 8,000 | 8,925 |
| Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | | |
| 5.63% 05/20/75 (d) | 46,000 | 48,313 |
| Transcontinental Gas Pipe Line Company LLC | | |
| 4.00% 03/15/28 | 9,000 | 9,864 |
| Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | | |
| 4.80% 12/31/99 (d) | 68,000 | 71,086 |
| TWDC Enterprises 18 Corp. | | |
| 4.13% 06/01/44 | 4,000 | 4,749 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Tyco Electronics Group S.A. | | |
| 3.13% 08/15/27 | $ 9,000 | $ 9,608 |
| Tyson Foods Inc. | | |
| 4.00% 03/01/26 | 42,000 | 45,569 |
| 4.55% 06/02/47 | 2,000 | 2,479 |
| UDR Inc. | | |
| 2.10% 08/01/32 | 20,000 | 19,126 |
| 3.00% 08/15/31 | 9,000 | 9,381 |
| Union Pacific Corp. | | |
| 3.55% 05/20/61 | 23,000 | 25,453 |
| 3.60% 09/15/37 | 6,000 | 6,726 |
| 3.80% 04/06/71 | 11,000 | 12,752 |
| 4.10% 09/15/67 | 9,000 | 10,952 |
| UnitedHealth Group Inc. | | |
| 2.00% 05/15/30 | 28,000 | 27,792 |
| 4.45% 12/15/48 | 17,000 | 21,733 |
| 4.75% 07/15/45 | 14,000 | 18,320 |
| Utah Acquisition Sub Inc. | | |
| 3.95% 06/15/26 | 5,000 | 5,393 |
| Valero Energy Corp. | | |
| 2.85% 04/15/25 | 28,000 | 29,089 |
| 4.00% 04/01/29 | 19,000 | 20,719 |
| Ventas Realty LP | | |
| 3.25% 10/15/26 | 20,000 | 21,178 |
| Verizon Communications Inc. | | |
| 2.10% 03/22/28 | 38,000 | 38,116 |
| 2.36% 03/15/32 (h) | 100,000 | 98,629 |
| 2.55% 03/21/31 | 199,000 | 201,024 |
| 3.00% 03/22/27 | 106,000 | 111,844 |
| 3.40% 03/22/41 | 23,000 | 24,138 |
| 3.55% 03/22/51 | 16,000 | 17,241 |
| 3.70% 03/22/61 | 23,000 | 24,897 |
| 4.40% 11/01/34 | 52,000 | 60,539 |
| 4.86% 08/21/46 | 25,000 | 32,204 |
| 5.25% 03/16/37 | 8,000 | 10,422 |
| ViacomCBS Inc. | | |
| 2.90% 01/15/27 | 7,000 | 7,306 |
| 3.70% 06/01/28 | 8,000 | 8,666 |
| 5.25% 04/01/44 | 3,000 | 3,746 |
| Virginia Electric & Power Co. | | |
| 4.00% 11/15/46 | 17,000 | 19,781 |
| Visa Inc. | | |
| 2.70% 04/15/40 | 14,000 | 14,294 |
| Vistra Operations Company LLC | | |
| 3.55% 07/15/24 (h) | 59,000 | 60,838 |
| Viterra Finance BV | | |
| 2.00% 04/21/26 (h) | 200,000 | 198,892 |
| | Principal
Amount | Fair
Value |
| Vodafone Group PLC | | |
| 4.38% 05/30/28 | $ 15,000 | $ 16,900 |
| 5.25% 05/30/48 | 4,000 | 5,224 |
| Vontier Corp. | | |
| 2.40% 04/01/28 (h) | 56,000 | 54,573 |
| 2.95% 04/01/31 (h) | 43,000 | 42,355 |
| Vornado Realty LP | | |
| 2.15% 06/01/26 | 52,000 | 52,111 |
| 3.40% 06/01/31 | 14,000 | 14,427 |
| 3.50% 01/15/25 | 10,000 | 10,488 |
| Vulcan Materials Co. | | |
| 3.90% 04/01/27 | 4,000 | 4,380 |
| Walgreens Boots Alliance Inc. | | |
| 4.10% 04/15/50 | 3,000 | 3,366 |
| Walmart Inc. | | |
| 1.80% 09/22/31 | 21,000 | 20,796 |
| 2.50% 09/22/41 | 21,000 | 21,215 |
| 2.65% 09/22/51 | 8,000 | 8,177 |
| Waste Connections Inc. | | |
| 2.20% 01/15/32 | 46,000 | 45,118 |
| 2.95% 01/15/52 | 31,000 | 30,490 |
| WEC Energy Group Inc. | | |
| 3.55% 06/15/25 | 9,000 | 9,537 |
| Wells Fargo & Co. | | |
| 4.15% 01/24/29 | 33,000 | 36,898 |
| 4.75% 12/07/46 | 32,000 | 39,802 |
| Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | | |
| 1.65% 06/02/24 (d) | 31,000 | 31,260 |
| Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | | |
| 2.19% 04/30/26 (d) | 85,000 | 86,606 |
| Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | | |
| 2.39% 06/02/28 (d) | 174,000 | 176,885 |
| Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | | |
| 3.07% 04/30/41 (d) | 39,000 | 39,900 |
| Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | | |
| 3.20% 06/17/27 (d) | 105,000 | 110,892 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | | |
| 5.88% 12/29/49 (d) | $ 37,000 | $ 40,159 |
| Westlake Chemical Corp. | | |
| 2.88% 08/15/41 | 11,000 | 10,625 |
| 3.13% 08/15/51 | 13,000 | 12,546 |
| 3.38% 08/15/61 | 12,000 | 11,542 |
| Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | | |
| 2.89% 02/04/30 (d) | 25,000 | 25,526 |
| Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | | |
| 4.11% 07/24/34 (d) | 17,000 | 18,338 |
| Willis North America Inc. | | |
| 3.60% 05/15/24 | 14,000 | 14,672 |
| 3.88% 09/15/49 | 16,000 | 17,392 |
| WPP Finance 2010 | | |
| 3.75% 09/19/24 | 20,000 | 21,170 |
| Xcel Energy Inc. | | |
| 3.40% 06/01/30 | 20,000 | 21,533 |
| Yamana Gold Inc. | | |
| 2.63% 08/15/31 (h) | 38,000 | 36,682 |
| Zoetis Inc. | | |
| 3.00% 09/12/27 | 5,000 | 5,287 |
| 3.90% 08/20/28 | 9,000 | 10,008 |
| | | 26,653,495 |
| Non-Agency Collateralized Mortgage Obligations - 2.0% |
| BANK 2017-BNK7 | | |
| 3.18% 09/15/60 | 617,000 | 653,672 |
| BANK 2018-BNK15 | | |
| 4.41% 11/15/61 (d) | 320,000 | 365,453 |
| Cantor Commercial Real Estate Lending 2019-CF3 | | |
| 3.01% 01/15/53 | 139,000 | 147,168 |
| CD 2019-CD8 Mortgage Trust | | |
| 2.91% 08/15/57 | 246,000 | 258,583 |
| Citigroup Commercial Mortgage Trust 2015-GC33 | | |
| 3.78% 09/10/58 | 100,000 | 107,141 |
| Citigroup Commercial Mortgage Trust 2015-GC35 | | |
| 4.46% 11/10/48 (d) | 148,000 | 139,947 |
| | Principal
Amount | Fair
Value |
| Citigroup Commercial Mortgage Trust 2016-P6 | | |
| 3.72% 12/10/49 (d) | $ 119,583 | $ 129,284 |
| 4.03% 12/10/49 (d) | 78,331 | 84,280 |
| COMM 2012-CCRE3 Mortgage Trust | | |
| 3.92% 10/15/45 (h) | 100,000 | 99,501 |
| COMM 2014-CR14 Mortgage Trust | | |
| 4.53% 02/10/47 (d) | 55,000 | 57,930 |
| GS Mortgage Securities Trust 2014-GC22 | | |
| 4.69% 06/10/47 (d) | 88,000 | 90,214 |
| GS Mortgage Securities Trust 2015-GS1 | | |
| 4.42% 11/10/48 (d) | 117,000 | 102,664 |
| GS Mortgage Securities Trust 2017-GS5 | | |
| 3.67% 03/10/50 | 240,062 | 259,357 |
| GS Mortgage Securities Trust 2018-GS9 | | |
| 4.14% 03/10/51 (d) | 73,000 | 80,216 |
| GS Mortgage Securities Trust 2019-GC42 | | |
| 2.75% 09/01/52 | 419,000 | 430,398 |
| GS Mortgage Securities Trust 2019-GSA1 | | |
| 3.05% 11/10/52 | 493,000 | 522,369 |
| JPMBB Commercial Mortgage Securities Trust 2013-C12 | | |
| 4.04% 07/15/45 (d) | 25,000 | 25,759 |
| JPMBB Commercial Mortgage Securities Trust 2015-C32 | | |
| 4.65% 11/15/48 (d) | 71,000 | 57,667 |
| MASTR Alternative Loan Trust 2003-5 | | |
| 5.00% 08/25/18 (f) | 227 | 2 |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | | |
| 0.86% 03/15/48 (d)(f) | 744,325 | 16,315 |
| UBS-Barclays Commercial Mortgage Trust 2013-C6 | | |
| 3.88% 04/10/46 (d)(h) | 287,000 | 289,782 |
| Wells Fargo Commercial Mortgage Trust 2014-LC16 | | |
| 4.32% 08/15/50 | 129,943 | 121,115 |
| Wells Fargo Commercial Mortgage Trust 2015-C26 | | |
| 1.20% 02/15/48 (d)(f) | 777,004 | 23,919 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| WFRBS Commercial Mortgage Trust 2013-C17 | | |
| 4.26% 12/15/46 | $ 55,000 | $ 57,479 |
| WFRBS Commercial Mortgage Trust 2014-LC14 | | |
| 4.35% 03/15/47 (d) | 123,000 | 128,908 |
| | | 4,249,123 |
| Sovereign Bonds - 0.2% |
| Government of Chile | | |
| 2.55% 01/27/32 | 200,000 | 199,590 |
| Government of Mexico | | |
| 4.00% 10/02/23 | 4,000 | 4,213 |
| 4.75% 03/08/44 | 56,000 | 61,217 |
| Government of Peru | | |
| 1.86% 12/01/32 | 45,000 | 41,097 |
| 2.78% 12/01/60 | 75,000 | 66,173 |
| 5.63% 11/18/50 | 26,000 | 36,606 |
| Government of Uruguay | �� | |
| 5.10% 06/18/50 | 29,803 | 39,529 |
| | | 448,425 |
| Municipal Bonds and Notes - 0.1% |
| American Municipal Power Inc. | | |
| 6.27% 02/15/50 | 25,000 | 35,727 |
| Board of Regents of the University of Texas System | | |
| 3.35% 08/15/47 | 25,000 | 29,095 |
| Port Authority of New York & New Jersey | | |
| 4.46% 10/01/62 | 70,000 | 92,783 |
| State of California | | |
| 4.60% 04/01/38 | 50,000 | 57,558 |
| State of Illinois | | |
| 5.10% 06/01/33 | 25,000 | 28,897 |
| | | 244,060 |
Total Bonds and Notes
(Cost $75,449,443) | | 76,262,440 |
| | Number
of Shares | Fair
Value |
| Exchange Traded & Mutual Funds - 25.5% |
State Street Global All Cap Equity ex-U.S. Index Portfolio (a)(j)
(Cost $44,200,714) | 439,651 | $ 54,037,441 |
Total Investments in Securities
(Cost $160,339,639) | | 205,140,056 |
| Short-Term Investments - 7.4% |
| Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares 0.01% | 2,309,897 | 2,309,897 |
| State Street Institutional Treasury Money Market Fund - Premier Class 0.01% (j)(k) | 5,372,404 | 5,372,404 |
| State Street Institutional Treasury Plus Fund - Premier Class 0.01% (j)(k) | 2,309,897 | 2,309,897 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (j)(k) | 5,658,078 | 5,658,078 |
Total Short-Term Investments
(Cost $15,650,276) | | 15,650,276 |
Total Investments
(Cost $175,989,915) | | 220,790,332 |
| Liabilities in Excess of Other Assets, net - (4.3)% | | (9,074,322) |
| NET ASSETS - 100.0% | | $ 211,716,010 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
Other Information:
| Centrally Cleared Credit Default Swaps |
| Reference Entity | Counterparty | Notional
Amount
(000s
omitted) | Contract
Annual
Fixed Rate/
Payment
Frequency | Termination
Date | Market
Value | Unamortized
Upfront
Payments
Received (Paid) | Unrealized
Appreciation
(Depreciation) |
| Buy Protection | | | | | | | |
| Markit CDX North America High Yield Index | Intercontinental Exchange | $1,658 | 5.00%/
Quarterly | 06/20/26 | $150,458 | $152,507 | $(2,049) |
| Sell Protection | | | | | | | |
| Markit CDX North America High Yield Index | Intercontinental Exchange | 485 | 1.00%/
Quarterly | 12/20/26 | (11,848) | (9,628) | (2,220) |
| | | | | | | | $(4,269) |
| The Fund had the following long futures contracts open at December 31, 2021: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 5 Yr. U.S. Treasury Notes Futures | March 2022 | 21 | $ 2,541,860 | $ 2,540,507 | $ (1,353) |
| Ultra Long-Term U.S. Treasury Bond Futures | March 2022 | 8 | 1,535,765 | 1,577,000 | 41,235 |
| 2 Yr. U.S. Treasury Notes Futures | March 2022 | 37 | 8,087,969 | 8,072,360 | (15,609) |
| U.S. Long Bond Futures | March 2022 | 8 | 1,273,818 | 1,283,500 | 9,683 |
| S&P 500 Emini Index Futures | March 2022 | 2 | 470,303 | 475,850 | 5,547 |
| | | | | | $ 39,503 |
| The Fund had the following short futures contracts open at December 31, 2021: |
| Description | Expiration
date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | March 2022 | 22 | $ (2,841,998) | $ (2,870,312) | $ (28,314) |
| 10 Yr. U.S. Treasury Ultra Futures | March 2022 | 14 | (2,027,206) | (2,050,125) | (22,920) |
| | | | | | $ (51,234) |
| | | | | | $ (11,731) |
| During the fiscal year ended December 31, 2021, average notional values related to derivative contracts were as follows: |
| | Long
Futures
Contracts | Short
Futures
Contracts | Credit
Default
Swap
Contracts |
| Average Notional Value | $13,379,829 | $7,993,576 | $1,625,938 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
Notes to Schedule of Investments
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) | At December 31, 2021, all or a portion of this security was pledged to cover collateral requirements for futures. |
| (b) | Non-income producing security. |
| (c) | State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund's sub-administrator, custodian and accounting agent. |
| (d) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (e) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
| (f) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
| (g) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. |
| (h) | 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, 2021, these securities amounted to $3,508,098 or 1.66% of the net assets of the Elfun Diversified Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
| (i) | Step coupon bond. |
| (j) | Coupon amount represents effective yield. |
| (k) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
| † | Percentages are based on net assets as of December 31, 2021. |
| * | Less than 0.05%. |
| ** | Amount is less than $0.50. |
| Abbreviations: |
| CMT - Constant Maturity Treasury |
| LIBOR - London Interbank Offered Rate |
| REIT - Real Estate Investment Trust |
| REMIC - Real Estate Mortgage Investment Conduit |
| SOFR - Secured Overnight Financing Rate |
| STRIPS - Separate Trading of Registered Interest and Principal of Security |
| TBA - To Be Announced |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2021:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Domestic Equity | $ 72,868,489 | | $ — | | $ — | | $ 72,868,489 |
| Foreign Equity | 1,971,686 | | — | | — | | 1,971,686 |
| U.S. Treasuries | — | | 24,182,533 | | — | | 24,182,533 |
| Agency Mortgage Backed | — | | 19,522,601 | | — | | 19,522,601 |
| Agency Collateralized Mortgage Obligations | — | | 445,506 | | — | | 445,506 |
| Asset Backed | — | | 516,697 | | — | | 516,697 |
| Corporate Notes | — | | 26,653,495 | | — | | 26,653,495 |
| Non-Agency Collateralized Mortgage Obligations | — | | 4,249,123 | | — | | 4,249,123 |
| Sovereign Bonds | — | | 448,425 | | — | | 448,425 |
| Municipal Bonds and Notes | — | | 244,060 | | — | | 244,060 |
| Exchange Traded & Mutual Funds | 54,037,441 | | — | | — | | 54,037,441 |
| Short-Term Investments | 15,650,276 | | — | | — | | 15,650,276 |
| Total Investments in Securities | $ 144,527,892 | | $ 76,262,440 | | $ — | | $ 220,790,332 |
| Other Financial Instruments | | | | | | | |
| Credit Default Swap Contracts - Unrealized Depreciation | $ — | | $ (4,269) | | $ — | | $ (4,269) |
| Long Futures Contracts - Unrealized Appreciation | 56,465 | | — | | — | | 56,465 |
| Long Futures Contracts - Unrealized Depreciation | (16,962) | | — | | — | | (16,962) |
| Short Futures Contracts - Unrealized Depreciation | (51,234) | | — | | — | | (51,234) |
| Total Other Financial Instruments | $ (11,731) | | $ (4,269) | | $ — | | $ (16,000) |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
The Fund was invested in the following countries/territories at December 31, 2021 (Unaudited)
| Country/Territory | Percentage (based on
Fair Value) |
| United States | 97.52% |
| Ireland | 0.50% |
| United Kingdom | 0.49% |
| Canada | 0.30% |
| Netherlands | 0.25% |
| Switzerland | 0.13% |
| Chile | 0.13% |
| Isle Of Man | 0.09% |
| Japan | 0.09% |
| Germany | 0.09% |
| Spain | 0.07% |
| Peru | 0.06% |
| Country/Territory | Percentage (based on
Fair Value) |
| Australia | 0.06% |
| Mexico | 0.06% |
| Bermuda | 0.05% |
| Luxembourg | 0.03% |
| Uruguay | 0.02% |
| France | 0.02% |
| Mult | 0.02% |
| Israel | 0.01% |
| Norway | 0.01% |
| Jersey | 0.00% |
| | 100.00% |
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2021 (unaudited):
| Industry | Domestic | Foreign | Total |
| Exchange Traded Funds | 24.48% | 0.00% | 24.48% |
| Technology Hardware, Storage & Peripherals | 2.41% | 0.02% | 2.43% |
| Systems Software | 2.40% | 0.00% | 2.40% |
| Interactive Media & Services | 2.14% | 0.00% | 2.14% |
| Semiconductors | 1.79% | 0.05% | 1.84% |
| Internet & Direct Marketing Retail | 1.27% | 0.00% | 1.27% |
| Pharmaceuticals | 1.26% | 0.00% | 1.26% |
| Data Processing & Outsourced Services | 1.06% | 0.00% | 1.06% |
| Diversified Banks | 0.99% | 0.00% | 0.99% |
| Healthcare Equipment | 0.82% | 0.12% | 0.94% |
| Automobile Manufacturers | 0.86% | 0.00% | 0.86% |
| Application Software | 0.83% | 0.00% | 0.83% |
| Life Sciences Tools & Services | 0.68% | 0.00% | 0.68% |
| Biotechnology | 0.60% | 0.00% | 0.60% |
| Managed Healthcare | 0.58% | 0.00% | 0.58% |
| Electric Utilities | 0.54% | 0.00% | 0.54% |
| Home Improvement Retail | 0.52% | 0.00% | 0.52% |
| Movies & Entertainment | 0.47% | 0.00% | 0.47% |
| Household Products | 0.47% | 0.00% | 0.47% |
| Multi-Sector Holdings | 0.46% | 0.00% | 0.46% |
| Aerospace & Defense | 0.46% | 0.00% | 0.46% |
| Specialized REITs | 0.44% | 0.00% | 0.44% |
| Integrated Oil & Gas | 0.43% | 0.00% | 0.43% |
| Soft Drinks | 0.42% | 0.00% | 0.42% |
| IT Consulting & Other Services | 0.20% | 0.22% | 0.42% |
| Restaurants | 0.39% | 0.00% | 0.39% |
| Financial Exchanges & Data | 0.38% | 0.00% | 0.38% |
| Hypermarkets & Super Centers | 0.38% | 0.00% | 0.38% |
| Regional Banks | 0.35% | 0.00% | 0.35% |
| Investment Banking & Brokerage | 0.35% | 0.00% | 0.35% |
| Industrial Conglomerates | 0.33% | 0.00% | 0.33% |
| Integrated Telecommunication Services | 0.33% | 0.00% | 0.33% |
| Semiconductor Equipment | 0.30% | 0.01% | 0.31% |
| Communications Equipment | 0.31% | 0.00% | 0.31% |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| Industry | Domestic | Foreign | Total |
| Asset Management & Custody Banks | 0.28% | 0.00% | 0.28% |
| Industrial Machinery | 0.26% | 0.01% | 0.27% |
| Specialty Chemicals | 0.27% | 0.00% | 0.27% |
| Packaged Foods & Meats | 0.27% | 0.00% | 0.27% |
| Cable & Satellite | 0.27% | 0.00% | 0.27% |
| Railroads | 0.27% | 0.00% | 0.27% |
| Multi-Utilities | 0.25% | 0.00% | 0.25% |
| Oil & Gas Exploration & Production | 0.24% | 0.00% | 0.24% |
| Healthcare Services | 0.23% | 0.00% | 0.23% |
| Property & Casualty Insurance | 0.15% | 0.07% | 0.22% |
| Air Freight & Logistics | 0.21% | 0.00% | 0.21% |
| Hotels, Resorts & Cruise Lines | 0.21% | 0.00% | 0.21% |
| Industrial Gases | 0.06% | 0.15% | 0.21% |
| Insurance Brokers | 0.17% | 0.02% | 0.19% |
| Tobacco | 0.20% | 0.00% | 0.20% |
| Consumer Finance | 0.19% | 0.00% | 0.19% |
| Electrical Components & Equipment | 0.18% | 0.00% | 0.18% |
| Footwear | 0.18% | 0.00% | 0.18% |
| Building Products | 0.12% | 0.05% | 0.17% |
| General Merchandise Stores | 0.17% | 0.00% | 0.17% |
| Construction Machinery & Heavy Trucks | 0.16% | 0.00% | 0.16% |
| Research & Consulting Services | 0.10% | 0.04% | 0.14% |
| Life & Health Insurance | 0.13% | 0.00% | 0.13% |
| Industrial REITs | 0.13% | 0.00% | 0.13% |
| Apparel Retail | 0.12% | 0.00% | 0.12% |
| Residential REITs | 0.11% | 0.00% | 0.11% |
| Retail REITs | 0.11% | 0.00% | 0.11% |
| Automotive Retail | 0.11% | 0.00% | 0.11% |
| Electronic Equipment & Instruments | 0.10% | 0.00% | 0.10% |
| Interactive Home Entertainment | 0.09% | 0.00% | 0.09% |
| Home Building | 0.09% | 0.00% | 0.09% |
| Oil & Gas Refining & Marketing | 0.08% | 0.00% | 0.08% |
| Environmental & Facilities Services | 0.08% | 0.00% | 0.08% |
| Agricultural & Farm Machinery | 0.08% | 0.00% | 0.08% |
| Paper Packaging | 0.06% | 0.02% | 0.08% |
| Oil & Gas Storage & Transportation | 0.08% | 0.00% | 0.08% |
| Airlines | 0.07% | 0.00% | 0.07% |
| Personal Products | 0.07% | 0.00% | 0.07% |
| Oil & Gas Equipment & Services | 0.07% | 0.00% | 0.07% |
| Trading Companies & Distributors | 0.07% | 0.00% | 0.07% |
| Healthcare Distributors | 0.07% | 0.00% | 0.07% |
| Electronic Components | 0.07% | 0.00% | 0.07% |
| Healthcare Supplies | 0.07% | 0.00% | 0.07% |
| Multi-Line Insurance | 0.07% | 0.00% | 0.07% |
| Fertilizers & Agricultural Chemicals | 0.06% | 0.00% | 0.06% |
| Health Care REITs | 0.06% | 0.00% | 0.06% |
| Healthcare Facilities | 0.06% | 0.00% | 0.06% |
| Diversified Support Services | 0.06% | 0.00% | 0.06% |
| Specialty Stores | 0.06% | 0.00% | 0.06% |
| Casinos & Gaming | 0.06% | 0.00% | 0.06% |
| Wireless Telecommunication Services | 0.06% | 0.00% | 0.06% |
| Commodity Chemicals | 0.06% | 0.00% | 0.06% |
| Distributors | 0.05% | 0.00% | 0.05% |
| Copper | 0.05% | 0.00% | 0.05% |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| Industry | Domestic | Foreign | Total |
| Apparel, Accessories & Luxury Goods | 0.05% | 0.00% | 0.05% |
| Electronic Manufacturing Services | 0.01% | 0.04% | 0.05% |
| Construction Materials | 0.05% | 0.00% | 0.05% |
| Office REITs | 0.05% | 0.00% | 0.05% |
| Distillers & Vintners | 0.05% | 0.00% | 0.05% |
| Auto Parts & Equipment | 0.01% | 0.04% | 0.05% |
| Trucking | 0.04% | 0.00% | 0.04% |
| Broadcasting | 0.04% | 0.00% | 0.04% |
| Gold | 0.04% | 0.00% | 0.04% |
| Internet Services & Infrastructure | 0.04% | 0.00% | 0.04% |
| Food Distributors | 0.03% | 0.00% | 0.03% |
| Agricultural Products | 0.03% | 0.00% | 0.03% |
| Drug Retail | 0.03% | 0.00% | 0.03% |
| Real Estate Services | 0.03% | 0.00% | 0.03% |
| Water Utilities | 0.03% | 0.00% | 0.03% |
| Advertising | 0.03% | 0.00% | 0.03% |
| Steel | 0.03% | 0.00% | 0.03% |
| Metal & Glass Containers | 0.02% | 0.00% | 0.02% |
| Food Retail | 0.02% | 0.00% | 0.02% |
| Healthcare Technology | 0.02% | 0.00% | 0.02% |
| Technology Distributors | 0.02% | 0.00% | 0.02% |
| Computer & Electronics Retail | 0.02% | 0.00% | 0.02% |
| Consumer Electronics | 0.00% | 0.02% | 0.02% |
| Banks | 0.02% | 0.00% | 0.02% |
| Construction & Engineering | 0.01% | 0.00% | 0.01% |
| Independent Power Producers & Energy Traders | 0.01% | 0.00% | 0.01% |
| Household Appliances | 0.01% | 0.00% | 0.01% |
| Publishing | 0.01% | 0.00% | 0.01% |
| Gas Utilities | 0.01% | 0.00% | 0.01% |
| Leisure Products | 0.01% | 0.00% | 0.01% |
| Hotel & Resort REITs | 0.01% | 0.00% | 0.01% |
| Human Resource & Employment Services | 0.01% | 0.00% | 0.01% |
| Reinsurance | 0.00% | 0.01% | 0.01% |
| Alternative Carriers | 0.01% | 0.00% | 0.01% |
| Housewares & Specialties | 0.01% | 0.00% | 0.01% |
| Brewers | 0.01% | 0.00% | 0.01% |
| Home Furnishings | 0.01% | 0.00% | 0.01% |
| | | | 58.37% |
| Sector | Percentage (based
on Fair Value) |
| Corporate Notes | | | 12.07% |
| U.S. Treasuries | | | 10.95% |
| Agency Mortgage Backed | | | 8.84% |
| Non-Agency Collateralized Mortgage Obligations | | | 1.93% |
| Asset Backed | | | 0.24% |
| Sovereign Bonds | | | 0.20% |
| Agency Collateralized Mortgage Obligations | | | 0.20% |
| Sector | Percentage (based
on Fair Value) |
| Municipal Bonds and Notes | | | 0.11% |
| | | | 34.54% |
| Short-Term Investments | | | 7.09% |
| | | | 7.09% |
| | | | 100.00% |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2021
| | Number
of Shares
Held at
12/31/20 | Value at
12/31/20 | | Cost of
Purchases | | Proceeds
from
Shares
Sold | | Realized
Gain
(Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/21 | Value at
12/31/21 | | Dividend
Income |
| State Street Corp. | 861 | $ 62,663 | | $ 10,231 | | $ 22,778 | | $ 1,694 | | $ 14,406 | 712 | $ 66,216 | | $ 1,671 |
| State Street Global All Cap Equity ex-U.S. Index Portfolio | 452,344 | 52,657,367 | | 9,022,325 | | 10,710,000 | | 2,308,630 | | 759,119 | 439,650 | 54,037,441 | | 1,347,325 |
| State Street Institutional Treasury Money Market Fund - Premier Class | 5,805,854 | 5,805,854 | | 21,733,744 | | 22,167,194 | | — | | — | 5,372,404 | 5,372,404 | | 307 |
| State Street Institutional Treasury Plus Fund - Premier Class | 304,999 | 304,999 | | 5,101,720 | | 3,096,822 | | — | | — | 2,309,897 | 2,309,897 | | 71 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 6,175,449 | 6,175,449 | | 37,671,100 | | 38,188,471 | | — | | — | 5,658,078 | 5,658,078 | | 1,438 |
| TOTAL | | $65,006,332 | | $73,539,120 | | $74,185,265 | | $2,310,324 | | $773,525 | | $67,444,036 | | $1,350,812 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Tax-Exempt Income Fund
Management's Discussion of Fund Performance — December 31, 2021 (Unaudited)
The Elfun Tax-Exempt Income Fund (the “Fund”) seeks to provide as high a level of current interest income exempt from federal income taxation as is available from a concentration of investments in municipal bonds consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg U.S. Municipal Bond Index (the “Index”).
For the 12-month period ended December 31, 2021 (the “Reporting Period”), the total return for the Fund was 1.44%, and the Index was 1.52%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Tax-Exempt market in 2021 saw an increase in rates coupled with record inflows and record issuance. The best explanation of the market in 2021 was that powerful macro forces helped dampen volatility for the first three quarters of the year, but their influence waned in the fourth quarter and may continue to diminish in 2022. For most of the year the technicals were strong, but the market remained calm with risk-taking not affected by volatility. The market started cheap on a historical basis but as we moved into spring municipals outperformed Treasuries with ratios reaching multi-year lows by the middle of the summer where they remained for the balance of the year, making the market rich.
During the past year, performance of the Fund was influenced by both its defensive posture which included less credit risk, and the repositioning of the Fund’s duration to be shorter than the Index. We have positioned the Fund for the expected increase in yields with a significant overweight in the front-end of the curve as well as diversified the holdings to incorporate sectors that had recovered from the prior year pandemic spread widening and provided the Fund with additional yield opportunities.
