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 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, 2022
Item 1. Shareholder Report.
(a) The Report to Shareholders is attached herewith.
Annual Report
December 31, 2022
| 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, 2022
| | Page |
| 1 |
| Management's Discussion of Fund Performance, Understanding Your Fund's Expenses, Performance Summary and Schedule of Investments | |
| 2 |
| 10 |
| 17 |
| 56 |
| 67 |
| 91 |
| Financial Statements | |
| 98 |
| 104 |
| 106 |
| 108 |
| 111 |
| 123 |
| 124 |
The information contained in this report is intended for the general information of shareholders of the Funds. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus which contains important information concerning the Funds. You may find the fund’s prospectus and other information about the fund online at www.ssga.com or you also may get this information at no cost by calling1-800-242-0134 or by sending an e-mail request to Statestreetfunds@ssga.com. Please read the prospectus carefully before you invest.
[This page intentionally left blank]
Elfun Funds
Notes to Performance — December 31, 2022 (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 a well-known stock market index that includes common stocks of 500 companies from a number of sectors and that measures the performance of the large-cap sector of the U.S. equities market.
The MSCI® EAFE® Index is an unmanaged, free float-adjusted, market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada.
The MSCI ACWI ex USA Investable Market Index is a free float-adjusted market capitalization index that is designed to measure the combined equity market performance of securities, across all market capitalizations, in developed and emerging market countries excluding the United States.
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 a market value-weighted index of investment-grade municipal bonds with maturities of one year or more.
The Daily-Linked 90-Day T-Bill is a measure of the performance of U.S. Treasury bills currently available in the market place having a remaining maturity of 90 days.
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, 2022 (Unaudited)
The State Street 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, 2022 (the “Reporting Period”), the total return for the Fund was -16.11%, and the return for the Index was -14.45%. 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.
Primary drivers of the Fund's performance during the Reporting Period relative to the Index included the negative impact of sector positioning, underperformance in the industrials sector, and outperformance in the financials sector.
For the Reporting Period, the Fund’s sector positioning hurt relative returns. The Fund’s biggest overweight was in technology, the weakest performing sector in the Index, while energy, the Index’s strongest sector, was underweight. Almost every segment of technology was weak during the value-oriented market of the Reporting Period, but semiconductors companies were particularly impactful. Semiconductor and related equipment manufacturers were hit by fears of overproduction amid a cyclical slowdown. Our view is that this was an area that retains some cyclical characteristics but is in the midst of an underappreciated multi-year secular growth period driven by the proliferation of chip technology throughout the data economy. Conversely, oil & gas companies enjoyed a strong year driven by macro and geopolitical factors but is not an area that we find as many compelling opportunities for the long run.
In industrials, the Fund was not only hurt by an overweight to an underperforming sector, but also by underperformance within the sector. Within industrials, the Fund’s holdings, many of which are oriented toward infrastructure spending, underperformed relative to defense companies which surged in the wake of the Ukraine conflict. Another underperforming holding in the sector was Japanese professional services company Recruit, a human resources technology provider, which weakened amid fears of a hiring slowdown.
In financials, the Fund had diversified outperformance across insurance and banking in both Asia and Europe, as well as in capital markets with London Stock Exchange. In addition, the Fund benefitted from an overweight to the sector, which outperformed on rising interest rates.
The Fund used futures in order to efficiently manage cash flows during the Reporting Period. The Fund’s use of futures slightly detracted from 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 Equinor ASA, AstraZeneca, and Mitsubishi UFJ Financial Group Inc. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Koninklijke DSM N.V, ASML Holding N.V, and Recruit Holding Company Ltd.
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, 2022 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $153,541 (in thousands) as of December 31, 2022 (a)(b) |
| Top Ten Largest Holdings |
| as of December 31, 2022 (as a % of Fair Value) (a)(b) |
| AstraZeneca PLC | 4.01% |
| Nestle S.A. | 3.77% |
| Novartis AG | 3.48% |
| LVMH Moet Hennessy Louis Vuitton SE | 3.42% |
| AIA Group Ltd. | 3.11% |
| ASML Holding N.V. | 3.01% |
| Roche Holding AG | 2.86% |
| Schneider Electric SE | 2.41% |
| Mitsubishi UFJ Financial Group Inc. | 2.40% |
| Safran S.A. | 2.38% |
| Average Annual Total Return for the years ended December 31, 2022 |
| (Inception date 1/1/88) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun International Equity Fund | (16.11)% | | 2.45% | | 4.45% | | $15,458 |
| MSCI EAFE Index | (14.45)% | | 1.54% | | 4.67% | | $15,787 |
|
| (a) | Fair Value basis is inclusive of short-term investments in State Street Institutional U.S. Government Money Market Fund - Class G Shares and State Street Institutional 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 International Equity Fund | 3 |
Elfun International Equity Fund
Performance Summary, continued — December 31, 2022 (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, 2022 (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, 2022.
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, 2022 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2022 | $1,065.30 | | $1,022.70 |
| Expenses Paid During Period* | $ 2.60 | | $ 2.55 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.50%** (for the period July 1, 2022 - December 31, 2022), 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, 2022
| | Number
of Shares | Fair
Value |
| Common Stock - 98.4% † |
| Australia - 2.0% |
| BHP Group Ltd., Class DI | 101,026 | $ 3,123,172 |
| Brazil - 0.5% |
| Itau Unibanco Holding S.A. ADR | 161,785 | 762,007 |
| Canada - 0.8% |
| Brookfield Corp. | 41,330 | 1,298,816 |
| France - 19.0% |
| Air Liquide S.A. | 25,167 | 3,556,194 |
| AXA S.A. (a) | 115,036 | 3,198,828 |
| BNP Paribas S.A. | 54,000 | 3,068,876 |
| Cie de Saint-Gobain | 57,019 | 2,777,962 |
| Dassault Systemes SE | 64,306 | 2,298,780 |
| EssilorLuxottica S.A. | 16,108 | 2,908,760 |
| LVMH Moet Hennessy Louis Vuitton SE | 7,245 | 5,257,138 |
| Safran S.A. | 29,295 | 3,655,513 |
| Worldline S.A. (b)(c) | 63,309 | 2,468,204 |
| | | 29,190,255 |
| Germany - 4.7% |
| adidas AG | 8,703 | 1,183,883 |
| Infineon Technologies AG | 88,586 | 2,687,868 |
| SAP SE | 32,182 | 3,310,633 |
| | | 7,182,384 |
| Hong Kong - 4.8% |
| AIA Group Ltd. | 429,767 | 4,779,502 |
| Prudential PLC | 190,898 | 2,589,093 |
| | | 7,368,595 |
| Ireland - 1.1% |
| Kerry Group PLC, Class A | 19,447 | 1,748,384 |
| Japan - 21.7% |
| Daikin Industries Ltd. | 17,000 | 2,602,600 |
| Disco Corp. | 10,900 | 3,118,534 |
| Hoya Corp. | 23,652 | 2,277,454 |
| Kao Corp. | 56,100 | 2,234,306 |
| Komatsu Ltd. | 141,200 | 3,077,731 |
| Mitsubishi UFJ Financial Group Inc. | 545,926 | 3,678,261 |
| Murata Manufacturing Company Ltd. | 36,891 | 1,841,964 |
| Nidec Corp. | 12,973 | 672,419 |
| | Number
of Shares | Fair
Value |
| Recruit Holdings Company Ltd. | 87,500 | $ 2,769,999 |
| Secom Company Ltd. | 11,900 | 680,296 |
| Shimadzu Corp. | 43,157 | 1,224,927 |
| Shiseido Company Ltd. | 50,062 | 2,455,199 |
| Sony Group Corp. | 43,100 | 3,277,945 |
| Tokio Marine Holdings Inc. | 166,494 | 3,567,864 |
| | | 33,479,499 |
| Netherlands - 9.0% |
| ASML Holding N.V. | 8,597 | 4,622,438 |
| ING Groep N.V. | 271,635 | 3,301,408 |
| Koninklijke DSM N.V. | 23,198 | 2,829,845 |
| Universal Music Group N.V. | 130,696 | 3,139,813 |
| | | 13,893,504 |
| Norway - 1.8% |
| Equinor ASA | 77,309 | 2,760,868 |
| Portugal - 0.9% |
| Galp Energia SGPS S.A. | 102,499 | 1,379,433 |
| Singapore - 2.2% |
| United Overseas Bank Ltd. | 146,800 | 3,360,245 |
| Spain - 3.0% |
| Cellnex Telecom S.A. (b) | 72,560 | 2,394,433 |
| Industria de Diseno Textil S.A. | 83,578 | 2,216,585 |
| | | 4,611,018 |
| Sweden - 1.9% |
| Assa Abloy AB, Class B | 136,136 | 2,922,753 |
| Switzerland - 7.7% |
| Novartis AG | 59,146 | 5,343,725 |
| Roche Holding AG | 13,984 | 4,390,782 |
| Sika AG | 8,545 | 2,047,586 |
| | | 11,782,093 |
| United Kingdom - 11.1% |
| Ashtead Group PLC | 44,359 | 2,518,567 |
| AstraZeneca PLC | 45,617 | 6,155,620 |
| London Stock Exchange Group PLC | 39,571 | 3,396,734 |
| Rentokil Initial PLC | 476,634 | 2,912,584 |
| Spirax-Sarco Engineering PLC | 16,280 | 2,078,759 |
| | | 17,062,264 |
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, 2022
| | Number
of Shares | Fair
Value |
| United States - 6.2% |
| Nestle S.A. | 50,009 | $ 5,791,142 |
| Schneider Electric SE | 26,495 | 3,696,340 |
| | | 9,487,482 |
Total Common Stock
(Cost $124,901,407) | | 151,412,772 |
| Short-Term Investments - 1.4% |
| State Street Institutional Treasury Money Market Fund - Premier Class 3.79% (d)(e) | 1,192,777 | 1,192,777 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 4.16% (d)(e) | 935,166 | 935,166 |
Total Short-Term Investments
(Cost $2,127,943) | | 2,127,943 |
Total Investments
(Cost $127,029,350) | | 153,540,715 |
| Other Assets and Liabilities, net - 0.2% | | 356,036 |
| NET ASSETS - 100.0% | | $ 153,896,751 |
Other Information:
| The Fund had the following short futures contracts open at December 31, 2022: |
| Description | Expiration
date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| MSCI EAFE Mini Index Futures | March 2023 | 14 | $ (1,358,558) | $ (1,364,580) | $ (6,022) |
During the period ended December 31, 2022, the average notional values related to long and short futures contracts were $1,174,615 and $832,814, respectively.
Notes to Schedule of Investments – December 31, 2022
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, 2022, all or a portion of this security was pledged to cover collateral requirements for futures. |
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, 2022
| (b) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, these securities amounted to $4,862,637 or 3.16% 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. |
| (c) | Non-income producing security. |
| (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, 2022. |
| Abbreviations: |
| ADR - American Depositary Receipt |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2022:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Common Stock | $ 151,412,772 | | $ — | | $ — | | $ 151,412,772 |
| Short-Term Investments | 2,127,943 | | — | | — | | 2,127,943 |
| Total Investments in Securities | $ 153,540,715 | | $ — | | $ — | | $ 153,540,715 |
| Other Financial Instruments | | | | | | | |
| Short Futures Contracts - Unrealized Depreciation | $ (6,022) | | $ — | | $ — | | $ (6,022) |
| Total Other Financial Instruments | $ (6,022) | | $ — | | $ — | | $ (6,022) |
The Fund was invested in the following sectors at December 31, 2022 (Unaudited):
| Sector | | Percentage (based
on Fair Value) |
| Pharmaceuticals | | | 10.35% |
| Diversified Banks | | | 9.24% |
| Building Products | | | 5.41% |
| Semiconductor Equipment | | | 5.04% |
| Packaged Foods & Meats | | | 4.91% |
| Life & Health Insurance | | | 4.80% |
| Apparel, Accessories & Luxury Goods | | | 4.19% |
| Application Software | | | 3.66% |
| Healthcare Supplies | | | 3.37% |
| Specialty Chemicals | | | 3.17% |
| Personal Products | | | 3.06% |
| Electrical Components & Equipment | | | 2.85% |
| Integrated Oil & Gas | | | 2.70% |
| Aerospace & Defense | | | 2.38% |
| Property & Casualty Insurance | | | 2.32% |
| Industrial Gases | | | 2.32% |
| Financial Exchanges & Data | | | 2.21% |
| Consumer Electronics | | | 2.13% |
| Multi-Line Insurance | | | 2.08% |
| Movies & Entertainment | | | 2.05% |
| Diversified Metals & Mining | | | 2.03% |
| Construction Machinery & Heavy Trucks | | | 2.00% |
| Environmental & Facilities Services | | | 1.90% |
| Human Resource & Employment Services | | | 1.80% |
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, 2022
| Sector | | Percentage (based
on Fair Value) |
| Semiconductors | | | 1.75% |
| Trading Companies & Distributors | | | 1.64% |
| Data Processing & Outsourced Services | | | 1.61% |
| Integrated Telecommunication Services | | | 1.56% |
| Apparel Retail | | | 1.44% |
| Industrial Machinery | | | 1.35% |
| Electronic Components | | | 1.20% |
| Asset Management & Custody Banks | | | 0.85% |
| Electronic Equipment & Instruments | | | 0.80% |
| Security & Alarm Services | | | 0.44% |
| | | | 98.61% |
| Short-Term Investments | | |
| Short-Term Investments | | 1.39% |
| | | | 100.00% |
| | Number
of Shares
Held at
12/31/21 | Value at
12/31/21 | | Cost of
Purchases | | Proceeds
from
Shares
Sold | | Realized
Gain
(Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/22 | Value at
12/31/22 | | Dividend
Income |
| State Street Institutional Treasury Money Market Fund - Premier Class | 3,575,026 | $3,575,026 | | $14,581,442 | | $16,963,691 | | $— | | $— | 1,192,777 | $1,192,777 | | $27,667 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 3,338,440 | 3,338,440 | | 14,560,417 | | 16,963,691 | | — | | — | 935,166 | 935,166 | | 27,053 |
| TOTAL | | $6,913,466 | | $29,141,859 | | $33,927,382 | | $— | | $— | | $2,127,943 | | $54,720 |
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, 2022 (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, 2022 (the “Reporting Period”), the total return for the Fund was -19.87%, and the return for the Index was -18.11%. 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.