We continued to remain defensive by remaining focused on managing credit risk and generating income. We believe the Fund remains well positioned for the current market conditions. Tax-Exempt ratios remain at multiyear tights and flows into the asset class continue at record levels (in 2021, the asset class experienced the most positive flows since 1992). The continued demand for the asset class is related to the potential increases in Federal taxes, but also to the Federal Reserve’s current monetary policy, which has been accommodative with low interest rates. Our repositioning is designed to preserve the Fund’s principal while adding income as the Federal Reserve becomes less accommodative to slow inflation while maintaining an acceptable level of growth and employment. We believe credit conditions may remain strong and spreads at historical tights.
The Fund did not invest in derivatives during the Reporting Period.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
| Elfun Tax-Exempt Income Fund | 59 |
Elfun Tax-Exempt Income Fund
Performance Summary — December 31, 2021 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $1,240,327 (in thousands) as of December 31, 2021 (a)(b) |
| Quality Ratings |
| as of December 31, 2021 as a % of Fair Value (a)(b) |
| Moody’s / S&P / Rating | | Percentage of
Fair Value |
| Aaa / AAA | | 12.24% |
| Aa / AA | | 47.35% |
| A / A | | 31.73% |
| Baa / BBB | | 7.45% |
| NR / Other | | 1.23% |
| | | 100.00% |
| Average Annual Total Return for the years ended December 31, 2021 |
| (Inception date 1/1/80) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Tax-Exempt Income Fund | 1.44% | | 3.76% | | 3.51% | | $14,117 |
| Bloomberg U.S. Municipal Bond Index | 1.52% | | 4.17% | | 3.72% | | $14,414 |
|
| (a) | Fair Value basis is inclusive of short-term investment in State Street Institutional Treasury Plus Fund — Premier Class. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| 60 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Performance Summary, continued — December 31, 2021 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
| Elfun Tax-Exempt Income Fund | 61 |
Elfun Tax-Exempt Income Fund
Understanding Your Fund’s Expenses — December 31, 2021 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in units of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2021.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
July 1, 2021 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2021 | $1,004.20 | | $1,024.10 |
| Expenses Paid During Period* | $ 1.06 | | $ 1.07 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.21%** (for the period July 1, 2021 - December 31, 2021), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year's data. |
| 62 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments — December 31, 2021
| | Principal
Amount | Fair
Value |
| Municipal Bonds and Notes - 98.9% † |
| Alabama - 0.8% |
| Auburn University Revenue |
| 5.00% 06/01/34 | $ 2,330,000 | $ 2,911,486 |
| City of Montgomery GO, |
| 5.00% 12/01/30 | 550,000 | 725,861 |
| The Health Care Authority of the City of Huntsville Revenue (AGM Insured) |
| 3.00% 06/01/50 | 1,000,000 | 1,057,353 |
| The Health Care Authority of the City of Huntsville Revenue |
| 5.00% 06/01/37 | 2,500,000 | 3,180,756 |
| The Water Works Board of the City of Birmingham Revenue |
| 5.00% 01/01/30 | 1,350,000 | 1,625,553 |
| | | 9,501,009 |
| Alaska - 0.2% |
| Alaska Housing Finance Corp. Revenue |
| 5.00% 12/01/27 (a) | 2,115,000 | 2,156,673 |
| Arizona - 1.8% |
| 5.00% 07/01/26 | 895,000 | 1,067,032 |
| City of Phoenix Civic Improvement Corp. Revenue |
| 5.00% 07/01/30 | 1,475,000 | 1,814,295 |
| City of Phoenix Civic Improvement Corp. Revenue (NPFG Insured) |
| 5.50% 07/01/23 - 07/01/24 | 7,260,000 | 7,992,154 |
| Maricopa County Industrial Development Authority Revenue |
| 4.00% 01/01/41 | 3,000,000 | 3,421,492 |
| Maricopa County Unified School District No 090 Saddle Mountain GO, (AGM Insured) |
| 5.00% 07/01/32 | 1,675,000 | 2,127,473 |
| The Industrial Development Authority of the County of Pima Revenue |
| 5.00% 04/01/32 | 350,000 | 460,289 |
| The University of Arizona Revenue |
| 5.00% 06/01/46 | 5,000,000 | 5,834,732 |
| | | 22,717,467 |
| Arkansas - 0.3% |
| University of Arkansas Revenue |
| 5.00% 11/01/46 - 11/01/47 | 3,580,000 | 4,352,133 |
| California - 10.5% |
| California Health Facilities Financing Authority Revenue |
| 5.00% 11/15/39 - 11/15/49 | 6,315,000 | 7,378,765 |
| California State Public Works Board Revenue |
| 5.25% 09/01/29 | 10,160,000 | 10,944,778 |
| California State University Revenue |
| 4.00% 11/01/45 | 5,900,000 | 6,606,700 |
| City & County of San Francisco GO, |
| 4.00% 06/15/44 | 1,395,000 | 1,638,745 |
| City of Los Angeles CA Wastewater System Revenue |
| 5.00% 06/01/43 | 10,000,000 | 12,321,113 |
| City of Los Angeles Department of Airports Revenue |
| 5.00% 05/15/29 - 05/15/36 | 3,270,000 | 4,156,656 |
| | Principal
Amount | Fair
Value |
| City of Vernon CA Electric System Revenue Revenue |
| 5.00% 04/01/26 | $ 500,000 | $ 585,045 |
| County of Sacramento CA Airport System Revenue Revenue |
| 4.00% 07/01/37 | 2,000,000 | 2,380,509 |
| Fresno Unified School District GO, |
| 4.00% 08/01/47 (a) | 5,000,000 | 5,472,335 |
| Los Angeles Department of Water & Power Power System Revenue |
| 5.00% 07/01/48 | 5,500,000 | 6,788,806 |
| Mount San Antonio Community College District GO, |
| 4.00% 08/01/49 | 3,000,000 | 3,531,460 |
| Norman Y Mineta San Jose International Airport SJC Revenue |
| 5.00% 03/01/30 | 500,000 | 639,623 |
| Palmdale Elementary School District GO, |
| 5.25% 08/01/42 | 1,495,000 | 1,825,855 |
| San Diego County Regional Airport Authority Revenue |
| 5.00% 07/01/30 - 07/01/51 | 3,250,000 | 4,171,137 |
| San Diego Public Facilities Financing Authority Revenue |
| 5.00% 08/01/31 | 1,030,000 | 1,227,531 |
| San Diego Public Facilities Financing Authority Sewer Revenue |
| 5.00% 05/15/39 | 1,750,000 | 2,061,532 |
| San Francisco Bay Area Rapid Transit District GO, |
| 3.00% 08/01/37 | 3,250,000 | 3,589,139 |
| San Francisco City & County Airport Comm-San Francisco International Airport Revenue |
| 5.00% 05/01/36 - 05/01/49 | 10,065,000 | 12,614,386 |
| 5.00% 05/01/43 | 1,450,000 | 1,757,753 |
| State of California GO, |
| 4.00% 10/01/35 - 04/01/49 | 1,700,000 | 2,044,785 |
| 5.00% 02/01/31 - 08/01/46 | 14,220,000 | 16,037,988 |
| 5.25% 04/01/35 | 2,750,000 | 2,783,119 |
| State of California Department of Water Resources Revenue |
| 5.00% 12/01/29 (a) | 8,120,000 | 9,213,658 |
| Union Sanitary District Financing Authority Revenue |
| 3.00% 09/01/38 | 1,225,000 | 1,362,951 |
| University of California Revenue |
| 5.00% 05/15/38 - 05/15/48 | 9,000,000 | 10,378,447 |
| | | 131,512,816 |
| Colorado - 2.2% |
| City & County of Denver Airport System Revenue |
| 5.00% 12/01/27 | 2,000,000 | 2,445,717 |
| Colorado Health Facilities Authority Revenue |
| 4.00% 08/01/49 | 5,100,000 | 5,826,873 |
| 5.00% 06/01/47 (a) | 1,750,000 | 2,131,042 |
| Metro Wastewater Reclamation District Revenue |
| 5.00% 04/01/27 (a) | 1,730,000 | 1,750,348 |
| Regional Transportation District Sales Tax Revenue |
| 4.25% 11/01/36 | 3,405,000 | 4,556,572 |
| 5.00% 11/01/29 | 7,925,000 | 10,256,756 |
| | | 26,967,308 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Tax-Exempt Income Fund | 63 |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Connecticut - 4.2% |
| Connecticut State Health & Educational Facilities Authority Revenue |
| 1.10% 07/01/48 | $ 1,000,000 | $ 1,009,104 |
| 5.00% 07/01/29 - 07/01/46 | 7,000,000 | 8,230,240 |
| South Central Connecticut Regional Water Authority Revenue |
| 5.00% 08/01/27 - 08/01/28 (a) | 2,195,000 | 2,358,671 |
| State of Connecticut GO, |
| 3.00% 06/01/38 | 1,850,000 | 2,038,162 |
| 4.00% 01/15/28 - 01/15/30 (b) | 875,000 | 1,044,572 |
| 4.00% 08/01/33 | 1,000,000 | 1,109,098 |
| State of Connecticut Special Tax Revenue |
| 5.00% 10/01/27 - 10/01/36 | 23,325,000 | 25,738,339 |
| State of Connecticut Revenue |
| 5.00% 05/01/29 | 1,000,000 | 1,278,220 |
| State of Connecticut Clean Water Fund - State Revolving Fund Revenue |
| 5.00% 05/01/37 | 7,000,000 | 8,430,066 |
| State of Connecticut Special Tax Revenue Revenue |
| 4.00% 11/01/38 | 215,000 | 261,327 |
| University of Connecticut GO, |
| 5.00% 04/15/30 | 505,000 | 625,402 |
| | | 52,123,201 |
| Delaware - 0.6% |
| Delaware Transportation Authority Revenue |
| 5.00% 06/01/45 | 6,680,000 | 7,562,652 |
| District of Columbia - 4.1% |
| District of Columbia GO, |
| 4.00% 10/15/39 - 10/15/44 | 9,485,000 | 11,143,987 |
| 5.00% 06/01/38 | 3,000,000 | 3,308,318 |
| District of Columbia Revenue |
| 5.00% 04/01/42 (a) | 6,250,000 | 7,610,491 |
| District of Columbia Water & Sewer Authority Revenue |
| 5.00% 10/01/27 | 1,000,000 | 1,241,394 |
| Metropolitan Washington Airports Authority Revenue |
| 5.00% 10/01/29 - 10/01/32 | 5,130,000 | 6,569,727 |
| Metropolitan Washington Airports Authority Aviation Revenue Revenue |
| 4.00% 10/01/51 | 2,000,000 | 2,339,004 |
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue |
| 5.00% 10/01/44 | 5,000,000 | 6,171,995 |
| Washington Convention & Sports Authority Revenue |
| 5.00% 10/01/28 - 10/01/30 | 1,360,000 | 1,748,197 |
| Washington Convention & Sports Authority Tax Allocation Revenue., |
| 5.00% 10/01/29 | 750,000 | 959,397 |
| Washington Metropolitan Area Transit Authority Revenue |
| 5.00% 07/15/29 - 07/01/43 | 8,875,000 | 10,716,071 |
| | | 51,808,581 |
| | Principal
Amount | Fair
Value |
| Florida - 1.6% |
| Central Florida Expressway Authority Revenue (AGM Insured) |
| 5.00% 07/01/28 | $ 500,000 | $ 629,838 |
| County of Broward FL Port Facilities Revenue |
| 4.00% 09/01/38 | 1,000,000 | 1,141,430 |
| County of Miami-Dade FL Water & Sewer System Revenue |
| 5.00% 10/01/28 - 10/01/43 | 6,000,000 | 7,411,586 |
| Escambia County Health Facilities Authority Revenue |
| 4.00% 08/15/50 | 1,000,000 | 1,118,288 |
| Greater Orlando Aviation Authority Revenue |
| 5.00% 10/01/54 | 1,450,000 | 1,766,373 |
| Martin County Health Facilities Authority Revenue |
| 4.00% 01/01/46 | 5,000,000 | 5,759,026 |
| Miami Beach Health Facilities Authority Revenue |
| 5.00% 11/15/33 | 1,180,000 | 1,544,886 |
| University of Florida Department of Housing & Residence Education Hsg Sys Revenue |
| 5.00% 07/01/29 | 1,000,000 | 1,278,646 |
| | | 20,650,073 |
| Georgia - 5.6% |
| City of Atlanta GA Airport Passenger Facility Charge Revenue |
| 5.00% 01/01/32 - 01/01/34 | 8,500,000 | 9,248,721 |
| City of Atlanta GA Department of Aviation Revenue |
| 5.00% 07/01/30 - 07/01/32 | 1,590,000 | 2,086,510 |
| City of Atlanta GA Water & Wastewater Revenue |
| 5.00% 11/01/40 - 11/01/41 | 6,070,000 | 7,447,718 |
| 5.25% 11/01/30 (a) | 5,690,000 | 6,203,978 |
| City of Atlanta GA Water & Wastewater Revenue (AGM Insured) |
| 5.75% 11/01/27 - 11/01/30 | 9,500,000 | 12,664,729 |
| Development Authority of Gwinnett County Revenue |
| 5.00% 07/01/37 - 07/01/40 | 9,325,000 | 11,186,879 |
| Georgia Ports Authority Revenue |
| 4.00% 07/01/37 | 2,250,000 | 2,760,321 |
| Municipal Electric Authority of Georgia Revenue |
| 5.00% 01/01/35 | 5,500,000 | 6,164,161 |
| Private Colleges & Universities Authority Revenue |
| 5.00% 10/01/29 | 550,000 | 700,760 |
| State of Georgia GO, |
| 4.00% 07/01/36 | 10,000,000 | 11,766,978 |
| | | 70,230,755 |
| Hawaii - 0.5% |
| State of Hawaii GO, |
| 5.00% 01/01/36 | 4,850,000 | 6,095,083 |
| Illinois - 4.0% |
| Chicago O'Hare International Airport Revenue |
| 5.00% 01/01/46 - 01/01/48 | 7,000,000 | 8,421,789 |
| 5.25% 01/01/42 | 8,000,000 | 9,591,481 |
| Chicago Transit Authority Capital Grant Receipts Revenue |
| 5.00% 06/01/29 | 250,000 | 317,679 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 64 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Illinois Finance Authority Revenue |
| 5.00% 07/15/32 - 07/01/35 | $ 2,350,000 | $ 3,085,050 |
| Illinois Finance Authority Revenue |
| 5.00% 07/01/37 | 3,000,000 | 3,815,583 |
| Metropolitan Pier & Exposition Authority Revenue (NPFG Insured) |
| 5.65% 06/15/22 (c) | 4,305,000 | 4,408,432 |
| State of Illinois GO, |
| 5.00% 03/01/26 - 12/01/32 | 15,750,000 | 17,974,759 |
| 5.13% 05/01/22 | 500,000 | 507,897 |
| State of Illinois Sales Tax Revenue |
| 4.00% 06/15/27 | 1,000,000 | 1,152,292 |
| 5.00% 06/15/28 | 500,000 | 614,473 |
| | | 49,889,435 |
| Indiana - 0.7% |
| Ball State University Revenue |
| 5.00% 07/01/29 | 500,000 | 641,392 |
| Indianapolis Local Public Improvement Bond Bank Revenue |
| 4.00% 02/01/44 | 6,500,000 | 7,581,919 |
| | | 8,223,311 |
| Iowa - 0.2% |
| Board Of Regents State Of Iowa Revenue |
| 3.00% 09/01/30 | 1,000,000 | 1,112,405 |
| State of Iowa GO, |
| 5.00% 06/01/29 | 250,000 | 321,566 |
| West Des Moines Community School District GO, |
| 5.00% 05/01/28 | 1,000,000 | 1,248,788 |
| | | 2,682,759 |
| Kentucky - 1.2% |
| Kentucky State Property & Building Commission Revenue |
| 5.00% 02/01/33 - 04/01/37 | 11,705,000 | 13,816,220 |
| University of Louisville Revenue (BAM Insured) |
| 5.00% 09/01/28 | 1,045,000 | 1,314,105 |
| | | 15,130,325 |
| Louisiana - 0.1% |
| City of New Orleans GO, |
| 5.00% 12/01/32 | 1,000,000 | 1,304,640 |
| Maine - 0.1% |
| Maine Turnpike Authority Revenue |
| 5.00% 07/01/42 | 1,000,000 | 1,023,603 |
| Maryland - 2.9% |
| City of Baltimore Revenue |
| 5.00% 07/01/35 - 07/01/46 | 14,415,000 | 17,358,160 |
| 5.00% 07/01/38 (a) | 9,375,000 | 10,248,478 |
| County of Anne Arundel GO, |
| 5.00% 10/01/28 | 500,000 | 600,306 |
| County of Baltimore GO, |
| 5.00% 03/01/33 | 1,000,000 | 1,269,052 |
| | Principal
Amount | Fair
Value |
| County of Montgomery GO, |
| 4.00% 11/01/28 | $ 1,485,000 | $ 1,795,573 |
| County of St Mary's GO, |
| 5.00% 05/01/28 | 1,290,000 | 1,620,857 |
| Maryland State Transportation Authority Revenue |
| 5.00% 06/01/28 | 2,000,000 | 2,471,899 |
| State of Maryland GO, |
| 5.00% 08/01/25 | 1,000,000 | 1,161,515 |
| | | 36,525,840 |
| Massachusetts - 3.4% |
| Commonwealth of Massachusetts GO, |
| 4.00% 05/01/44 | 3,045,000 | 3,510,533 |
| 5.00% 03/01/46 | 7,000,000 | 7,683,471 |
| 5.25% 09/01/43 - 04/01/47 | 19,325,000 | 24,409,762 |
| Massachusetts Development Finance Agency Revenue |
| 4.00% 06/01/49 | 1,000,000 | 1,144,800 |
| Massachusetts Municipal Wholesale Electric Co. Revenue |
| 4.00% 07/01/27 | 500,000 | 585,489 |
| Massachusetts Port Authority Revenue |
| 5.00% 07/01/31 | 500,000 | 657,310 |
| Massachusetts Water Resources Authority Revenue |
| 5.00% 08/01/32 (a) | 4,140,000 | 4,448,700 |
| | | 42,440,065 |
| Michigan - 1.4% |
| Bloomfield Hills School District GO, |
| 4.00% 05/01/45 | 1,000,000 | 1,177,597 |
| Michigan Finance Authority Revenue |
| 5.00% 12/01/47 (a) | 4,000,000 | 4,173,224 |
| 5.00% 11/15/48 | 3,500,000 | 4,330,721 |
| State of Michigan Revenue |
| 5.00% 03/15/27 | 4,415,000 | 5,376,529 |
| State of Michigan Trunk Line Revenue |
| 5.00% 11/15/35 | 750,000 | 1,008,214 |
| University of Michigan Revenue |
| 5.00% 04/01/46 | 1,000,000 | 1,170,747 |
| | | 17,237,032 |
| Minnesota - 1.3% |
| City of Rochester Revenue |
| 4.00% 11/15/48 | 5,330,000 | 6,110,428 |
| City of St Cloud Revenue |
| 5.00% 05/01/48 | 2,000,000 | 2,447,645 |
| Minneapolis Special School District No 1 GO, |
| 5.00% 02/01/38 | 1,435,000 | 1,882,536 |
| University of Minnesota Revenue |
| 5.00% 09/01/39 | 4,350,000 | 5,306,213 |
| | | 15,746,822 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Tax-Exempt Income Fund | 65 |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Mississippi - 0.3% |
| State of Mississippi GO, |
| 5.00% 10/01/36 | $ 3,000,000 | $ 3,761,316 |
| Missouri - 2.0% |
| Bi-State Development Agency of the Missouri-Illinois Metropolitan District Revenue |
| 5.00% 10/01/44 (a) | 8,010,000 | 8,297,018 |
| City of Kansas City MO Sanitary Sewer System Revenue |
| 4.00% 01/01/40 | 1,725,000 | 1,878,922 |
| City of St Louis MO Airport Revenue (AGM Insured) |
| 5.00% 07/01/27 | 1,500,000 | 1,814,439 |
| Health & Educational Facilities Authority of the State of Missouri Revenue |
| 4.00% 07/01/28 - 11/15/48 | 4,190,000 | 4,904,468 |
| Kansas City Industrial Development Authority Revenue |
| 5.00% 03/01/30 | 2,605,000 | 3,295,548 |
| Metropolitan St Louis Sewer District Revenue |
| 5.00% 05/01/45 (a) | 480,000 | 550,542 |
| 5.00% 05/01/45 - 05/01/46 | 2,520,000 | 2,939,847 |
| Platte County Reorganized School District No R-3 GO, |
| 5.00% 03/01/32 | 1,000,000 | 1,361,518 |
| | | 25,042,302 |
| Nebraska - 0.1% |
| Nebraska Public Power District Revenue |
| 5.00% 01/01/32 | 500,000 | 658,344 |
| Omaha School District GO, |
| 3.00% 12/15/32 | 1,000,000 | 1,149,536 |
| | | 1,807,880 |
| New Hampshire - 0.0% * |
| New Hampshire Business Finance Authority Revenue |
| 5.00% 08/15/27 | 250,000 | 304,206 |
| New Jersey - 7.1% |
| New Hampshire Municipal Bond Bank Revenue |
| 3.00% 02/15/32 | 1,205,000 | 1,362,603 |
| New Jersey Economic Development Authority Revenue |
| 5.00% 11/01/29 - 06/15/43 | 12,750,000 | 15,189,134 |
| 5.25% 06/15/40 (a) | 220,000 | 256,135 |
| New Jersey Educational Facilities Authority Revenue |
| 5.50% 09/01/30 - 09/01/33 | 14,700,000 | 17,682,736 |
| New Jersey Health Care Facilities Financing Authority Revenue |
| 4.00% 07/01/35 | 750,000 | 913,956 |
| 5.00% 07/01/44 | 1,585,000 | 1,752,783 |
| New Jersey Health Care Facilities Financing Authority Revenue (AGM Insured) |
| 4.13% 07/01/38 | 6,215,000 | 6,720,431 |
| New Jersey Transportation Trust Fund Authority Revenue |
| 5.00% 06/15/30 - 06/15/45 | 10,750,000 | 13,045,984 |
| New Jersey Turnpike Authority Revenue |
| 4.00% 01/01/48 | 5,000,000 | 5,750,511 |
| 5.00% 01/01/33 - 01/01/45 | 15,400,000 | 17,520,239 |
| | Principal
Amount | Fair
Value |
| 5.00% 01/01/38 (a) | $ 4,000,000 | $ 4,095,943 |
| State of New Jersey GO, |
| 5.00% 06/01/27 - 06/01/40 | 3,500,000 | 4,250,304 |
| | | 88,540,759 |
| New York - 10.5% |
| City of New York GO, |
| 5.00% 08/01/26 - 04/01/43 | 7,500,000 | 9,128,680 |
| Hudson Yards Infrastructure Corp. Revenue |
| 4.00% 02/15/44 | 5,830,000 | 6,577,821 |
| 5.00% 02/15/34 - 02/15/45 | 12,000,000 | 14,365,769 |
| Metropolitan Transportation Authority Revenue |
| 4.00% 11/15/48 | 1,000,000 | 1,145,040 |
| 5.00% 11/15/29 - 11/15/37 | 7,960,000 | 8,636,864 |
| 5.25% 11/15/55 | 1,000,000 | 1,233,536 |
| Metropolitan Transportation Authority Revenue (AGM Insured) |
| 4.00% 11/15/49 | 5,000,000 | 5,737,241 |
| New York City Transitional Finance Authority Building Aid Revenue |
| 5.00% 07/15/36 | 6,000,000 | 7,455,310 |
| New York City Transitional Finance Authority Future Tax Secured Revenue |
| 4.00% 11/01/42 | 5,000,000 | 5,853,024 |
| 5.00% 02/01/41 - 02/01/43 | 17,500,000 | 20,229,809 |
| New York City Water & Sewer System Revenue |
| 5.00% 06/15/49 | 6,460,000 | 8,003,191 |
| New York Liberty Development Corp. Revenue |
| 4.00% 02/15/43 | 1,000,000 | 1,167,599 |
| New York State Dormitory Authority Revenue |
| 4.00% 08/01/38 - 07/01/41 | 6,655,000 | 7,631,761 |
| 5.00% 03/15/45 | 12,500,000 | 15,292,985 |
| 5.00% 07/01/46 (a) | 4,000,000 | 4,917,667 |
| New York State Thruway Authority Revenue |
| 4.00% 01/01/38 | 2,500,000 | 2,928,217 |
| Port Authority of New York & New Jersey Revenue |
| 3.00% 10/01/28 | 1,000,000 | 1,118,162 |
| 5.00% 07/15/33 - 09/01/48 | 7,000,000 | 8,582,061 |
| St Lawrence County Industrial Development Agency Revenue |
| 5.00% 09/01/32 | 250,000 | 321,883 |
| The New York City Trust for Cultural Resources Revenue |
| 4.00% 12/01/35 | 500,000 | 601,321 |
| | | 130,927,941 |
| North Carolina - 0.8% |
| County of Mecklenburg GO, |
| 5.00% 03/01/28 | 1,050,000 | 1,318,633 |
| County of Wake Revenue |
| 5.00% 03/01/28 | 1,285,000 | 1,609,359 |
| North Carolina Capital Facilities Finance Agency Revenue |
| 4.00% 10/01/44 | 2,000,000 | 2,247,466 |
| The University of North Carolina at Charlotte Revenue |
| 5.00% 10/01/47 | 3,545,000 | 4,289,667 |
| | | 9,465,125 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 66 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| North Dakota - 0.0% * |
| City of Grand Forks Revenue |
| 5.00% 12/01/27 | $ 250,000 | $ 304,914 |
| Ohio - 5.9% |
| City of Columbus GO, |
| 5.00% 07/01/26 - 08/15/30 (a) | 18,055,000 | 19,349,509 |
| 5.00% 04/01/28 | 1,095,000 | 1,374,399 |
| County of Franklin Revenue |
| 5.00% 12/01/47 | 1,125,000 | 1,365,800 |
| Northeast Ohio Regional Sewer District Revenue |
| 3.00% 11/15/34 | 1,385,000 | 1,557,544 |
| 4.00% 11/15/43 | 7,550,000 | 8,754,603 |
| 5.00% 11/15/38 (a) | 12,000,000 | 12,780,280 |
| Ohio Turnpike & Infrastructure Commission Revenue |
| 5.25% 02/15/39 | 18,250,000 | 19,218,518 |
| Ohio Water Development Authority Revenue |
| 5.00% 12/01/38 | 2,000,000 | 2,568,470 |
| Ohio Water Development Authority Water Pollution Control Loan Fund Revenue |
| 3.00% 12/01/34 | 1,770,000 | 1,998,619 |
| 4.00% 12/01/37 | 1,000,000 | 1,240,236 |
| University of Cincinnati Revenue |
| 5.00% 06/01/45 | 3,500,000 | 4,240,857 |
| | | 74,448,835 |
| Oklahoma - 0.5% |
| Oklahoma Capitol Improvement Authority Revenue |
| 5.00% 07/01/28 - 07/01/29 | 5,000,000 | 5,555,180 |
| Oklahoma State University Revenue |
| 5.00% 09/01/29 | 250,000 | 322,022 |
| | | 5,877,202 |
| Oregon - 0.5% |
| City of Eugene OR Water Utility System Revenue |
| 4.00% 08/01/45 | 1,000,000 | 1,104,996 |
| City of Portland OR Sewer System Revenue |
| 3.00% 03/01/37 | 975,000 | 1,085,327 |
| Oregon Health & Science University Revenue |
| 5.00% 07/01/29 - 07/01/36 | 1,000,000 | 1,296,196 |
| Port of Portland OR Airport Revenue |
| 5.00% 07/01/29 | 1,890,000 | 2,390,266 |
| | | 5,876,785 |
| Pennsylvania - 5.9% |
| Allegheny County Airport Authority Revenue |
| 4.00% 01/01/39 | 2,000,000 | 2,341,166 |
| 5.00% 01/01/35 | 3,000,000 | 3,845,312 |
| Allegheny County Hospital Development Authority Revenue |
| 4.00% 07/15/39 | 1,500,000 | 1,745,784 |
| Avon Grove School District Chester County GO, |
| 4.00% 11/15/35 | 500,000 | 595,881 |
| | Principal
Amount | Fair
Value |
| City of Philadelphia GO, |
| 5.00% 02/01/24 - 08/01/36 | $ 10,105,000 | $ 11,944,922 |
| City of Philadelphia PA Water & Wastewater Revenue |
| 5.00% 10/01/43 - 10/01/47 | 15,000,000 | 18,488,340 |
| City of Philadelphia, Pennsylvania Airport Revenue |
| 5.00% 07/01/27 | 1,250,000 | 1,512,033 |
| City of Pittsburgh GO, |
| 5.00% 09/01/32 | 250,000 | 321,187 |
| Delaware River Joint Toll Bridge Commission Revenue |
| 5.00% 07/01/26 | 1,000,000 | 1,190,746 |
| Delaware River Port Authority Revenue |
| 5.00% 01/01/29 - 01/01/40 | 9,600,000 | 11,186,681 |
| Erie City Water Authority Revenue (BAM Insured) |
| 5.00% 12/01/33 | 1,110,000 | 1,426,389 |
| General Authority of Southcentral Pennsylvania Revenue |
| 4.00% 06/01/49 | 3,015,000 | 3,444,852 |
| Montgomery County Higher Education and Health Authority Revenue |
| 4.00% 09/01/49 | 3,000,000 | 3,404,506 |
| Pennsylvania Economic Development Financing Authority Revenue |
| 4.00% 11/15/42 | 5,000,000 | 5,675,353 |
| Pennsylvania Turnpike Commission Revenue |
| 5.00% 12/01/32 | 510,000 | 688,405 |
| Pittsburgh School District GO, |
| 3.00% 09/01/38 | 1,995,000 | 2,172,057 |
| The School District of Philadelphia GO, |
| 4.00% 09/01/38 | 1,750,000 | 2,042,116 |
| 5.00% 09/01/27 | 1,000,000 | 1,214,466 |
| | | 73,240,196 |
| Rhode Island - 1.0% |
| Rhode Island Health and Educational Building Corp. Revenue |
| 4.00% 05/15/34 (b) | 1,400,000 | 1,719,143 |
| 5.00% 09/01/43 | 5,000,000 | 5,349,223 |
| Rhode Island Health and Educational Building Corp. Revenue, (BAM Insured) |
| 4.00% 05/15/38 | 2,500,000 | 2,998,452 |
| Rhode Island Health and Educational Building Corp. Revenue (BAM Insured) |
| 5.00% 05/15/29 | 200,000 | 255,856 |
| Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund Revenue |
| 5.00% 10/01/28 (a) | 2,200,000 | 2,568,374 |
| | | 12,891,048 |
| South Carolina - 1.8% |
| City of Columbia SC Waterworks & Sewer System Revenue |
| 5.00% 02/01/49 (a) | 4,000,000 | 5,113,865 |
| County of Charleston GO, |
| 3.00% 11/01/33 | 1,000,000 | 1,155,533 |
| Piedmont Municipal Power Agency Revenue |
| 5.00% 01/01/25 | 2,315,000 | 2,315,000 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Tax-Exempt Income Fund | 67 |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| South Carolina Public Service Authority Revenue |
| 5.00% 12/01/37 - 12/01/38 | $ 12,000,000 | $ 14,055,200 |
| | | 22,639,598 |
| Tennessee - 1.4% |
| City of Memphis GO, |
| 4.00% 05/01/35 - 06/01/46 | 7,400,000 | 8,597,305 |
| 5.00% 05/01/28 | 1,000,000 | 1,254,375 |
| City of Memphis TN Sanitary Sewerage System Revenue |
| 5.00% 10/01/36 | 1,000,000 | 1,308,074 |
| City of Murfreesboro GO, |
| 3.00% 06/01/35 | 1,000,000 | 1,113,197 |
| County of Shelby GO, |
| 3.13% 04/01/32 | 1,500,000 | 1,699,710 |
| Memphis-Shelby County Airport Authority Revenue |
| 5.00% 07/01/31 | 375,000 | 492,206 |
| The Metropolitan Nashville Airport Authority Revenue |
| 5.00% 07/01/33 - 07/01/54 | 2,800,000 | 3,499,519 |
| | | 17,964,386 |
| Texas - 8.6% |
| Arlington Higher Education Finance Corp. Revenue |
| 5.00% 08/15/28 | 500,000 | 625,544 |
| Board of Regents of the University of Texas System Revenue |
| 5.00% 08/15/26 | 10,000,000 | 12,002,067 |
| City of Austin TX Airport System Revenue |
| 5.00% 11/15/46 | 3,000,000 | 3,563,740 |
| City of Austin TX Water & Wastewater System Revenue |
| 5.00% 11/15/33 - 11/15/42 | 14,345,000 | 15,115,102 |
| City of Dallas GO, |
| 5.00% 02/15/29 | 860,000 | 1,094,847 |
| City of Dallas TX Waterworks & Sewer System Revenue |
| 5.00% 10/01/46 | 3,550,000 | 4,292,102 |
| City of Fort Worth GO, |
| 4.00% 03/01/31 | 1,000,000 | 1,218,105 |
| City of Houston GO, |
| 5.00% 03/01/30 | 300,000 | 391,859 |
| City of Houston TX Airport System Revenue |
| 5.00% 07/01/28 - 07/01/30 | 2,300,000 | 2,914,071 |
| City of Houston TX Combined Utility System Revenue |
| 5.00% 05/15/28 | 5,000,000 | 5,522,334 |
| City of Plano GO, |
| 5.00% 09/01/29 | 1,500,000 | 1,947,483 |
| City of San Antonio TX Airport System Revenue |
| 5.00% 07/01/28 | 1,000,000 | 1,236,198 |
| City of Temple TX Utility System Revenue |
| 3.00% 08/01/35 | 1,000,000 | 1,112,639 |
| County of Harris GO, |
| 5.00% 10/01/30 | 1,000,000 | 1,297,946 |
| Dallas Fort Worth International Airport Revenue |
| 4.00% 11/01/35 | 1,445,000 | 1,744,696 |
| 5.25% 11/01/29 | 5,000,000 | 5,439,154 |
| | Principal
Amount | Fair
Value |
| Dallas Independent School District GO, |
| 5.00% 02/15/34 | $ 885,000 | $ 1,116,738 |
| Forney Independent School District GO, |
| 3.00% 02/15/32 | 1,000,000 | 1,129,147 |
| Fort Bend Independent School District GO, |
| 5.00% 08/15/30 | 300,000 | 394,950 |
| Frisco Independent School District GO, |
| 4.00% 02/15/35 | 1,000,000 | 1,220,980 |
| Love Field Airport Modernization Corp. Revenue |
| 5.00% 11/01/29 | 1,500,000 | 1,896,334 |
| Lower Colorado River Authority Revenue |
| 5.00% 05/15/44 | 2,000,000 | 2,355,999 |
| North Texas Municipal Water District Water System Revenue |
| 3.00% 09/01/34 | 1,500,000 | 1,680,595 |
| North Texas Tollway Authority Revenue |
| 5.00% 01/01/26 - 01/01/48 | 8,000,000 | 9,566,430 |
| Port Authority of Houston of Harris County Texas Revenue |
| 5.00% 10/01/29 | 500,000 | 646,868 |
| Round Rock Independent School District GO, |
| 5.00% 08/01/32 | 2,725,000 | 3,417,188 |
| San Antonio Water System Revenue |
| 5.00% 05/15/31 | 750,000 | 1,002,016 |
| Southwest Independent School District GO, |
| 3.00% 02/01/34 | 500,000 | 561,130 |
| Tarrant County College District, Texas General Obligation Bond, Series 2020 GO, |
| 5.00% 08/15/28 | 1,000,000 | 1,267,897 |
| Texas A&M University Revenue |
| 4.00% 05/15/32 | 1,890,000 | 2,356,782 |
| Texas Municipal Power Agency Revenue (AGM Insured) |
| 3.00% 09/01/28 | 275,000 | 299,664 |
| Texas Transportation Commission State Highway Fund Revenue |
| 5.00% 04/01/23 | 10,750,000 | 11,389,249 |
| Texas Water Development Board Revenue |
| 3.00% 10/15/33 | 1,000,000 | 1,130,392 |
| The Harris County Toll Road Authority Revenue |
| 4.00% 08/15/37 | 2,000,000 | 2,421,391 |
| Upper Trinity Regional Water District Revenue (BAM Insured) |
| 4.00% 08/01/29 | 400,000 | 484,011 |
| Waco Educational Finance Corp. Revenue |
| 5.00% 03/01/30 | 400,000 | 518,135 |
| West Harris County Regional Water Authority Revenue(BAM Insured) |
| 4.00% 12/15/33 | 1,000,000 | 1,236,404 |
| West Harris County Regional Water Authority Revenue |
| 5.00% 12/15/30 | 1,300,000 | 1,682,879 |
| | | 107,293,066 |
| Utah - 0.8% |
| Central Valley Water Reclamation Facility Revenue |
| 3.00% 03/01/30 | 1,145,000 | 1,285,930 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 68 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| City of Salt Lake City Public Utiities Revenue |
| 4.00% 02/01/45 | $ 1,530,000 | $ 1,784,418 |
| City of Salt Lake City UT Airport Revenue |
| 5.00% 07/01/29 | 1,000,000 | 1,204,735 |
| County of Utah Revenue |
| 5.00% 05/15/50 | 2,000,000 | 2,507,638 |
| Utah Transit Authority Revenue |
| 5.00% 06/15/42 (a) | 3,045,000 | 3,111,409 |
| | | 9,894,130 |
| Vermont - 0.1% |
| University of Vermont and State Agricultural College Revenue |
| 5.00% 10/01/37 | 920,000 | 1,319,568 |
| Virginia - 2.2% |
| County of Arlington GO, |
| 5.00% 08/01/28 | 1,760,000 | 2,230,626 |
| County of Fairfax GO, |
| 4.00% 10/01/35 | 6,645,000 | 7,803,247 |
| Norfolk Airport Authority Revenue |
| 5.00% 07/01/28 | 455,000 | 567,944 |
| University of Virginia Revenue |
| 5.00% 04/01/47 | 6,000,000 | 7,242,170 |
| Virginia Commonwealth University Health System Authority Revenue |
| 5.00% 07/01/46 | 1,000,000 | 1,205,570 |
| Virginia Resources Authority Revenue |
| 4.00% 11/01/41 | 5,585,000 | 6,294,495 |
| 5.00% 11/01/46 | 1,720,000 | 2,032,802 |
| | | 27,376,854 |
| Washington - 1.3% |
| City of Seattle WA Drainage & Wastewater Revenue |
| 4.00% 09/01/38 | 2,160,000 | 2,661,532 |
| County of King WA Sewer Revenue Revenue |
| 4.00% 01/01/44 | 1,400,000 | 1,653,373 |
| Pierce & King Counties School District No 417 Fife GO, |
| 4.00% 12/01/35 | 1,450,000 | 1,737,518 |
| Snohomish County School District No 6 Mukilteo GO, |
| 3.00% 12/01/37 | 2,000,000 | 2,215,767 |
| Spokane County School District No 81 Spokane GO, |
| 4.00% 12/01/39 | 1,000,000 | 1,219,095 |
| State of Washington GO, |
| 4.00% 06/01/33 | 1,985,000 | 2,464,349 |
| 5.00% 08/01/34 - 02/01/39 | 3,500,000 | 4,398,117 |
| | | 16,349,751 |
| Wisconsin - 0.4% |
| City of Milwaukee WI Sewerage System Revenue |
| 5.00% 06/01/29 | 400,000 | 513,189 |
| Public Finance Authority Revenue |
| 5.00% 06/01/29 - 06/01/30 | 325,000 | 410,491 |
| State of Wisconsin GO, |
| 4.00% 05/01/40 | 1,975,000 | 2,309,940 |
| | Principal
Amount | Fair
Value |
| University of Wisconsin Hospitals & Clinics Revenue |
| 5.00% 04/01/28 | $ 500,000 | $ 622,752 |
| Wisconsin Department of Transportation Revenue |
| 5.00% 07/01/32 | 1,000,000 | 1,311,902 |
| | | 5,168,274 |
Total Municipal Bonds and Notes
(Cost $1,153,944,441) | 1,236,375,719 |
| Short-Term Investments - 0.3% |
State Street Institutional Treasury Plus Fund - Premier Class 0.01% (d)(e)
(Cost $3,950,909) | 3,950,909 | 3,950,909 |
Total Investments
(Cost $1,157,895,350) | 1,240,326,628 |
| Other Assets and Liabilities, net - 0.8% | 10,174,057 |
| NET ASSETS - 100.0% | $ 1,250,500,685 |
Notes to Schedule of Investments – December 31, 2021
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund's future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund's summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) | Pre-refunded bonds are collateralized by U.S. Treasury securities, which are held in escrow by a trustee and are used to pay principal and interest on the tax-exempt issue to retire the bonds at the earliest refunding date. |
| (b) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
| (c) | Escrowed to maturity bonds are collateralized by U.S. Treasury securities which are held in escrow by a Trustee and are used to pay principal and interest on such bonds. |
| (d) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
| (e) | Coupon amount represents effective yield. |
| † | Percentages are based on net assets as of December 31, 2021. |
| * | Less than 0.05%. |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Tax-Exempt Income Fund | 69 |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2021
| Abbreviations: |
| BAM - Build America Mutual Assurance Company |
| NPFG - National Public Finance Guaranty Corporation |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2021:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Municipal Bonds and Notes | $ — | | $ 1,236,375,719 | | $ — | | $ 1,236,375,719 |
| Short-Term Investments | 3,950,909 | | — | | — | | 3,950,909 |
| Total Investments in Securities | $ 3,950,909 | | $ 1,236,375,719 | | $ — | | $ 1,240,326,628 |
| | Number
of Shares
Held at
12/31/20 | Value at
12/31/20 | Cost of
Purchases | Proceeds
from
Shares
Sold | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/21 | Value at
12/31/21 | Dividend
Income |
| State Street Institutional Treasury Plus Fund - Premier Class | 7,432,447 | $7,432,447 | $307,278,901 | $310,760,439 | $— | $— | 3,950,909 | $3,950,909 | $2,660 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 70 | Elfun Tax-Exempt Income Fund |
Elfun Income Fund
Management's Discussion of Fund Performance — December 31, 2021 (Unaudited)
The Elfun Income Fund (the “Fund”) seeks to provide a high level of income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended December 31, 2021 (the “Reporting Period”), the total return for the Fund’s Investment Class was -1.19% and the Index was -1.54%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Asset allocation and security selection, which each had a positive impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index. Duration had a limited impact on the Fund’s relative performance to the Index, but an increase in interest rates during the Reporting Period, where the ten year Treasury yield increased 59 bps, explains the negative absolute return for both the Fund and the Index.
Our view in the first quarter of 2021 was that the economic recovery from COVID-19 would continue due to emergency economic U.S. fiscal and monetary stimulus, which was expected to persist throughout the Reporting Period, and the announcement of several effective COVID-19 vaccines announced during the previous Reporting Period. As a function of our positive outlook and the perception that credit spreads were on the cheap side of long-term fair value, the Fund maintained an overweight allocation to credit sectors, with an emphasis on investment grade rated credit. Credit performance versus duration equivalent treasuries was positive over the Reporting Period, with investment grade credit and high yield outperforming risk-free assets during the Reporting Period. The Fund’s asset allocation over weight to investment grade credit, high yield, and commercial mortgage-backed securities generated positive excess returns to the Index. Security selection in the commercial mortgage-backed securities and investment grade credit allocations generated positive excess returns as our bottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities.
The Fund used treasury futures and index credit default swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of index credit default swaps contributed to Fund performance relative to the Index, while its use of treasury futures detracted from Fund performance.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
Elfun Income Fund
Performance Summary — December 31, 2021 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $240,211 (in thousands) as of December 31, 2021 (a)(b) |
| Quality Ratings |
| as of December 31, 2021 as a % of Fair Value |
| Moody’s / S&P / Rating* | | Percentage of
Fair Value |
| Aaa / AAA | | 4.52% |
| Aa / AA | | 53.62% |
| A / A | | 6.86% |
| Baa / BBB | | 21.42% |
| Ba / BB and lower | | 2.57% |
| NR / Other | | 11.01% |
| | | 100.00% |
| Average Annual Total Return for the years ended December 31, 2021 |
| (Inception date 12/31/84) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Income Fund | (1.19)% | | 3.79% | | 3.33% | | $13,870 |
| Bloomberg U.S. Aggregate Bond Index | (1.54)% | | 3.57% | | 2.90% | | $13,307 |
|
| (a) | Fair Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund Class G Shares. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| * | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
Elfun Income Fund
Performance Summary, continued — December 31, 2021 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
Elfun Income Fund
Understanding Your Fund’s Expenses — December 31, 2021 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors 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, 2021.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
July 1, 2021 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2021 | $ 999.20 | | $1,023.80 |
| Expenses Paid During Period* | $ 1.41 | | $ 1.43 |
| * | Expenses are equal to the Fund's annualized net expense ratio of 0.28%** (for the period July 1, 2021 - December 31, 2021), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year's data. |
Elfun Income Fund
Schedule of Investments — December 31, 2021
| | Principal
Amount | Fair
Value |
| Bonds and Notes - 98.1% † |
| U.S. Treasuries - 32.2% |
| U.S. Treasury Bonds | | |
| 1.13%, 05/15/40 (a) | $ 3,082,000 | $ 2,710,715 |
| 1.88%, 02/15/41 | 1,892,000 | 1,878,401 |
| 1.88%, 02/15/51 (a) | 1,675,000 | 1,665,316 |
| 2.25%, 08/15/46 (a) | 1,562,000 | 1,657,917 |
| 3.00%, 08/15/48 (a) | 2,925,000 | 3,594,094 |
| U.S. Treasury Notes | | |
| 0.13%, 07/15/23 - 12/15/23 (a) | 4,650,800 | 4,606,641 |
| 0.25%, 07/31/25 (a) | 5,822,400 | 5,649,547 |
| 0.50%, 03/15/23 (a) | 2,217,000 | 2,217,433 |
| 0.63%, 10/15/24 (a) | 1,415,000 | 1,404,056 |
| 0.75%, 04/30/26 - 01/31/28 (a) | 27,070,000 | 26,207,741 |
| 1.38%, 01/31/22 (a) | 6,788,000 | 6,794,099 |
| 1.63%, 05/15/31 (a) | 10,157,000 | 10,299,833 |
| 2.63%, 02/15/29 (a) | 1,562,000 | 1,689,889 |
| | | 70,375,682 |
| Agency Mortgage Backed - 24.8% |
| Federal Home Loan Mortgage Corp. | | |
| 3.00%, 04/01/43 - 10/01/49 (a) | 5,209,716 | 5,463,815 |
| 4.50%, 06/01/33 - 02/01/35 (a) | 7,560 | 8,296 |
| 5.00%, 07/01/35 (a) | 65,306 | 73,474 |
| 5.50%, 01/01/38 - 04/01/39 (a) | 103,934 | 118,476 |
| 6.00%, 06/01/33 - 11/01/37 (a) | 227,513 | 259,479 |
| 7.00%, 01/01/27 - 08/01/36 (a) | 52,029 | 59,701 |
| 7.50%, 11/01/29 - 09/01/33 (a) | 6,120 | 6,786 |
| 8.00%, 11/01/30 (a) | 2,423 | 2,709 |
| Federal National Mortgage Assoc. | | |
| 2.50%, 02/01/51 - 03/01/51 (a) | 8,491,910 | 8,698,579 |
| 3.50%, 08/01/45 - 01/01/48 (a) | 4,213,917 | 4,534,165 |
| 4.00%, 01/01/41 - 01/01/50 (a) | 2,521,297 | 2,723,919 |
| 4.50%, 07/01/33 - 12/01/48 (a) | 1,303,727 | 1,426,659 |
| 5.00%, 03/01/34 - 05/01/39 (a) | 129,024 | 145,003 |
| 5.50%, 12/01/32 - 01/01/39 (a) | 356,186 | 402,480 |
| 6.00%, 01/01/29 - 05/01/41 (a) | 831,860 | 951,430 |
| | Principal
Amount | Fair
Value |
| 6.50%, 08/01/28 - 08/01/36 (a) | $ 42,678 | $ 47,079 |
| 7.00%, 10/01/32 - 02/01/34 (a) | 7,813 | 8,607 |
| 7.50%, 12/01/26 - 03/01/33 (a) | 27,412 | 30,472 |
| 8.00%, 06/01/24 - 10/01/31 (a) | 6,678 | 7,208 |
| 8.50%, 04/01/30 (a) | 1,368 | 1,622 |
| 9.00%, 12/01/22 (a) | 101 | 101 |
| Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | | |
| 1.85%, 04/01/37 (a)(b) | 2,073 | 2,129 |
| Federal National Mortgage Assoc. TBA | | |
| 2.50%, 02/01/52 (c) | 2,897,612 | 2,951,131 |
| 3.00%, 01/01/52 (c) | 10,551,992 | 10,934,185 |
| Government National Mortgage Assoc. | | |
| 3.00%, 12/20/42 - 05/20/45 (a) | 4,608,302 | 4,856,128 |
| 3.50%, 08/20/48 (a) | 957,659 | 1,004,951 |
| 4.00%, 01/20/41 - 04/20/43 (a) | 759,814 | 829,165 |
| 4.50%, 08/15/33 - 03/20/41 (a) | 347,871 | 387,015 |
| 5.00%, 08/15/33 (a) | 20,248 | 22,315 |
| 6.00%, 04/15/27 - 04/15/35 (a) | 111,283 | 126,791 |
| 6.50%, 03/15/24 - 09/15/36 (a) | 40,066 | 44,830 |
| 7.00%, 11/15/27 - 10/15/36 (a) | 30,466 | 34,027 |
| 7.50%, 03/15/23 - 10/15/28 (a) | 8,089 | 8,349 |
| 8.00%, 09/15/27 - 06/15/30 (a) | 19,228 | 20,460 |
| Government National Mortgage Assoc. TBA | | |
| 2.50%, 01/01/52 (c) | 2,781,000 | 2,849,913 |
| 3.00%, 01/01/52 (c) | 4,962,577 | 5,136,466 |
| | | 54,177,915 |
| Agency Collateralized Mortgage Obligations - 0.7% |
| Federal Home Loan Mortgage Corp. | | |
| 0.08%, 09/25/43 (b)(d) | 664,358 | 3,047 |
| 2.51%, 07/25/29 | 745,000 | 785,695 |
| 4.05%, 09/25/28 (b) | 300,000 | 344,911 |
| Federal Home Loan Mortgage Corp. REMIC | | |
| 3.50%, 11/15/30 (d) | 41,177 | 836 |
| 5.50%, 06/15/33 (d) | 20,243 | 3,062 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Federal Home Loan Mortgage Corp. STRIPS | | |
| 0.00%, 08/01/27 (e) | $ 382 | $ 365 |
| 8.00%, 02/01/23 - 07/01/24 (d) | 666 | 47 |
| Federal National Mortgage Assoc. REMIC | | |
| 1.12%, 12/25/42 (b)(d) | 143,692 | 4,407 |
| 5.00%, 02/25/40 - 09/25/40 (d) | 48,709 | 5,180 |
| Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | | |
| 5.90%, 07/25/38 (b)(d) | 21,415 | 2,926 |
| Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | | |
| 6.45%, 11/25/41 (b)(d) | 2,161,718 | 408,722 |
| Federal National Mortgage Assoc. STRIPS | | |
| 0.01%, 12/25/34 (e) | 21,080 | 18,954 |
| 4.50%, 08/25/35 - 01/25/36 (d) | 38,875 | 5,450 |
| 5.00%, 03/25/38 - 05/25/38 (d) | 24,654 | 4,580 |
| 5.50%, 12/25/33 (d) | 6,877 | 1,270 |
| 6.00%, 01/25/35 (d) | 26,714 | 4,571 |
| 7.50%, 11/25/23 (d) | 1,112 | 49 |
| 8.00%, 08/25/23 - 07/25/24 (d) | 1,258 | 90 |
| 8.50%, 07/25/22 (d)** | 19 | — |
| | | 1,594,162 |
| Asset Backed - 0.8% |
| CarMax Auto Owner Trust 2018-3 | | |
| 3.13%, 06/15/23 | 18,883 | 18,931 |
| Chase Funding Trust 2004-1 | | |
| 3.99%, 11/25/33 (f) | 87,707 | 87,707 |
| Enterprise Fleet Financing 2019-1 LLC | | |
| 3.07%, 10/20/24 (g) | 487,000 | 490,614 |
| Ford Credit Auto Owner Trust 2020-B | | |
| 0.56%, 10/15/24 | 887,560 | 887,164 |
| Santander Retail Auto Lease Trust 2019-B | | |
| 2.30%, 01/20/23 (g) | 225,328 | 225,698 |
| | | 1,710,114 |
| Corporate Notes - 32.4% |
| 3M Co. | | |
| 3.13%, 09/19/46 (a) | 21,000 | 22,138 |
| 7-Eleven Inc. | | |
| 0.95%, 02/10/26 (a)(g) | 277,000 | 268,191 |
| | Principal
Amount | Fair
Value |
| Abbott Laboratories | | |
| 3.75%, 11/30/26 (a) | $ 28,000 | $ 30,937 |
| 4.90%, 11/30/46 (a) | 66,000 | 90,589 |
| AbbVie Inc. | | |
| 2.60%, 11/21/24 (a) | 118,000 | 122,386 |
| 2.95%, 11/21/26 (a) | 115,000 | 121,139 |
| 3.20%, 05/14/26 - 11/21/29 (a) | 158,000 | 168,428 |
| 3.25%, 10/01/22 (a) | 69,000 | 69,876 |
| 3.45%, 03/15/22 (a) | 169,000 | 169,193 |
| 4.05%, 11/21/39 (a) | 50,000 | 57,316 |
| 4.25%, 11/21/49 (a) | 71,000 | 85,242 |
| 4.63%, 10/01/42 (a) | 7,000 | 8,536 |
| 4.70%, 05/14/45 (a) | 15,000 | 18,548 |
| 4.88%, 11/14/48 (a) | 10,000 | 12,945 |
| Advance Auto Parts Inc. | | |
| 3.90%, 04/15/30 (a) | 189,000 | 206,836 |
| AEP Texas Inc. | | |
| 3.45%, 05/15/51 (a) | 119,000 | 121,394 |
| Aetna Inc. | | |
| 3.50%, 11/15/24 (a) | 55,000 | 58,101 |
| Aircastle Ltd. | | |
| 4.25%, 06/15/26 (a) | 84,000 | 90,063 |
| Alcoa Nederland Holding BV | | |
| 5.50%, 12/15/27 (a)(g) | 203,000 | 217,210 |
| Alcon Finance Corp. | | |
| 2.60%, 05/27/30 (a)(g) | 239,000 | 241,498 |
| Alexandria Real Estate Equities Inc. | | |