Primary drivers of the Fund's performance during the Reporting Period relative to the Index included the negative impact of sector positioning, underperformance in the communication services sector, and outperformance in the healthcare sector. In a volatile value-oriented market, the Fund outperformed in most sectors, but was negatively impacted by its sector positioning.
For the Reporting Period, the Fund’s sector positioning hurt relative returns. The Fund was overweight in communication services, the weakest performing sector in the index, and underweight defensive sectors like consumer staples and utilities, which outperformed. The Fund was also underweight in energy, the top returning sector for the Reporting Period, which was helped by elevated oil prices driven by the economic reopening as well as Ukraine invasion. The negative impact of the energy underweight, however, was mostly offset by stock selection as the Fund’s only holding in the sector outperformed. Overall, the team’s approach focused on quality, sustainable growth, and reasonable valuation tends to find fewer compelling opportunities in the sectors that led during this Reporting Period.
In communication services, the Fund was not only hurt by the overweight mentioned above, but also by underperformance within the sector. Internet platform company holdings such as Alphabet and Meta underperformed relative to more defensive telecommunications companies within the sector, which were not held. The Fund’s higher growth holdings were hurt by a combination of macro factors, for example rising interest rates, which disproportionally impact growth names; cyclical factors such as slowing advertising spend; and company specific issues, such as controversy around Meta’s large spending on its metaverse initiatives. Our view was companies like Alphabet and Meta would remain dominant players in their core industries with strong free cash flow and, after the market sell-off, compelling valuations.
The Fund saw strength in healthcare. While we are underweight defensive sectors generally due to high valuations, we do gain defensive exposure in healthcare, where we find more compelling quality along with reasonable valuation relative to growth prospects. In the Reporting Period, the Fund benefitted from positions in biotech companies like Vertex Pharmaceuticals, which has had strong results in its cystic fibrosis drug and leading pharmaceutical company Merck. Outside of pharma, the Fund also outperformed in healthcare services, for example with UnitedHealth Group, whose strong market position in managed care has led to resilient results.
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 ConocoPhillips, Merck & Company Inc, and Vertex Pharmaceuticals Inc. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Amazon.com Inc, Meta Platforms Inc, and Microsoft Corp.
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 Trusts
Performance Summary — December 31, 2022 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $2,910,940 (in thousands) as of December 31, 2022 (a)(b) |
| Top Ten Largest Holdings |
| as of December 31, 2022 (as a % of Fair Value) (a)(b) |
| Microsoft Corp. | 7.14% |
| Apple Inc. | 5.27% |
| ConocoPhillips | 5.12% |
| Amazon.com Inc. | 4.09% |
| Johnson & Johnson | 3.70% |
| Alphabet Inc., Class C | 3.49% |
| UnitedHealth Group Inc. | 3.48% |
| Merck & Company Inc. | 3.13% |
| Visa Inc., Class A | 2.88% |
| Mastercard Inc., Class A | 2.86% |
| Average Annual Total Return for the years ended December 31, 2022 |
| (Inception date 5/27/35) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Trusts | (19.87)% | | 10.28% | | 12.94% | | $33,752 |
| S&P 500® Index | (18.11)% | | 9.43% | | 12.56% | | $32,654 |
|
| (a) | Fair Value basis is inclusive of short-term investments in State Street Institutional U.S. Government Money Market Fund - Class G Shares and State Street Institutional 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, 2022 (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, 2022 (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, 2022.
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, 2022 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2022 | $1,014.20 | | $1,024.30 |
| Expenses Paid During Period* | $ 0.91 | | $ 0.92 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.18%** (for the period July 1, 2022 - December 31, 2022), 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, 2022
| | Number
of Shares | Fair
Value |
| Common Stock - 98.6% † |
| Apparel Retail - 1.9% |
| Ross Stores Inc. | 485,100 | $ 56,305,557 |
| Application Software - 1.9% |
| Salesforce Inc. (a) | 422,749 | 56,052,290 |
| Biotechnology - 2.2% |
| BioMarin Pharmaceutical Inc. (a) | 251,691 | 26,047,501 |
| Vertex Pharmaceuticals Inc. (a) | 134,342 | 38,795,283 |
| | | 64,842,784 |
| Cable & Satellite - 1.0% |
| Charter Communications Inc., Class A (a) | 90,300 | 30,620,730 |
| Data Processing & Outsourced Services - 7.2% |
| Fidelity National Information Services Inc. | 618,549 | 41,968,550 |
| Mastercard Inc., Class A | 239,700 | 83,350,881 |
| Visa Inc., Class A | 403,300 | 83,789,608 |
| | | 209,109,039 |
| Diversified Banks - 2.4% |
| JPMorgan Chase & Co. | 527,921 | 70,794,206 |
| Electric Utilities - 2.9% |
| NextEra Energy Inc. | 994,800 | 83,165,280 |
| Environmental & Facilities Services - 1.8% |
| Waste Management Inc. | 333,500 | 52,319,480 |
| Financial Exchanges & Data - 2.2% |
| S&P Global Inc. | 188,100 | 63,002,214 |
| Healthcare Equipment - 3.4% |
| Boston Scientific Corp. (a) | 1,240,403 | 57,393,447 |
| IDEXX Laboratories Inc. (a) | 102,200 | 41,693,512 |
| | | 99,086,959 |
| Home Improvement Retail - 1.5% |
| Lowe's Companies Inc. | 220,949 | 44,021,879 |
| Hypermarkets & Super Centers - 2.1% |
| Costco Wholesale Corp. | 137,512 | 62,774,228 |
| Industrial Conglomerates - 2.3% |
| Honeywell International Inc. | 311,400 | 66,733,020 |
| | Number
of Shares | Fair
Value |
| Industrial Machinery - 2.2% |
| Parker-Hannifin Corp. | 219,500 | $ 63,874,500 |
| Interactive Media & Services - 7.3% |
| Alphabet Inc., Class C (a) | 1,144,000 | 101,507,120 |
| Alphabet Inc., Class A (a) | 586,000 | 51,702,780 |
| Meta Platforms Inc., Class A (a) | 494,192 | 59,471,065 |
| | | 212,680,965 |
| Internet & Direct Marketing Retail - 4.1% |
| Amazon.com Inc. (a) | 1,418,700 | 119,170,800 |
| Investment Banking & Brokerage - 2.4% |
| The Charles Schwab Corp. | 829,400 | 69,055,844 |
| Life Sciences Tools & Services - 2.1% |
| IQVIA Holdings Inc. (a) | 293,100 | 60,053,259 |
| Managed Healthcare - 3.5% |
| UnitedHealth Group Inc. | 190,956 | 101,241,052 |
| Oil & Gas Exploration & Production - 5.1% |
| ConocoPhillips | 1,264,000 | 149,152,000 |
| Packaged Foods & Meats - 2.1% |
| Mondelez International Inc., Class A | 931,883 | 62,110,002 |
| Pharmaceuticals - 6.8% |
| Johnson & Johnson | 609,700 | 107,703,505 |
| Merck & Company Inc. | 822,076 | 91,209,332 |
| | | 198,912,837 |
| Property & Casualty Insurance - 2.6% |
| Chubb Ltd. | 342,900 | 75,643,740 |
| Regional Banks - 2.1% |
| First Republic Bank | 509,700 | 62,127,333 |
| Semiconductor Equipment - 2.8% |
| Applied Materials Inc. | 651,100 | 63,404,118 |
| ASML Holding N.V. | 31,300 | 17,102,320 |
| | | 80,506,438 |
| Semiconductors - 4.9% |
| NVIDIA Corp. | 472,800 | 69,094,992 |
| QUALCOMM Inc. | 672,000 | 73,879,680 |
| | | 142,974,672 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Trusts
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Specialized REITs - 2.4% |
| American Tower Corp. | 327,829 | $ 69,453,852 |
| Systems Software - 7.7% |
| Microsoft Corp. | 866,035 | 207,692,514 |
| ServiceNow Inc. (a) | 42,800 | 16,617,956 |
| | | 224,310,470 |
| Technology Hardware, Storage & Peripherals - 5.3% |
| Apple Inc. | 1,181,000 | 153,447,330 |
| Trading Companies & Distributors - 2.4% |
| United Rentals Inc. (a) | 193,067 | 68,619,873 |
Total Common Stock
(Cost $1,756,288,011) | | 2,872,162,633 |
| Short-Term Investments - 1.3% |
| State Street Institutional Treasury Money Market Fund - Premier Class 3.79% (b)(c) | 19,801,698 | 19,801,698 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 4.16% (b)(c) | 18,975,185 | 18,975,185 |
Total Short-Term Investments
(Cost $38,776,883) | | 38,776,883 |
Total Investments
(Cost $1,795,064,894) | | 2,910,939,516 |
| Other Assets and Liabilities, net - 0.1% | | 1,961,962 |
| NET ASSETS - 100.0% | | $ 2,912,901,478 |
Notes to Schedule of Investments – December 31, 2022
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, 2022. |
| 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, 2022:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Common Stock | $ 2,872,162,633 | | $ — | | $ — | | $ 2,872,162,633 |
| Short-Term Investments | 38,776,883 | | — | | — | | 38,776,883 |
| Total Investments in Securities | $ 2,910,939,516 | | $ — | | $ — | | $ 2,910,939,516 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Trusts
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares
Held at
12/31/21 | Value at
12/31/21 | | Cost of
Purchases | | Proceeds
from
Shares
Sold | | Realized
Gain
(Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/22 | Value at
12/31/22 | | Dividend
Income |
| State Street Institutional Treasury Money Market Fund - Premier Class | 7,320,718 | $ 7,320,718 | | $237,122,856 | | $224,641,876 | | $— | | $— | 19,801,698 | $19,801,698 | | $ 578,617 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 6,984,701 | 6,984,701 | | 236,632,360 | | 224,641,876 | | — | | — | 18,975,185 | 18,975,185 | | 637,511 |
| TOTAL | | $14,305,419 | | $473,755,216 | | $449,283,752 | | $— | | $— | | $38,776,883 | | $1,216,128 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Management's Discussion of Fund Performance — December 31, 2022 (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 Dec 31, 2022 (the “Reporting Period”), the total return for the Fund was -15.31%, and the return for the S&P 500 Index, Bloomberg U.S. Aggregate Bond Index and MSCI ACWI ex USA Investable Market Index was -18.11%, -13.01% and -16.58%, respectively. The Fund and Indices’ 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 Indices are unmanaged, and their 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, the MSCI® All Country World ex-USA Investable Market Index, and the Bloomberg U.S. Aggregate Bond Index. All of which posted negative returns for the year.
The fund began the year with an overweight position to cash offset with an underweight to fixed income while neutral to the benchmark within equities. As equity market volatility picked up in January the portfolio implemented a more defensive positioning, moving underweight U.S. equity while adding to the cash overweight. The defensive positioning was held in the portfolio until late February when elevated implied volatility across equities and currency coupled with widening risky debt spreads indicated investors had become overly pessimistic and created a more supportive environment for tactically adding exposure to risk assets. In order to take advantage of the excessive fear in the market, the portfolio took a slight overweight in U.S. equity funded from fixed income. However, the macro-economic outlook would continue to deteriorate with headline inflation hitting 40-year highs, global central banks signaling tighter monetary policy ahead, and Russia invading Ukraine. As a result, both the equity and fixed income exposures in the portfolio sold off in tandem. In the second quarter amidst this uncertain environment the portfolio kept an overweight to cash as a cushion against elevated volatility while also implementing a relative value trade within equity reducing our non-U.S.exposure to add to U.S. equities. Price momentum along with sentiment and macro factors underpinned the constructive outlook for U.S. equities relative to non-U.S. equities. In June our market views changed as the outlook for bonds greatly improved with models forecasting lower rates and a flatter yield curve. Within equities we now favored developed non-U.S. equities over U.S. equity. Hence, the portfolio brought the non-U.S.equity exposure and the fixed income exposure to neutral while opening up an underweight to U.S. equity and remaining overweight cash. The portfolio would remain underweight U.S.equity for the entire third quarter as risk aversion intensified in the latter stages of summer with mounting fears of an energy crisis and more hawkish central banks threatening global growth. In September, in anticipation of higher rates on the horizon the allocation to fixed income was reduced and the overweight to cash was increased as cash offered a healthy yield and provided downside protection in a volatile environment. The portfolio would remain overweight cash and underweight fixed income and equity through October. In the final two months of the year the outlook for bonds became more constructive. In November, half of the cash overweight was drawn down to fund a buy of fixed income bringing the fixed income allocation in the portfolio neutral to the benchmark. As we approached the end of the year the momentum in interest rates and weaker manufacturing activity signaled a further decline in interest rates were ahead. As the backdrop increasingly became more supportive for fixed income, the portfolio further reduced the cash position, removing the cash overweight, in order to increase duration in the portfolio and create a modest overweight in fixed income.
Global equity markets received one of the more inhospitable welcomes to a new year in recent memory to begin 2022. After enjoying a relatively calm market in 2021 a mixture of global geopolitical uncertainty, accelerating inflation and hawkish central bank policies awaited. Russia invaded Ukraine midway through the first quarter causing a spike in energy prices and exacerbating inflation fears that were already present in the minds of consumers. In the U.S. the headline Consumer Price Index (CPI) would hit 8.5% year over year by the end of the first quarter, and the U.S. Federal Reserve (the "Fed") announced its first rate hike since 2018 in March, raising the target rate by 0.25% and clarified that further increases would be appropriate. The hostile macro environment would prove too much to bear for equity markets as the S&P 500 Index declined by 4.60% during the quarter. The weakness was broad based as Energy and Utilities were the only positively performing sectors, with Energy the standout posting an astounding 39% return for the
Elfun Diversified Fund
Management's Discussion of Fund Performance, continued — December 31, 2022 (Unaudited)
quarter. In Europe, the Russia-Ukraine war dominated headlines as concerns over disruptions in energy supplies threatened the region. Economic data within the region proved resilient as the March flash PMI came in at 54.5. The European Central Bank (ECB) left interest rates unchanged but indicated that the first-rate hike could be executed later in the year. The MSCI Europe index fell by 7.23% during the quarter. The MSCI Pacific index outperformed its developed market peers but still posted a negative return for the quarter of 3%. The region benefitted from minimal exposure to Russia, but the dramatic weakening of the Japanese Yen which reached a 6 year low against the U.S. Dollar in March, dragged down Japan equities, the largest weight in the Pacific index. Emerging markets underperformed developed markets in large part due to weakness from China as daily new cases of Covid-19 spiked due to the Omicron variant and the country locked down some of its largest cities including Shanghai. The MSCI Emerging Markets index declined by 6.92% for the quarter and the MSCI ACWI ex USA Investable Market Index declined by 5.49% for the first quarter.
There would be no rebound for equity markets in the Spring as things went from bad to worse. U.S. CPI surprised notably to the upside in April at 8.3% year over year and the Fed responded by delivering a 50 basis point hike in May followed by a 75 basis point hike in June, the largest interest rate hike since 1994. The tightening monetary policy and increased inflation expectations sent the S&P 500 Index into a downward spiral reaching a peak to trough drawdown in mid-June of -23%, meeting the technical definition for a bear market. By the end of June, the S&P 500 Index had declined by 16.1% for the second quarter, the worst quarterly decline since Q1 2020. Outside of the U.S., stocks performed marginally better with the MSCI Emerging Markets index falling 11.34% for the quarter as the Chinese economy continued to decelerate and the MSCI ACWI ex USA Investable Market Index falling 14.10% for the quarter.
The second half of the year would get off to a better start as the S&P 500 Index posted a 9% gain for the month of July with growth stocks leading the way after taking the brunt of the pain through the first six months of the year. The market rally was fueled by hope of a policy pivot from the Fed, a narrative which had taken hold after consecutive 75 basis point hikes in June and July. The pivot narrative and the equity market rally quickly faded following hawkish comments from Fed Chair Jerome Powell at the Jackson Hole Symposium in August and as both inflation and employment data continued to surprise to the upside. The S&P 500 Index ultimately declined 4.88% over the quarter with nine of eleven sectors finishing lower. Equities outside the U.S. lagged with the MSCI ACWI ex USA Investable Market Index down 9.58%. In Europe, the Eurozone Manufacturing PMI entered contractionary territory and the European Central Bank joined the hawkish chorus of central banks and started to raise rates. Global risk aversion and the strong U.S. dollar continued to weigh on emerging markets with the MSCI Emerging Markets index down 11.42% for the quarter.
The S&P 500 Index surged in early November on the back of a downward surprise in the inflation data. Although the December seasonal tailwind for equities did not emerge the fourth quarter was a spot of sunshine in an otherwise dreary year for equities. Ultimately, the S&P 500 Index gained 7.56% for the fourth quarter but declined 18.11% for the Reporting period. Equity markets outside of the U.S. staged a particularly strong rally in the fourth quarter helped by weakness in the US Dollar. Developed International Markets outperformed Emerging Markets with both regions outperforming the U.S. equity market. In addition to weakness from the U.S. dollar, international markets benefitted from sector weight differentials compared to the U.S. stock market, with larger exposures to resource related sectors such as energy and materials and less exposure to Technology and Communication Services. The MSCI Emerging Market Index gained 9.6% for the quarter but ended lower by 19.9% for the Reporting period. The MSCI ACWI ex USA Investable Market Index posted a 14.23% gain for the fourth quarter but still declined 16.58% for the Reporting period.
The U.S. fixed income market began the year with an historically poor first quarter. U.S. Treasury yields increased significantly across the curve due to higher expectations of Fed tightening and inflation. The headline U.S. CPI would hit 8.5% year over year by the end of the first quarter and the Fed raised interest rates by 25 basis points in March, the first increase since 2018. The increase in Treasury yields was more dramatic at the shorter end of the curve as expectations for higher policy yields pushed the U.S. 2-year Treasury yield up by 160 basis points, while the increase in inflation expectations induced a rise of 83 basis points in the U.S. 10-year Treasury yield. The result was a flattening of the curve with the U.S. 2 year and the U.S. 10-year Treasury yields finishing the quarter at almost identical yields of 2.33% and 2.34%, respectively. The credit market was not spared as U.S. Investment grade credit spreads widened by 24 basis points during the quarter. Overall, the Bloomberg U.S. Aggregate Bond index finished the quarter down 5.9%, the worst quarterly performance since 1980.
Elfun Diversified Fund
Management's Discussion of Fund Performance, continued — December 31, 2022 (Unaudited)
Interest rates continued to climb in the second quarter as the Fed hiked interest rates 50 bps in May followed by a 75 basis point increase in June. Interest rate volatility reached a fresh peak in June after CPI inflation data exceeded expectations, with headline inflation reaching its highest level in 40 years. The U.S. 2-year Treasury yield increased by 62 basis points to 2.95% and the 10-Year Treasury yield would hit its highest level since 2011 when it reached 3.47% on June 14th before reversing in the final two weeks of the quarter to settle at 3.01%. Recession fears and equity market volatility contributed to U.S. Investment Grade Credit spreads widening by 39 basis points for the quarter. The Bloomberg U.S. Aggregate Bond index, decreased by -4.7% in the second quarter, bringing the year-to-date decline through the first six months to -10.4%.
The second half of the year began with more of the same from the Fed as they increased interest rates in July by 75 basis points for the second consecutive month. However, at the July Federal Open Market Committe meeting the market interpreted Chairman Powell’s comments as dovish and a narrative began to form around the Fed pivoting from its tightening policy, which allowed bonds to rally into August. However, in August at the Fed’s Jackson Hole Symposium, Chairman Powell set the record straight and explicitly informed investors that a Fed pivot is not imminent but rather additional hikes and economic pain are on the horizon. The message needed little interpretation from the market and corporate bonds and Treasuries sold off into the end of the quarter. The yield curve, measured by the U.S. 2-year Treasury yield and the U.S. 10-year Treasury yield, would end the quarter inverted by 40 basis points. The Bloomberg U.S. Aggregate Bond index decreased by 4.8% in the quarter, bringing the year-to-date decline to -14.6%.
Fixed income markets would end a turbulent year on a positive note with bonds across the yield curve and risk spectrum posting positive returns in the fourth quarter. Longer duration bonds outperformed shorter term bonds as yields on the long end of the curve declined in the fourth quarter. The Bloomberg U.S. Aggregate Bond index posted a gain of 1.6% in the fourth quarter which couldn’t prevent the index from achieving unwanted notoriety for 2022. The Bloomberg U.S. Aggregate Bond index declined 13.01% for the Reporting period, the worst year since index inception, while also posting a negative return in consecutive years for the first time in the history of the index.
The Fund used equity and treasury futures in order to actively manage equity exposure and duration during the Reporting Period. The Fund’s use of these derivatives contributed to Fund liquidity and exposure management versus utilizing cash instruments only.
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, 2022 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $181,711 (in thousands) as of December 31, 2022 (a)(b) |
| Top Ten Largest Equity Holdings |
| as of December 31, 2022 (as a % of Fair Value) (a)(b) |
| Apple Inc. | 1.79% |
| Microsoft Corp. | 1.64% |
| Amazon.com Inc. | 0.69% |
| Berkshire Hathaway Inc., Class B | 0.51% |
| Alphabet Inc., Class A | 0.48% |
| UnitedHealth Group Inc. | 0.46% |
| Alphabet Inc., Class C | 0.43% |
| Johnson & Johnson | 0.42% |
| Exxon Mobil Corp. | 0.42% |
| JPMorgan Chase & Co. | 0.36% |
| Average Annual Total Return for the years ended December 31, 2022 |
| (Inception date 1/1/88) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Diversified Fund | (15.31)% | | 3.68% | | 5.85% | | $17,652 |
| S&P 500® Index | (18.11)% | | 9.43% | | 12.56% | | $32,654 |
| MSCI ACWI ex USA Investable Market Index | (16.58)% | | 0.85% | | 4.17% | | $14,780 |
| Bloomberg U.S. Aggregate Bond Index | (13.01)% | | 0.02% | | 1.06% | | $11,108 |
|
| (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, 2022 (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, 2022 (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, 2022.