| 1.88%, 02/01/33 (a) | 50,000 | 46,974 |
| 4.70%, 07/01/30 (a) | 24,000 | 28,110 |
| Ally Financial Inc. | | |
| 2.20%, 11/02/28 (a) | 98,000 | 97,387 |
| 5.75%, 11/20/25 (a) | 47,000 | 53,025 |
| Altria Group Inc. | | |
| 3.40%, 05/06/30 - 02/04/41 (a) | 61,000 | 58,340 |
| 4.00%, 02/04/61 (a) | 22,000 | 21,100 |
| 4.25%, 08/09/42 (a) | 6,000 | 6,096 |
| 4.45%, 05/06/50 (a) | 31,000 | 32,269 |
| 4.50%, 05/02/43 (a) | 24,000 | 25,028 |
| Amazon.com Inc. | | |
| 1.50%, 06/03/30 (a) | 37,000 | 35,901 |
| 2.50%, 06/03/50 (a) | 42,000 | 39,973 |
| 2.70%, 06/03/60 (a) | 34,000 | 32,727 |
| 2.88%, 05/12/41 (a) | 72,000 | 74,364 |
| 3.15%, 08/22/27 (a) | 17,000 | 18,375 |
| 3.25%, 05/12/61 (a) | 55,000 | 59,310 |
| 4.05%, 08/22/47 (a) | 18,000 | 21,913 |
| 4.25%, 08/22/57 (a) | 10,000 | 12,826 |
| Ameren Corp. | | |
| 2.50%, 09/15/24 (a) | 168,000 | 172,628 |
| 3.65%, 02/15/26 (a) | 32,000 | 34,102 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| American Campus Communities Operating Partnership LP | | |
| 4.13%, 07/01/24 (a) | $ 28,000 | $ 29,931 |
| American Electric Power Company Inc. | | |
| 2.30%, 03/01/30 (a) | 39,000 | 38,360 |
| 3.25%, 03/01/50 (a) | 34,000 | 33,742 |
| American International Group Inc. | | |
| 4.25%, 03/15/29 (a) | 55,000 | 62,809 |
| 4.50%, 07/16/44 (a) | 50,000 | 61,627 |
| American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | | |
| 5.75%, 04/01/48 (a)(b) | 10,000 | 11,251 |
| American Tower Corp. | | |
| 1.50%, 01/31/28 (a) | 132,000 | 126,411 |
| 2.90%, 01/15/30 (a) | 49,000 | 50,268 |
| 3.70%, 10/15/49 (a) | 28,000 | 30,021 |
| 3.80%, 08/15/29 (a) | 58,000 | 63,149 |
| American Water Capital Corp. | | |
| 2.95%, 09/01/27 (a) | 38,000 | 40,157 |
| Amgen Inc. | | |
| 2.00%, 01/15/32 (a) | 246,000 | 237,889 |
| 2.45%, 02/21/30 (a) | 22,000 | 22,391 |
| 3.00%, 01/15/52 (a) | 84,000 | 81,892 |
| 3.15%, 02/21/40 (a) | 81,000 | 82,893 |
| 3.38%, 02/21/50 (a) | 21,000 | 21,813 |
| 4.56%, 06/15/48 (a) | 42,000 | 52,009 |
| 4.66%, 06/15/51 (a) | 10,000 | 12,730 |
| AngloGold Ashanti Holdings PLC | | |
| 3.38%, 11/01/28 (a) | 200,000 | 198,076 |
| Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | | |
| 3.65%, 02/01/26 (a) | 79,000 | 85,220 |
| 4.70%, 02/01/36 (a) | 23,000 | 27,783 |
| 4.90%, 02/01/46 (a) | 51,000 | 64,600 |
| Anheuser-Busch InBev Worldwide Inc. | | |
| 3.50%, 06/01/30 (a) | 54,000 | 59,167 |
| 4.00%, 04/13/28 (a) | 13,000 | 14,454 |
| 4.35%, 06/01/40 (a) | 53,000 | 62,330 |
| 4.38%, 04/15/38 (a) | 75,000 | 87,665 |
| 4.50%, 06/01/50 (a) | 41,000 | 50,635 |
| 4.60%, 04/15/48 (a) | 29,000 | 35,492 |
| 4.75%, 04/15/58 (a) | 25,000 | 31,474 |
| 5.55%, 01/23/49 (a) | 53,000 | 73,305 |
| Anthem Inc. | | |
| 2.88%, 09/15/29 (a) | 28,000 | 29,286 |
| 3.30%, 01/15/23 (a) | 55,000 | 56,488 |
| | Principal
Amount | Fair
Value |
| 3.60%, 03/15/51 (a) | $ 29,000 | $ 32,243 |
| 3.70%, 09/15/49 (a) | 28,000 | 31,270 |
| Aon Corp./Aon Global Holdings PLC | | |
| 2.90%, 08/23/51 (a) | 84,000 | 81,008 |
| Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | | |
| 4.95%, 01/14/50 (a)(b)(g) | 73,000 | 74,828 |
| Apple Inc. | | |
| 2.65%, 02/08/51 (a) | 81,000 | 79,577 |
| 2.80%, 02/08/61 (a) | 57,000 | 56,341 |
| 2.95%, 09/11/49 (a) | 34,000 | 35,152 |
| 3.35%, 02/09/27 (a) | 18,000 | 19,562 |
| 3.45%, 02/09/45 (a) | 74,000 | 82,639 |
| 3.85%, 08/04/46 (a) | 53,000 | 62,789 |
| Applied Materials Inc. | | |
| 4.35%, 04/01/47 (a) | 31,000 | 39,507 |
| Aptiv PLC | | |
| 4.40%, 10/01/46 (a) | 21,000 | 24,670 |
| Archer-Daniels-Midland Co. | | |
| 2.50%, 08/11/26 (a) | 28,000 | 29,195 |
| Ares Capital Corp. | | |
| 2.88%, 06/15/28 (a) | 181,000 | 180,540 |
| 3.25%, 07/15/25 (a) | 372,000 | 385,913 |
| Arthur J Gallagher & Co. | | |
| 3.50%, 05/20/51 (a) | 89,000 | 93,707 |
| Ascension Health | | |
| 4.85%, 11/15/53 (a) | 63,000 | 89,592 |
| Ashtead Capital Inc. | | |
| 1.50%, 08/12/26 (a)(g) | 200,000 | 196,112 |
| Astrazeneca Finance LLC | | |
| 1.75%, 05/28/28 (a) | 116,000 | 115,254 |
| AstraZeneca PLC | | |
| 3.00%, 05/28/51 (a) | 55,000 | 57,859 |
| 4.00%, 01/17/29 (a) | 17,000 | 19,165 |
| 4.38%, 08/17/48 (a) | 7,000 | 9,030 |
| AT&T Inc. | | |
| 1.70%, 03/25/26 (a) | 309,000 | 307,727 |
| 2.30%, 06/01/27 (a) | 81,000 | 82,552 |
| 2.75%, 06/01/31 (a) | 163,000 | 166,219 |
| 3.30%, 02/01/52 (a) | 178,000 | 174,371 |
| 3.85%, 06/01/60 (a) | 75,000 | 78,338 |
| 4.35%, 03/01/29 (a) | 59,000 | 66,384 |
| 4.50%, 05/15/35 (a) | 55,000 | 63,476 |
| 4.55%, 03/09/49 (a) | 28,000 | 33,005 |
| 4.75%, 05/15/46 (a) | 16,000 | 19,341 |
| 4.80%, 06/15/44 (a) | 43,000 | 51,182 |
| 4.85%, 03/01/39 (a) | 45,000 | 53,762 |
| 5.25%, 03/01/37 (a) | 39,000 | 48,247 |
| 5.35%, 12/15/43 (a) | 31,000 | 37,847 |
| 5.45%, 03/01/47 (a) | 46,000 | 60,308 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Athene Holding Ltd. | | |
| 4.13%, 01/12/28 (a) | $ 36,000 | $ 39,412 |
| 6.15%, 04/03/30 (a) | 81,000 | 100,205 |
| Avangrid Inc. | | |
| 3.15%, 12/01/24 (a) | 82,000 | 85,895 |
| Bain Capital Specialty Finance Inc. | | |
| 2.95%, 03/10/26 (a) | 119,000 | 118,726 |
| Bank of America Corp. | | |
| 3.25%, 10/21/27 (a) | 3,000 | 3,198 |
| 4.18%, 11/25/27 (a) | 101,000 | 110,563 |
| 4.25%, 10/22/26 (a) | 80,000 | 88,323 |
| Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | | |
| 2.09%, 06/14/29 (a)(b) | 181,000 | 179,943 |
| Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | | |
| 2.59%, 04/29/31 (a)(b) | 171,000 | 172,659 |
| Bank of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) | | |
| 2.97%, 07/21/52 (a)(b) | 83,000 | 83,352 |
| Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | | |
| 3.12%, 01/20/23 (a)(b) | 69,000 | 69,081 |
| Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | | |
| 3.37%, 01/23/26 (a)(b) | 30,000 | 31,581 |
| Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | | |
| 3.42%, 12/20/28 (a)(b) | 39,000 | 41,678 |
| Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | | |
| 3.56%, 04/23/27 (a)(b) | 81,000 | 86,671 |
| Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter) | | |
| 3.71%, 04/24/28 (a)(b) | 108,000 | 117,275 |
| Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | | |
| 3.95%, 01/23/49 (a)(b) | 66,000 | 77,001 |
| | Principal
Amount | Fair
Value |
| Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | | |
| 4.24%, 04/24/38 (a)(b) | $ 53,000 | $ 62,097 |
| Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | | |
| 4.27%, 07/23/29 (a)(b) | 15,000 | 16,722 |
| Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter) | | |
| 4.30%, 12/31/99 (a)(b) | 109,000 | 110,540 |
| Barclays PLC | | |
| 4.84%, 05/09/28 (a) | 200,000 | 219,862 |
| Barrick North America Finance LLC | | |
| 5.70%, 05/30/41 (a) | 7,000 | 9,500 |
| BAT Capital Corp. | | |
| 2.73%, 03/25/31 (a) | 80,000 | 77,702 |
| 4.39%, 08/15/37 (a) | 55,000 | 58,038 |
| 4.54%, 08/15/47 (a) | 24,000 | 25,091 |
| 4.70%, 04/02/27 (a) | 52,000 | 57,300 |
| 4.91%, 04/02/30 (a) | 54,000 | 60,748 |
| BAT International Finance PLC | | |
| 1.67%, 03/25/26 (a) | 52,000 | 51,105 |
| Baxter International Inc. | | |
| 1.92%, 02/01/27 (g) | 257,000 | 258,010 |
| 2.27%, 12/01/28 (g) | 257,000 | 259,053 |
| 2.54%, 02/01/32 (g) | 257,000 | 259,642 |
| 3.13%, 12/01/51 (g) | 87,000 | 89,748 |
| Baylor Scott & White Holdings | | |
| 2.84%, 11/15/50 (a) | 12,000 | 11,973 |
| Becton Dickinson & Co. | | |
| 3.70%, 06/06/27 (a) | 41,000 | 44,708 |
| 4.67%, 06/06/47 (a) | 8,000 | 10,082 |
| 4.69%, 12/15/44 (a) | 5,000 | 6,287 |
| Berkshire Hathaway Energy Co. | | |
| 3.25%, 04/15/28 (a) | 17,000 | 18,237 |
| 3.70%, 07/15/30 (a) | 61,000 | 67,728 |
| 3.80%, 07/15/48 (a) | 20,000 | 22,325 |
| 4.25%, 10/15/50 (a) | 54,000 | 65,935 |
| 6.13%, 04/01/36 (a) | 8,000 | 10,918 |
| Berkshire Hathaway Finance Corp. | | |
| 2.85%, 10/15/50 (a) | 41,000 | 40,502 |
| 4.25%, 01/15/49 (a) | 31,000 | 38,042 |
| Berry Global Inc. | | |
| 4.88%, 07/15/26 (a)(g) | 152,000 | 157,379 |
| BHP Billiton Finance USA Ltd. | | |
| 5.00%, 09/30/43 (a) | 10,000 | 13,227 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Biogen Inc. | | |
| 2.25%, 05/01/30 (a) | $ 25,000 | $ 24,637 |
| Block Financial LLC | | |
| 2.50%, 07/15/28 (a) | 77,000 | 77,170 |
| 3.88%, 08/15/30 (a) | 25,000 | 26,768 |
| Boardwalk Pipelines LP | | |
| 4.80%, 05/03/29 (a) | 53,000 | 59,417 |
| Boston Scientific Corp. | | |
| 4.70%, 03/01/49 (a) | 20,000 | 25,402 |
| BP Capital Markets America Inc. | | |
| 3.00%, 02/24/50 (a) | 63,000 | 62,054 |
| 3.02%, 01/16/27 (a) | 65,000 | 68,644 |
| 3.38%, 02/08/61 (a) | 89,000 | 91,858 |
| BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | | |
| 4.38%, 12/31/99 (a)(b) | 115,000 | 120,130 |
| BP Capital Markets PLC (4.88% fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) | | |
| 4.88%, 12/31/99 (a)(b) | 81,000 | 88,262 |
| Bristol-Myers Squibb Co. | | |
| 1.45%, 11/13/30 (a) | 56,000 | 53,320 |
| 2.35%, 11/13/40 (a) | 30,000 | 28,403 |
| 3.20%, 06/15/26 (a) | 41,000 | 44,021 |
| 3.40%, 07/26/29 (a) | 53,000 | 57,971 |
| 4.13%, 06/15/39 (a) | 41,000 | 48,495 |
| 4.25%, 10/26/49 (a) | 41,000 | 50,715 |
| 4.35%, 11/15/47 (a) | 2,000 | 2,480 |
| 4.55%, 02/20/48 (a) | 12,000 | 15,339 |
| 5.00%, 08/15/45 (a) | 11,000 | 14,649 |
| Brixmor Operating Partnership LP | | |
| 2.25%, 04/01/28 (a) | 108,000 | 107,812 |
| 3.90%, 03/15/27 (a) | 25,000 | 26,935 |
| Broadcom Inc. | | |
| 3.14%, 11/15/35 (a)(g) | 33,000 | 33,172 |
| 3.19%, 11/15/36 (a)(g) | 4,000 | 4,013 |
| 3.42%, 04/15/33 (a)(g) | 71,000 | 74,122 |
| 3.47%, 04/15/34 (a)(g) | 8,000 | 8,347 |
| 4.15%, 11/15/30 (a) | 78,000 | 86,502 |
| 4.30%, 11/15/32 (a) | 54,000 | 60,817 |
| Brown-Forman Corp. | | |
| 4.00%, 04/15/38 (a) | 8,000 | 9,302 |
| Brunswick Corp. | | |
| 2.40%, 08/18/31 (a) | 250,000 | 240,997 |
| Bunge Limited Finance Corp. | | |
| 3.75%, 09/25/27 (a) | 12,000 | 13,061 |
| Burlington Northern Santa Fe LLC | | |
| 4.15%, 12/15/48 (a) | 50,000 | 61,279 |
| | Principal
Amount | Fair
Value |
| 4.55%, 09/01/44 (a) | $ 71,000 | $ 89,286 |
| Cameron LNG LLC | | |
| 3.30%, 01/15/35 (a)(g) | 9,000 | 9,435 |
| Canadian Natural Resources Ltd. | | |
| 3.85%, 06/01/27 (a) | 38,000 | 40,856 |
| 4.95%, 06/01/47 (a) | 7,000 | 8,676 |
| Canadian Pacific Railway Co. | | |
| 1.75%, 12/02/26 | 110,000 | 110,492 |
| 2.45%, 12/02/31 | 95,000 | 96,688 |
| 3.00%, 12/02/41 | 35,000 | 35,786 |
| 3.10%, 12/02/51 | 35,000 | 35,796 |
| Cantor Fitzgerald LP | | |
| 4.88%, 05/01/24 (a)(g) | 186,000 | 198,851 |
| Capital One Financial Corp. | | |
| 3.75%, 07/28/26 (a) | 92,000 | 98,570 |
| Cardinal Health Inc. | | |
| 3.08%, 06/15/24 (a) | 20,000 | 20,741 |
| Carlisle Companies Inc. | | |
| 2.20%, 03/01/32 (a) | 171,000 | 164,560 |
| Carrier Global Corp. | | |
| 2.72%, 02/15/30 (a) | 52,000 | 53,126 |
| 3.58%, 04/05/50 (a) | 52,000 | 55,317 |
| Caterpillar Inc. | | |
| 3.25%, 09/19/49 - 04/09/50 (a) | 78,000 | 85,966 |
| Cenovus Energy Inc. | | |
| 2.65%, 01/15/32 (a) | 56,000 | 54,845 |
| 3.75%, 02/15/52 (a) | 64,000 | 64,480 |
| Centene Corp. | | |
| 3.00%, 10/15/30 (a) | 96,000 | 97,682 |
| 3.38%, 02/15/30 (a) | 223,000 | 227,772 |
| 4.25%, 12/15/27 (a) | 370,000 | 387,053 |
| CenterPoint Energy Inc. | | |
| 2.65%, 06/01/31 (a) | 86,000 | 87,030 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | |
| 3.50%, 06/01/41 (a) | 73,000 | 71,153 |
| 3.70%, 04/01/51 (a) | 109,000 | 105,360 |
| 4.80%, 03/01/50 (a) | 109,000 | 122,187 |
| 5.05%, 03/30/29 (a) | 29,000 | 33,331 |
| 5.75%, 04/01/48 (a) | 31,000 | 38,708 |
| Cheniere Corpus Christi Holdings LLC | | |
| 5.88%, 03/31/25 (a) | 152,000 | 168,684 |
| 7.00%, 06/30/24 (a) | 282,000 | 312,140 |
| Chevron Corp. | | |
| 2.24%, 05/11/30 (a) | 27,000 | 27,405 |
| 3.08%, 05/11/50 (a) | 29,000 | 30,814 |
| Chevron USA Inc. | | |
| 3.85%, 01/15/28 (a) | 98,000 | 108,885 |
| 3.90%, 11/15/24 (a) | 30,000 | 32,182 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Choice Hotels International Inc. | | |
| 3.70%, 01/15/31 (a) | $ 57,000 | $ 60,361 |
| Chubb INA Holdings Inc. | | |
| 4.35%, 11/03/45 (a) | 39,000 | 48,466 |
| Church & Dwight Company Inc. | | |
| 2.30%, 12/15/31 | 60,000 | 60,422 |
| Cigna Corp. | | |
| 2.40%, 03/15/30 (a) | 50,000 | 50,345 |
| 3.25%, 04/15/25 (a) | 46,000 | 48,467 |
| 3.40%, 03/01/27 - 03/15/51 (a) | 70,000 | 74,202 |
| 3.75%, 07/15/23 (a) | 14,000 | 14,571 |
| 3.88%, 10/15/47 (a) | 9,000 | 9,992 |
| 4.13%, 11/15/25 (a) | 70,000 | 76,639 |
| 4.38%, 10/15/28 (a) | 19,000 | 21,599 |
| 4.80%, 08/15/38 (a) | 17,000 | 20,895 |
| 4.90%, 12/15/48 (a) | 7,000 | 9,039 |
| Cisco Systems Inc. | | |
| 5.90%, 02/15/39 (a) | 28,000 | 40,291 |
| Citigroup Inc. | | |
| 4.13%, 07/25/28 (a) | 238,000 | 261,595 |
| 4.45%, 09/29/27 (a) | 13,000 | 14,495 |
| 4.65%, 07/23/48 (a) | 74,000 | 95,335 |
| Citigroup Inc. (0.98% fixed rate until 05/01/24; 0.67% + SOFR thereafter) | | |
| 0.98%, 05/01/25 (a)(b) | 80,000 | 79,426 |
| Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | | |
| 1.68%, 05/15/24 (a)(b) | 220,000 | 222,398 |
| Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | | |
| 2.56%, 05/01/32 (a)(b) | 82,000 | 82,467 |
| Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | | |
| 2.88%, 07/24/23 (a)(b) | 46,000 | 46,534 |
| Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | | |
| 2.98%, 11/05/30 (a)(b) | 39,000 | 40,524 |
| Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | | |
| 3.88%, 01/24/39 (a)(b) | 24,000 | 27,220 |
| Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | | |
| 4.70%, 12/31/99 (a)(b) | 94,000 | 95,581 |
| | Principal
Amount | Fair
Value |
| CMS Energy Corp. | | |
| 4.88%, 03/01/44 (a) | $ 87,000 | $ 109,527 |
| CNA Financial Corp. | | |
| 3.45%, 08/15/27 (a) | 16,000 | 17,237 |
| 3.90%, 05/01/29 (a) | 51,000 | 56,485 |
| CNH Industrial Capital LLC | | |
| 1.95%, 07/02/23 (a) | 122,000 | 123,595 |
| CNOOC Finance 2014 ULC | | |
| 4.25%, 04/30/24 (a) | 423,000 | 449,543 |
| CNOOC Petroleum North America ULC | | |
| 6.40%, 05/15/37 (a) | 59,000 | 77,886 |
| Comcast Corp. | | |
| 2.65%, 08/15/62 (a) | 40,000 | 35,520 |
| 2.80%, 01/15/51 (a) | 47,000 | 44,803 |
| 2.89%, 11/01/51 (a)(g) | 41,000 | 39,665 |
| 2.94%, 11/01/56 (a)(g) | 33,000 | 31,434 |
| 2.99%, 11/01/63 (a)(g) | 41,000 | 38,968 |
| 3.20%, 07/15/36 (a) | 50,000 | 53,230 |
| 3.25%, 11/01/39 (a) | 66,000 | 69,514 |
| 3.97%, 11/01/47 (a) | 58,000 | 66,416 |
| 4.15%, 10/15/28 (a) | 47,000 | 53,336 |
| CommonSpirit Health | | |
| 4.35%, 11/01/42 | 130,000 | 148,698 |
| Conagra Brands Inc. | | |
| 5.30%, 11/01/38 (a) | 21,000 | 26,552 |
| 5.40%, 11/01/48 (a) | 13,000 | 17,576 |
| ConocoPhillips | | |
| 4.30%, 08/15/28 (a)(g) | 39,000 | 43,891 |
| 4.88%, 10/01/47 (a)(g) | 25,000 | 33,007 |
| ConocoPhillips Co. | | |
| 4.30%, 11/15/44 (a) | 49,000 | 59,012 |
| Consolidated Edison Company of New York Inc. | | |
| 2.90%, 12/01/26 (a) | 47,000 | 48,674 |
| 3.35%, 04/01/30 (a) | 22,000 | 23,662 |
| 3.88%, 06/15/47 (a) | 26,000 | 28,550 |
| 3.95%, 04/01/50 (a) | 37,000 | 42,493 |
| Constellation Brands Inc. | | |
| 3.15%, 08/01/29 (a) | 109,000 | 114,829 |
| 3.70%, 12/06/26 (a) | 49,000 | 53,125 |
| 4.50%, 05/09/47 (a) | 39,000 | 46,589 |
| Continental Resources Inc. | | |
| 2.88%, 04/01/32 (g) | 86,000 | 84,160 |
| 3.80%, 06/01/24 (a) | 389,000 | 406,054 |
| Corning Inc. | | |
| 4.38%, 11/15/57 (a) | 26,000 | 31,130 |
| Corporate Nacional del Cobre de Chile | | |
| 3.15%, 01/15/51 (a)(g) | 130,000 | 121,057 |
| Corporate Office Properties LP | | |
| 2.00%, 01/15/29 (a) | 90,000 | 86,651 |
| 2.25%, 03/15/26 (a) | 74,000 | 74,768 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 2.75%, 04/15/31 (a) | $ 46,000 | $ 45,753 |
| Crown Castle International Corp. | | |
| 3.30%, 07/01/30 (a) | 149,000 | 157,450 |
| 4.15%, 07/01/50 (a) | 22,000 | 24,881 |
| 5.20%, 02/15/49 (a) | 35,000 | 45,015 |
| CSX Corp. | | |
| 4.50%, 03/15/49 - 08/01/54 (a) | 84,000 | 105,515 |
| CubeSmart LP | | |
| 2.50%, 02/15/32 | 100,000 | 99,799 |
| 4.38%, 02/15/29 (a) | 71,000 | 80,474 |
| Cummins Inc. | | |
| 1.50%, 09/01/30 (a) | 55,000 | 52,127 |
| 2.60%, 09/01/50 (a) | 55,000 | 51,665 |
| CVS Health Corp. | | |
| 3.00%, 08/15/26 (a) | 55,000 | 57,930 |
| 3.25%, 08/15/29 (a) | 44,000 | 46,909 |
| 3.63%, 04/01/27 (a) | 53,000 | 57,496 |
| 3.75%, 04/01/30 (a) | 39,000 | 42,828 |
| 3.88%, 07/20/25 (a) | 28,000 | 30,117 |
| 4.25%, 04/01/50 (a) | 27,000 | 32,604 |
| 4.30%, 03/25/28 (a) | 4,000 | 4,492 |
| 4.78%, 03/25/38 (a) | 30,000 | 36,554 |
| 5.00%, 12/01/24 (a) | 64,000 | 69,919 |
| 5.13%, 07/20/45 (a) | 31,000 | 40,308 |
| 5.30%, 12/05/43 (a) | 55,000 | 72,496 |
| Daimler Trucks Finance North America LLC | | |
| 2.00%, 12/14/26 (g) | 274,000 | 275,310 |
| 2.38%, 12/14/28 (g) | 155,000 | 155,821 |
| 2.50%, 12/14/31 (g) | 155,000 | 154,958 |
| Danaher Corp. | | |
| 2.80%, 12/10/51 | 138,000 | 136,528 |
| Dell International LLC/EMC Corp. | | |
| 4.00%, 07/15/24 (a) | 89,000 | 94,503 |
| 5.45%, 06/15/23 (a) | 11,000 | 11,617 |
| 6.02%, 06/15/26 (a) | 11,000 | 12,746 |
| 8.35%, 07/15/46 (a) | 2,000 | 3,350 |
| Deutsche Bank AG | | |
| 3.30%, 11/16/22 (a) | 205,000 | 209,209 |
| Deutsche Bank AG (2.31% fixed rate until 11/16/26; 1.22% + SOFR thereafter) | | |
| 2.31%, 11/16/27 (b) | 320,000 | 319,933 |
| Deutsche Telekom AG | | |
| 3.63%, 01/21/50 (a)(g) | 191,000 | 203,228 |
| Devon Energy Corp. | | |
| 5.00%, 06/15/45 (a) | 17,000 | 20,664 |
| DH Europe Finance II Sarl | | |
| 2.60%, 11/15/29 (a) | 49,000 | 50,585 |
| 3.25%, 11/15/39 (a) | 28,000 | 29,820 |
| 3.40%, 11/15/49 (a) | 10,000 | 10,896 |
| | Principal
Amount | Fair
Value |
| Diamondback Energy Inc. | | |
| 2.88%, 12/01/24 (a) | $ 95,000 | $ 98,627 |
| 3.13%, 03/24/31 (a) | 74,000 | 76,302 |
| 3.25%, 12/01/26 (a) | 47,000 | 49,613 |
| 3.50%, 12/01/29 (a) | 39,000 | 41,337 |
| 4.40%, 03/24/51 (a) | 29,000 | 33,285 |
| Digital Realty Trust LP | | |
| 3.60%, 07/01/29 (a) | 86,000 | 93,433 |
| Discover Bank | | |
| 2.70%, 02/06/30 (a) | 250,000 | 253,290 |
| Discovery Communications LLC | | |
| 2.95%, 03/20/23 (a) | 100,000 | 102,286 |
| 3.95%, 03/20/28 (a) | 32,000 | 34,756 |
| 4.95%, 05/15/42 (a) | 7,000 | 8,243 |
| 5.00%, 09/20/37 (a) | 10,000 | 11,936 |
| Dollar General Corp. | | |
| 3.50%, 04/03/30 (a) | 33,000 | 35,709 |
| 4.13%, 04/03/50 (a) | 48,000 | 55,458 |
| Dollar Tree Inc. | | |
| 4.00%, 05/15/25 (a) | 55,000 | 59,111 |
| Dominion Energy Inc. | | |
| 3.07%, 08/15/24 (a)(f) | 70,000 | 72,535 |
| 3.38%, 04/01/30 (a) | 81,000 | 86,276 |
| Dover Corp. | | |
| 2.95%, 11/04/29 (a) | 55,000 | 58,075 |
| DTE Energy Co. | | |
| 2.85%, 10/01/26 (a) | 23,000 | 24,008 |
| Duke Energy Carolinas LLC | | |
| 3.95%, 03/15/48 (a) | 30,000 | 34,786 |
| Duke Energy Corp. | | |
| 2.55%, 06/15/31 (a) | 121,000 | 120,930 |
| 3.30%, 06/15/41 (a) | 109,000 | 110,915 |
| 3.50%, 06/15/51 (a) | 109,000 | 113,309 |
| 3.75%, 09/01/46 (a) | 154,000 | 165,003 |
| Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | | |
| 4.88%, 12/31/99 (a)(b) | 130,000 | 135,641 |
| Duke Energy Progress LLC | | |
| 4.15%, 12/01/44 (a) | 34,000 | 40,011 |
| Duke Realty LP | | |
| 3.05%, 03/01/50 (a) | 22,000 | 21,729 |
| 3.25%, 06/30/26 (a) | 24,000 | 25,548 |
| DuPont de Nemours Inc. | | |
| 5.42%, 11/15/48 (a) | 12,000 | 16,777 |
| Duquesne Light Holdings Inc. | | |
| 3.62%, 08/01/27 (a)(g) | 69,000 | 73,195 |
| Eastman Chemical Co. | | |
| 4.65%, 10/15/44 (a) | 54,000 | 64,363 |
| Eaton Corp. | | |
| 3.10%, 09/15/27 (a) | 28,000 | 29,938 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Ecolab Inc. | | |
| 1.30%, 01/30/31 (a) | $ 55,000 | $ 51,455 |
| Edison International | | |
| 4.95%, 04/15/25 (a) | 127,000 | 138,482 |
| 5.75%, 06/15/27 (a) | 17,000 | 19,443 |
| EI du Pont de Nemours & Co. | | |
| 2.30%, 07/15/30 (a) | 39,000 | 39,200 |
| Electronic Arts Inc. | | |
| 1.85%, 02/15/31 (a) | 66,000 | 63,160 |
| Emera US Finance LP | | |
| 2.64%, 06/15/31 | 119,000 | 117,931 |
| Emerson Electric Co. | | |
| 1.80%, 10/15/27 (a) | 35,000 | 35,132 |
| 2.75%, 10/15/50 (a) | 29,000 | 27,989 |
| Empower Finance 2020 LP | | |
| 1.36%, 09/17/27 (a)(g) | 81,000 | 78,552 |
| 1.78%, 03/17/31 (a)(g) | 63,000 | 60,609 |
| Enbridge Energy Partners LP | | |
| 5.50%, 09/15/40 (a) | 6,000 | 7,697 |
| Enbridge Inc. | | |
| 1.60%, 10/04/26 (a) | 222,000 | 219,165 |
| Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | | |
| 5.75%, 07/15/80 (a)(b) | 136,000 | 151,100 |
| Energy Transfer LP | | |
| 4.25%, 03/15/23 (a) | 72,000 | 74,070 |
| 4.50%, 04/15/24 (a) | 49,000 | 52,001 |
| 4.95%, 06/15/28 (a) | 19,000 | 21,425 |
| 5.30%, 04/01/44 - 04/15/47 (a) | 91,000 | 104,607 |
| 5.35%, 05/15/45 (a) | 72,000 | 83,207 |
| 6.13%, 12/15/45 (a) | 8,000 | 9,987 |
| 6.50%, 02/01/42 (a) | 46,000 | 59,068 |
| Energy Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | | |
| 6.75%, 12/31/99 (a)(b) | 285,000 | 287,425 |
| Energy Transfer LP/Regency Energy Finance Corp. | | |
| 4.50%, 11/01/23 (a) | 34,000 | 35,668 |
| Enstar Group Ltd. | | |
| 3.10%, 09/01/31 (a) | 77,000 | 75,380 |
| Enterprise Products Operating LLC | | |
| 4.25%, 02/15/48 (a) | 65,000 | 74,071 |
| Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | | |
| 5.25%, 08/16/77 (a)(b) | 24,000 | 24,548 |
| EOG Resources Inc. | | |
| 4.15%, 01/15/26 (a) | 5,000 | 5,470 |
| | Principal
Amount | Fair
Value |
| 4.38%, 04/15/30 (a) | $ 53,000 | $ 61,272 |
| 4.95%, 04/15/50 (a) | 28,000 | 38,028 |
| 5.10%, 01/15/36 (a) | 17,000 | 20,732 |
| Equinix Inc. | | |
| 1.25%, 07/15/25 (a) | 101,000 | 99,271 |
| 2.15%, 07/15/30 (a) | 77,000 | 74,825 |
| Equinor ASA | | |
| 3.25%, 11/18/49 (a) | 50,000 | 53,152 |
| ERP Operating LP | | |
| 4.50%, 07/01/44 (a) | 22,000 | 27,764 |
| Everest Reinsurance Holdings Inc. | | |
| 3.13%, 10/15/52 (a) | 32,000 | 31,362 |
| Eversource Energy | | |