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, 2022 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2022 | $1,007.20 | | $1,023.40 |
| Expenses Paid During Period* | $ 1.77 | | $ 1.79 |
| * | Expenses are equal to the Fund's annualized net expense ratio of 0.35%** (for the period July 1, 2022 - December 31, 2022), 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, 2022
| | Number
of Shares | Fair
Value |
| Domestic Equity - 31.6% † |
| Common Stock - 31.6% |
| Advertising - 0.0%* |
| Omnicom Group Inc. | 341 | $ 27,815 |
| The Interpublic Group of Companies Inc. (a) | 666 | 22,185 |
| | | 50,000 |
| Aerospace & Defense - 0.6% |
| General Dynamics Corp. (a) | 383 | 95,026 |
| Howmet Aerospace Inc. (a) | 619 | 24,395 |
| Huntington Ingalls Industries Inc. (a) | 71 | 16,378 |
| L3Harris Technologies Inc. (a) | 327 | 68,085 |
| Lockheed Martin Corp. | 386 | 187,785 |
| Northrop Grumman Corp. | 239 | 130,401 |
| Raytheon Technologies Corp. | 2,407 | 242,914 |
| Textron Inc. | 298 | 21,098 |
| The Boeing Co. (b) | 946 | 180,204 |
| TransDigm Group Inc. | 86 | 54,150 |
| | | 1,020,436 |
| Agricultural & Farm Machinery - 0.1% |
| Deere & Co. | 456 | 195,515 |
| Agricultural Products - 0.1% |
| Archer-Daniels-Midland Co. | 903 | 83,844 |
| Air Freight & Logistics - 0.2% |
| CH Robinson Worldwide Inc. | 206 | 18,861 |
| Expeditors International of Washington Inc. | 272 | 28,266 |
| FedEx Corp. | 409 | 70,839 |
| United Parcel Service Inc., Class B | 1,212 | 210,694 |
| | | 328,660 |
| Airlines - 0.1% |
| Alaska Air Group Inc. (b) | 181 | 7,772 |
| American Airlines Group Inc. (b) | 994 | 12,644 |
| Delta Air Lines Inc. (b) | 1,100 | 36,146 |
| Southwest Airlines Co. (b) | 962 | 32,391 |
| United Airlines Holdings Inc. (b) | 536 | 20,207 |
| | | 109,160 |
| Alternative Carriers - 0.0%* |
| Lumen Technologies Inc. | 1,474 | 7,694 |
| | Number
of Shares | Fair
Value |
| Apparel Retail - 0.1% |
| Ross Stores Inc. | 599 | $ 69,526 |
| The TJX Companies Inc. | 1,929 | 153,548 |
| | | 223,074 |
| Apparel, Accessories & Luxury Goods - 0.0%* |
| Ralph Lauren Corp. | 75 | 7,925 |
| Tapestry Inc. | 436 | 16,603 |
| VF Corp. | 524 | 14,468 |
| | | 38,996 |
| Application Software - 0.7% |
| Adobe Inc. (b) | 773 | 260,138 |
| ANSYS Inc. (b) | 141 | 34,064 |
| Autodesk Inc. (b) | 371 | 69,329 |
| Cadence Design Systems Inc. (b) | 468 | 75,179 |
| Ceridian HCM Holding Inc. (b) | 235 | 15,075 |
| Intuit Inc. | 467 | 181,766 |
| Paycom Software Inc. (b) | 77 | 23,894 |
| PTC Inc. (b) | 183 | 21,967 |
| Roper Technologies Inc. | 181 | 78,208 |
| Salesforce Inc. (b) | 1,683 | 223,149 |
| Synopsys Inc. (b) | 261 | 83,335 |
| Tyler Technologies Inc. (b) | 66 | 21,279 |
| | | 1,087,383 |
| Asset Management & Custody Banks - 0.3% |
| Ameriprise Financial Inc. | 182 | 56,669 |
| BlackRock Inc. | 249 | 176,449 |
| Franklin Resources Inc. | 492 | 12,979 |
| Invesco Ltd. | 809 | 14,554 |
| Northern Trust Corp. | 336 | 29,733 |
| State Street Corp. (a)(c) | 592 | 45,921 |
| T Rowe Price Group Inc. | 376 | 41,007 |
| The Bank of New York Mellon Corp. | 1,195 | 54,396 |
| | | 431,708 |
| Auto Parts & Equipment - 0.0%* |
| BorgWarner Inc. | 439 | 17,670 |
| Automobile Manufacturers - 0.4% |
| Ford Motor Co. | 6,715 | 78,095 |
| General Motors Co. | 2,433 | 81,846 |
| Tesla Inc. (b) | 4,477 | 551,477 |
| | | 711,418 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Automotive Retail - 0.1% |
| Advance Auto Parts Inc. | 98 | $ 14,409 |
| AutoZone Inc. (b) | 32 | 78,918 |
| CarMax Inc. (b) | 259 | 15,770 |
| O'Reilly Automotive Inc. (b) | 104 | 87,779 |
| | | 196,876 |
| Biotechnology - 0.8% |
| AbbVie Inc. | 2,950 | 476,749 |
| Amgen Inc. | 895 | 235,063 |
| Biogen Inc. (b) | 248 | 68,676 |
| Gilead Sciences Inc. | 2,076 | 178,225 |
| Incyte Corp. (b) | 299 | 24,016 |
| Moderna Inc. (b) | 561 | 100,767 |
| Regeneron Pharmaceuticals Inc. (b) | 182 | 131,311 |
| Vertex Pharmaceuticals Inc. (b) | 435 | 125,619 |
| | | 1,340,426 |
| Brewers - 0.0%* |
| Molson Coors Beverage Co., Class B | 339 | 17,465 |
| Broadcasting - 0.0%* |
| Fox Corp., Class A | 497 | 15,094 |
| Fox Corp., Class B | 283 | 8,051 |
| Paramount Global, Class B | 804 | 13,572 |
| | | 36,717 |
| Building Products - 0.1% |
| A O Smith Corp. | 200 | 11,448 |
| Carrier Global Corp. | 1,413 | 58,286 |
| Johnson Controls International PLC | 1,185 | 75,840 |
| Masco Corp. | 373 | 17,408 |
| | | 162,982 |
| Cable & Satellite - 0.2% |
| Charter Communications Inc., Class A (b) | 186 | 63,073 |
| Comcast Corp., Class A | 7,125 | 249,161 |
| DISH Network Corp., Class A (b) | 432 | 6,065 |
| | | 318,299 |
| Casinos & Gaming - 0.0%* |
| Caesars Entertainment Inc. (b) | 382 | 15,891 |
| Las Vegas Sands Corp. (b) | 571 | 27,448 |
| | Number
of Shares | Fair
Value |
| MGM Resorts International | 520 | $ 17,435 |
| Wynn Resorts Ltd. (b) | 178 | 14,680 |
| | | 75,454 |
| Commodity Chemicals - 0.1% |
| Dow Inc. | 1,222 | 61,576 |
| LyondellBasell Industries N.V., Class A | 429 | 35,620 |
| | | 97,196 |
| Communications Equipment - 0.3% |
| Arista Networks Inc. (b) | 416 | 50,482 |
| Cisco Systems Inc. | 6,813 | 324,571 |
| F5 Inc. (b) | 91 | 13,060 |
| Juniper Networks Inc. | 545 | 17,418 |
| Motorola Solutions Inc. | 285 | 73,447 |
| | | 478,978 |
| Computer & Electronics Retail - 0.0%* |
| Best Buy Company Inc. | 346 | 27,753 |
| Construction & Engineering - 0.0%* |
| Quanta Services Inc. | 229 | 32,632 |
| Construction Machinery & Heavy Trucks - 0.2% |
| Caterpillar Inc. | 864 | 206,980 |
| Cummins Inc. | 242 | 58,634 |
| PACCAR Inc. | 596 | 58,986 |
| Westinghouse Air Brake Technologies Corp. | 299 | 29,843 |
| | | 354,443 |
| Construction Materials - 0.0%* |
| Martin Marietta Materials Inc. | 101 | 34,135 |
| Vulcan Materials Co. | 214 | 37,474 |
| | | 71,609 |
| Consumer Finance - 0.2% |
| American Express Co. | 988 | 145,977 |
| Capital One Financial Corp. | 657 | 61,075 |
| Discover Financial Services | 481 | 47,056 |
| Synchrony Financial | 803 | 26,387 |
| | | 280,495 |
| Copper - 0.1% |
| Freeport-McMoRan Inc. | 2,427 | 92,226 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Data Processing & Outsourced Services - 1.0% |
| Automatic Data Processing Inc. | 686 | $ 163,858 |
| Broadridge Financial Solutions Inc. | 186 | 24,948 |
| Fidelity National Information Services Inc. | 1,006 | 68,257 |
| Fiserv Inc. (b) | 1,047 | 105,820 |
| FleetCor Technologies Inc. (b) | 131 | 24,062 |
| Global Payments Inc. | 442 | 43,900 |
| Jack Henry & Associates Inc. | 115 | 20,189 |
| Mastercard Inc., Class A | 1,416 | 492,386 |
| Paychex Inc. | 548 | 63,327 |
| PayPal Holdings Inc. (b) | 1,884 | 134,179 |
| Visa Inc., Class A | 2,729 | 566,977 |
| | | 1,707,903 |
| Distillers & Vintners - 0.1%* |
| Brown-Forman Corp., Class B | 262 | 17,208 |
| Constellation Brands Inc., Class A | 275 | 63,731 |
| | | 80,939 |
| Distributors - 0.1% |
| Genuine Parts Co. | 232 | 40,254 |
| LKQ Corp. | 436 | 23,287 |
| Pool Corp. | 64 | 19,349 |
| | | 82,890 |
| Diversified Banks - 0.9% |
| Bank of America Corp. | 11,691 | 387,206 |
| Citigroup Inc. | 3,214 | 145,369 |
| JPMorgan Chase & Co. | 4,897 | 656,688 |
| U.S. Bancorp | 2,253 | 98,253 |
| Wells Fargo & Co. | 6,332 | 261,448 |
| | | 1,548,964 |
| Diversified Support Services - 0.1% |
| Cintas Corp. | 147 | 66,388 |
| Copart Inc. (b) | 708 | 43,110 |
| | | 109,498 |
| Drug Retail - 0.0%* |
| Walgreens Boots Alliance Inc. | 1,187 | 44,346 |
| Electric Utilities - 0.7% |
| Alliant Energy Corp. | 434 | 23,961 |
| American Electric Power Company Inc. | 877 | 83,271 |
| | Number
of Shares | Fair
Value |
| Constellation Energy Corp. | 574 | $ 49,485 |
| Duke Energy Corp. | 1,308 | 134,711 |
| Edison International | 643 | 40,908 |
| Entergy Corp. | 328 | 36,900 |
| Evergy Inc. | 366 | 23,033 |
| Eversource Energy | 568 | 47,621 |
| Exelon Corp. | 1,623 | 70,162 |
| FirstEnergy Corp. | 962 | 40,346 |
| NextEra Energy Inc. | 3,307 | 276,465 |
| NRG Energy Inc. | 355 | 11,296 |
| PG&E Corp. (b) | 2,600 | 42,276 |
| Pinnacle West Capital Corp. | 200 | 15,208 |
| PPL Corp. | 1,255 | 36,671 |
| The Southern Co. | 1,806 | 128,967 |
| Xcel Energy Inc. | 920 | 64,501 |
| | | 1,125,782 |
| Electrical Components & Equipment - 0.2% |
| AMETEK Inc. | 382 | 53,373 |
| Eaton Corporation PLC | 677 | 106,255 |
| Emerson Electric Co. | 1,007 | 96,732 |
| Generac Holdings Inc. (b) | 101 | 10,167 |
| Rockwell Automation Inc. | 193 | 49,711 |
| | | 316,238 |
| Electronic Components - 0.1% |
| Amphenol Corp., Class A | 1,016 | 77,358 |
| Corning Inc. | 1,240 | 39,606 |
| | | 116,964 |
| Electronic Equipment & Instruments - 0.1% |
| Keysight Technologies Inc. (b) | 302 | 51,663 |
| Teledyne Technologies Inc. (b) | 75 | 29,993 |
| Trimble Inc. (b) | 400 | 20,224 |
| Zebra Technologies Corp., Class A (b) | 85 | 21,795 |
| | | 123,675 |
| Environmental & Facilities Services - 0.1% |
| Republic Services Inc. | 346 | 44,631 |
| Rollins Inc. | 425 | 15,529 |
| Waste Management Inc. | 614 | 96,324 |
| | | 156,484 |
| Fertilizers & Agricultural Chemicals - 0.1% |
| CF Industries Holdings Inc. | 341 | 29,053 |
| Corteva Inc. | 1,182 | 69,478 |
| FMC Corp. | 199 | 24,835 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| The Mosaic Co. | 530 | $ 23,251 |
| | | 146,617 |
| Financial Exchanges & Data - 0.4% |
| Cboe Global Markets Inc. | 168 | 21,079 |
| CME Group Inc. | 611 | 102,746 |
| FactSet Research Systems Inc. | 60 | 24,073 |
| Intercontinental Exchange Inc. | 951 | 97,563 |
| MarketAxess Holdings Inc. | 67 | 18,686 |
| Moody's Corp. | 270 | 75,227 |
| MSCI Inc. | 135 | 62,798 |
| Nasdaq Inc. | 564 | 34,601 |
| S&P Global Inc. | 552 | 184,887 |
| | | 621,660 |
| Food Distributors - 0.0%* |
| Sysco Corp. | 828 | 63,301 |
| Food Retail - 0.0%* |
| The Kroger Co. | 1,081 | 48,191 |
| Footwear - 0.2% |
| NIKE Inc., Class B | 2,113 | 247,242 |
| Gas Utilities - 0.0%* |
| Atmos Energy Corp. | 244 | 27,345 |
| General Merchandise Stores - 0.2% |
| Dollar General Corp. | 370 | 91,113 |
| Dollar Tree Inc. (b) | 341 | 48,231 |
| Target Corp. | 759 | 113,121 |
| | | 252,465 |
| Gold - 0.0%* |
| Newmont Corp. | 1,355 | 63,956 |
| Health Care REITs - 0.1% |
| Healthpeak Properties Inc. | 927 | 23,240 |
| Ventas Inc. | 718 | 32,346 |
| Welltower Inc. | 776 | 50,867 |
| | | 106,453 |
| Healthcare Distributors - 0.1% |
| AmerisourceBergen Corp. | 280 | 46,399 |
| Cardinal Health Inc. | 400 | 30,748 |
| Henry Schein Inc. (b) | 164 | 13,098 |
| McKesson Corp. | 233 | 87,403 |
| | | 177,648 |
| | Number
of Shares | Fair
Value |
| Healthcare Equipment - 0.8% |
| Abbott Laboratories | 2,903 | $ 318,720 |
| Baxter International Inc. | 888 | 45,261 |
| Becton Dickinson & Co. | 485 | 123,336 |
| Boston Scientific Corp. (b) | 2,399 | 111,002 |
| Dexcom Inc. (b) | 632 | 71,568 |
| Edwards Lifesciences Corp. (b) | 1,059 | 79,012 |
| Hologic Inc. (b) | 402 | 30,074 |
| IDEXX Laboratories Inc. (b) | 140 | 57,114 |
| Intuitive Surgical Inc. (b) | 585 | 155,230 |
| ResMed Inc. | 256 | 53,281 |
| STERIS PLC | 162 | 29,920 |
| Stryker Corp. | 572 | 139,848 |
| Teleflex Inc. | 72 | 17,973 |
| Zimmer Biomet Holdings Inc. | 338 | 43,095 |
| | | 1,275,434 |
| Healthcare Facilities - 0.1% |
| HCA Healthcare Inc. | 348 | 83,506 |
| Universal Health Services Inc., Class B | 112 | 15,780 |
| | | 99,286 |
| Healthcare Services - 0.3% |
| Cigna Corp. | 517 | 171,303 |
| CVS Health Corp. | 2,203 | 205,298 |
| DaVita Inc. (b) | 88 | 6,571 |
| Laboratory Corporation of America Holdings | 151 | 35,557 |
| Quest Diagnostics Inc. | 189 | 29,567 |
| | | 448,296 |
| Healthcare Supplies - 0.0%* |
| Align Technology Inc. (b) | 118 | 24,886 |
| DENTSPLY SIRONA Inc. | 353 | 11,240 |
| The Cooper Companies Inc. | 79 | 26,123 |
| | | 62,249 |
| Home Building - 0.1% |
| D.R. Horton Inc. | 509 | 45,372 |
| Lennar Corp., Class A | 409 | 37,015 |
| NVR Inc. (b) | 5 | 23,063 |
| PulteGroup Inc. | 399 | 18,166 |
| | | 123,616 |
| Home Furnishings - 0.0%* |
| Mohawk Industries Inc. (b) | 83 | 8,484 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Home Improvement Retail - 0.4% |
| Lowe's Companies Inc. | 1,031 | $ 205,416 |
| The Home Depot Inc. | 1,708 | 539,489 |
| | | 744,905 |
| Hotel & Resort REITs - 0.0%* |
| Host Hotels & Resorts Inc. | 1,133 | 18,185 |
| Hotels, Resorts & Cruise Lines - 0.2% |
| Booking Holdings Inc. (b) | 66 | 133,008 |
| Carnival Corp. (b) | 1,499 | 12,082 |
| Expedia Group Inc. (b) | 242 | 21,199 |
| Hilton Worldwide Holdings Inc. | 470 | 59,389 |
| Marriott International Inc., Class A | 439 | 65,363 |
| Norwegian Cruise Line Holdings Ltd. (b) | 648 | 7,932 |
| Royal Caribbean Cruises Ltd. (b) | 348 | 17,202 |
| | | 316,175 |
| Household Appliances - 0.0%* |
| Whirlpool Corp. | 93 | 13,156 |
| Household Products - 0.5% |
| Church & Dwight Company Inc. | 355 | 28,616 |
| Colgate-Palmolive Co. | 1,419 | 111,803 |
| Kimberly-Clark Corp. | 577 | 78,328 |
| The Clorox Co. | 197 | 27,645 |
| The Procter & Gamble Co. | 3,955 | 599,420 |
| | | 845,812 |
| Housewares & Specialties - 0.0%* |
| Newell Brands Inc. | 612 | 8,005 |
| Human Resource & Employment Services - 0.0%* |
| Robert Half International Inc. | 166 | 12,256 |
| Hypermarkets & Super Centers - 0.4% |
| Costco Wholesale Corp. | 736 | 335,984 |
| Walmart Inc. | 2,351 | 333,348 |
| | | 669,332 |
| Independent Power Producers & Energy Traders - 0.0%* |
| The AES Corp. | 1,124 | 32,326 |
| Industrial Conglomerates - 0.3% |
| 3M Co. | 941 | 112,845 |
| General Electric Co. | 1,795 | 150,403 |
| | Number
of Shares | Fair
Value |
| Honeywell International Inc. | 1,118 | $ 239,587 |
| | | 502,835 |
| Industrial Gases - 0.1% |
| Air Products & Chemicals Inc. | 377 | 116,214 |
| Industrial Machinery - 0.3% |
| Dover Corp. | 232 | 31,415 |
| Fortive Corp. | 580 | 37,265 |
| IDEX Corp. | 121 | 27,628 |
| Illinois Tool Works Inc. | 461 | 101,558 |
| Ingersoll Rand Inc. | 659 | 34,433 |
| Nordson Corp. | 94 | 22,346 |
| Otis Worldwide Corp. | 710 | 55,600 |
| Parker-Hannifin Corp. | 220 | 64,020 |
| Snap-on Inc. | 84 | 19,193 |
| Stanley Black & Decker Inc. | 263 | 19,756 |
| Xylem Inc. | 287 | 31,734 |
| | | 444,948 |
| Industrial REITs - 0.1% |
| Prologis Inc. | 1,564 | 176,310 |
| Insurance Brokers - 0.2% |
| Aon PLC, Class A | 345 | 103,548 |
| Arthur J Gallagher & Co. | 360 | 67,874 |
| Brown & Brown Inc. | 400 | 22,788 |
| Marsh & McLennan Companies Inc. | 820 | 135,694 |
| | | 329,904 |
| Integrated Oil & Gas - 0.8% |
| Chevron Corp. | 2,968 | 532,726 |
| Exxon Mobil Corp. | 6,878 | 758,644 |
| Occidental Petroleum Corp. | 1,205 | 75,903 |
| | | 1,367,273 |
| Integrated Telecommunication Services - 0.3% |
| AT&T Inc. | 11,903 | 219,134 |
| Verizon Communications Inc. | 6,950 | 273,830 |
| | | 492,964 |
| Interactive Home Entertainment - 0.1% |
| Activision Blizzard Inc. | 1,214 | 92,932 |
| Electronic Arts Inc. | 426 | 52,049 |
| Take-Two Interactive Software Inc. (b) | 263 | 27,386 |
| | | 172,367 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Interactive Media & Services - 1.3% |
| Alphabet Inc., Class C (b) | 8,843 | $ 784,639 |
| Alphabet Inc., Class A (b) | 9,978 | 880,359 |
| Match Group Inc. (b) | 446 | 18,505 |
| Meta Platforms Inc., Class A (b) | 3,750 | 451,275 |
| | | 2,134,778 |
| Internet & Direct Marketing Retail - 0.8% |
| Amazon.com Inc. (b) | 14,834 | 1,246,056 |
| eBay Inc. | 891 | 36,950 |
| Etsy Inc. (b) | 198 | 23,716 |
| | | 1,306,722 |
| Internet Services & Infrastructure - 0.0%* |
| Akamai Technologies Inc. (b) | 259 | 21,834 |
| VeriSign Inc. (b) | 155 | 31,843 |
| | | 53,677 |
| Investment Banking & Brokerage - 0.4% |
| Morgan Stanley | 2,151 | 182,878 |
| Raymond James Financial Inc. | 313 | 33,444 |
| The Charles Schwab Corp. | 2,490 | 207,318 |
| The Goldman Sachs Group Inc. | 561 | 192,636 |
| | | 616,276 |
| IT Consulting & Other Services - 0.2% |
| Cognizant Technology Solutions Corp., Class A | 844 | 48,268 |
| DXC Technology Co. (b) | 386 | 10,229 |
| EPAM Systems Inc. (b) | 94 | 30,807 |
| Gartner Inc. (b) | 133 | 44,707 |
| International Business Machines Corp. | 1,528 | 215,280 |
| | | 349,291 |
| Leisure Products - 0.0%* |
| Hasbro Inc. | 199 | 12,141 |
| Life & Health Insurance - 0.2% |
| Aflac Inc. | 965 | 69,422 |
| Globe Life Inc. | 143 | 17,239 |
| Lincoln National Corp. | 284 | 8,724 |
| MetLife Inc. | 1,081 | 78,232 |
| Principal Financial Group Inc. | 390 | 32,729 |
| Prudential Financial Inc. | 637 | 63,356 |
| | | 269,702 |
| | Number
of Shares | Fair
Value |
| Life Sciences Tools & Services - 0.6% |
| Agilent Technologies Inc. | 511 | $ 76,471 |
| Bio-Rad Laboratories Inc., Class A (b) | 34 | 14,297 |
| Bio-Techne Corp. | 276 | 22,875 |
| Charles River Laboratories International Inc. (b) | 89 | 19,393 |
| Danaher Corp. | 1,101 | 292,227 |
| Illumina Inc. (b) | 275 | 55,605 |
| IQVIA Holdings Inc. (b) | 319 | 65,360 |
| Mettler-Toledo International Inc. (b) | 38 | 54,927 |
| PerkinElmer Inc. | 203 | 28,465 |
| Thermo Fisher Scientific Inc. | 659 | 362,905 |
| Waters Corp. (b) | 99 | 33,915 |
| West Pharmaceutical Services Inc. | 116 | 27,301 |
| | | 1,053,741 |
| Managed Healthcare - 0.8% |
| Centene Corp. (b) | 976 | 80,042 |
| Elevance Health Inc. | 397 | 203,649 |
| Humana Inc. | 209 | 107,048 |
| Molina Healthcare Inc. (b) | 92 | 30,380 |
| UnitedHealth Group Inc. | 1,561 | 827,611 |
| | | 1,248,730 |
| Metal & Glass Containers - 0.0%* |
| Ball Corp. | 525 | 26,849 |
| Movies & Entertainment - 0.3% |
| Live Nation Entertainment Inc. (b) | 249 | 17,365 |
| Netflix Inc. (b) | 746 | 219,980 |
| The Walt Disney Co. (b) | 3,061 | 265,940 |
| Warner Bros Discovery Inc. (b) | 3,672 | 34,811 |
| | | 538,096 |
| Multi-Line Insurance - 0.1% |
| American International Group Inc. | 1,182 | 74,750 |
| Assurant Inc. | 90 | 11,255 |
| The Hartford Financial Services Group Inc. | 529 | 40,114 |
| | | 126,119 |
| Multi-Sector Holdings - 0.6% |
| Berkshire Hathaway Inc., Class B (b) | 3,010 | 929,789 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Multi-Utilities - 0.3% |
| Ameren Corp. | 458 | $ 40,725 |
| CenterPoint Energy Inc. | 1,040 | 31,190 |
| CMS Energy Corp. | 465 | 29,449 |
| Consolidated Edison Inc. | 577 | 54,994 |
| Dominion Energy Inc. | 1,420 | 87,074 |
| DTE Energy Co. | 344 | 40,430 |
| NiSource Inc. | 692 | 18,975 |
| Public Service Enterprise Group Inc. | 808 | 49,506 |
| Sempra Energy | 536 | 82,833 |
| WEC Energy Group Inc. | 524 | 49,130 |
| | | 484,306 |
| Office REITs - 0.0%* |
| Alexandria Real Estate Equities Inc. | 239 | 34,815 |
| Boston Properties Inc. | 225 | 15,205 |
| Vornado Realty Trust | 312 | 6,493 |
| | | 56,513 |
| Oil & Gas Equipment & Services - 0.1% |
| Baker Hughes Co. | 1,715 | 50,644 |
| Halliburton Co. | 1,563 | 61,504 |
| Schlumberger Ltd. | 2,350 | 125,631 |
| | | 237,779 |
| Oil & Gas Exploration & Production - 0.5% |
| APA Corp. | 521 | 24,320 |
| ConocoPhillips | 2,072 | 244,496 |
| Coterra Energy Inc. | 1,295 | 31,818 |
| Devon Energy Corp. | 1,086 | 66,800 |
| Diamondback Energy Inc. | 283 | 38,709 |