| 3.45%, 01/15/50 (a) | 53,000 | 56,130 |
| Exelon Corp. | | |
| 3.50%, 06/01/22 (a) | 59,000 | 59,532 |
| 4.05%, 04/15/30 (a) | 81,000 | 90,262 |
| 4.45%, 04/15/46 (a) | 54,000 | 65,168 |
| 4.70%, 04/15/50 (a) | 54,000 | 68,085 |
| Exxon Mobil Corp. | | |
| 2.61%, 10/15/30 (a) | 86,000 | 89,249 |
| 3.45%, 04/15/51 (a) | 86,000 | 93,324 |
| FedEx Corp. | | |
| 4.10%, 02/01/45 (a) | 106,000 | 118,669 |
| Fidelity National Financial Inc. | | |
| 3.20%, 09/17/51 (a) | 83,000 | 79,650 |
| Fidelity National Information Services Inc. | | |
| 1.15%, 03/01/26 (a) | 67,000 | 65,371 |
| 1.65%, 03/01/28 (a) | 61,000 | 59,064 |
| 3.10%, 03/01/41 (a) | 13,000 | 13,101 |
| FirstEnergy Transmission LLC | | |
| 4.55%, 04/01/49 (a)(g) | 84,000 | 96,340 |
| Fiserv Inc. | | |
| 3.50%, 07/01/29 (a) | 21,000 | 22,586 |
| 4.40%, 07/01/49 (a) | 21,000 | 25,044 |
| Florida Power & Light Co. | | |
| 2.85%, 04/01/25 (a) | 140,000 | 146,504 |
| 4.13%, 02/01/42 (a) | 38,000 | 45,396 |
| Flowers Foods Inc. | | |
| 2.40%, 03/15/31 (a) | 63,000 | 62,083 |
| Flowserve Corp. | | |
| 2.80%, 01/15/32 (a) | 85,000 | 82,802 |
| Ford Motor Co. | | |
| 4.35%, 12/08/26 (a) | 54,000 | 58,883 |
| Ford Motor Credit Company LLC | | |
| 3.10%, 05/04/23 (a) | 237,000 | 241,209 |
| 3.22%, 01/09/22 (a) | 215,000 | 215,049 |
| 3.34%, 03/28/22 (a) | 200,000 | 200,554 |
| Fox Corp. | | |
| 3.50%, 04/08/30 (a) | 55,000 | 59,324 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| GA Global Funding Trust | | |
| 1.63%, 01/15/26 (a)(g) | $ 98,000 | $ 97,239 |
| General Dynamics Corp. | | |
| 4.25%, 04/01/50 (a) | 39,000 | 49,963 |
| General Mills Inc. | | |
| 3.00%, 02/01/51 | 36,000 | 36,058 |
| General Motors Co. | | |
| 5.20%, 04/01/45 (a) | 6,000 | 7,424 |
| 5.40%, 10/02/23 - 04/01/48 (a) | 33,000 | 38,231 |
| 6.13%, 10/01/25 (a) | 104,000 | 119,575 |
| 6.80%, 10/01/27 (a) | 42,000 | 51,647 |
| General Motors Financial Company Inc. | | |
| 1.25%, 01/08/26 (a) | 123,000 | 120,264 |
| 2.35%, 01/08/31 (a) | 53,000 | 51,469 |
| 3.45%, 04/10/22 (a) | 108,000 | 108,321 |
| 5.25%, 03/01/26 (a) | 41,000 | 45,985 |
| Georgia-Pacific LLC | | |
| 1.75%, 09/30/25 (a)(g) | 139,000 | 139,710 |
| 3.60%, 03/01/25 (a)(g) | 223,000 | 236,405 |
| Gilead Sciences Inc. | | |
| 1.65%, 10/01/30 (a) | 31,000 | 29,722 |
| 2.60%, 10/01/40 (a) | 39,000 | 37,392 |
| 2.80%, 10/01/50 (a) | 58,000 | 56,152 |
| 2.95%, 03/01/27 (a) | 6,000 | 6,320 |
| 3.50%, 02/01/25 (a) | 25,000 | 26,454 |
| 3.65%, 03/01/26 (a) | 23,000 | 24,804 |
| 4.15%, 03/01/47 (a) | 22,000 | 25,934 |
| GlaxoSmithKline Capital Inc. | | |
| 3.38%, 05/15/23 (a) | 65,000 | 67,319 |
| 3.63%, 05/15/25 (a) | 62,000 | 66,726 |
| GlaxoSmithKline Capital PLC | | |
| 3.38%, 06/01/29 (a) | 61,000 | 66,464 |
| Glencore Finance Canada Ltd. | | |
| 4.25%, 10/25/22 (a)(g) | 149,000 | 153,095 |
| Glencore Funding LLC | | |
| 3.88%, 04/27/51 (a)(g) | 68,000 | 71,295 |
| Graphic Packaging International LLC | | |
| 1.51%, 04/15/26 (a)(g) | 81,000 | 79,594 |
| Gray Oak Pipeline LLC | | |
| 2.00%, 09/15/23 (a)(g) | 190,000 | 192,120 |
| 2.60%, 10/15/25 (a)(g) | 126,000 | 127,929 |
| Halliburton Co. | | |
| 3.80%, 11/15/25 (a) | 4,000 | 4,317 |
| 5.00%, 11/15/45 (a) | 25,000 | 30,150 |
| HCA Inc. | | |
| 3.50%, 09/01/30 - 07/15/51 (a) | 326,000 | 341,704 |
| 5.38%, 02/01/25 (a) | 195,000 | 214,260 |
| Health Care Service Corp. | | |
| 2.20%, 06/01/30 (a)(g) | 76,000 | 74,897 |
| 3.20%, 06/01/50 (a)(g) | 29,000 | 29,531 |
| | Principal
Amount | Fair
Value |
| Healthcare Trust of America Holdings LP | | |
| 2.00%, 03/15/31 (a) | $ 42,000 | $ 39,866 |
| Helmerich & Payne Inc. | | |
| 2.90%, 09/29/31 (a)(g) | 43,000 | 42,443 |
| Hess Corp. | | |
| 5.60%, 02/15/41 (a) | 7,000 | 8,644 |
| 5.80%, 04/01/47 (a) | 6,000 | 7,717 |
| Hewlett Packard Enterprise Co. | | |
| 6.35%, 10/15/45 (a) | 8,000 | 10,713 |
| Highwoods Realty LP | | |
| 4.13%, 03/15/28 (a) | 30,000 | 33,105 |
| 4.20%, 04/15/29 (a) | 75,000 | 83,048 |
| Hill-Rom Holdings Inc. | | |
| 4.38%, 09/15/27 (g) | 270,000 | 282,636 |
| Honeywell International Inc. | | |
| 1.75%, 09/01/31 (a) | 82,000 | 79,830 |
| 2.70%, 08/15/29 (a) | 3,000 | 3,143 |
| Hormel Foods Corp. | | |
| 1.80%, 06/11/30 (a) | 109,000 | 106,902 |
| HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | | |
| 2.01%, 09/22/28 (a)(b) | 330,000 | 323,100 |
| HSBC Holdings PLC (2.25% fixed rate until 11/22/26; 1.10% + SOFR thereafter) | | |
| 2.25%, 11/22/27 (b) | 200,000 | 200,634 |
| HSBC Holdings PLC (2.87% fixed rate until 11/22/31; 1.41% + SOFR thereafter) | | |
| 2.87%, 11/22/32 (b) | 200,000 | 201,820 |
| HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter) | | |
| 4.29%, 09/12/26 (a)(b) | 423,000 | 456,772 |
| HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | | |
| 6.00%, 12/31/99 (a)(b) | 465,000 | 499,596 |
| HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter) | | |
| 6.50%, 12/31/99 (a)(b) | 205,000 | 226,371 |
| Humana Inc. | | |
| 1.35%, 02/03/27 (a) | 132,000 | 128,419 |
| 2.15%, 02/03/32 (a) | 69,000 | 66,835 |
| Huntington Bancshares Inc. | | |
| 2.55%, 02/04/30 (a) | 108,000 | 109,747 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Huntington Ingalls Industries Inc. | | |
| 2.04%, 08/16/28 (a)(g) | $ 103,000 | $ 100,902 |
| Hyundai Capital America | | |
| 1.30%, 01/08/26 (a)(g) | 205,000 | 199,447 |
| 3.10%, 04/05/22 (a)(g) | 46,000 | 46,249 |
| Imperial Brands Finance PLC | | |
| 3.13%, 07/26/24 (a)(g) | 264,000 | 273,079 |
| 3.50%, 02/11/23 - 07/26/26 (a)(g) | 490,000 | 505,738 |
| Indiana Michigan Power Co. | | |
| 3.25%, 05/01/51 (a) | 55,000 | 57,141 |
| ING Groep N.V. (1.06% fixed rate until 04/01/26; 1.01% + SOFR thereafter) | | |
| 1.06%, 04/01/27 (a)(b) | 470,000 | 474,620 |
| Ingredion Inc. | | |
| 3.90%, 06/01/50 (a) | 27,000 | 30,754 |
| Intel Corp. | | |
| 2.00%, 08/12/31 (a) | 84,000 | 83,460 |
| 2.80%, 08/12/41 (a) | 95,000 | 94,725 |
| 2.88%, 05/11/24 (a) | 12,000 | 12,491 |
| 3.10%, 02/15/60 (a) | 50,000 | 50,379 |
| Intercontinental Exchange Inc. | | |
| 2.65%, 09/15/40 (a) | 28,000 | 27,207 |
| International Business Machines Corp. | | |
| 3.45%, 02/19/26 (a) | 254,000 | 272,412 |
| 4.15%, 05/15/39 (a) | 150,000 | 173,398 |
| 4.25%, 05/15/49 (a) | 150,000 | 181,932 |
| International Paper Co. | | |
| 4.40%, 08/15/47 (a) | 39,000 | 48,293 |
| Interstate Power & Light Co. | | |
| 3.40%, 08/15/25 (a) | 193,000 | 203,893 |
| ITC Holdings Corp. | | |
| 2.95%, 05/14/30 (a)(g) | 135,000 | 138,096 |
| JAB HOLDINGS BV | | |
| 2.20%, 11/23/30 (a)(g) | 250,000 | 244,792 |
| John Deere Capital Corp. | | |
| 2.45%, 01/09/30 (a) | 134,000 | 138,100 |
| Johnson & Johnson | | |
| 3.63%, 03/03/37 (a) | 26,000 | 29,935 |
| Johnson Controls International PLC | | |
| 4.50%, 02/15/47 (a) | 12,000 | 14,604 |
| JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | | |
| 1.58%, 04/22/27 (a)(b) | 150,000 | 148,251 |
| JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | | |
| 2.96%, 05/13/31 (a)(b) | 89,000 | 92,105 |
| | Principal
Amount | Fair
Value |
| JPMorgan Chase & Co. (3.11% fixed rate until 04/22/50; 2.44% + SOFR thereafter) | | |
| 3.11%, 04/22/51 (a)(b) | $ 144,000 | $ 148,579 |
| JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | | |
| 3.16%, 04/22/42 (a)(b) | 73,000 | 76,011 |
| JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | | |
| 3.88%, 07/24/38 (a)(b) | 32,000 | 36,252 |
| JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | | |
| 3.90%, 01/23/49 (a)(b) | 61,000 | 70,689 |
| JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | | |
| 3.96%, 01/29/27 (a)(b) | 91,000 | 98,515 |
| JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | | |
| 4.01%, 04/23/29 (a)(b) | 35,000 | 38,668 |
| JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | | |
| 4.03%, 07/24/48 (a)(b) | 39,000 | 46,096 |
| JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | | |
| 4.49%, 03/24/31 (a)(b) | 132,000 | 152,812 |
| JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | | |
| 4.60%, 12/31/99 (a)(b) | 154,000 | 157,416 |
| JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | | |
| 6.10%, 10/29/49 (a)(b) | 118,000 | 125,030 |
| Kaiser Foundation Hospitals | | |
| 3.00%, 06/01/51 (a) | 74,000 | 76,290 |
| 3.27%, 11/01/49 (a) | 154,000 | 166,030 |
| Kansas City Southern | | |
| 3.50%, 05/01/50 (a) | 41,000 | 43,799 |
| Keurig Dr Pepper Inc. | | |
| 3.20%, 05/01/30 (a) | 62,000 | 65,612 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 3.80%, 05/01/50 (a) | $ 46,000 | $ 50,921 |
| Kinder Morgan Energy Partners LP | �� | |
| 4.70%, 11/01/42 (a) | 7,000 | 7,891 |
| 5.00%, 03/01/43 (a) | 22,000 | 25,593 |
| 6.38%, 03/01/41 (a) | 22,000 | 29,104 |
| Kinder Morgan Inc. | | |
| 1.75%, 11/15/26 (a) | 250,000 | 249,382 |
| 5.05%, 02/15/46 (a) | 21,000 | 25,146 |
| KLA Corp. | | |
| 3.30%, 03/01/50 (a) | 55,000 | 58,783 |
| 4.65%, 11/01/24 (a) | 76,000 | 82,404 |
| Kohl's Corp. | | |
| 3.38%, 05/01/31 (a) | 49,000 | 49,880 |
| Kyndryl Holdings Inc. | | |
| 2.05%, 10/15/26 (a)(g) | 102,000 | 99,466 |
| 2.70%, 10/15/28 (a)(g) | 204,000 | 197,670 |
| L3Harris Technologies Inc. | | |
| 3.85%, 12/15/26 (a) | 40,000 | 43,518 |
| Lear Corp. | | |
| 4.25%, 05/15/29 (a) | 35,000 | 38,686 |
| Leidos Inc. | | |
| 2.95%, 05/15/23 (a) | 155,000 | 158,715 |
| 3.63%, 05/15/25 (a) | 44,000 | 46,713 |
| 4.38%, 05/15/30 (a) | 189,000 | 210,835 |
| Liberty Mutual Group Inc. | | |
| 3.95%, 05/15/60 (a)(g) | 26,000 | 28,783 |
| Life Storage LP | | |
| 2.20%, 10/15/30 (a) | 75,000 | 73,742 |
| Lincoln National Corp. | | |
| 4.35%, 03/01/48 (a) | 28,000 | 33,701 |
| Lloyds Banking Group PLC (2.44% fixed rate until 02/05/25; 1.00% + 1 year CMT Rate thereafter) | | |
| 2.44%, 02/05/26 (a)(b) | 200,000 | 204,218 |
| Lockheed Martin Corp. | | |
| 3.55%, 01/15/26 (a) | 25,000 | 27,098 |
| 4.50%, 05/15/36 (a) | 50,000 | 61,095 |
| Lowe's Companies Inc. | | |
| 1.30%, 04/15/28 (a) | 34,000 | 32,612 |
| 1.70%, 09/15/28 - 10/15/30 (a) | 192,000 | 187,325 |
| 3.00%, 10/15/50 (a) | 52,000 | 51,357 |
| 3.50%, 04/01/51 (a) | 60,000 | 64,650 |
| 3.70%, 04/15/46 (a) | 8,000 | 8,766 |
| 4.05%, 05/03/47 (a) | 36,000 | 41,564 |
| LYB International Finance III LLC | | |
| 1.25%, 10/01/25 (a) | 39,000 | 38,429 |
| 3.63%, 04/01/51 (a) | 53,000 | 56,298 |
| 3.80%, 10/01/60 (a) | 25,000 | 26,429 |
| | Principal
Amount | Fair
Value |
| Marsh & McLennan Companies Inc. | | |
| 2.38%, 12/15/31 | $ 40,000 | $ 40,378 |
| 2.90%, 12/15/51 | 50,000 | 49,984 |
| Marvell Technology Inc. | | |
| 1.65%, 04/15/26 (a) | 161,000 | 159,240 |
| 2.45%, 04/15/28 (a) | 119,000 | 120,810 |
| McCormick & Company Inc. | | |
| 1.85%, 02/15/31 (a) | 37,000 | 35,432 |
| 3.25%, 11/15/25 (a) | 383,000 | 405,099 |
| McDonald's Corp. | | |
| 3.60%, 07/01/30 (a) | 81,000 | 89,571 |
| 3.63%, 09/01/49 (a) | 17,000 | 18,799 |
| 4.88%, 12/09/45 (a) | 21,000 | 27,043 |
| Medtronic Inc. | | |
| 4.63%, 03/15/45 (a) | 6,000 | 7,871 |
| Memorial Sloan-Kettering Cancer Center | | |
| 4.13%, 07/01/52 (a) | 89,000 | 111,857 |
| Merck & Company Inc. | | |
| 1.70%, 06/10/27 | 140,000 | 140,932 |
| 1.90%, 12/10/28 | 140,000 | 140,610 |
| 2.15%, 12/10/31 | 90,000 | 90,271 |
| 2.45%, 06/24/50 (a) | 69,000 | 65,144 |
| 2.75%, 02/10/25 (a) | 41,000 | 42,919 |
| 2.75%, 12/10/51 | 45,000 | 44,774 |
| 2.90%, 12/10/61 | 25,000 | 24,941 |
| 4.00%, 03/07/49 (a) | 16,000 | 19,472 |
| MetLife Inc. | | |
| 4.72%, 12/15/44 (a) | 34,000 | 44,073 |
| Microchip Technology Inc. | | |
| 2.67%, 09/01/23 (a) | 376,000 | 384,283 |
| Micron Technology Inc. | | |
| 3.37%, 11/01/41 (a) | 69,000 | 70,859 |
| 3.48%, 11/01/51 (a) | 95,000 | 96,892 |
| Microsoft Corp. | | |
| 2.40%, 08/08/26 (a) | 39,000 | 40,815 |
| 2.68%, 06/01/60 (a) | 16,000 | 15,932 |
| 2.92%, 03/17/52 (a) | 117,000 | 123,892 |
| 3.04%, 03/17/62 (a) | 41,000 | 44,143 |
| 3.45%, 08/08/36 (a) | 12,000 | 13,763 |
| 3.50%, 02/12/35 (a) | 33,000 | 37,792 |
| Mid-America Apartments LP | | |
| 2.88%, 09/15/51 (a) | 82,000 | 80,807 |
| Molson Coors Beverage Co. | | |
| 4.20%, 07/15/46 (a) | 16,000 | 17,763 |
| Morgan Stanley | | |
| 3.70%, 10/23/24 (a) | 23,000 | 24,501 |
| 4.35%, 09/08/26 (a) | 108,000 | 119,623 |
| 4.38%, 01/22/47 (a) | 32,000 | 40,131 |
| Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | | |
| 1.51%, 07/20/27 (a)(b) | 83,000 | 81,689 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | | |
| 2.48%, 09/16/36 (a)(b) | $ 321,000 | $ 308,985 |
| Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | | |
| 2.80%, 01/25/52 (a)(b) | 71,000 | 69,708 |
| Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | | |
| 3.62%, 04/01/31 (a)(b) | 69,000 | 75,269 |
| Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | | |
| 3.97%, 07/22/38 (a)(b) | 34,000 | 38,698 |
| MPLX LP | | |
| 2.65%, 08/15/30 (a) | 63,000 | 62,890 |
| 3.38%, 03/15/23 (a) | 26,000 | 26,666 |
| 5.20%, 12/01/47 (a) | 16,000 | 19,588 |
| Mylan Inc. | | |
| 5.20%, 04/15/48 (a) | 24,000 | 29,721 |
| National Retail Properties Inc. | | |
| 4.00%, 11/15/25 (a) | 48,000 | 52,079 |
| NewMarket Corp. | | |
| 2.70%, 03/18/31 (a) | 54,000 | 53,833 |
| Newmont Corp. | | |
| 4.88%, 03/15/42 (a) | 36,000 | 45,122 |
| NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) | | |
| 5.65%, 05/01/79 (a)(b) | 49,000 | 55,592 |
| NGPL PipeCo LLC | | |
| 3.25%, 07/15/31 (a)(g) | 108,000 | 109,899 |
| NIKE Inc. | | |
| 3.38%, 03/27/50 (a) | 24,000 | 27,162 |
| NiSource Inc. | | |
| 3.60%, 05/01/30 (a) | 56,000 | 60,496 |
| 3.95%, 03/30/48 (a) | 12,000 | 13,523 |
| Norfolk Southern Corp. | | |
| 3.95%, 10/01/42 (a) | 35,000 | 40,039 |
| NOV Inc. | | |
| 3.60%, 12/01/29 (a) | 81,000 | 84,842 |
| Novant Health Inc. | | |
| 3.32%, 11/01/61 (a) | 55,000 | 59,245 |
| Novartis Capital Corp. | | |
| 2.20%, 08/14/30 (a) | 81,000 | 82,234 |
| 3.00%, 11/20/25 (a) | 6,000 | 6,359 |
| Nutrien Ltd. | | |
| 4.90%, 06/01/43 (a) | 34,000 | 43,222 |
| NVIDIA Corp. | | |
| 3.50%, 04/01/50 (a) | 39,000 | 44,523 |
| | Principal
Amount | Fair
Value |
| NXP BV/NXP Funding LLC/NXP USA Inc. | | |
| 3.25%, 11/30/51 (g) | $ 100,000 | $ 100,040 |
| Oklahoma Gas & Electric Co. | | |
| 3.25%, 04/01/30 (a) | 47,000 | 50,008 |
| Oncor Electric Delivery Company LLC | | |
| 3.80%, 09/30/47 (a) | 10,000 | 11,605 |
| ONEOK Inc. | | |
| 4.35%, 03/15/29 (a) | 50,000 | 54,857 |
| Oracle Corp. | | |
| 2.30%, 03/25/28 (a) | 37,000 | 36,836 |
| 2.65%, 07/15/26 (a) | 53,000 | 54,525 |
| 2.88%, 03/25/31 (a) | 55,000 | 55,276 |
| 2.95%, 04/01/30 (a) | 81,000 | 81,869 |
| 3.60%, 04/01/50 (a) | 54,000 | 52,883 |
| 3.65%, 03/25/41 (a) | 58,000 | 58,726 |
| 3.80%, 11/15/37 (a) | 9,000 | 9,378 |
| 3.95%, 03/25/51 (a) | 58,000 | 60,352 |
| 4.00%, 07/15/46 - 11/15/47 (a) | 71,000 | 73,721 |
| 4.10%, 03/25/61 (a) | 70,000 | 73,083 |
| Otis Worldwide Corp. | | |
| 2.06%, 04/05/25 (a) | 95,000 | 96,815 |
| 2.57%, 02/15/30 (a) | 34,000 | 34,479 |
| 3.36%, 02/15/50 (a) | 31,000 | 32,760 |
| Ovintiv Exploration Inc. | | |
| 5.63%, 07/01/24 (a) | 361,000 | 397,779 |
| Pacific Gas & Electric Co. | | |
| 2.10%, 08/01/27 (a) | 47,000 | 45,451 |
| 2.50%, 02/01/31 (a) | 81,000 | 77,165 |
| 3.00%, 06/15/28 (a) | 77,000 | 77,152 |
| 3.30%, 08/01/40 (a) | 81,000 | 75,369 |
| 3.50%, 08/01/50 (a) | 34,000 | 31,785 |
| 4.30%, 03/15/45 (a) | 53,000 | 53,593 |
| PacifiCorp | | |
| 2.70%, 09/15/30 (a) | 50,000 | 51,625 |
| 2.90%, 06/15/52 (a) | 119,000 | 117,445 |
| 6.25%, 10/15/37 (a) | 2,000 | 2,781 |
| Packaging Corp. of America | | |
| 3.05%, 10/01/51 (a) | 73,000 | 72,649 |
| Parker-Hannifin Corp. | | |
| 3.25%, 06/14/29 (a) | 48,000 | 50,839 |
| PartnerRe Finance B LLC (4.50% fixed rate until 04/01/30; 3.82% + 5 year CMT Rate thereafter) | | |
| 4.50%, 10/01/50 (a)(b) | 42,000 | 44,520 |
| PayPal Holdings Inc. | | |
| 2.65%, 10/01/26 (a) | 71,000 | 74,679 |
| 3.25%, 06/01/50 (a) | 39,000 | 41,808 |
| PepsiCo Inc. | | |
| 1.63%, 05/01/30 (a) | 52,000 | 50,641 |
| 2.63%, 07/29/29 (a) | 70,000 | 73,618 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| 2.75%, 10/21/51 (a) | $ 124,000 | $ 127,675 |
| Pfizer Inc. | | |
| 2.70%, 05/28/50 (a) | 98,000 | 98,699 |
| 3.45%, 03/15/29 (a) | 21,000 | 23,159 |
| 3.60%, 09/15/28 (a) | 53,000 | 58,920 |
| 3.90%, 03/15/39 (a) | 29,000 | 33,925 |
| 4.13%, 12/15/46 (a) | 23,000 | 28,428 |
| 4.40%, 05/15/44 (a) | 7,000 | 8,763 |
| Philip Morris International Inc. | | |
| 1.50%, 05/01/25 (a) | 60,000 | 60,198 |
| 2.10%, 05/01/30 (a) | 27,000 | 26,509 |
| 3.38%, 08/15/29 (a) | 38,000 | 40,993 |
| 4.13%, 03/04/43 (a) | 20,000 | 22,130 |
| Phillips 66 | | |
| 2.15%, 12/15/30 (a) | 294,000 | 283,093 |
| 3.30%, 03/15/52 | 89,000 | 89,222 |
| Phillips 66 Partners LP | | |
| 3.15%, 12/15/29 (a) | 145,000 | 150,095 |
| 3.75%, 03/01/28 (a) | 12,000 | 12,893 |
| 4.68%, 02/15/45 (a) | 28,000 | 32,839 |
| Pioneer Natural Resources Co. | | |
| 1.13%, 01/15/26 (a) | 83,000 | 80,732 |
| 2.15%, 01/15/31 (a) | 47,000 | 45,382 |
| Plains All American Pipeline LP/PAA Finance Corp. | | |
| 3.55%, 12/15/29 (a) | 64,000 | 66,558 |
| 3.65%, 06/01/22 (a) | 107,000 | 107,501 |
| PPL Capital Funding Inc. | | |
| 3.10%, 05/15/26 (a) | 58,000 | 60,833 |
| Precision Castparts Corp. | | |
| 4.38%, 06/15/45 (a) | 34,000 | 42,062 |
| Prospect Capital Corp. | | |
| 3.36%, 11/15/26 (a) | 97,000 | 96,558 |
| Prudential Financial Inc. | | |
| 3.94%, 12/07/49 (a) | 55,000 | 64,403 |
| Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | | |
| 5.70%, 09/15/48 (a)(b) | 50,000 | 56,255 |
| Public Service Company of Colorado | | |
| 3.70%, 06/15/28 (a) | 49,000 | 53,883 |
| Public Service Electric & Gas Co. | | |
| 2.38%, 05/15/23 (a) | 109,000 | 110,933 |
| PVH Corp. | | |
| 4.63%, 07/10/25 (a) | 152,000 | 165,733 |
| QUALCOMM Inc. | | |
| 1.30%, 05/20/28 (a) | 15,000 | 14,535 |
| 4.30%, 05/20/47 (a) | 7,000 | 8,793 |
| | Principal
Amount | Fair
Value |
| Quanta Services Inc. | | |
| 2.35%, 01/15/32 (a) | $ 90,000 | $ 87,557 |
| 3.05%, 10/01/41 (a) | 98,000 | 95,883 |
| Quest Diagnostics Inc. | | |
| 2.95%, 06/30/30 (a) | 20,000 | 20,849 |
| Ralph Lauren Corp. | | |
| 1.70%, 06/15/22 (a) | 27,000 | 27,153 |
| Raytheon Technologies Corp. | | |
| 1.90%, 09/01/31 (a) | 102,000 | 98,367 |
| 2.82%, 09/01/51 (a) | 64,000 | 61,860 |
| 3.13%, 05/04/27 (a) | 82,000 | 87,335 |
| 3.50%, 03/15/27 (a) | 29,000 | 31,272 |
| 3.95%, 08/16/25 (a) | 26,000 | 28,187 |
| 4.15%, 05/15/45 (a) | 31,000 | 36,234 |
| 4.45%, 11/16/38 (a) | 27,000 | 32,520 |
| Realty Income Corp. | | |
| 2.85%, 12/15/32 | 50,000 | 52,006 |
| 3.00%, 01/15/27 (a) | 13,000 | 13,724 |
| 3.25%, 01/15/31 (a) | 52,000 | 55,871 |
| Regeneron Pharmaceuticals Inc. | | |
| 1.75%, 09/15/30 (a) | 95,000 | 89,901 |
| Regions Financial Corp. | | |
| 1.80%, 08/12/28 (a) | 206,000 | 201,703 |
| Republic Services Inc. | | |
| 2.38%, 03/15/33 (a) | 143,000 | 142,271 |
| Reynolds American Inc. | | |
| 4.45%, 06/12/25 (a) | 4,000 | 4,319 |
| Rio Tinto Finance Ltd. | | |
| 2.75%, 11/02/51 (a) | 241,000 | 239,224 |
| Rio Tinto Finance USA PLC | | |
| 4.13%, 08/21/42 (a) | 20,000 | 23,971 |
| Rockwell Automation Inc. | | |
| 2.80%, 08/15/61 (a) | 30,000 | 29,474 |
| 4.20%, 03/01/49 (a) | 38,000 | 47,666 |
| Rogers Communications Inc. | | |
| 5.00%, 03/15/44 (a) | 12,000 | 14,792 |
| Roper Technologies Inc. | | |
| 2.95%, 09/15/29 (a) | 55,000 | 56,976 |
| Ross Stores Inc. | | |
| 4.70%, 04/15/27 (a) | 18,000 | 20,295 |
| Royalty Pharma PLC | | |
| 0.75%, 09/02/23 (a) | 62,000 | 61,601 |
| 1.20%, 09/02/25 (a) | 82,000 | 80,544 |
| 1.75%, 09/02/27 (a) | 41,000 | 40,315 |
| 2.15%, 09/02/31 (a) | 69,000 | 65,834 |
| 2.20%, 09/02/30 (a) | 15,000 | 14,527 |
| 3.30%, 09/02/40 (a) | 7,000 | 6,979 |
| 3.35%, 09/02/51 (a) | 73,000 | 70,177 |
| RPM International Inc. | | |
| 3.75%, 03/15/27 (a) | 22,000 | 23,976 |
| Ryder System Inc. | | |
| 2.90%, 12/01/26 (a) | 142,000 | 148,549 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Sabine Pass Liquefaction LLC | | |
| 4.20%, 03/15/28 (a) | $ 24,000 | $ 26,347 |
| 4.50%, 05/15/30 (a) | 31,000 | 35,032 |
| 5.00%, 03/15/27 (a) | 7,000 | 7,878 |
| 5.88%, 06/30/26 (a) | 103,000 | 118,196 |
| Salesforce.com Inc. | | |
| 1.95%, 07/15/31 (a) | 119,000 | 117,862 |
| 2.70%, 07/15/41 (a) | 89,000 | 88,763 |
| Santander UK Group Holdings PLC | | |
| 4.75%, 09/15/25 (a)(g) | 200,000 | 218,448 |
| Saudi Arabian Oil Co. | | |
| 3.50%, 04/16/29 (a)(g) | 254,000 | 271,493 |
| 4.38%, 04/16/49 (a)(g) | 254,000 | 295,143 |
| Schlumberger Holdings Corp. | | |
| 3.90%, 05/17/28 (a)(g) | 43,000 | 46,507 |
| Sealed Air Corp. | | |
| 1.57%, 10/15/26 (a)(g) | 372,000 | 360,892 |
| Selective Insurance Group Inc. | | |
| 5.38%, 03/01/49 (a) | 21,000 | 27,834 |
| Sempra Energy | | |
| 3.80%, 02/01/38 (a) | 12,000 | 13,199 |
| 4.00%, 02/01/48 (a) | 18,000 | 20,125 |
| Sempra Energy (4.13% fixed rate until 01/04/27; 2.87% + 5 year CMT Rate thereafter) | | |
| 4.13%, 04/01/52 (b) | 129,000 | 130,358 |
| Shell International Finance BV | | |
| 3.13%, 11/07/49 (a) | 51,000 | 52,585 |
| 3.75%, 09/12/46 (a) | 17,000 | 19,136 |
| 4.13%, 05/11/35 (a) | 22,000 | 25,733 |
| Shire Acquisitions Investments Ireland DAC | | |
| 2.88%, 09/23/23 (a) | 9,000 | 9,254 |
| 3.20%, 09/23/26 (a) | 8,000 | 8,488 |
| Simon Property Group LP | | |
| 3.38%, 06/15/27 (a) | 31,000 | 33,290 |
| SLM Corp. | | |
| 3.13%, 11/02/26 (a) | 143,000 | 142,222 |
| South Jersey Industries Inc. | | |
| 5.02%, 04/15/31 (a) | 145,000 | 158,988 |
| Southern California Edison Co. | | |
| 2.40%, 02/01/22 (a) | 86,000 | 86,116 |
| 4.00%, 04/01/47 (a) | 96,000 | 106,016 |
| 4.20%, 03/01/29 (a) | 70,000 | 78,175 |
| Southern Company Gas Capital Corp. | | |
| 3.95%, 10/01/46 (a) | 53,000 | 58,638 |
| 4.40%, 05/30/47 (a) | 7,000 | 8,151 |
| Southwest Airlines Co. | | |
| 2.63%, 02/10/30 (a) | 81,000 | 80,992 |