| EOG Resources Inc. | 995 | 128,873 |
| EQT Corp. | 600 | 20,298 |
| Hess Corp. | 477 | 67,648 |
| Marathon Oil Corp. | 1,099 | 29,750 |
| Pioneer Natural Resources Co. | 406 | 92,726 |
| | | 745,438 |
| Oil & Gas Refining & Marketing - 0.2% |
| Marathon Petroleum Corp. | 795 | 92,530 |
| Phillips 66 | 776 | 80,766 |
| Valero Energy Corp. | 632 | 80,176 |
| | | 253,472 |
| Oil & Gas Storage & Transportation - 0.1% |
| Kinder Morgan Inc. | 3,304 | 59,736 |
| | Number
of Shares | Fair
Value |
| ONEOK Inc. | 738 | $ 48,487 |
| Targa Resources Corp. | 400 | 29,400 |
| The Williams Cos. Inc. | 2,031 | 66,820 |
| | | 204,443 |
| Packaged Foods & Meats - 0.3% |
| Campbell Soup Co. | 313 | 17,763 |
| Conagra Brands Inc. | 826 | 31,966 |
| General Mills Inc. | 964 | 80,831 |
| Hormel Foods Corp. | 517 | 23,549 |
| Kellogg Co. | 438 | 31,203 |
| Lamb Weston Holdings Inc. | 221 | 19,749 |
| McCormick & Company Inc. | 445 | 36,886 |
| Mondelez International Inc., Class A | 2,278 | 151,829 |
| The Hershey Co. | 239 | 55,345 |
| The J M Smucker Co. | 172 | 27,255 |
| The Kraft Heinz Co. | 1,363 | 55,488 |
| Tyson Foods Inc., Class A | 507 | 31,561 |
| | | 563,425 |
| Paper Packaging - 0.1% |
| Avery Dennison Corp. | 132 | 23,892 |
| International Paper Co. | 644 | 22,302 |
| Packaging Corp. of America | 151 | 19,315 |
| Sealed Air Corp. | 264 | 13,168 |
| Westrock Co. | 413 | 14,521 |
| | | 93,198 |
| Personal Products - 0.1% |
| The Estee Lauder Companies Inc., Class A | 395 | 98,003 |
| Pharmaceuticals - 1.6% |
| Bristol-Myers Squibb Co. | 3,536 | 254,415 |
| Catalent Inc. (b) | 289 | 13,008 |
| Eli Lilly & Co. | 1,315 | 481,080 |
| Johnson & Johnson | 4,366 | 771,254 |
| Merck & Company Inc. | 4,172 | 462,884 |
| Organon & Co. | 387 | 10,809 |
| Pfizer Inc. | 9,339 | 478,530 |
| Viatris Inc. | 1,887 | 21,002 |
| Zoetis Inc. | 768 | 112,550 |
| | | 2,605,532 |
| Property & Casualty Insurance - 0.2% |
| Arch Capital Group Ltd. (b) | 600 | 37,668 |
| Cincinnati Financial Corp. | 250 | 25,597 |
| Loews Corp. | 311 | 18,141 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| The Allstate Corp. | 432 | $ 58,579 |
| The Progressive Corp. | 993 | 128,802 |
| The Travelers Companies Inc. | 384 | 71,996 |
| W R Berkley Corp. | 350 | 25,400 |
| | | 366,183 |
| Publishing - 0.0%* |
| News Corp., Class A | 611 | 11,120 |
| News Corp., Class B | 142 | 2,619 |
| | | 13,739 |
| Railroads - 0.3% |
| CSX Corp. | 3,549 | 109,948 |
| Norfolk Southern Corp. | 381 | 93,886 |
| Union Pacific Corp. | 1,021 | 211,419 |
| | | 415,253 |
| Real Estate Services - 0.0%* |
| CBRE Group Inc., Class A (b) | 544 | 41,866 |
| Regional Banks - 0.3% |
| Citizens Financial Group Inc. | 801 | 31,536 |
| Comerica Inc. | 166 | 11,097 |
| Fifth Third Bancorp. | 1,124 | 36,879 |
| First Republic Bank | 325 | 39,614 |
| Huntington Bancshares Inc. | 2,334 | 32,910 |
| KeyCorp | 1,472 | 25,642 |
| M&T Bank Corp. | 282 | 40,907 |
| Regions Financial Corp. | 1,497 | 32,275 |
| Signature Bank | 99 | 11,407 |
| SVB Financial Group (b) | 108 | 24,855 |
| The PNC Financial Services Group Inc. | 665 | 105,030 |
| Truist Financial Corp. | 2,177 | 93,676 |
| Zions Bancorp NA | 252 | 12,388 |
| | | 498,216 |
| Research & Consulting Services - 0.1% |
| CoStar Group Inc. (b) | 700 | 54,096 |
| Equifax Inc. | 217 | 42,176 |
| Jacobs Solutions Inc. | 207 | 24,855 |
| Leidos Holdings Inc. | 223 | 23,457 |
| Verisk Analytics Inc. | 262 | 46,222 |
| | | 190,806 |
| Residential REITs - 0.1% |
| AvalonBay Communities Inc. | 232 | 37,473 |
| Camden Property Trust | 186 | 20,810 |
| Equity Residential | 602 | 35,518 |
| | Number
of Shares | Fair
Value |
| Essex Property Trust Inc. | 105 | $ 22,251 |
| Invitation Homes Inc. | 1,000 | 29,640 |
| Mid-America Apartment Communities Inc. | 186 | 29,200 |
| UDR Inc. | 517 | 20,023 |
| | | 194,915 |
| Restaurants - 0.4% |
| Chipotle Mexican Grill Inc. (b) | 48 | 66,599 |
| Darden Restaurants Inc. | 203 | 28,081 |
| Domino's Pizza Inc. | 63 | 21,823 |
| McDonald's Corp. | 1,220 | 321,507 |
| Starbucks Corp. | 1,943 | 192,746 |
| Yum! Brands Inc. | 488 | 62,503 |
| | | 693,259 |
| Retail REITs - 0.1% |
| Federal Realty Investment Trust | 139 | 14,045 |
| Kimco Realty Corp. | 1,010 | 21,392 |
| Realty Income Corp. | 1,057 | 67,045 |
| Regency Centers Corp. | 234 | 14,625 |
| Simon Property Group Inc. | 561 | 65,906 |
| | | 183,013 |
| Semiconductor Equipment - 0.2% |
| Applied Materials Inc. | 1,423 | 138,572 |
| Enphase Energy Inc. (b) | 232 | 61,471 |
| KLA Corp. | 242 | 91,241 |
| Lam Research Corp. | 233 | 97,930 |
| Teradyne Inc. | 261 | 22,798 |
| | | 412,012 |
| Semiconductors - 1.3% |
| Advanced Micro Devices Inc. (b) | 2,669 | 172,871 |
| Analog Devices Inc. | 851 | 139,590 |
| Broadcom Inc. | 680 | 380,208 |
| First Solar Inc. (b) | 200 | 29,958 |
| Intel Corp. | 6,926 | 183,054 |
| Microchip Technology Inc. | 946 | 66,457 |
| Micron Technology Inc. | 1,844 | 92,163 |
| Monolithic Power Systems Inc. | 70 | 24,753 |
| NVIDIA Corp. | 4,156 | 607,358 |
| ON Semiconductor Corp. (b) | 700 | 43,659 |
| Qorvo Inc. (b) | 156 | 14,140 |
| QUALCOMM Inc. | 1,880 | 206,687 |
| Skyworks Solutions Inc. | 263 | 23,967 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Texas Instruments Inc. | 1,509 | $ 249,317 |
| | | 2,234,182 |
| Soft Drinks - 0.6% |
| Keurig Dr Pepper Inc. | 1,400 | 49,924 |
| Monster Beverage Corp. (b) | 577 | 58,583 |
| PepsiCo Inc. | 2,297 | 414,976 |
| The Coca-Cola Co. | 6,482 | 412,320 |
| | | 935,803 |
| Specialized REITs - 0.4% |
| American Tower Corp. | 789 | 167,157 |
| Crown Castle Inc. | 737 | 99,967 |
| Digital Realty Trust Inc. | 504 | 50,536 |
| Equinix Inc. | 152 | 99,565 |
| Extra Space Storage Inc. | 222 | 32,674 |
| Iron Mountain Inc. | 505 | 25,174 |
| Public Storage | 270 | 75,651 |
| SBA Communications Corp. | 180 | 50,456 |
| VICI Properties Inc. | 1,600 | 51,840 |
| Weyerhaeuser Co. | 1,231 | 38,161 |
| | | 691,181 |
| Specialty Chemicals - 0.2% |
| Albemarle Corp. | 206 | 44,673 |
| Celanese Corp. | 173 | 17,688 |
| DuPont de Nemours Inc. | 840 | 57,649 |
| Eastman Chemical Co. | 205 | 16,695 |
| Ecolab Inc. | 425 | 61,863 |
| International Flavors & Fragrances Inc. | 423 | 44,347 |
| PPG Industries Inc. | 392 | 49,290 |
| The Sherwin-Williams Co. | 402 | 95,407 |
| | | 387,612 |
| Specialty Stores - 0.1% |
| Bath & Body Works Inc. | 387 | 16,308 |
| Tractor Supply Co. | 184 | 41,395 |
| Ulta Beauty Inc. (b) | 88 | 41,278 |
| | | 98,981 |
| Steel - 0.1% |
| Nucor Corp. | 418 | 55,097 |
| Steel Dynamics Inc. | 300 | 29,310 |
| | | 84,407 |
| Systems Software - 2.0% |
| Fortinet Inc. (b) | 1,052 | 51,432 |
| | Number
of Shares | Fair
Value |
| Gen Digital Inc. | 923 | $ 19,780 |
| Microsoft Corp. | 12,448 | 2,985,279 |
| Oracle Corp. | 2,571 | 210,154 |
| ServiceNow Inc. (b) | 343 | 133,177 |
| | | 3,399,822 |
| Technology Distributors - 0.0%* |
| CDW Corp. | 220 | 39,288 |
| Technology Hardware, Storage & Peripherals - 2.0% |
| Apple Inc. | 24,972 | 3,244,612 |
| Hewlett Packard Enterprise Co. | 2,063 | 32,925 |
| HP Inc. | 1,479 | 39,741 |
| NetApp Inc. | 367 | 22,042 |
| Western Digital Corp. (b) | 544 | 17,163 |
| | | 3,356,483 |
| Tobacco - 0.2% |
| Altria Group Inc. | 2,963 | 135,439 |
| Philip Morris International Inc. | 2,603 | 263,449 |
| | | 398,888 |
| Trading Companies & Distributors - 0.1% |
| Fastenal Co. | 987 | 46,705 |
| United Rentals Inc. (b) | 117 | 41,584 |
| WW Grainger Inc. | 74 | 41,162 |
| | | 129,451 |
| Trucking - 0.0%* |
| JB Hunt Transport Services Inc. | 133 | 23,190 |
| Old Dominion Freight Line Inc. | 151 | 42,851 |
| | | 66,041 |
| Water Utilities - 0.0%* |
| American Water Works Company Inc. | 301 | 45,878 |
| Wireless Telecommunication Services - 0.1% |
| T-Mobile US Inc. (b) | 988 | 138,320 |
Total Common Stock
(Cost $41,060,908) | | 52,361,621 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Number
of Shares | Fair
Value |
| Preferred Stock - 0.0% * |
| Diversified Banks - 0.0%* |
| Wells Fargo & Co. 5.85%, (5.85% fixed rate until 09/15/23; 3.09% + 3 month USD LIBOR thereafter) (d) | 1,469 | $ 33,802 |
Total Preferred Stock
(Cost $36,725) | | 33,802 |
Total Domestic Equity
(Cost $41,097,633) | | 52,395,423 |
| Foreign Equity - 0.8% |
| Common Stock - 0.8% |
| Auto Parts & Equipment - 0.0%* |
| Aptiv PLC (b) | 448 | 41,722 |
| Building Products - 0.1% |
| Allegion PLC | 139 | 14,631 |
| Trane Technologies PLC | 389 | 65,387 |
| | | 80,018 |
| Consumer Electronics - 0.0%* |
| Garmin Ltd. | 243 | 22,427 |
| Electronic Manufacturing Services - 0.0%* |
| TE Connectivity Ltd. | 547 | 62,796 |
| Healthcare Equipment - 0.1% |
| Medtronic PLC | 2,251 | 174,948 |
| Industrial Gases - 0.2% |
| Linde PLC | 822 | 268,120 |
| Industrial Machinery - 0.0%* |
| Pentair PLC | 253 | 11,380 |
| Insurance Brokers - 0.0%* |
| Willis Towers Watson PLC | 177 | 43,291 |
| IT Consulting & Other Services - 0.2% |
| Accenture PLC, Class A | 1,048 | 279,648 |
| Paper Packaging - 0.0%* |
| Amcor PLC | 2,485 | 29,596 |
| Property & Casualty Insurance - 0.1% |
| Chubb Ltd. | 687 | 151,552 |
| Reinsurance - 0.0%* |
| Everest Re Group Ltd. | 68 | 22,526 |
| | Number
of Shares | Fair
Value |
| Semiconductor Equipment - 0.0%* |
| SolarEdge Technologies Inc. (b) | 97 | $ 27,477 |
| Semiconductors - 0.1% |
| NXP Semiconductors N.V. | 423 | 66,847 |
| Technology Hardware, Storage & Peripherals - 0.0%* |
| Seagate Technology Holdings PLC | 323 | 16,993 |
Total Common Stock
(Cost $1,053,714) | | 1,299,341 |