| | Principal
Amount | Fair
Value |
| Southwestern Electric Power Co. | | |
| 2.75%, 10/01/26 (a) | $ 36,000 | $ 37,273 |
| Spectra Energy Partners LP | | |
| 3.38%, 10/15/26 (a) | 8,000 | 8,491 |
| 4.50%, 03/15/45 (a) | 7,000 | 8,065 |
| Spirit Realty LP | | |
| 4.00%, 07/15/29 (a) | 62,000 | 68,106 |
| Starbucks Corp. | | |
| 4.00%, 11/15/28 (a) | 22,000 | 24,616 |
| STERIS Irish FinCo UnLtd Co. | | |
| 2.70%, 03/15/31 (a) | 200,000 | 202,344 |
| Stryker Corp. | | |
| 1.95%, 06/15/30 (a) | 109,000 | 106,550 |
| 2.90%, 06/15/50 (a) | 50,000 | 50,482 |
| Sumitomo Mitsui Financial Group Inc. | | |
| 4.44%, 04/02/24 (a)(g) | 466,000 | 494,501 |
| Sumitomo Mitsui Trust Bank Ltd. | | |
| 1.35%, 09/16/26 (a)(g) | 484,000 | 476,643 |
| Suncor Energy Inc. | | |
| 4.00%, 11/15/47 (a) | 8,000 | 8,962 |
| Svenska Handelsbanken AB (1.42% fixed rate until 06/11/26; 0.63% + 1 year CMT Rate thereafter) | | |
| 1.42%, 06/11/27 (a)(b)(g) | 250,000 | 245,812 |
| Sysco Corp. | | |
| 3.25%, 07/15/27 (a) | 26,000 | 27,631 |
| 5.95%, 04/01/30 (a) | 8,000 | 10,000 |
| 6.60%, 04/01/50 (a) | 11,000 | 17,177 |
| Takeda Pharmaceutical Company Ltd. | | |
| 2.05%, 03/31/30 (a) | 200,000 | 194,980 |
| 3.03%, 07/09/40 (a) | 200,000 | 201,394 |
| 3.18%, 07/09/50 (a) | 200,000 | 202,758 |
| 3.38%, 07/09/60 (a) | 200,000 | 207,812 |
| Tampa Electric Co. | | |
| 2.40%, 03/15/31 (a) | 101,000 | 102,129 |
| 3.45%, 03/15/51 (a) | 74,000 | 81,350 |
| 4.35%, 05/15/44 (a) | 68,000 | 81,444 |
| Tapestry Inc. | | |
| 4.13%, 07/15/27 (a) | 9,000 | 9,737 |
| Target Corp. | | |
| 2.50%, 04/15/26 (a) | 30,000 | 31,460 |
| Teck Resources Ltd. | | |
| 3.90%, 07/15/30 (a) | 86,000 | 92,532 |
| 5.40%, 02/01/43 (a) | 29,000 | 35,556 |
| Texas Instruments Inc. | | |
| 3.88%, 03/15/39 (a) | 40,000 | 47,222 |
| The Allstate Corp. | | |
| 4.20%, 12/15/46 (a) | 19,000 | 22,894 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | | |
| 5.75%, 08/15/53 (a)(b) | $ 103,000 | $ 107,129 |
| The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | | |
| 4.63%, 12/29/49 (a)(b) | 53,000 | 55,737 |
| The Boeing Co. | | |
| 2.20%, 02/04/26 (a) | 153,000 | 152,976 |
| 2.70%, 02/01/27 (a) | 132,000 | 134,573 |
| 2.95%, 02/01/30 (a) | 32,000 | 32,406 |
| 3.25%, 03/01/28 (a) | 7,000 | 7,236 |
| 3.55%, 03/01/38 (a) | 6,000 | 6,081 |
| 3.75%, 02/01/50 (a) | 29,000 | 30,050 |
| 5.04%, 05/01/27 (a) | 191,000 | 215,698 |
| 5.15%, 05/01/30 (a) | 108,000 | 126,010 |
| 5.81%, 05/01/50 (a) | 67,000 | 90,699 |
| The Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT Rate thereafter) | | |
| 4.00%, 12/31/99 (a)(b) | 133,000 | 134,196 |
| The Cleveland Electric Illuminating Co. | | |
| 4.55%, 11/15/30 (a)(g) | 131,000 | 150,596 |
| The Clorox Co. | | |
| 1.80%, 05/15/30 (a) | 75,000 | 72,761 |
| The Coca-Cola Co. | | |
| 2.60%, 06/01/50 (a) | 55,000 | 54,090 |
| 2.75%, 06/01/60 (a) | 42,000 | 41,722 |
| The Dow Chemical Co. | | |
| 2.10%, 11/15/30 (a) | 41,000 | 40,328 |
| 3.60%, 11/15/50 (a) | 41,000 | 44,456 |
| 4.25%, 10/01/34 (a) | 27,000 | 31,162 |
| 5.55%, 11/30/48 (a) | 28,000 | 39,468 |
| The Estee Lauder Companies Inc. | | |
| 2.38%, 12/01/29 (a) | 39,000 | 39,930 |
| The George Washington University | | |
| 4.13%, 09/15/48 | 100,000 | 121,489 |
| The Goldman Sachs Group Inc. | | |
| 3.50%, 04/01/25 - 11/16/26 (a) | 198,000 | 210,630 |
| 3.85%, 01/26/27 (a) | 231,000 | 248,708 |
| 4.25%, 10/21/25 (a) | 5,000 | 5,456 |
| 5.15%, 05/22/45 (a) | 28,000 | 36,337 |
| | Principal
Amount | Fair
Value |
| The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | | |
| 1.54%, 09/10/27 (a)(b) | $ 98,000 | $ 96,068 |
| The Goldman Sachs Group Inc. (1.99% fixed rate until 01/27/31; 1.09% + SOFR thereafter) | | |
| 1.99%, 01/27/32 (a)(b) | 125,000 | 119,639 |
| The Goldman Sachs Group Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) | | |
| 2.38%, 07/21/32 (a)(b) | 55,000 | 54,159 |
| The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | | |
| 2.91%, 06/05/23 (a)(b) | 104,000 | 104,872 |
| The Goldman Sachs Group Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) | | |
| 2.91%, 07/21/42 (a)(b) | 42,000 | 41,743 |
| The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | | |
| 3.21%, 04/22/42 (a)(b) | 65,000 | 67,295 |
| The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | | |
| 3.81%, 04/23/29 (a)(b) | 28,000 | 30,475 |
| The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | | |
| 4.02%, 10/31/38 (a)(b) | 31,000 | 35,453 |
| The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter) | | |
| 4.22%, 05/01/29 (a)(b) | 48,000 | 53,340 |
| The Hartford Financial Services Group Inc. | | |
| 2.80%, 08/19/29 (a) | 115,000 | 119,208 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| The Hartford Financial Services Group Inc. (2.28% fixed rate until 01/31/22; 2.13% + 3 month USD LIBOR thereafter) | | |
| 2.28%, 02/12/47 (a)(b)(g) | $ 69,000 | $ 65,318 |
| The Home Depot Inc. | | |
| 2.70%, 04/15/30 (a) | 31,000 | 32,559 |
| 3.35%, 04/15/50 (a) | 54,000 | 59,034 |
| 3.50%, 09/15/56 (a) | 34,000 | 38,379 |
| 3.90%, 12/06/28 - 06/15/47 (a) | 50,000 | 57,539 |
| 4.50%, 12/06/48 (a) | 21,000 | 27,225 |
| The Kroger Co. | | |
| 2.20%, 05/01/30 (a) | 48,000 | 47,785 |
| 4.65%, 01/15/48 (a) | 16,000 | 19,879 |
| The Northwestern Mutual Life Insurance Co. | | |
| 3.45%, 03/30/51 (a)(g) | 75,000 | 80,222 |
| The Southern Co. | | |
| 3.25%, 07/01/26 (a) | 12,000 | 12,716 |
| The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | | |
| 3.63%, 09/15/31 (a)(b) | 42,000 | 45,113 |
| The Travelers Companies Inc. | | |
| 2.55%, 04/27/50 (a) | 83,000 | 79,152 |
| The Walt Disney Co. | | |
| 2.65%, 01/13/31 (a) | 81,000 | 84,196 |
| 3.38%, 11/15/26 (a) | 7,000 | 7,530 |
| 3.60%, 01/13/51 (a) | 52,000 | 58,837 |
| 4.75%, 11/15/46 (a) | 7,000 | 9,011 |
| 6.65%, 11/15/37 (a) | 54,000 | 80,045 |
| The Williams Companies Inc. | | |
| 3.75%, 06/15/27 (a) | 7,000 | 7,563 |
| 4.85%, 03/01/48 (a) | 26,000 | 31,651 |
| 4.90%, 01/15/45 (a) | 63,000 | 75,420 |
| 5.40%, 03/04/44 (a) | 7,000 | 8,687 |
| Thermo Fisher Scientific Inc. | | |
| 2.80%, 10/15/41 (a) | 61,000 | 61,598 |
| Time Warner Cable LLC | | |
| 6.55%, 05/01/37 (a) | 23,000 | 30,129 |
| T-Mobile USA Inc. | | |
| 3.50%, 04/15/25 (a) | 96,000 | 101,734 |
| 3.75%, 04/15/27 (a) | 121,000 | 131,018 |
| 3.88%, 04/15/30 (a) | 32,000 | 35,017 |
| 4.50%, 04/15/50 (a) | 14,000 | 16,403 |
| Total Capital International S.A. | | |
| 3.46%, 02/19/29 (a) | 57,000 | 61,990 |
| Trane Technologies Luxembourg Finance S.A. | | |
| 3.55%, 11/01/24 (a) | 52,000 | 55,030 |
| 3.80%, 03/21/29 (a) | 12,000 | 13,112 |
| | Principal
Amount | Fair
Value |
| TransCanada PipeLines Ltd. | | |
| 4.25%, 05/15/28 (a) | $ 71,000 | $ 79,290 |
| 4.88%, 01/15/26 (a) | 15,000 | 16,734 |
| Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | | |
| 5.63%, 05/20/75 (a)(b) | 151,000 | 158,594 |
| Transcontinental Gas Pipe Line Company LLC | | |
| 4.00%, 03/15/28 (a) | 31,000 | 33,976 |
| Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | | |
| 4.80%, 12/31/99 (a)(b) | 206,000 | 215,348 |
| TWDC Enterprises 18 Corp. | | |
| 4.13%, 06/01/44 (a) | 7,000 | 8,311 |
| Tyco Electronics Group S.A. | | |
| 3.13%, 08/15/27 (a) | 30,000 | 32,025 |
| Tyson Foods Inc. | | |
| 4.00%, 03/01/26 (a) | 130,000 | 141,046 |
| 4.55%, 06/02/47 (a) | 7,000 | 8,676 |
| UBS Group AG (2.86% fixed rate until 08/15/22; 0.95% + 3 month USD LIBOR thereafter) | | |
| 2.86%, 08/15/23 (a)(b)(g) | 284,000 | 287,382 |
| UBS Group AG (3.13% fixed rate until 08/13/29; 1.47% + 3 month USD LIBOR thereafter) | | |
| 3.13%, 08/13/30 (a)(b)(g) | 259,000 | 271,170 |
| UDR Inc. | | |
| 2.10%, 08/01/32 (a) | 69,000 | 65,984 |
| 3.00%, 08/15/31 (a) | 42,000 | 43,779 |
| UniCredit S.p.A. (2.57% fixed rate until 09/22/25; 2.30% + 1 year CMT Rate thereafter) | | |
| 2.57%, 09/22/26 (a)(b)(g) | 360,000 | 360,392 |
| Union Pacific Corp. | | |
| 3.55%, 05/20/61 (a) | 63,000 | 69,720 |
| 3.60%, 09/15/37 (a) | 10,000 | 11,211 |
| 3.80%, 04/06/71 (a) | 31,000 | 35,937 |
| 4.10%, 09/15/67 (a) | 22,000 | 26,772 |
| UnitedHealth Group Inc. | | |
| 2.00%, 05/15/30 (a) | 86,000 | 85,362 |
| 4.45%, 12/15/48 (a) | 53,000 | 67,755 |
| 4.75%, 07/15/45 (a) | 13,000 | 17,012 |
| Utah Acquisition Sub Inc. | | |
| 3.95%, 06/15/26 (a) | 8,000 | 8,629 |
| Valero Energy Corp. | | |
| 2.85%, 04/15/25 (a) | 75,000 | 77,916 |
| 4.00%, 04/01/29 (a) | 68,000 | 74,153 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Ventas Realty LP | | |
| 3.25%, 10/15/26 (a) | $ 39,000 | $ 41,297 |
| Verizon Communications Inc. | | |
| 2.10%, 03/22/28 (a) | 108,000 | 108,329 |
| 2.36%, 03/15/32 (a)(g) | 145,000 | 143,012 |
| 2.55%, 03/21/31 (a) | 101,000 | 102,027 |
| 3.00%, 03/22/27 (a) | 190,000 | 200,475 |
| 3.40%, 03/22/41 (a) | 74,000 | 77,660 |
| 3.55%, 03/22/51 (a) | 54,000 | 58,189 |
| 3.70%, 03/22/61 (a) | 70,000 | 75,774 |
| 4.40%, 11/01/34 (a) | 56,000 | 65,196 |
| 4.86%, 08/21/46 (a) | 121,000 | 155,866 |
| 5.25%, 03/16/37 (a) | 23,000 | 29,962 |
| ViacomCBS Inc. | | |
| 2.90%, 01/15/27 (a) | 23,000 | 24,006 |
| 3.70%, 06/01/28 (a) | 22,000 | 23,831 |
| 5.25%, 04/01/44 (a) | 6,000 | 7,493 |
| Virginia Electric & Power Co. | | |
| 4.00%, 11/15/46 (a) | 59,000 | 68,651 |
| Visa Inc. | | |
| 2.70%, 04/15/40 (a) | 55,000 | 56,154 |
| Vistra Operations Company LLC | | |
| 3.55%, 07/15/24 (a)(g) | 189,000 | 194,887 |
| Viterra Finance BV | | |
| 2.00%, 04/21/26 (a)(g) | 373,000 | 370,934 |
| Vodafone Group PLC | | |
| 4.38%, 05/30/28 (a) | 30,000 | 33,800 |
| 5.25%, 05/30/48 (a) | 22,000 | 28,730 |
| Volkswagen Group of America Finance LLC | | |
| 1.63%, 11/24/27 (a)(g) | 232,000 | 225,372 |
| Vontier Corp. | | |
| 2.40%, 04/01/28 (a)(g) | 141,000 | 137,407 |
| 2.95%, 04/01/31 (a)(g) | 109,000 | 107,366 |
| Vornado Realty LP | | |
| 2.15%, 06/01/26 (a) | 127,000 | 127,272 |
| 3.40%, 06/01/31 (a) | 47,000 | 48,433 |
| 3.50%, 01/15/25 (a) | 27,000 | 28,318 |
| Walgreens Boots Alliance Inc. | | |
| 4.10%, 04/15/50 (a) | 6,000 | 6,733 |
| Walmart Inc. | | |
| 1.80%, 09/22/31 (a) | 69,000 | 68,329 |
| 2.50%, 09/22/41 (a) | 69,000 | 69,706 |
| 2.65%, 09/22/51 (a) | 35,000 | 35,773 |
| Waste Connections Inc. | | |
| 2.20%, 01/15/32 (a) | 95,000 | 93,179 |
| 2.95%, 01/15/52 (a) | 95,000 | 93,438 |
| WEC Energy Group Inc. | | |
| 3.55%, 06/15/25 (a) | 10,000 | 10,597 |
| Wells Fargo & Co. | ��� | |
| 4.15%, 01/24/29 (a) | 92,000 | 102,866 |
| 4.75%, 12/07/46 (a) | 93,000 | 115,675 |
| | Principal
Amount | Fair
Value |
| Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | | |
| 1.65%, 06/02/24 (a)(b) | $ 101,000 | $ 101,847 |
| Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | | |
| 2.19%, 04/30/26 (a)(b) | 122,000 | 124,305 |
| Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | | |
| 2.39%, 06/02/28 (a)(b) | 435,000 | 442,212 |
| Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | | |
| 3.07%, 04/30/41 (a)(b) | 111,000 | 113,562 |
| Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | | |
| 3.20%, 06/17/27 (a)(b) | 249,000 | 262,971 |
| Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | | |
| 5.88%, 12/29/49 (a)(b) | 71,000 | 77,062 |
| Westlake Chemical Corp. | | |
| 2.88%, 08/15/41 (a) | 39,000 | 37,671 |
| 3.13%, 08/15/51 (a) | 44,000 | 42,462 |
| 3.38%, 08/15/61 (a) | 43,000 | 41,357 |
| Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | | |
| 2.89%, 02/04/30 (a)(b) | 86,000 | 87,809 |
| Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | | |
| 4.11%, 07/24/34 (a)(b) | 62,000 | 66,878 |
| Willis North America Inc. | | |
| 3.60%, 05/15/24 (a) | 51,000 | 53,449 |
| 3.88%, 09/15/49 (a) | 55,000 | 59,786 |
| WPP Finance 2010 | | |
| 3.75%, 09/19/24 (a) | 33,000 | 34,931 |
| Xcel Energy Inc. | | |
| 3.40%, 06/01/30 (a) | 66,000 | 71,058 |
| Yamana Gold Inc. | | |
| 2.63%, 08/15/31 (a)(g) | 109,000 | 105,220 |
| Zoetis Inc. | | |
| 3.00%, 09/12/27 (a) | 7,000 | 7,402 |
| 3.90%, 08/20/28 (a) | 31,000 | 34,472 |
| | | 70,962,240 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Non-Agency Collateralized Mortgage Obligations - 5.7% |
| BANK 2017-BNK7 | | |
| 3.18%, 09/15/60 | $ 2,398,000 | $ 2,540,528 |
| BANK 2018-BNK15 | | |
| 4.41%, 11/15/61 (b) | 1,001,000 | 1,143,182 |
| Cantor Commercial Real Estate Lending 2019-CF3 | | |
| 3.01%, 01/15/53 | 460,000 | 487,030 |
| CD 2019-CD8 Mortgage Trust | | |
| 2.91%, 08/15/57 | 839,000 | 881,915 |
| Citigroup Commercial Mortgage Trust 2015-GC35 | | |
| 4.46%, 11/10/48 (b) | 482,000 | 455,774 |
| Citigroup Commercial Mortgage Trust 2016-P6 | | |
| 4.03%, 12/10/49 (b) | 336,823 | 362,402 |
| COMM 2012-CCRE3 Mortgage Trust | | |
| 3.92%, 10/15/45 (g) | 191,000 | 190,048 |
| COMM 2013-LC13 Mortgage Trust | | |
| 4.56%, 08/10/46 (b)(g) | 170,000 | 177,509 |
| COMM 2014-CR14 Mortgage Trust | | |
| 4.53%, 02/10/47 (b) | 240,000 | 252,784 |
| GS Mortgage Securities Trust 2012-GCJ9 | | |
| 1.92%, 11/10/45 (b)(d) | 657,182 | 5,058 |
| GS Mortgage Securities Trust 2014-GC22 | | |
| 4.69%, 06/10/47 (b) | 285,000 | 292,169 |
| GS Mortgage Securities Trust 2015-GS1 | | |
| 4.42%, 11/10/48 (b) | 380,000 | 333,440 |
| GS Mortgage Securities Trust 2018-GS9 | | |
| 4.14%, 03/10/51 (b) | 291,000 | 319,764 |
| GS Mortgage Securities Trust 2019-GC42 | | |
| 2.75%, 09/01/52 | 1,523,000 | 1,564,430 |
| GS Mortgage Securities Trust 2019-GSA1 | | |
| 3.05%, 11/10/52 | 743,000 | 787,263 |
| Impac CMB Trust 2004-5 (0.80% fixed rate until 01/25/22; 0.72% + 1 month USD LIBOR thereafter) | | |
| 0.82%, 10/25/34 (b) | 20,666 | 20,570 |
| JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | | |
| 1.39%, 12/15/47 (b)(d) | 459,195 | 4,030 |
| JPMBB Commercial Mortgage Securities Trust 2013-C12 | | |
| 4.04%, 07/15/45 (b) | 125,000 | 128,795 |
| | Principal
Amount | Fair
Value |
| JPMBB Commercial Mortgage Securities Trust 2015-C32 | | |
| 4.65%, 11/15/48 (b) | $ 250,000 | $ 203,051 |
| MASTR Alternative Loan Trust 2003-5 | | |
| 5.00%, 08/25/18 (d) | 1,540 | 16 |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | | |
| 0.86%, 03/15/48 (b)(d) | 3,204,472 | 70,240 |
| UBS-Barclays Commercial Mortgage Trust 2013-C6 | | |
| 3.88%, 04/10/46 (b)(g) | 955,000 | 964,257 |
| Wells Fargo Commercial Mortgage Trust 2014-LC16 | | |
| 4.32%, 08/15/50 | 485,082 | 452,126 |
| Wells Fargo Commercial Mortgage Trust 2015-C26 | | |
| 1.20%, 02/15/48 (b)(d) | 2,499,463 | 76,944 |
| WFRBS Commercial Mortgage Trust 2013-C17 | | |
| 4.26%, 12/15/46 | 235,000 | 245,593 |
| WFRBS Commercial Mortgage Trust 2014-LC14 | | |
| 4.35%, 03/15/47 (b) | 533,000 | 558,599 |
| | | 12,517,517 |
| Sovereign Bonds - 1.1% |
| Government of Chile | | |
| 2.55%, 01/27/32 (a) | 290,000 | 289,405 |
| 3.86%, 06/21/47 (a) | 200,000 | 222,210 |
| Government of Mexico | | |
| 4.00%, 10/02/23 (a) | 16,000 | 16,851 |
| 4.75%, 03/08/44 (a) | 200,000 | 218,632 |
| Government of Panama | | |
| 3.16%, 01/23/30 (a) | 200,000 | 207,472 |
| 3.87%, 07/23/60 (a) | 200,000 | 200,054 |
| Government of Peru | | |
| 1.86%, 12/01/32 (a) | 140,000 | 127,856 |
| 2.78%, 12/01/60 (a) | 230,000 | 202,931 |
| 5.63%, 11/18/50 (a) | 105,000 | 147,833 |
| Government of Philippines | | |
| 3.95%, 01/20/40 (a) | 200,000 | 224,616 |
| Government of Qatar | | |
| 4.82%, 03/14/49 (a)(g) | 258,000 | 338,855 |
| Government of Uruguay | | |
| 5.10%, 06/18/50 (a) | 105,744 | 140,254 |
| | | 2,336,969 |
| Municipal Bonds and Notes - 0.4% |
| American Municipal Power Inc. | | |
| 6.27%, 02/15/50 | 135,000 | 192,928 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Board of Regents of the University of Texas System | | |
| 3.35%, 08/15/47 | $ 115,000 | $ 133,838 |
| Port Authority of New York & New Jersey | | |
| 4.46%, 10/01/62 | 220,000 | 291,604 |
| State of California | | |
| 4.60%, 04/01/38 | 200,000 | 230,230 |
| State of Illinois | | |
| 5.10%, 06/01/33 | 95,000 | 109,809 |
| | | 958,409 |
Total Bonds and Notes
(Cost $210,055,994) | | 214,633,008 |
| | Number
of Shares | |
| Domestic Equity - 0.1% |
| Preferred Stock - 0.1% |
Wells Fargo & Co. 5.85%, (3.09% + 3 month USD LIBOR)
(Cost $168,161) (b) | 7,459 | 199,827 |
Total Investments in Securities
(Cost $210,224,155) | | 214,832,835 |
| | Number
of Shares | Fair
Value |
| Short-Term Investments - 11.6% |
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (h)(i)
(Cost $25,377,841) | 25,377,841 | $ 25,377,841 |
Total Investments
(Cost $235,601,996) | | 240,210,676 |
| Liabilities in Excess of Other Assets, net - (9.8)% | | (21,386,378) |
| NET ASSETS - 100.0% | | $ 218,824,298 |
Other Information:
| Centrally Cleared Credit Default Swaps |
| Reference Entity | Counterparty | Notional
Amount
(000s
omitted) | Contract
Annual
Fixed Rate/
Payment
Frequency | Termination
Date | Market
Value | Unamortized
Upfront
Payments
Received (Paid) | Unrealized
Appreciation
(Depreciation) |
| Buy Protection | | | | | | | |
| Markit CDX North America High Yield Index | Intercontinental Exchange | $5,049 | 5.00%/
Quarterly | 06/20/26 | $458,254 | $464,461 | $ (6,207) |
| Sell Protection | | | | | | | |
| Markit CDX North America High Yield Index | Intercontinental Exchange | 3,146 | 1.00%/
Quarterly | 12/20/26 | (76,877) | (62,471) | (14,406) |
| | | | | | | | $(20,613) |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| The Fund had the following long futures contracts open at December 31, 2021: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 5 Yr. U.S. Treasury Notes Futures | March 2022 | 96 | $ 11,619,933 | $ 11,613,750 | $ (6,183) |
| Ultra Long-Term U.S. Treasury Bond Futures | March 2022 | 26 | 4,991,237 | 5,125,250 | 134,013 |
| 2 Yr. U.S. Treasury Notes Futures | March 2022 | 85 | 18,579,810 | 18,544,610 | (35,200) |
| U.S. Long Bond Futures | March 2022 | 21 | 3,343,771 | 3,369,187 | 25,416 |
| | | | | | $ 118,046 |
| The Fund had the following short futures contracts open at December 31, 2021: |
| Description | Expiration
date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | March 2022 | 66 | $ (8,524,734) | $ (8,610,938) | $ (86,204) |
| 10 Yr. U.S. Treasury Ultra Futures | March 2022 | 45 | (6,508,842) | (6,589,687) | (80,845) |
| | | | | | $ (167,049) |
| | | | | | $ (49,003) |
| During the fiscal year ended December 31, 2021, average notional values related to derivative contracts were as follows: |
| | Long
Futures
Contracts | Short
Futures
Contracts | Credit
Default
Swap
Contracts |
| Average Notional Value | $37,120,331 | $20,837,255 | $5,096,441 |
Notes to Schedule of Investments – December 31, 2021
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund's future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund's summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) | At December 31, 2021, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
| (d) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
| (e) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. |
| (f) | Step coupon bond. |
| (g) | 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, 2021, these securities amounted to $14,706,559 or 6.72% of the net assets of the Elfun Income Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2021
| (h) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
| (i) | Coupon amount represents effective yield. |
| † | Percentages are based on net assets as of December 31, 2021. |
| ** | Amount is less than $0.50. |
| Abbreviations: |
| CMT - Constant Maturity Treasury |
| LIBOR - London Interbank Offered Rate |
| REMIC - Real Estate Mortgage Investment Conduit |
| SOFR - Secured Overnight Financing Rate |
| STRIPS - Separate Trading of Registered Interest and Principal of Security |
| TBA - To Be Announced |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2021:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| U.S. Treasuries | $ — | | $ 70,375,682 | | $ — | | $ 70,375,682 |
| Agency Mortgage Backed | — | | 54,177,915 | | — | | 54,177,915 |
| Agency Collateralized Mortgage Obligations | — | | 1,594,162 | | — | | 1,594,162 |
| Asset Backed | — | | 1,710,114 | | — | | 1,710,114 |
| Corporate Notes | — | | 70,962,240 | | — | | 70,962,240 |
| Non-Agency Collateralized Mortgage Obligations | — | | 12,517,517 | | — | | 12,517,517 |
| Sovereign Bonds | — | | 2,336,969 | | — | | 2,336,969 |
| Municipal Bonds and Notes | — | | 958,409 | | — | | 958,409 |
| Preferred Stock | 199,827 | | — | | — | | 199,827 |
| Short-Term Investments | 25,377,841 | | — | | — | | 25,377,841 |
| Total Investments in Securities | $ 25,577,668 | | $ 214,633,008 | | $ — | | $ 240,210,676 |
| Other Financial Instruments | | | | | | | |
| Credit Default Swap Contracts - Unrealized Depreciation | $ — | | $ (20,613) | | $ — | | $ (20,613) |
| Long Futures Contracts - Unrealized Appreciation | 159,429 | | — | | — | | 159,429 |
| Long Futures Contracts - Unrealized Depreciation | (41,383) | | — | | — | | (41,383) |
| Short Futures Contracts - Unrealized Depreciation | (167,049) | | — | | — | | (167,049) |
| Total Other Financial Instruments | $ (49,003) | | $ (20,613) | | $ — | | $ (69,616) |
| | Number
of Shares
Held at
12/31/20 | Value at
12/31/20 | Cost of
Purchases | Proceeds
from
Shares
Sold | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/21 | Value at
12/31/21 | Dividend
Income |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 30,523,302 | $30,523,302 | $114,156,666 | $119,302,127 | $— | $— | 25,377,841 | $25,377,841 | $7,799 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Government Money Market Fund
Management's Discussion of Fund Performance — December 31, 2021 (Unaudited)
The Elfun Government Money Market Fund (the “Fund”) seeks a high level of current income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Daily-Linked 90-Day T-Bill Index (the “Index”).
For the 12-month period ended December 31, 2021 (the “Reporting Period”), the total return for the Fund was 0.00%, and the Index was 0.05%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Over the course of 2021 the Fund adhered to its primary objective of principle preservation and liquidity while generating a market rate of return. The Federal Reserve maintained its monetary policy rate of 0-25bps throughout the year. Rates remained range bound and Credit conditions were stable. The Fund's performance was driven by investment in short term U.S. Treasuries, Agencies, and Repurchase Agreements. The duration of the Fund was managed in order to maximize safety and liquidity but allowing for competitive returns. As the year closed out it became apparent the Fed was accelerating the timeline for reducing pandemic related accommodative monetary policy. Three month Treasury Bills declined from 0.07% at the beginning of the year, reaching a low of 0.003% in the second quarter before backing up to 0.04% by year’s end.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
| 96 | Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Performance Summary — December 31, 2021 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $145,469 (in thousands) as of December 31, 2021 (a) |
| Average Annual Total Return for the years ended December 31, 2021 |
| (Inception date 6/13/90) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Government Money Market Fund | —% | | 0.89% | | 0.46% | | $10,475 |
| Daily-linked 90-Day T-Bill | 0.05% | | 1.10% | | 0.60% | | $10,599 |
|
| (a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| Elfun Government Money Market Fund | 97 |
Elfun Government Money Market Fund
Performance Summary, continued — December 31, 2021 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares
An investment in the Elfun Government Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or by any other Government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per unit, it is possible to lose money by investing in the Fund.
| 98 | Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Understanding Your Fund’s Expenses — December 31, 2021 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors 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, 2021.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
July 1, 2021 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2021 | $1,000.00 | | $1,024.70 |
| Expenses Paid During Period* | $ 0.55 | | $ 0.56 |
| * | Expenses are equal to the Fund's annualized net expense ratio of 0.11%** (for the period July 1, 2021 - December 31, 2021), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year's data. |
| Elfun Government Money Market Fund | 99 |
Elfun Government Money Market Fund
Schedule of Investments — December 31, 2021
| | Principal
Amount | Fair
Value |
| Short-Term Investments - 102.1% † |
| U.S. Treasuries - 35.0% |
| U.S. Cash Management Bills | | |
0.00%
03/29/22 - 04/05/22 (a) | $ 2,510,000 | $ 2,509,552 |
| U.S. Treasury Bills | | |
0.00%
01/11/22 - 06/02/22 (a) | 28,987,000 | 28,984,137 |
0.05%
01/06/22 - 02/10/22 (a) | 1,980,000 | 1,979,943 |
| U.S. Treasury Notes | | |
1.75%
03/31/22 - 06/30/22 (a) | 681,000 | 684,504 |
| 1.88% 03/31/22 (a) | 500,000 | 502,168 |
| U.S. Treasury Notes 0.03% + 3 month Treasury Money Market Yield | | |
| 0.11% 07/31/23 (b) | 3,721,000 | 3,721,123 |
| 0.12% 04/30/23 (b) | 1,226,000 | 1,226,084 |
| U.S. Treasury Notes 0.04% + 3 month Treasury Money Market Yield | | |
| 0.12% 10/31/23 (b) | 1,100,000 | 1,100,000 |
| U.S. Treasury Notes 0.05% + 3 month Treasury Money Market Yield | | |
| 0.13% 01/31/23 (b) | 1,356,000 | 1,356,428 |
| U.S. Treasury Notes 0.06% + 3 month Treasury Money Market Yield | | |
0.14%
07/31/22 - 10/31/22 (b) | 3,805,000 | 3,805,398 |
| U.S. Treasury Notes 0.11% + 3 month Treasury Money Market Yield | | |
| 0.20% 04/30/22 (b) | 2,555,000 | 2,555,528 |
| U.S. Treasury Notes 0.15% + 3 month Treasury Money Market Yield | | |
| 0.24% 01/31/22 (b) | 1,500,000 | 1,500,136 |
| | | 49,925,001 |
| U.S. Government Agency Obligations - 13.7% |
| Federal Farm Credit Banks Funding Corp. | | |
| 0.21% 12/02/22 (a) | 600,000 | 599,985 |
| Federal Farm Credit Banks Funding Corp. 0.01% + SOFR | | |
0.06%
05/26/22 - 09/13/22 (b) | 1,135,000 | 1,134,986 |
| 0.06% 06/30/22 (b) | 598,000 | 597,985 |
| 0.06% 09/07/22 (b) | 500,000 | 499,940 |
| | Principal
Amount | Fair
Value |
| Federal Farm Credit Banks Funding Corp. 0.02% + SOFR | | |
0.07%
10/27/22 - 08/21/23 (b) | $ 1,641,000 | $ 1,640,939 |
| 0.07% 07/14/23 (b) | 200,000 | 199,991 |
| Federal Farm Credit Banks Funding Corp. 0.03% + SOFR | | |
| 0.08% 05/13/22 (b) | 800,000 | 799,971 |
0.08%
06/08/22 - 01/12/23 (b) | 1,350,000 | 1,349,948 |
| Federal Farm Credit Banks Funding Corp. 0.04% + 3 month Treasury Money Market Yield | | |
| 0.12% 05/03/23 (b) | 520,000 | 520,000 |
| Federal Farm Credit Banks Funding Corp. 0.04% + SOFR | | |
0.09%
07/08/22 - 07/11/22 (b) | 1,500,000 | 1,500,014 |
| Federal Farm Credit Banks Funding Corp. 0.07% + SOFR | | |
| 0.12% 11/18/22 (b) | 750,000 | 750,000 |
| Federal Farm Credit Banks Funding Corp. 0.09% + SOFR | | |
| 0.14% 10/07/22 (b) | 500,000 | 500,000 |
| Federal Farm Credit Banks Funding Corp. 0.13% + 3 month Treasury Money Market Yield | | |
| 0.22% 02/28/22 (b) | 400,000 | 400,000 |
| Federal Farm Credit Discount Notes | | |
0.00%
01/13/22 - 06/16/22 (a) | 700,000 | 699,962 |
| Federal Home Loan Banks | | |
| 0.13% 11/29/22 (a) | 300,000 | 299,762 |
| Federal Home Loan Banks (0.06% fixed rate until 07/05/22; 0.01% + SOFR thereafter) | | |
| 0.06% 08/05/22 (b) | 510,000 | 510,000 |
| Federal Home Loan Banks (0.06% fixed rate until 09/07/22; 0.01% + SOFR thereafter) | | |
| 0.06% 10/07/22 (b) | 1,080,000 | 1,080,000 |
| Federal Home Loan Banks 0.01% + SOFR | | |
0.06%
03/11/22 - 10/17/22 (b) | 2,930,000 | 2,930,000 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 100 | Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Schedule of Investments, continued — December 31, 2021
| | Principal
Amount | Fair
Value |
| Federal Home Loan Mortgage Corp. | | |
| 2.38% 01/13/22 (a) | $ 635,000 | $ 635,399 |
| Federal Home Loan Mortgage Corp. 0.16% + SOFR | | |
| 0.21% 04/20/22 (b) | 700,000 | 700,000 |
| Federal Home Loan Mortgage Corp. 0.19% + SOFR | | |
| 0.24% 06/02/22 (b) | 750,000 | 750,000 |
| Federal National Mortgage Assoc. 0.20% + SOFR | | |
| 0.25% 06/15/22 (b) | 700,000 | 700,000 |
| Federal National Mortgage Assoc. 0.27% + SOFR | | |
| 0.32% 05/04/22 (b) | 750,000 | 750,649 |
| | | 19,549,531 |
| Repurchase Agreements - 53.4% |
BNP Paribas Securities Corp. U.S. Treasury Repo 0.05% dated 12/31/21, to be repurchased $120,000,000 on 01/03/2021, collateralized by $1,143,910 U.S. Treasury Bond, 3.00% Maturing from 02/15/2048, collateralized by $1,433,025 U.S. Treasury Inflation Index Bond, 3.63% Maturing from 04/15/2028, collateralized by $62,410,659 U.S. Treasury Inflation Index Note, 0.63% Maturing from 01/15/2026, collateralized by $11,559,695 U.S. Treasury Note, 0.25% Maturing from 09/30/2025, and collateralized by $44,252,366 U.S. Treasury Strips, 0.00% Maturing from 02/15/2022 – 08/15/2048 0.05% dated 12/31/21, to be repurchased $25,000,000 on 01/03/2021, collateralized by $2,712,602 U.S. Treasury Bond, 3.00% Maturing from 02/15/2048, collateralized by $22,787,398 U.S. Treasury Strips, 0.00% Maturing from 05/15/2027 – 11/15/2050
01/03/22 | 25,000,000 | 25,000,000 |
| | Principal
Amount | Fair
Value |
Citigroup Global Markets, Inc. 0.05% dated 12/31/21, to be repurchased $24,000,000 on 01/03/2021, collateralized by $24,543,500 U.S. Treasury Bonds, 1.25% – 2.38% Maturing from 05/15/2050 – 05/15/2051
01/03/22 | $ 24,000,000 | $ 24,000,000 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. U.S. Treasury Repo 0.05% dated 12/31/21, to be repurchased $127,658,000 on 01/03/2021, collateralized by $130,211,264 U.S. Treasury Note, 1.25% Maturing from 05/31/2028 - 06/30/2028 0.05% dated 12/31/21, to be repurchased $26,994,000 on 01/03/2021, collateralized by $27,533,955 U.S. Treasury Note, 1.25% - 2.63% Maturing from 06/30/2023-08/15/2031
01/03/22 | 26,994,000 | 26,994,000 |
| | | 75,994,000 |
Total Short-Term Investments
(Cost $145,468,532) | | 145,468,532 |
| Liabilities in Excess of Other Assets, net - (2.1)% | | (3,038,202) |
| NET ASSETS - 100.0% | | $ 142,430,330 |
Notes to Schedule of Investments – December 31, 2021
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund's future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund's summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
| (a) | Coupon amount represents effective yield. |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Government Money Market Fund | 101 |
Elfun Government Money Market Fund
Schedule of Investments, continued — December 31, 2021
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| † | Percentages are based on net assets as of December 31, 2021. |
| Abbreviations: |
| SOFR - Secured Overnight Financing Rate |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2021:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| U.S. Treasuries | $ — | | $ 49,925,001 | | $ — | | $ 49,925,001 |
| U.S. Government Agency Obligations | — | | 19,549,531 | | — | | 19,549,531 |
| Repurchase Agreements | — | | 75,994,000 | | — | | 75,994,000 |
| Total Investments in Securities | $ — | | $ 145,468,532 | | $ — | | $ 145,468,532 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 102 | Elfun Government Money Market Fund |
Elfun International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 | | 12/31/17 |
| Inception date | | | 1/1/88 |
| Net asset value, beginning of period | $ 26.53 | | $ 23.69 | | $ 18.51 | | $ 22.68 | | $ 18.73 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.83 | | 0.29 | | 0.43 | | 0.45 | | 0.34 |
| Net realized and unrealized gains/(losses) on investments | 1.57 | | 2.86 | | 5.15 | | (4.16) | | 3.96 |
| Total income/(loss) from investment operations | 2.40 | | 3.15 | | 5.58 | | (3.71) | | 4.30 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.86 | | 0.31 | | 0.40 | | 0.46 | | 0.35 |
| Net realized gains | 1.34 | | — | | — | | — | | — |
| Total distributions | 2.20 | | 0.31 | | 0.40 | | 0.46 | | 0.35 |
| Net asset value, end of period | $ 26.73 | | $ 26.53 | | $ 23.69 | | $ 18.51 | | $ 22.68 |
| Total Return(b) | 9.05% | | 13.31% | | 30.14% | | (16.33)% | | 22.99% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $204,799 | | $201,200 | | $199,123 | | $183,982 | | $237,769 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.37% | | 0.40% | | 0.38% | | 0.36% | | 0.36% |
| Gross expenses | 0.37% | | 0.40% | | 0.38% | | 0.36% | | 0.36% |
| Net investment income | 2.93% | | 1.31% | | 2.02% | | 2.06% | | 1.64% |
| Portfolio turnover rate | 17% | | 20% | | 15% | | 27% | | 30% |
| Notes to Financial Highlights |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
Elfun Trusts
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 | | 12/31/17 |
| Inception date | | | 5/27/35 |
| Net asset value, beginning of period | $ 71.55 | | $ 62.16 | | $ 50.14 | | $ 60.36 | | $ 53.23 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.72 | | 0.64 | | 0.71 | | 0.74 | | 0.76 |
| Net realized and unrealized gains/(losses) on investments | 16.72 | | 14.90 | | 17.15 | | (2.85) | | 12.88 |
| Total income/(loss) from investment operations | 17.44 | | 15.54 | | 17.86 | | (2.11) | | 13.65 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.74 | | 0.69 | | 0.67 | | 0.76 | | 0.78 |
| Net realized gains | 8.52 | | 5.46 | | 5.17 | | 7.35 | | 5.74 |
| Total distributions | 9.26 | | 6.15 | | 5.84 | | 8.11 | | 6.52 |
| Net asset value, end of period | $ 79.73 | | $ 71.55 | | $ 62.16 | | $ 50.14 | | $ 60.36 |
| Total Return(b) | 24.28% | | 25.07% | | 35.57% | | (3.39)% | | 25.61% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $3,965,156 | | $3,419,765 | | $2,979,222 | | $2,427,667 | | $2,737,919 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.18% | | 0.18% | | 0.18% | | 0.19% | | 0.18% |
| Gross expenses | 0.18% | | 0.18% | | 0.18% | | 0.19% | | 0.18% |
| Net investment income | 0.89% | | 0.99% | | 1.20% | | 1.17% | | 1.25% |
| Portfolio turnover rate | 26% | | 25% | | 17% | | 18% | | 16% |
| Notes to Financial Highlights |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
Elfun Diversified Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 | | 12/31/17 |
| Inception date | | | 1/1/88 |
| Net asset value, beginning of period | $ 20.97 | | $ 19.54 | | $ 17.02 | | $ 18.60 | | $ 17.91 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.34 | | 0.37 | | 0.41 | | 0.42 | | 0.43 |
| Net realized and unrealized gains/(losses) on investments | 2.08 | | 2.02 | | 2.93 | | (1.45) | | 2.32 |
| Total income/(loss) from investment operations | 2.42 | | 2.39 | | 3.34 | | (1.03) | | 2.75 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.42 | | 0.38 | | 0.42 | | 0.43 | | 0.46 |
| Net realized gains | 1.29 | | 0.58 | | 0.40 | | 0.12 | | 1.60 |
| Total distributions | 1.71 | | 0.96 | | 0.82 | | 0.55 | | 2.06 |
| Net asset value, end of period | $ 21.68 | | $ 20.97 | | $ 19.54 | | $ 17.02 | | $ 18.60 |
| Total Return(b) | 11.56% | | 12.23% | | 19.58% | | (5.51)% | | 15.40% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $211,716 | | $205,144 | | $199,011 | | $181,943 | | $209,939 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.30% | | 0.31% | | 0.30% | | 0.33% | | 0.40% |
| Gross expenses | 0.30% | | 0.31% | | 0.30% | | 0.33% | | 0.40% |
| Net investment income | 1.53% | | 1.88% | | 2.20% | | 2.26% | | 2.23% |
| Portfolio turnover rate | 41% (c) | | 56% (c) | | 162% | | 72% | | 186% |
| Notes to Financial Highlights |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
| (c) | The portfolio turnover calculated for the periods ended 12/31/2021 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 90% and 136%, respectively. |
The accompanying Notes are an integral part of these financial statements.
Elfun Tax-Exempt Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 | | 12/31/17 |
| Inception date | | | 1/1/80 |
| Net asset value, beginning of period | $ 11.67 | | $ 11.54 | | $ 11.19 | | $ 11.55 | | $ 11.48 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.31 | | 0.37 | | 0.38 | | 0.46 | | 0.46 |
| Net realized and unrealized gains/(losses) on investments | (0.14) | | 0.17 | | 0.41 | | (0.36) | | 0.07 |
| Total income from investment operations | 0.17 | | 0.54 | | 0.79 | | 0.10 | | 0.53 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.37 | | 0.41 | | 0.44 | | 0.46 | | 0.46 |
| Total distributions | 0.37 | | 0.41 | | 0.44 | | 0.46 | | 0.46 |
| Net asset value, end of period | $ 11.47 | | $ 11.67 | | $ 11.54 | | $ 11.19 | | $ 11.55 |
| Total Return(b) | 1.44% | | 4.77% | | 7.13% | | 0.90% | | 4.71% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $1,250,501 | | $1,341,617 | | $1,377,821 | | $1,376,980 | | $1,471,350 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.21% | | 0.21% | | 0.20% | | 0.21% | | 0.20% |
| Gross expenses | 0.21% | | 0.21% | | 0.20% | | 0.21% | | 0.20% |
| Net investment income | 2.65% | | 3.24% | | 3.35% | | 4.06% | | 4.00% |
| Portfolio turnover rate | 42% | | 41% | | 25% | | 18% | | 26% |
| Notes to Financial Highlights |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
Elfun Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 | | 12/31/17 |
| Inception date | | | 12/31/84 |
| Net asset value, beginning of period | $ 12.25 | | $ 11.74 | | $ 11.02 | | $ 11.44 | | $ 11.28 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.24 | | 0.29 | | 0.32 | | 0.32 | | 0.29 |
| Net realized and unrealized gains/(losses) on investments | (0.38) | | 0.63 | | 0.73 | | (0.41) | | 0.15 |
| Total income/(loss) from investment operations | (0.14) | | 0.92 | | 1.05 | | (0.09) | | 0.44 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.27 | | 0.34 | | 0.33 | | 0.33 | | 0.28 |
| Net realized gains | 0.17 | | 0.07 | | — | | — | | — |
| Total distributions | 0.44 | | 0.41 | | 0.33 | | 0.33 | | 0.28 |
| Net asset value, end of period | $ 11.67 | | $ 12.25 | | $ 11.74 | | $ 11.02 | | $ 11.44 |
| Total Return(b) | (1.19)% | | 8.03% | | 9.50% | | (0.80)% | | 3.90% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $218,824 | | $244,329 | | $233,663 | | $229,477 | | $261,189 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.29% | | 0.27% | | 0.29% | | 0.34% | | 0.33% |
| Gross expenses | 0.29% | | 0.27% | | 0.29% | | 0.34% | | 0.33% |
| Net investment income | 2.03% | | 2.44% | | 2.77% | | 2.88% | | 2.54% |
| Portfolio turnover rate | 71% (c) | | 108% (c) | | 107% | | 207% | | 299% |
| Notes to Financial Highlights |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
| (c) | The portfolio turnover calculated for the fiscal years ended 12/31/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 184% and 255%, respectively. |
The accompanying Notes are an integral part of these financial statements.
Elfun Government Money Market Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 | | 12/31/17 |
| Inception date | | | 6/13/90 |
| Net asset value, beginning of period | $ 1.00 | | $ 1.00 | | $ 1.00 | | $ 1.00 | | $ 1.00 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | — | | 0.00 (b) | | 0.02 | | 0.02 | | 0.01 |
| Total income from investment operations | — | | 0.00 | | 0.02 | | 0.02 | | 0.01 |
| Less distributions from: | | | | | | | | | |
| Net investment income | — | | 0.00 (b) | | 0.02 | | 0.02 | | 0.01 |
| Net realized gains | — | | — | | — | | — | | 0.00 (b) |
| Total distributions | — | | 0.00 (b) | | 0.02 | | 0.02 | | 0.01 |
| Net asset value, end of period | $ 1.00 | | $ 1.00 | | $ 1.00 | | $ 1.00 | | $ 1.00 |
| Total Return(c) | —% | | 0.32% | | 1.99% | | 1.55% | | 0.58% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $142,430 | | $153,251 | | $128,561 | | $104,275 | | $109,828 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.09% | | 0.19% | | 0.26% | | 0.32% | | 0.34% |
| Gross expenses | 0.26% | | 0.25% | | 0.26% | | 0.32% | | 0.34% |
| Net investment income | —% | | 0.30% | | 1.96% | | 1.53% | | 0.56% |
| Notes to Financial Highlights |
| (a) | Per share values have been calculated using the average shares method. |
| (b) | Rounds to less than $0.005. |
| (c) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and assume no sales charge. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
[This page intentionally left blank]
Elfun Funds
Statements of Assets and Liabilities — December 31, 2021
| | Elfun
International
Equity Fund | | Elfun
Trusts |
| Assets | | | |
| Investments in securities, at fair value (cost $132,113,857; $1,994,127,340; $116,084,688; $1,153,944,441; $210,224,155 and $0, respectively) | $ 196,713,528 | | $ 3,948,341,479 |
| Investments in affiliated securities, at fair value (cost $0; $0; $44,254,951; $0; $0 and $0, respectively) | — | | — |
| Short-term investments, at fair value (cost $0; $0; $2,309,897; $0; $0 and $69,474,532, respectively) | — | | — |
| Short-term affiliated investments, at fair value | 6,913,466 | | 14,305,419 |
| Repurchase agreements | — | | — |
| Cash | — | | — |
| Net cash collateral on deposit with broker for future contracts | 152,594 | | — |
| Foreign currency (cost $5,202; $0; $32,476; $0; $0 and $0, respectively) | 5,266 | | — |
| Receivable from Adviser | — | | — |
| Receivable for investments sold | — | | — |
| Income receivables | 1,122,567 | | 3,591,408 |
| Receivable for fund shares sold | 2,295 | | 54,697 |
| Income receivable from affiliated investments | 30 | | 350 |
| Receivable for accumulated variation margin on swap contracts | — | | — |
| Receivable for accumulated variation margin on futures contracts | 38,790 | | — |
| Other assets | 1,300 | | 23,750 |
| Total assets | 204,949,836 | | 3,966,317,103 |
| Liabilities | | | |
| Distribution payable to shareholders | — | | — |
| Due to custodian | — | | — |
| Net cash collateral on swap contracts due to broker | — | | — |
| Payable for investments purchased | — | | — |
| Payable for fund shares redeemed | 1,425 | | 312,601 |
| Payable for accumulated variation margin on futures contracts | — | | — |
| Payable to the Adviser | 36,208 | | 471,226 |
| Payable for custody, fund accounting and sub-administration fees | 18,669 | | 83,011 |
| Accrued other expenses | 94,077 | | 294,451 |
| Total liabilities | 150,379 | | 1,161,289 |
|
| Net Assets | $ 204,799,457 | | $ 3,965,155,814 |
| Net Assets Consist of: | | | |
| Capital paid in | $ 137,971,344 | | $ 1,803,838,612 |
| Total distributable earnings (loss) | 66,828,113 | | 2,161,317,202 |
| Net Assets | $ 204,799,457 | | $ 3,965,155,814 |
| Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized) | 7,661,640 | | 49,729,751 |
| Net asset value, offering and redemption price per share | $ 26.73 | | $ 79.73 |
The accompanying Notes are an integral part of these financial statements.
| 110 | Statements of Assets and Liabilities |
Elfun
Diversified
Fund | | Elfun
Tax-Exempt
Income Fund | | Elfun Income
Fund | | Elfun
Government
Money Market
Fund |
| | | | | | | |
| $ 151,036,399 | | $ 1,236,375,719 | | $ 214,832,835 | | $ — |
| 54,103,657 | | — | | — | | — |
| 2,309,897 | | — | | — | | 69,474,532 |
| 13,340,379 | | 3,950,909 | | 25,377,841 | | — |
| — | | — | | — | | 75,994,000 |
| 2,379 | | — | | 14,994 | | — |
| 50,099 | | — | | 94,492 | | — |
| 34,833 | | — | | — | | — |
| — | | — | | — | | 2,149 |
| 3,295,912 | | — | | 8,780,478 | | — |
| 386,704 | | 14,829,415 | | 972,116 | | — |
| 1,779 | | 35,427 | | 37,621 | | 433,645 |
| 596 | | 106 | | 605 | | 18,251 |
| 141,211 | | — | | 388,743 | | — |
| — | | — | | — | | — |
| 1,309 | | 8,016 | | 1,456 | | 828 |
| 224,705,154 | | 1,255,199,592 | | 250,501,181 | | 145,923,405 |
| | | | | | | |
| — | | 935,354 | | 84,015 | | 871 |
| — | | — | | — | | 2,364 |
| 111,096 | | — | | 304,387 | | — |
| 12,633,706 | | 3,392,768 | | 31,102,707 | | 2,029,892 |
| 102,083 | | 17,717 | | — | | 1,362,865 |
| 11,485 | | — | | 48,358 | | — |
| 29,890 | | 170,859 | | 29,909 | | 24,720 |
| 7,064 | | 27,423 | | 10,453 | | 8,762 |
| 93,820 | | 154,786 | | 97,054 | | 63,601 |
| 12,989,144 | | 4,698,907 | | 31,676,883 | | 3,493,075 |
|
| $ 211,716,010 | | $ 1,250,500,685 | | $ 218,824,298 | | $ 142,430,330 |
| | | | | | | |
| $ 163,603,178 | | $ 1,212,740,062 | | $ 213,629,524 | | $ 142,430,275 |
| 48,112,832 | | 37,760,623 | | 5,194,774 | | 55 |
| $ 211,716,010 | | $ 1,250,500,685 | | $ 218,824,298 | | $ 142,430,330 |
| 9,765,472 | | 109,035,490 | | 18,745,974 | | 142,430,255 |
| $ 21.68 | | $ 11.47 | | $ 11.67 | | $ 1.00 |
The accompanying Notes are an integral part of these financial statements.
| Statements of Assets and Liabilities | 111 |
Elfun Funds
Statements of Operations — For the year ended December 31, 2021
| | Elfun
International
Equity Fund | | Elfun
Trusts |
| Investment Income | | | |
| Income | | | |
| Dividend | $ 7,855,406 | | $ 40,628,623 |
| Interest | — | | — |
| Income from affiliated investments | 642 | | 4,388 |
| Less: Foreign taxes withheld | (962,301) | | — |
| Total income | 6,893,747 | | 40,633,011 |
| Expenses | | | |
| Advisory and administration fees | 437,989 | | 5,324,278 |
| Blue Sky fees | 33,903 | | 37,221 |
| Transfer agent fees | 131,003 | | 591,678 |
| Trustees' fees | 19,754 | | 40,301 |
| Custody, fund accounting and sub-administration fees | 92,323 | | 493,451 |
| Professional fees | 41,196 | | 46,047 |
| Printing and shareholder reports | 2,615 | | 85,002 |
| Interest expense on forward sale commitments | — | | 1,908 |
| Other expenses | 14,491 | | 197,533 |
| Total expenses before waivers | 773,274 | | 6,817,419 |
| Fees waived and/or recouped by the adviser | — | | — |
| Net expenses | 773,274 | | 6,817,419 |
| Net investment income | $ 6,120,473 | | $ 33,815,592 |
| Net Realized and Unrealized Gain (Loss) on Investments | | | |
| Realized gain (loss) on: | | | |
| Unaffiliated investments | $ 14,983,775 | | $ 526,019,203 |
| Affiliated investments | — | | — |
| Futures | 215,387 | | — |
| Swap contracts | — | | — |
| Foreign currency transactions | 4,801 | | — |
| Increase (decrease) in unrealized appreciation/depreciation on: | | | |
| Unaffiliated investments | (3,304,287) | | 254,514,072 |
| Affiliated investments | — | | — |
| Futures | 8,019 | | — |
| Swap contracts | — | | — |
| Foreign currency translations | (43,753) | | — |
| Net realized and unrealized gain (loss) on investments | 11,863,942 | | 780,533,275 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ 17,984,415 | | $ 814,348,867 |
The accompanying Notes are an integral part of these financial statements.
| 112 | Statements of Operations |
Elfun
Diversified
Fund | | Elfun
Tax-Exempt
Income Fund | | Elfun Income
Fund | | Elfun
Government
Money Market
Fund |
| | | | | | | |
| | | | | | | |
| $ 1,099,144 | | $ — | | $ 9,985 | | $ — |
| 1,420,098 | | 37,249,235 | | 5,409,878 | | 132,426 |
| 1,350,812 | | 2,660 | | 7,799 | | — |
| (12,155) | | — | | — | | — |
| 3,857,899 | | 37,251,895 | | 5,427,662 | | 132,426 |
| | | | | | | |
| 358,944 | | 2,087,070 | | 399,005 | | 141,261 |
| 32,898 | | 28,921 | | 25,046 | | 36,370 |
| 111,154 | | 245,507 | | 130,732 | | 85,814 |
| 19,784 | | 26,613 | | 19,985 | | 19,522 |
| 46,775 | | 185,483 | | 51,956 | | 46,631 |
| 47,323 | | 38,917 | | 40,228 | | 28,423 |
| 8,352 | | 34,552 | | 3,602 | | 1,546 |
| — | | 203 | | — | | — |
| 11,542 | | 70,951 | | 13,559 | | 6,691 |
| 636,772 | | 2,718,217 | | 684,113 | �� | 366,258 |
| (3,801) | | — | | (9,388) | | (233,832) |
| 632,971 | | 2,718,217 | | 674,725 | | 132,426 |
| $ 3,224,928 | | $ 34,533,678 | | $ 4,752,937 | | $ — |
| | | | | | | |
| | | | | | | |
| $ 11,688,205 | | $ (312,845) | | $ 2,021,504 | | $ 55 |
| 2,310,324 | | — | | — | | — |
| 277,275 | | — | | (72,750) | | — |
| 325,606 | | — | | 1,031,295 | | — |
| 52 | | — | | — | | — |
| | | | | | | |
| 4,759,990 | | (15,370,341) | | (9,758,021) | | — |
| 773,525 | | — | | — | | — |
| (5,529) | | — | | 41,323 | | — |
| (265,647) | | — | | (843,918) | | — |
| (1,491) | | — | | — | | — |
| 19,862,310 | | (15,683,186) | | (7,580,567) | | 55 |
| $ 23,087,238 | | $ 18,850,492 | | $ (2,827,630) | | $ 55 |
The accompanying Notes are an integral part of these financial statements.
| Statements of Operations | 113 |
Elfun Funds
Statements of Changes in Net Assets
| | Elfun International Equity Fund | | Elfun Trusts |
| | Year Ended
December 31,
2021 | | Year Ended
December 31,
2020 | | Year Ended
December 31,
2021 | | Year Ended
December 31,
2020 |
| Increase (Decrease) in Net Assets | | | | | | | |
| Operations: | | | | | | | |
| Net investment income | $ 6,120,473 | | $ 2,346,194 | | $ 33,815,592 | | $ 29,717,403 |
| Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | 15,203,963 | | 6,626,656 | | 526,019,203 | | 300,529,246 |
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | (3,340,021) | | 13,147,572 | | 254,514,072 | | 372,773,690 |
| Net increase (decrease) from operations | 17,984,415 | | 22,120,422 | | 814,348,867 | | 703,020,339 |
| Distributions to shareholders: | | | | | | | |
| Total distributions | (15,724,016) | | (2,337,004) | | (421,275,229) | | (274,667,801) |
| Increase (decrease) in assets from operations and distributions | 2,260,399 | | 19,783,418 | | 393,073,638 | | 428,352,538 |
| Share transactions: | | | | | | | |
| Proceeds from sale of shares | 2,858,069 | | 2,457,542 | | 73,991,073 | | 45,796,196 |
| Value of distributions reinvested | 13,507,831 | | 1,985,105 | | 344,793,733 | | 222,501,029 |
| Cost of shares redeemed | (15,026,462) | | (22,149,800) | | (266,467,198) | | (256,107,578) |
| Net increase (decrease) from share transactions | 1,339,438 | | (17,707,153) | | 152,317,608 | | 12,189,647 |
| Total increase (decrease) in net assets | 3,599,837 | | 2,076,265 | | 545,391,246 | | 440,542,185 |
| Net Assets | | | | | | | |
| Beginning of year | 201,199,620 | | 199,123,355 | | 3,419,764,568 | | 2,979,222,383 |
| End of year | $ 204,799,457 | | $ 201,199,620 | | $ 3,965,155,814 | | $ 3,419,764,568 |
| Changes in Fund Shares | | | | | | | |
| Shares sold | 102,485 | | 108,621 | | 924,232 | | 722,453 |
| Issued for distributions reinvested | 505,533 | | 75,594 | | 4,291,874 | | 3,129,850 |
| Shares redeemed | (531,166) | | (1,003,180) | | (3,281,753) | | (3,985,879) |
| Net increase (decrease) in fund shares | 76,852 | | (818,965) | | 1,934,353 | | (133,576) |
The accompanying Notes are an integral part of these financial statements.
| 114 | Statements of Changes in Net Assets |
| Elfun Diversified Fund | | Elfun Tax-Exempt Income Fund |
Year Ended
December 31,
2021 | | Year Ended
December 31,
2020 | | Year Ended
December 31,
2021 | | Year Ended
December 31,
2020 |
| | | | | | | |
| | | | | | | |
| $ 3,224,928 | | $ 3,586,449 | | $ 34,533,678 | | $ 44,094,879 |
| 14,601,462 | | 6,534,162 | | (312,845) | | 4,407,456 |
| 5,260,848 | | 12,437,859 | | (15,370,341) | | 13,694,428 |
| 23,087,238 | | 22,558,470 | | 18,850,492 | | 62,196,763 |
| | | | | | | |
| (15,754,251) | | (8,960,718) | | (41,209,578) | | (48,325,050) |
| 7,332,987 | | 13,597,752 | | (22,359,086) | | 13,871,713 |
| | | | | | | |
| 4,772,080 | | 3,785,727 | | 40,093,917 | | 41,276,872 |
| 13,873,358 | | 7,866,484 | | 29,155,146 | | 33,451,744 |
| (19,406,904) | | (19,116,022) | | (138,005,800) | | (124,804,390) |
| (761,466) | | (7,463,811) | | (68,756,737) | | (50,075,774) |
| 6,571,521 | | 6,133,941 | | (91,115,823) | | (36,204,061) |
| | | | | | | |
| 205,144,489 | | 199,010,548 | | 1,341,616,508 | | 1,377,820,569 |
| $ 211,716,010 | | $ 205,144,489 | | $ 1,250,500,685 | | $ 1,341,616,508 |
| | | | | | | |
| 216,554 | | 195,500 | | 3,462,715 | | 3,579,983 |
| 635,917 | | 377,652 | | 2,525,649 | | 2,898,136 |
| (871,621) | | (975,718) | | (11,950,926) | | (10,850,214) |
| (19,150) | | (402,566) | | (5,962,562) | | (4,372,095) |
The accompanying Notes are an integral part of these financial statements.
| Statements of Changes in Net Assets | 115 |
Elfun Funds
Statements of Changes in Net Assets
| | Elfun Income Fund | | Elfun Government Money
Market Fund |
| | Year Ended
December 31,
2021 | | Year Ended
December 31,
2020 | | Year Ended
December 31,
2021 | | Year Ended
December 31,
2020 |
| Increase (Decrease) in Net Assets | | | | | | | |
| Operations: | | | | | | | |
| Net investment income | $ 4,752,937 | | $ 5,852,671 | | $ — | | $ 429,266 |
| Net realized gain (loss) on investments, futures and swap contracts | 2,980,049 | | 4,968,717 | | 55 | | 733 |
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | (10,560,616) | | 7,419,338 | | — | | — |
| Net increase (decrease) from operations | (2,827,630) | | 18,240,726 | | 55 | | 429,999 |
| Distributions to shareholders: | | | | | | | |
| Total distributions | (8,337,782) | | (8,154,872) | | — | | (429,266) |
| Increase (decrease) in assets from operations and distributions | (11,165,412) | | 10,085,854 | | 55 | | 733 |
| Share transactions: | | | | | | | |
| Proceeds from sale of shares | 18,127,991 | | 20,105,165 | | 50,569,988 | | 83,804,743 |
| Value of distributions reinvested | 6,571,744 | | 6,265,018 | | 422 | | 411,968 |
| Cost of shares redeemed | (39,039,271) | | (25,789,410) | | (61,391,100) | | (59,527,146) |
| Net increase (decrease) from share transactions | (14,339,536) | | 580,773 | | (10,820,690) | | 24,689,565 |
| Total increase (decrease) in net assets | (25,504,948) | | 10,666,627 | | (10,820,635) | | 24,690,298 |
| Net Assets | | | | | | | |
| Beginning of year | 244,329,246 | | 233,662,619 | | 153,250,965 | | 128,560,667 |
| End of year | $ 218,824,298 | | $ 244,329,246 | | $ 142,430,330 | | $ 153,250,965 |
| Changes in Fund Shares | | | | | | | |
| Shares sold | 1,518,468 | | 1,672,210 | | 50,569,987 | | 83,804,743 |
| Issued for distributions reinvested | 555,624 | | 516,439 | | 422 | | 411,969 |
| Shares redeemed | (3,276,520) | | (2,150,956) | | (61,391,100) | | (59,527,146) |
| Net increase (decrease) in fund shares | (1,202,428) | | 37,693 | | (10,820,691) | | 24,689,566 |
The accompanying Notes are an integral part of these financial statements.
| 116 | Statements of Changes in Net Assets |
Elfun Funds
Notes to Financial Statements — December 31, 2021
1. Organization of the Funds
The Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (each, a “Fund” and collectively, the “Funds”) are each registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Under each Fund’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
2.Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
| • | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
| • | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit. |
| • | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
| • | Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
| Notes to Financial Statements | 117 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
| • | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
| • | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board. |
| • | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s NAV calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
| • | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
| • | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
| • | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2021 is disclosed in each Fund’s Schedule of Investments.
| 118 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Certain Funds may invest in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year’s to return of capital or capital gains distributions at year end based on information provided by the REITs and/or the Adviser's estimates of such re-designations for which actual information has not yet been reported.
Expenses Fund specific expenses are charged to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not Fund specific are allocated pro rata across the Funds.
Foreign Currency Translation The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Distributions Distributions from net investment income, if any, are declared daily and paid monthly for the Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund and declared and paid annually for the Eflun International Equity Fund, Elfun Trusts and Elfun Diversified Income Fund.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required forcompliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Securities and Other Investments
Delayed Delivery Transactions and When-Issued Securities During the period, the Elfun Diversified Fund and Elfun Income Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the applicable Fund’s Schedule of Investments. A Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, a Fund identifies securities as
| Notes to Financial Statements | 119 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
To-Be-Announced Transactions Certain Funds may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
A Fund may use TBA transactions to “roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a TBA roll, a Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. A Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
Default by or bankruptcy of a counterparty to a TBA transaction would expose a Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To minimize this risk, a Fund will enter into TBA transactions only with established counterparties. A Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
Repurchase Agreements Certain Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to a Fund to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Fund’s the principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of December 31, 2021, the Elfun Government Money Market Fund had invested in repurchase agreements with the gross values of $75,994,000 and associated collateral equal to $77,577,455.
4.Derivative Financial Instruments
Futures Contracts Certain Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule of Investments and cash deposited, if any, is shown as Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
| 120 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
During the fiscal year ended December 31, 2021, the following Funds entered into futures contracts for the strategies listed below:
| Fund | Strategies |
| Elfun International Equity Fund | Equitization of Cash |
| Elfun Diversified Fund | Management of Interest Rate Risk and Equitization of Cash |
| Elfun Income Fund | Management of Interest Rate Risk |
Credit Default Swaps During the fiscal year ended December 31, 2021, the Elfun Diversified Fund and Elfun Income Fund engaged in credit default swaps to manage credit risk. When a Fund is the buyer in a credit default swap contract, a Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by a Fund for the same referenced obligation.
As the seller, a Fund may create economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if a Fund had invested in the referenced debt obligation directly. If a Fund is a buyer of a credit default swap and no credit event occurs, a Fund will not earn any return on its investment. If a Fund is a seller of a credit default swap, a Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject a Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
Options on Exchanged-Traded Futures Contracts Certain Funds may purchase and write options, including options on exchanged-traded futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase a Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease a Fund’s exposure to the underlying instrument. A Fund will not enter into a transaction involving options for speculative purposes. A Fund’s risks in using these contracts include changes in the value of the underlying
| Notes to Financial Statements | 121 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.
When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by a Fund on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying instrument or the cost basis of the securities purchased is adjusted by the original premium received or paid. In return for a premium paid, call and put options on futures contracts give the holder the right, but not the obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price.
The following tables summarize the value of the Funds’ derivative instruments as of December 31, 2021 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
| Asset Derivatives |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun International Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ 38,790 | $ — | $ 38,790 |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ 5,552 | $ — | $ 5,552 |
| Swap Contracts | — | — | 141,211 | — | — | 141,211 |
| Elfun Income Fund | | | | | | |
| Swap Contracts | $ — | $ — | $ 388,743 | $ — | $ — | $ 388,743 |
| Liability Derivatives |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ 17,037 | $ — | $ — | $ — | $ — | $ 17,037 |
| Elfun Income Fund | | | | | | |
| Futures Contracts | $ 48,358 | $ — | $ — | $ — | $ — | $ 48,358 |
| Realized Gain/Loss |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun International Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ 215,387 | $ — | $ 215,387 |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ 110,075 | $ — | $ — | $ 167,200 | $ — | $ 277,275 |
| Swap Contracts | — | — | 325,606 | — | — | 325,606 |
| Elfun Income Fund | | | | | | |
| Futures Contracts | $ (72,750) | $ — | $ — | $ — | $ — | $ (72,750) |
| Swap Contracts | — | — | 1,031,295 | — | — | 1,031,295 |
| 122 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
| Net Change in Unrealized Appreciation (Depreciation) |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun International Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ 8,019 | $ — | $ 8,019 |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ 4,048 | $ — | $ — | $ (9,577) | $ — | $ (5,529) |
| Swap Contracts | — | — | 265,647 | — | — | 265,647 |
| Elfun Income Fund | | | | | | |
| Futures Contracts | $ 41,323 | $ — | $ — | $ — | $ — | $ 41,323 |
| Swap Contracts | — | — | (843,918) | — | — | (843,918) |
5.Fees and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
| Fund | Management Fee |
| Elfun International Equity Fund | 0.21% |
| Elfun Trusts | 0.14% |
| Elfun Diversified Fund | 0.17% |
| Elfun Tax-Exempt Income Fund | 0.16% |
| Elfun Income Fund | 0.17% |
| Elfun Government Money Market Fund | 0.10% |
SSGA FM is contractually obligated until April 30, 2022 to waive its Management Fee and/or reimburse certain expenses for the Elfun Diversified Fund and Elfun Income Fund, in an amount equal to any acquired fund fees and expenses (“AFFEs”), excluding AFFEs derived from each Fund’s holdings in acquired funds for cash management purposes, if any. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to April 30, 2022 except with approval of the Board.
Amounts waived or reimbursed are included in the respective Statement of Operations.
Each of the Adviser and State Street Global Advisors Funds Distributors, LLC (each a “Service Provider”) also may voluntarily reduce all or a portion of its fees and/or reimburse expenses for the Elfun Government Money Market Fund to the extent necessary to attempt to maintain a certain minimum net yield, which may vary from time to time, in SSGA FM's sole discretion (any such waiver or reimbursement of expenses by a Service Provider being referred to herein as a "Voluntary Reduction"). Under an agreement with the Service Providers relating to the Voluntary Reduction, the Elfun Government Money Market Fund has agreed to reimburse the Service Providers for the full dollar amount of any Voluntary Reduction beginning on May 1, 2020, subject to certain limitations. Each Service Provider may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from the Elfun Government Money Market Fund. A reimbursement to the Service Provider would increase fund expenses and may negatively impact the Elfun Government Money Market Fund’s yield during such period. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that the Elfun Government Money Market Fund will be able to avoid a negative yield. The Elfun Government Money Market Fund has agreed, subject to certain limitations, to reimburse the applicable Service Provider for the full dollar amount of any Voluntary Reduction incurred after May 1, 2020. Any such future reimbursement of an applicable Service Provider may result in the total annual operating expenses of the Fund exceeding the amount of the expense cap under the contractual expense limitation agreement because the expense is not covered by the agreement. Fees reduced or expenses reimbursed by the Service Providers in connection with the Voluntary Reduction for the period ended December 31, 2021 were $233,832.
| Notes to Financial Statements | 123 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
As of December 31, 2021, SSGA FM has not recouped any expenses from the Elfun Government Money Market Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:
| Expiration Date | Amount |
| 12/31/2023 | $ 78,761 |
| 12/31/2024 | $233,832 |
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Funds. Amounts paid by the Funds to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statements of Operations.
Other Transactions with Affiliates The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2021 are disclosed in the Schedules of Investments.
6.Trustees' Fees
The fees and expenses of each Fund’s trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7.Investment Transactions
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the year ended December 31, 2021 were as follows:
| | U.S. Government
Obligations | | Other
Securities |
| Fund | Purchases | Sales | | Purchases | Sales |
| Elfun International Equity Fund | $ — | $ — | | $ 33,493,692 | $ 45,032,694 |
| Elfun Trusts | — | — | | 981,545,903 | 1,183,499,520 |
| Elfun Diversified Fund | 140,802,215 | 124,771,478 | | 42,990,338 | 72,005,225 |
| Elfun Tax-Exempt Income Fund | — | — | | 535,007,888 | 598,962,915 |
| Elfun Income Fund | 357,605,247 | 325,574,954 | | 46,422,000 | 82,912,575 |
8.Income Tax Information
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to the federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds' tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on NAVs or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions,
| 124 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
foreign currency gains and losses, corporate actions, paydown losses, future contracts, swap contracts, straddle loss deferrals, capital gain taxes, return of capital adjustments, premium amortization and wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2021 were as follows:
| Fund | Exempt
Income | Ordinary
Income | Long-Term
Capital Gains | Total |
| Elfun International Equity Fund | $ — | $ 6,139,133 | $ 9,584,883 | $ 15,724,016 |
| Elfun Trusts | — | 47,426,354 | 373,848,875 | 421,275,229 |
| Elfun Diversified Fund | — | 4,154,354 | 11,599,897 | 15,754,251 |
| Elfun Tax-Exempt Income Fund | 41,065,018 | 144,560 | — | 41,209,578 |
| Elfun Income Fund | — | 8,235,715 | 102,067 | 8,337,782 |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| Fund | Exempt
Income | Ordinary
Income | Long-Term
Capital Gains | Total |
| Elfun International Equity Fund | $ — | $ 2,337,004 | $ — | $ 2,337,004 |
| Elfun Trusts | — | 64,128,127 | 210,539,674 | 274,667,801 |
| Elfun Diversified Fund | — | 4,826,414 | 4,134,304 | 8,960,718 |
| Elfun Tax-Exempt Income Fund | 48,053,923 | 271,127 | — | 48,325,050 |
| Elfun Income Fund | — | 8,154,872 | — | 8,154,872 |
| Elfun Government Money Market Fund | — | 429,266 | — | 429,266 |
At December 31, 2021, the components of distributable earnings on a tax basis were as follows:
| Fund | Undistributed
Ordinary
Income | Tax Exempt
Income | Capital Loss
Carryforwards | Undistributed
long term
gain | Net
Unrealized
Gains
(Losses) | Qualified
Late-Year
Losses | Total |
| Elfun International Equity Fund | $ 650,753 | $ — | $ — | $ 2,627,032 | $ 63,550,328 | $— | $ 66,828,113 |
| Elfun Trusts | 8,752,615 | — | — | 201,811,897 | 1,950,752,690 | — | 2,161,317,202 |
| Elfun Diversified Fund | 482,533 | — | — | 3,833,405 | 44,248,482 | — | 48,564,420 |
| Elfun Tax-Exempt Income Fund | — | 62,804 | (18,114,645) | — | 55,812,464 | — | 37,760,623 |
| Elfun Income Fund | 1,261,863 | — | — | 1,574,295 | 3,895,837 | — | 6,731,995 |
| Elfun Government Money Market Fund | 55 | — | — | — | — | — | 55 |
As of December 31, 2021, the Funds had capital loss carryforwards available to offset future realized capital gains as follows:
| Fund | Non-Expiring
Short Term | Non-Expiring
Long Term |
| Elfun Tax-Exempt Income Fund | $14,745,691 | $3,368,954 |
| Notes to Financial Statements | 125 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
As of December 31, 2021, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
| Fund | Tax
Cost | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net
Unrealized
Appreciation
(Depreciation) |
| Elfun International Equity Fund | $ 140,121,270 | $ 68,879,284 | $ 5,334,833 | $ 63,544,451 |
| Elfun Trusts | 2,011,894,209 | 1,981,894,173 | 31,141,484 | 1,950,752,689 |
| Elfun Diversified Fund | 176,525,850 | 46,245,546 | 1,997,064 | 44,248,482 |
| Elfun Tax-Exempt Income Fund | 1,184,514,164 | 59,629,250 | 3,816,786 | 55,812,464 |
| Elfun Income Fund | 236,245,103 | 5,700,741 | 1,804,784 | 3,895,957 |
| Elfun Government Money Market Fund | 145,468,532 | — | — | — |
9.Line of Credit
The Funds (excluding the Elfun Government Money Market Fund) and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.1 billion revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2022 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
Prior to October 7, 2021 the Funds (excluding the Elfun Government Money Market Fund) had access to $200 million of a $500 million revolving credit facility and interest was calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate.
The Funds had no outstanding loans as of December 31, 2021.
10.Risks
Concentration Risk As a result of a Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of a Fund's investments more than if a Fund was more broadly diversified.
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of a Fund’s investments.
Foreign and Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which a Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Credit Risk A Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.
| 126 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2021
Market Risk A Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. A Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced and may continue to experience extreme volatility and severe losses, and trading in many instruments was and may continue to be disrupted as a result. Liquidity for many instruments was and may continue to be greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to a Fund by its service providers.
11.Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total accumulated earnings (loss) or the NAV of each Fund. With respect to each Fund’s results of operations, amortization of premium to first call date accelerates amortization with the intent of more closely aligning the recognition of income on such bonds with the economics of the instrument.
12.Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
| Notes to Financial Statements | 127 |
Elfun Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund (collectively referred to as the “Funds”), including the schedules of investments, as of December 31, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds at December 31, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
To the Shareholders and Board of Trustees of Elfun International Equity Fund, Elfun Trusts, Elfun Diversified Fund, Elfun Tax-Exempt Income Fund, Elfun Income Fund and Elfun Government Money Market Fund
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
March 1, 2022
| 128 | Report of Independent Registered Public Accounting Firm |
Elfun Funds
Other Information — December 31, 2021 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Funds for their fiscal year ended December 31, 2021.
Dividends Received Deduction
The Funds report the maximum amount allowable of their net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2021 is considered qualified dividend income and is eligible for reduced tax rates. The Funds report the maximum amount allowable of their net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Long Term Capital Gains Distributions
Long term capital gain dividends were paid from the Funds during the year ended December 31, 2021:
| | Amount |
| Elfun International Equity Fund | $ 9,584,883 |
| Elfun Trusts | 373,848,875 |
| Elfun Diversified Fund | 11,599,897 |
| Elfun Income Fund | 102,067 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by each Fund to its shareholders. For the year ended December 31, 2021, the total amount of foreign taxes that will be passed through are:
| | Amount |
| Elfun International Equity Fund | $343,479 |
The amount of foreign source income earned on the following Fund during the year ended December 31, 2021 was as follows:
| | Amount |
| Elfun International Equity Fund | $7,857,706 |
Tax-Exempt Income
For the fiscal year ended December 31, 2021, the following Fund hereby designates as exempt-interest dividends the amounts set forth, or the amount ultimately treated as exempt-interest dividends:
| | Amount |
| Elfun Tax-Exempt Income Fund | $41,065,018 |
Elfun Funds
Other Information, continued — December 31, 2021 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds, excluding the Elfun Government Money Market Fund, have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period September 2020 through June 2021. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Funds have adopted the proxy voting policies of the Adviser. A description of the Funds' proxy voting policies and procedures that are used by the Funds' investment Adviser to vote proxies relating to Funds' portfolio of securities are available (i) without charge, upon request, by calling 1-800-242-0134 (toll free) and (ii) on the SEC’s website at www.sec.gov. Information regarding how the Funds voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
With the exception of the Elfun Government Money Market Fund, following the Funds' first and third fiscal quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits to their reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov, and on the Funds' website at www.ssga.com. The Funds' Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134.
Monthly Portfolio Schedule
The Elfun Government Money Market Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available on the SEC’s website at www.sec.gov. The Fund's monthly portfolio holdings are available at the Fund's website at www.ssga.com.
Elfun Funds
Other Information, continued — December 31, 2021 (Unaudited)
TRUSTEES AND OFFICERS
Name,
Address, and
Year of Birth | Position(s) Held
with Funds | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years
and Relevant Experience | Number
of
Funds
in Fund
Complex
Overseen
by
Trustee† | Other Directorships
Held by Trustee
During Past Five Years |
| INDEPENDENT TRUSTEES |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street Boston,
MA 02210
YOB: 1944 | Trustee
and
Co-Chairperson
of the Board | Term:
Indefinite
Elected: 12/18 | Chairman, Holland &
Company L.L.C.
(investment adviser)
(1995 – present). | 63 | Director, the Holland Series
Fund, Inc.; Director, The China
Fund, Inc. (1992 – 2017);
Director, The Taiwan Fund,
Inc. (2007 – 2017); Director,
Reaves Utility Income Fund,
Inc.; and Director, Blackstone/
GSO Loans (and Real Estate)
Funds. |
| | | | | | |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | Trustee
and
Co-Chairperson
of the Board | Term:
Indefinite
Appointed: 4/16
Elected: 6/16 | 2002 to May 2010, Associate
Justice of the Superior Court,
Commonwealth of
Massachusetts; 1985 to 2002,
Partner, Riley, Burke
& Donahue, L.L.P. (law firm);
1998 to present, Independent
Director, State Street Global
Advisers Ireland, Ltd.
(investment company); 1998 to
present, Independent Director,
SSGA Liquidity plc (formerly,
SSGA Cash Management
Fund plc); January 2009 to
present, Independent Director,
SSGA Fixed Income plc; and
January 2009 – 2019,
Independent Director, SSGA
Qualified Funds PLC. | 63 | Board Director and Chairman,
SPDR Europe 1PLC Board
(2011 – present); Board
Director and Chairman, SPDR
Europe II, PLC (2013 –
present). |
Elfun Funds
Other Information, continued — December 31, 2021 (Unaudited)
Name,
Address, and
Year of Birth | Position(s) Held
with Funds | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years
and Relevant Experience | Number
of
Funds
in Fund
Complex
Overseen
by
Trustee† | Other Directorships
Held by Trustee
During Past Five Years |
| INDEPENDENT TRUSTEES (continued) |
| | | | | |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | Trustee
and
Chairperson of
the Qualified Legal
Compliance
Committee | Term:
Indefinite
Elected: 12/18 | Senior Advisor to NGN Capital
LLC (January 2019 –
present); Managing General
Partner, NGN Capital LLC
(2006 – December 2019). | 63 | Director of Kleinfeld Bridal
Corp. (January 2016 – present);
Trustee of Neuroscience
Research Institute (1986 – 2017); Trustee of Fordham
University (1989 – 1995 and
2001 – 2007) and Trustee
Emeritus (2007 – present);
Trustee and Independent Chairperson of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019);
Trustee of Gregorian
University Foundation (1992 –
2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
| | | | | | |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | Trustee
and
Chairperson of
the Audit Committee | Term:
Indefinite
Elected: 12/18 | Dean of the Gabelli School of
Business (2007 – present) and
Accounting Professor (1987 –
present) at Fordham
University. | 63 | Director- Graduate
Management Admissions
Council (2015 – present);
Trustee of Emmanuel College
(2010 – 2019). |
| | | | | | |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | Trustee
and
Chairperson
of the Nominating Committee
Chairperson of the Governance
Committee | Term:
Indefinite
Appointed: 7/16
Elected: 12/18 | March 2001 to April 2002,
Chairman (1996 to March
2001, President and Chief
Executive Officer), Cerulean
Companies, Inc. (holding
company) (Retired); 1992 to
March 2001, President and
Chief Executive Officer, Blue
Cross Blue Shield of Georgia
(health insurer,
managed healthcare). | 63 | 1998 to December 2008,
Chairman, Board Member and
December 2008 to present,
Investment Committee
Member, Healthcare Georgia
Foundation (private
foundation); September 2002
to 2012, Lead Director and
Board Member, Amerigroup
Corp. (managed health care);
1999 to 2013, Board Member
and (2001 to 2017) Investment
Committee Member, Woodruff
Arts Center; and 2003 to 2009,
Trustee, Gettysburg College;
Board member, Aerocare
Holdings (2003 - January 2021), Regenesis
Biomedical Inc. (April 2012 - present). |
Elfun Funds
Other Information, continued — December 31, 2021 (Unaudited)
Name,
Address, and
Year of Birth | Position(s) Held
with Funds | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years
and Relevant Experience | Number
of
Funds
in Fund
Complex
Overseen
by
Trustee† | Other Directorships
Held by Trustee
During Past Five Years |
| INDEPENDENT TRUSTEES (continued) |
| | | | | |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | Trustee
and
Chairperson of the
Valuation Committee | Term:
Indefinite
Appointed: 7/16
Elected: 12/18 | Retired; formerly, President
and Chief Executive Officer of
the Federal Home Loan Bank
of Boston (1989 – 2009);
Trustee, Randolph-Macon
College (2004 – 2016). | 63 | None. |
| INTERESTED TRUSTEES(1) |
Ellen M. Needham(2)
SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee and
President | Term:
Indefinite
Elected: 12/18 | Chairman, SSGA Funds
Management, Inc. (March
2020 – present); President and
Director, SSGA Funds
Management, Inc. (2001 –
present)*; Senior Managing
Director, State Street Global
Advisors (1992 – present)*;
Manager, State Street Global
Advisors Funds Distributors,
LLC (May 2017 – present). | 63 | Board Director, SSGA
SPDR ETFs Europe 1 plc
(May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). |
| | | | | |
| (1) | The individual listed above is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Funds (“Interested Trustee”). |
| (2) | Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Funds. |
| * | Served in various capacities and/or with various affiliated entities during noted time period. |
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
Elfun Funds
Other Information, continued — December 31, 2021 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name,
Address, and
Year of Birth | Position(s) Held
with Funds | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years |
| OFFICERS: |
Ellen M. Needham
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | President and
Trustee | Term:
Indefinite
Elected:
7/16 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). |
| | | | |
Bruce S. Rosenberg
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | Treasurer | Term:
Indefinite
Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). |
| | | | |
Ann M. Carpenter
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | Vice President
and Deputy
Treasurer | Term:
Indefinite
Elected: 7/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* |
| | | | |
Chad C. Hallett
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | Deputy
Treasurer | Term:
Indefinite
Elected: 7/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* |
| | | | |
Darlene Anderson-Vasquez
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | Deputy
Treasurer | Term:
Indefinite
Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
| | | | |
Arthur A. Jensen
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | Deputy
Treasurer | Term:
Indefinite
Elected: 7/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
| | | | |
David K. Lancaster
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term:
Indefinite
Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017).* |
Elfun Funds
Other Information, continued — December 31, 2021 (Unaudited)
Name,
Address, and
Year of Birth | Position(s) Held
with Funds | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years |
| OFFICERS: (continued) |
| | | |
Brian Harris
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | Chief Compliance
Officer, Anti-Money
Laundering Officer
and Code of Ethics
Compliance Officer | Term:
Indefinite Elected: 7/16
| Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* |
| | | | |
Sean O’Malley
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term:
Indefinite
Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
| | | | |
David Barr
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | Secretary | Term:
Indefinite
Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President and Counsel, Eaton Vance Corp. (October 2010 – October 2019). |
| | | | |
Timothy Collins
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Assistant
Secretary | Term:
Indefinite
Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021); Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010-March 2018). |
| | | | |
David Urman
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | Assistant
Secretary | Term:
Indefinite
Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| | | |
| * | Served in various capacities and/or with various affiliated entities during noted time period. |
Trustees
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
David Lancaster, Assistant Treasurer
David Barr, Secretary
Timothy Collins, Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, Massachusetts 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
(b) Not applicable.
Item 2. Code of Ethics.
As of the end of the period covered by this report, the Elfun Diversified Fund (the “Fund,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. The Code is combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Fund’s Board of Trustees (the “Board”) has determined that the Fund has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Registrant’s principal accountant, for the audit of the Registrant’s annual financial statements or services normally provided by E&Y in connection with the Registrant’s statutory and regulatory filings and engagements were $39,107 and $39,107, respectively.
For the fiscal years ended December 31, 2021 and December 31, 2020, there were no fees for assurance and related services by E&Y that were reasonably related to the performance of the audit of the Registrant’s financial statements that were not reported under paragraph (a) of this Item.
The aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal years ended December 31, 2021 and December 31, 2020 were $5,398 and $7,712, respectively.
For the fiscal years ended December 31, 2021 and December 31, 2020, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Registrant, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that (i) relate directly to the operations and financial reporting of the Registrant and (ii) were pre-approved by the Registrant’s Audit Committee were approximately $8,904,469 and $7,019,005, respectively.
| | |
| (e)(1) | | Audit Committee Pre-Approval Policies and Procedures |
The Fund’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
| | • | | To pre-approve engagements by a Fund Entity’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
| | • | | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
| | • | | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
| | |
| (e)(2) | | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
| (g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate non-audit fees billed by E&Y for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant were approximately $38,000,000 and $36,534,447, respectively.
| (h) | E&Y notified the Fund’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Fund, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Fund’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the report to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.
(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto.
(a)(3) Not applicable to the Registrant.
(a)(4) Not applicable.
(b) Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
| Registrant: | | ELFUN DIVERSIFIED FUND | | |
| | |
| By: | | /s/ Ellen M. Needham | | |
| | Ellen M. Needham | | |
| | President | | |
| | |
| Date: | | March 9, 2022 | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | | | |
| By: | | /s/ Ellen M. Needham | | |
| | Ellen M. Needham | | |
| | President (Principal Executive Officer) | | |
| | |
| Date: | | March 9, 2022 | | |
| | |
| By: | | /s/ Bruce S. Rosenberg | | |
| | Bruce S. Rosenberg | | |
| | Treasurer (Principal Financial and Accounting Officer) | | |
| | |
| Date: | | March 9, 2022 | | |