Total Foreign Equity
(Cost $1,053,714) | | 1,299,341 |
| | Principal
Amount | |
| Bonds and Notes - 40.8% |
| U.S. Treasuries - 10.9% |
| U.S. Treasury Bonds | | |
| 1.88% 02/15/41 - 02/15/51 | $ 849,000 | 564,656 |
| 2.25% 08/15/46 | 673,000 | 478,461 |
| 2.38% 02/15/42 | 291,000 | 222,342 |
| 3.00% 08/15/48 | 1,873,600 | 1,545,720 |
| U.S. Treasury Notes | | |
| 0.25% 07/31/25 | 2,960,200 | 2,670,655 |
| 0.75% 12/31/23 - 01/31/28 | 7,944,000 | 7,076,468 |
| 1.13% 01/15/25 | 1,270,000 | 1,188,442 |
| 1.25% 11/30/26 | 280,000 | 251,213 |
| 1.50% 02/29/24 | 1,176,000 | 1,133,370 |
| 1.63% 05/15/31 | 932,000 | 784,191 |
| 1.75% 01/31/29 | 610,000 | 536,037 |
| 2.88% 05/15/32 | 1,391,000 | 1,282,328 |
| 3.00% 06/30/24 | 342,000 | 333,757 |
| | | 18,067,640 |
| Agency Mortgage Backed - 12.9% |
| Federal Home Loan Mortgage Corp. | | |
| 3.00% 04/01/43 - 10/01/49 | 1,384,797 | 1,245,276 |
| 4.50% 06/01/33 - 02/01/35 | 1,137 | 1,121 |
| 5.00% 07/01/35 | 7,111 | 7,160 |
| 5.50% 01/01/38 - 04/01/39 | 12,848 | 13,239 |
| 6.00% 06/01/33 - 11/01/37 | 30,435 | 31,898 |
| 6.50% 11/01/28 | 375 | 387 |
| 7.00% 12/01/29 - 08/01/36 | 8,380 | 8,872 |
| 7.50% 09/01/33 | 889 | 930 |
| 8.00% 07/01/26 - 11/01/30 | 960 | 1,005 |
| 8.50% 04/01/30 | 2,659 | 2,939 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Federal National Mortgage Assoc. | | |
| 2.50% 03/01/51 | $ 639,793 | $ 541,428 |
| 3.00% 03/01/50 | 242,362 | 215,196 |
| 3.50% 08/01/45 - 01/01/48 | 574,771 | 534,921 |
| 4.00% 01/01/41 - 01/01/50 | 540,626 | 518,373 |
| 4.50% 07/01/33 - 12/01/48 | 270,322 | 266,519 |
| 5.00% 03/01/34 - 05/01/39 | 21,142 | 21,302 |
| 5.50% 07/01/33 - 01/01/39 | 46,109 | 47,307 |
| 6.00% 02/01/29 - 05/01/41 | 164,104 | 171,545 |
| 6.50% 07/01/29 - 08/01/36 | 4,615 | 4,899 |
| 7.00% 05/01/33 - 12/01/33 | 457 | 474 |
| 7.50% 12/01/26 - 03/01/33 | 2,390 | 2,504 |
| 8.00% 06/01/24 - 12/01/30 | 1,536 | 1,544 |
| Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | | |
| 2.97% 04/01/37 (d) | 354 | 351 |
| Federal National Mortgage Assoc. TBA | | |
| 2.00% 01/17/38 - 01/01/53 (e) | 5,085,856 | 4,165,609 |
| 2.50% 01/01/53 (e) | 1,658,790 | 1,403,011 |
| 3.00% 01/01/53 (e) | 1,000,000 | 876,846 |
| 3.50% 01/01/53 (e) | 1,500,000 | 1,361,627 |
| 4.00% 01/01/53 (e) | 2,320,592 | 2,175,267 |
| 4.50% 01/01/53 (e) | 2,051,049 | 1,974,245 |
| 5.00% 01/01/53 (e) | 2,250,000 | 2,216,437 |
| Government National Mortgage Assoc. | | |
| 3.00% 12/20/42 - 05/20/45 | 1,330,846 | 1,206,416 |
| 3.50% 08/20/48 | 229,692 | 213,998 |
| 4.00% 01/20/41 - 04/20/43 | 114,751 | 111,856 |
| 4.50% 08/15/33 - 03/20/41 | 48,106 | 47,906 |
| 5.00% 08/15/33 | 2,614 | 2,644 |
| 6.00% 07/15/33 - 04/15/34 | 3,935 | 4,126 |
| 6.50% 04/15/28 - 07/15/36 | 6,295 | 6,644 |
| 7.00% 04/15/28 - 10/15/36 | 2,430 | 2,557 |
| 7.50% 04/15/28 | 3,486 | 3,537 |
| 8.00% 05/15/30 | 126 | 130 |
| Government National Mortgage Assoc. TBA | | |
| 2.00% 01/23/53 (e) | 1,093,002 | 913,444 |
| 2.50% 01/23/53 (e) | 1,085,903 | 937,947 |
| 4.00% 01/01/53 (e) | 220,302 | 208,241 |
| | | 21,471,678 |
| | Principal
Amount | Fair
Value |
| Agency Collateralized Mortgage Obligations - 0.2% |
| Federal Home Loan Mortgage Corp. | | |
| 0.08% 09/25/43 (d)(f) | $ 83,579 | $ 258 |
| 2.51% 07/25/29 | 224,000 | 198,757 |
| 4.05% 09/25/28 (d) | 71,000 | 69,411 |
| Federal Home Loan Mortgage Corp. REMIC | | |
| 3.50% 11/15/30 (f) | 2,309 | 24 |
| 5.50% 06/15/33 (f) | 2,198 | 352 |
| 7.50% 07/15/27 (f) | 1,652 | 160 |
| Federal Home Loan Mortgage Corp. STRIPS | | |
| 0.00% 08/01/27 (g) | 79 | 73 |
| 8.00% 07/01/24 (f) | 75 | 4 |
| Federal National Mortgage Assoc. REMIC | | |
| 1.15% 12/25/42 (d)(f) | 17,927 | 697 |
| 5.00% 09/25/40 (f) | 5,559 | 618 |
| Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | | |
| 1.61% 07/25/38 (d)(f) | 3,533 | 300 |
| Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | | |
| 2.16% 11/25/41 (d)(f) | 521,598 | 61,186 |
| Federal National Mortgage Assoc. STRIPS | | |
| 4.50% 08/25/35 - 01/25/36 (f) | 4,911 | 627 |
| 5.00% 03/25/38 - 05/25/38 (f) | 3,114 | 475 |
| 5.50% 12/25/33 (f) | 1,142 | 211 |
| 6.00% 01/25/35 (f) | 3,278 | 577 |
| 7.50% 11/25/23 (f) | 264 | 5 |
| 8.00% 07/25/24 (f) | 153 | 7 |
| | | 333,742 |
| Asset Backed - 0.1% |
| Ford Credit Auto Owner Trust 2020-B | | |
| 0.56% 10/15/24 | 84,781 | 83,771 |
| | | 83,771 |
| Corporate Notes - 14.6% |
| 3M Co. | | |
| 3.13% 09/19/46 | 20,000 | 13,738 |
| 7-Eleven Inc. | | |
| 0.80% 02/10/24 (h) | 42,000 | 39,952 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 0.95% 02/10/26 (h) | $ 101,000 | $ 88,368 |
| Abbott Laboratories | | |
| 3.75% 11/30/26 | 21,000 | 20,468 |
| 4.90% 11/30/46 | 17,000 | 16,634 |
| AbbVie Inc. | | |
| 2.60% 11/21/24 | 33,000 | 31,595 |
| 2.95% 11/21/26 | 208,000 | 193,825 |
| 3.20% 05/14/26 - 11/21/29 | 74,000 | 67,574 |
| 3.75% 11/14/23 | 42,000 | 41,589 |
| 4.05% 11/21/39 | 10,000 | 8,564 |
| 4.25% 11/21/49 | 28,000 | 23,536 |
| 4.40% 11/06/42 | 12,000 | 10,420 |
| 4.63% 10/01/42 | 3,000 | 2,683 |
| 4.70% 05/14/45 | 4,000 | 3,573 |
| 4.88% 11/14/48 | 5,000 | 4,604 |
| Advance Auto Parts Inc. | | |
| 3.90% 04/15/30 | 72,000 | 63,263 |
| Advanced Micro Devices Inc. | | |
| 4.39% 06/01/52 | 45,000 | 39,793 |
| AEP Texas Inc. | | |
| 3.45% 05/15/51 | 34,000 | 24,052 |
| Aetna Inc. | | |
| 3.50% 11/15/24 | 15,000 | 14,584 |
| Aircastle Ltd. | | |
| 4.25% 06/15/26 | 17,000 | 16,005 |
| Alexandria Real Estate Equities Inc. | | |
| 1.88% 02/01/33 | 31,000 | 23,097 |
| 2.95% 03/15/34 | 28,000 | 22,796 |
| 3.55% 03/15/52 | 23,000 | 16,496 |
| 4.70% 07/01/30 | 8,000 | 7,686 |
| Ally Financial Inc. | | |
| 2.20% 11/02/28 | 32,000 | 25,033 |
| Altria Group Inc. | | |
| 3.40% 05/06/30 - 02/04/41 | 53,000 | 42,012 |
| 4.00% 02/04/61 | 6,000 | 3,910 |
| 4.25% 08/09/42 | 2,000 | 1,482 |
| 4.45% 05/06/50 | 7,000 | 4,959 |
| 4.50% 05/02/43 | 7,000 | 5,267 |
| Amazon.com Inc. | | |
| 1.50% 06/03/30 | 177,000 | 142,204 |
| 2.50% 06/03/50 | 35,000 | 22,208 |
| 2.70% 06/03/60 | 9,000 | 5,478 |
| 2.88% 05/12/41 | 22,000 | 16,429 |
| 3.15% 08/22/27 | 8,000 | 7,532 |
| 3.25% 05/12/61 | 14,000 | 9,736 |
| 4.05% 08/22/47 (d) | 7,000 | 6,052 |
| 4.25% 08/22/57 | 5,000 | 4,336 |
| | Principal
Amount | Fair
Value |
| Ameren Corp. | | |
| 3.65% 02/15/26 | $ 10,000 | $ 9,560 |
| American Electric Power Company Inc. | | |
| 2.30% 03/01/30 | 34,000 | 27,834 |
| 3.25% 03/01/50 | 4,000 | 2,697 |
| 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 | 3,822 |
| American Tower Corp. | | |
| 1.50% 01/31/28 | 230,000 | 190,516 |
| 2.90% 01/15/30 | 11,000 | 9,319 |
| 3.80% 08/15/29 | 32,000 | 29,100 |
| American Water Capital Corp. | | |
| 2.95% 09/01/27 | 15,000 | 13,832 |
| Amgen Inc. | | |
| 2.00% 01/15/32 | 167,000 | 130,197 |
| 3.00% 01/15/52 | 12,000 | 7,713 |
| 3.15% 02/21/40 | 20,000 | 14,769 |
| 3.38% 02/21/50 | 5,000 | 3,497 |
| 4.66% 06/15/51 | 5,000 | 4,327 |
| AngloGold Ashanti Holdings PLC | | |
| 3.38% 11/01/28 | 200,000 | 175,344 |
| Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | | |
| 3.65% 02/01/26 | 3,000 | 2,890 |
| 4.70% 02/01/36 | 10,000 | 9,428 |
| 4.90% 02/01/46 | 39,000 | 35,689 |
| Anheuser-Busch InBev Worldwide Inc. | | |
| 3.50% 06/01/30 | 235,000 | 213,735 |
| 4.00% 04/13/28 | 8,000 | 7,636 |
| 4.35% 06/01/40 | 14,000 | 12,372 |
| 4.38% 04/15/38 (d) | 23,000 | 20,678 |
| 4.50% 06/01/50 | 13,000 | 11,489 |
| 4.60% 04/15/48 | 18,000 | 15,845 |
| 4.75% 04/15/58 | 11,000 | 9,738 |
| 5.55% 01/23/49 | 21,000 | 20,929 |
| Aon Corp./Aon Global Holdings PLC | | |
| 2.90% 08/23/51 | 23,000 | 14,599 |
| 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) | 23,000 | 19,320 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Apple Inc. | | |
| 2.20% 09/11/29 | $ 200,000 | $ 172,780 |
| 2.65% 02/08/51 | 41,000 | 27,360 |
| 2.80% 02/08/61 | 24,000 | 15,400 |
| 2.95% 09/11/49 | 9,000 | 6,427 |
| 3.35% 02/09/27 | 8,000 | 7,658 |
| 3.45% 02/09/45 | 27,000 | 21,729 |
| 3.85% 08/04/46 | 18,000 | 15,328 |
| 3.95% 08/08/52 | 20,000 | 17,079 |
| Applied Materials Inc. | | |
| 4.35% 04/01/47 | 6,000 | 5,420 |
| Aptiv PLC | | |
| 4.40% 10/01/46 | 9,000 | 6,807 |
| ArcelorMittal S.A. | | |
| 6.80% 11/29/32 | 105,000 | 104,679 |
| Archer-Daniels-Midland Co. | | |
| 2.50% 08/11/26 | 9,000 | 8,352 |
| Ares Capital Corp. | | |
| 2.88% 06/15/28 | 36,000 | 28,918 |
| 3.25% 07/15/25 | 74,000 | 68,074 |
| Arthur J Gallagher & Co. | | |
| 3.50% 05/20/51 | 28,000 | 19,611 |
| Ascension Health | | |
| 4.85% 11/15/53 | 11,000 | 10,429 |
| Astrazeneca Finance LLC | | |
| 1.75% 05/28/28 | 336,000 | 288,584 |
| AstraZeneca PLC | | |
| 3.00% 05/28/51 | 15,000 | 10,594 |
| 4.00% 01/17/29 | 8,000 | 7,690 |
| 4.38% 08/17/48 | 6,000 | 5,381 |
| AT&T Inc. | | |
| 1.70% 03/25/26 | 100,000 | 90,257 |
| 2.30% 06/01/27 | 137,000 | 122,085 |
| 2.75% 06/01/31 | 372,000 | 308,890 |
| 3.85% 06/01/60 | 127,000 | 88,650 |
| 4.35% 03/01/29 | 39,000 | 37,116 |
| 4.50% 05/15/35 | 15,000 | 13,643 |
| 4.55% 03/09/49 | 9,000 | 7,370 |
| 4.75% 05/15/46 | 7,000 | 5,973 |
| 4.85% 03/01/39 | 16,000 | 14,322 |
| Athene Holding Ltd. | | |
| 4.13% 01/12/28 | 9,000 | 8,276 |
| 6.15% 04/03/30 | 20,000 | 20,152 |
| Avangrid Inc. | | |
| 3.15% 12/01/24 (d) | 25,000 | 23,964 |
| Bain Capital Specialty Finance Inc. | | |
| 2.95% 03/10/26 (d) | 43,000 | 37,063 |
| | Principal
Amount | Fair
Value |
| Bank of America Corp. | | |
| 3.25% 10/21/27 (d) | $ 49,000 | $ 45,288 |
| 4.18% 11/25/27 | 24,000 | 22,795 |
| 4.25% 10/22/26 (d) | 128,000 | 123,759 |
| Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | | |
| 2.09% 06/14/29 (d) | 578,000 | 486,196 |
| Bank of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) | | |
| 2.97% 07/21/52 (d) | 44,000 | 27,762 |
| 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) | 42,000 | 38,095 |
| 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) | 22,000 | 20,614 |
| 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) | 29,000 | 26,875 |
| Bank of America Corp. (3.85% fixed rate until 03/08/32; 2.00% + 5 year CMT Rate thereafter) | | |
| 3.85% 03/08/37 (d) | 35,000 | 28,948 |
| 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) | 19,000 | 14,677 |
| 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) | 18,000 | 15,396 |
| 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) | 14,000 | 13,077 |
| 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) | 36,000 | 31,316 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter) | | |
| 2.65% 06/24/31 (d) | $ 200,000 | $ 156,132 |
| Barrick North America Finance LLC | | |
| 5.70% 05/30/41 | 2,000 | 2,012 |
| BAT Capital Corp. | | |
| 2.73% 03/25/31 | 22,000 | 17,158 |
| 4.39% 08/15/37 | 14,000 | 10,887 |
| 4.54% 08/15/47 | 9,000 | 6,397 |
| 4.70% 04/02/27 | 202,000 | 194,019 |
| 4.91% 04/02/30 | 12,000 | 10,998 |
| 7.75% 10/19/32 | 10,000 | 10,760 |
| BAT International Finance PLC | | |
| 1.67% 03/25/26 | 10,000 | 8,854 |
| Baxter International Inc. | | |
| 2.54% 02/01/32 | 27,000 | 21,505 |
| Baylor Scott & White Holdings | | |
| 2.84% 11/15/50 | 5,000 | 3,299 |
| Becton Dickinson & Co. | | |
| 3.70% 06/06/27 | 21,000 | 19,865 |
| 4.67% 06/06/47 | 4,000 | 3,528 |
| 4.69% 12/15/44 | 2,000 | 1,780 |
| Berkshire Hathaway Energy Co. | | |
| 3.25% 04/15/28 | 8,000 | 7,413 |
| 3.70% 07/15/30 | 64,000 | 58,588 |
| 3.80% 07/15/48 | 8,000 | 6,186 |
| 4.25% 10/15/50 | 40,000 | 33,346 |
| Berkshire Hathaway Finance Corp. | | |
| 2.85% 10/15/50 | 77,000 | 51,797 |
| 3.85% 03/15/52 | 35,000 | 28,248 |
| 4.25% 01/15/49 | 21,000 | 18,826 |
| Berry Global Inc. | | |
| 4.88% 07/15/26 (h) | 32,000 | 30,905 |
| BHP Billiton Finance USA Ltd. | | |
| 5.00% 09/30/43 | 3,000 | 2,912 |
| Biogen Inc. | | |
| 2.25% 05/01/30 | 8,000 | 6,502 |
| Block Financial LLC | | |
| 2.50% 07/15/28 | 22,000 | 18,669 |
| 3.88% 08/15/30 | 7,000 | 6,131 |
| Boardwalk Pipelines LP | | |
| 4.80% 05/03/29 | 11,000 | 10,349 |
| Boston Properties LP | | |
| 6.75% 12/01/27 | 35,000 | 36,145 |
| | Principal
Amount | Fair
Value |
| Boston Scientific Corp. | | |
| 4.70% 03/01/49 | $ 3,000 | $ 2,709 |
| BP Capital Markets America Inc. | | |
| 3.00% 02/24/50 | 18,000 | 12,211 |
| 3.38% 02/08/61 | 41,000 | 28,347 |
| BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | | |
| 4.38% 06/22/25 (d) | 36,000 | 34,290 |
| 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) | 28,000 | 24,514 |
| Bristol-Myers Squibb Co. | | |
| 1.45% 11/13/30 | 150,000 | 118,303 |
| 2.35% 11/13/40 | 8,000 | 5,491 |
| 2.95% 03/15/32 | 25,000 | 21,810 |
| 3.20% 06/15/26 | 6,000 | 5,727 |
| 3.40% 07/26/29 | 4,000 | 3,714 |
| 3.55% 03/15/42 | 10,000 | 8,132 |
| 4.13% 06/15/39 | 10,000 | 8,915 |
| 4.25% 10/26/49 | 10,000 | 8,649 |
| 4.35% 11/15/47 | 3,000 | 2,651 |
| 4.55% 02/20/48 | 4,000 | 3,634 |
| Brixmor Operating Partnership LP | | |
| 2.25% 04/01/28 | 39,000 | 32,434 |
| 3.90% 03/15/27 | 8,000 | 7,377 |
| Broadcom Inc. | | |
| 3.19% 11/15/36 (h) | 3,000 | 2,165 |
| 3.42% 04/15/33 (h) | 14,000 | 11,238 |
| 3.47% 04/15/34 (h) | 22,000 | 17,443 |
| 4.15% 11/15/30 | 23,000 | 20,605 |
| 4.30% 11/15/32 | 10,000 | 8,828 |
| 4.93% 05/15/37 (h) | 29,000 | 25,347 |
| Brooklyn Union Gas Co. | | |
| 4.87% 08/05/32 (h) | 70,000 | 65,447 |
| Brown-Forman Corp. | | |
| 4.00% 04/15/38 | 3,000 | 2,630 |
| Brunswick Corp. | | |
| 2.40% 08/18/31 | 90,000 | 66,113 |
| Bunge Limited Finance Corp. | | |
| 3.75% 09/25/27 | 5,000 | 4,676 |
| Burlington Northern Santa Fe LLC | | |
| 4.15% 12/15/48 | 9,000 | 7,663 |
| 4.55% 09/01/44 | 16,000 | 14,525 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Cameron LNG LLC | | |
| 3.30% 01/15/35 (h) | $ 7,000 | $ 5,690 |
| Canadian Natural Resources Ltd. | | |
| 3.85% 06/01/27 | 11,000 | 10,382 |
| 4.95% 06/01/47 | 10,000 | 8,753 |
| Canadian Pacific Railway Co. | | |
| 1.75% 12/02/26 | 36,000 | 32,081 |
| 2.45% 12/02/31 | 31,000 | 25,803 |
| 3.00% 12/02/41 | 13,000 | 9,769 |
| 3.10% 12/02/51 | 13,000 | 8,859 |
| Capital One Financial Corp. | | |
| 3.75% 07/28/26 | 26,000 | 24,545 |
| Cardinal Health Inc. | | |
| 3.08% 06/15/24 | 8,000 | 7,768 |
| Carlisle Companies Inc. | | |
| 2.20% 03/01/32 | 47,000 | 35,732 |
| Carrier Global Corp. | | |
| 2.72% 02/15/30 | 78,000 | 65,734 |
| 3.58% 04/05/50 | 20,000 | 14,325 |
| Caterpillar Inc. | | |
| 3.25% 09/19/49 - 04/09/50 | 100,000 | 76,369 |
| Cenovus Energy Inc. | | |
| 2.65% 01/15/32 | 14,000 | 11,161 |
| 3.75% 02/15/52 | 17,000 | 11,989 |
| Centene Corp. | | |
| 3.00% 10/15/30 | 16,000 | 13,108 |
| 3.38% 02/15/30 | 68,000 | 57,552 |
| 4.25% 12/15/27 | 112,000 | 105,174 |
| CenterPoint Energy Inc. | | |
| 2.65% 06/01/31 | 28,000 | 23,075 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | |
| 3.50% 06/01/41 | 101,000 | 66,420 |
| 3.70% 04/01/51 | 76,000 | 46,265 |
| 4.80% 03/01/50 | 34,000 | 24,879 |
| 5.05% 03/30/29 | 25,000 | 23,507 |
| 5.75% 04/01/48 | 16,000 | 13,158 |
| Cheniere Corpus Christi Holdings LLC | | |
| 5.88% 03/31/25 | 91,000 | 91,515 |
| 7.00% 06/30/24 | 101,000 | 102,787 |
| Cheniere Energy Partners LP | | |
| 4.50% 10/01/29 | 72,000 | 64,801 |
| Chevron Corp. | | |
| 2.24% 05/11/30 | 7,000 | 5,993 |
| 3.08% 05/11/50 | 8,000 | 5,818 |
| | Principal
Amount | Fair
Value |
| Chevron USA Inc. | | |
| 3.85% 01/15/28 | $ 26,000 | $ 25,105 |
| 3.90% 11/15/24 | 11,000 | 10,815 |
| Choice Hotels International Inc. | | |
| 3.70% 01/15/31 | 14,000 | 11,910 |
| Chubb INA Holdings Inc. | | |
| 4.35% 11/03/45 | 8,000 | 6,943 |
| Church & Dwight Company Inc. | | |
| 2.30% 12/15/31 | 16,000 | 12,812 |
| Cigna Corp. | | |
| 2.40% 03/15/30 | 11,000 | 9,217 |
| 3.25% 04/15/25 | 11,000 | 10,595 |
| 3.40% 03/01/27 - 03/15/51 | 31,000 | 24,807 |
| 3.75% 07/15/23 | 6,000 | 5,956 |
| 3.88% 10/15/47 | 5,000 | 3,859 |
| 4.13% 11/15/25 | 21,000 | 20,535 |
| 4.38% 10/15/28 | 8,000 | 7,717 |
| 4.80% 08/15/38 | 8,000 | 7,455 |
| 4.90% 12/15/48 | 5,000 | 4,539 |
| Cintas Corp. No 2 | | |
| 4.00% 05/01/32 | 52,000 | 48,885 |
| Cisco Systems Inc. | | |
| 5.90% 02/15/39 | 8,000 | 8,636 |
| Citigroup Inc. | | |
| 4.45% 09/29/27 | 16,000 | 15,283 |
| 4.65% 07/23/48 (d) | 37,000 | 32,171 |
| Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | | |
| 2.56% 05/01/32 (d) | 191,000 | 150,817 |
| Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | | |
| 2.98% 11/05/30 (d) | 53,000 | 44,550 |
| Citigroup Inc. (3.79% fixed rate until 03/17/32; 1.94% + SOFR thereafter) | | |
| 3.79% 03/17/33 (d) | 150,000 | 128,647 |
| 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 | 8,276 |
| Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | | |
| 4.70% 12/31/99 (d) | 22,000 | 18,319 |
| CME Group Inc. | | |
| 2.65% 03/15/32 | 20,000 | 16,772 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 3.75% 06/15/28 | $ 9,000 | $ 8,676 |
| CMS Energy Corp. | | |
| 4.88% 03/01/44 | 15,000 | 13,649 |
| CNH Industrial Capital LLC | | |
| 1.95% 07/02/23 | 33,000 | 32,438 |
| Comcast Corp. | | |
| 2.65% 08/15/62 | 9,000 | 5,135 |
| 2.80% 01/15/51 | 9,000 | 5,735 |
| 2.89% 11/01/51 | 21,000 | 13,591 |
| 2.94% 11/01/56 | 19,000 | 11,917 |
| 2.99% 11/01/63 | 9,000 | 5,480 |
| 3.20% 07/15/36 | 10,000 | 8,108 |
| 3.25% 11/01/39 | 20,000 | 15,612 |
| 3.97% 11/01/47 | 33,000 | 26,475 |
| 4.15% 10/15/28 | 4,000 | 3,845 |
| CommonSpirit Health | | |
| 4.35% 11/01/42 | 24,000 | 20,174 |
| Conagra Brands Inc. | | |
| 5.30% 11/01/38 | 7,000 | 6,621 |
| 5.40% 11/01/48 | 7,000 | 6,505 |
| ConocoPhillips Co. | | |
| 4.30% 11/15/44 | 11,000 | 9,527 |
| Consolidated Edison Company of New York Inc. | | |
| 2.90% 12/01/26 | 18,000 | 16,498 |
| 3.35% 04/01/30 | 6,000 | 5,384 |
| 3.88% 06/15/47 | 8,000 | 6,188 |
| 3.95% 04/01/50 | 19,000 | 15,111 |
| Constellation Brands Inc. | | |
| 3.15% 08/01/29 | 34,000 | 29,794 |
| 3.70% 12/06/26 | 28,000 | 26,646 |
| 4.50% 05/09/47 | 9,000 | 7,584 |
| Continental Resources Inc. | | |
| 2.88% 04/01/32 (h) | 27,000 | 20,048 |
| 3.80% 06/01/24 | 146,000 | 141,959 |
| 4.50% 04/15/23 | 86,000 | 85,698 |
| Corebridge Financial Inc. | | |
| 3.90% 04/05/32 (h) | 120,000 | 105,108 |
| Corning Inc. | | |
| 4.38% 11/15/57 | 7,000 | 5,447 |
| Corporate Office Properties LP | | |
| 2.00% 01/15/29 | 33,000 | 25,404 |
| 2.25% 03/15/26 | 16,000 | 14,139 |
| 2.75% 04/15/31 | 13,000 | 9,732 |
| Crown Castle Inc. | | |
| 2.90% 03/15/27 | 60,000 | 54,617 |
| 3.30% 07/01/30 | 164,000 | 143,275 |
| 4.15% 07/01/50 | 26,000 | 20,016 |
| | Principal
Amount | Fair
Value |
| 5.20% 02/15/49 | $ 8,000 | $ 7,189 |
| CSL Finance PLC | | |
| 4.25% 04/27/32 (h) | 35,000 | 32,951 |
| CSX Corp. | | |
| 4.50% 03/15/49 - 08/01/54 | 26,000 | 22,351 |
| CubeSmart LP | | |
| 2.50% 02/15/32 | 36,000 | 27,568 |
| 4.38% 02/15/29 | 16,000 | 14,784 |
| Cummins Inc. | | |
| 1.50% 09/01/30 | 14,000 | 11,018 |
| 2.60% 09/01/50 | 14,000 | 8,736 |
| CVS Health Corp. | | |
| 3.00% 08/15/26 | 13,000 | 12,141 |
| 3.25% 08/15/29 | 11,000 | 9,841 |
| 3.63% 04/01/27 | 11,000 | 10,440 |
| 3.75% 04/01/30 | 10,000 | 9,075 |
| 3.88% 07/20/25 | 10,000 | 9,763 |
| 4.25% 04/01/50 | 9,000 | 7,226 |
| 4.30% 03/25/28 | 327,000 | 316,294 |
| 4.78% 03/25/38 | 15,000 | 13,744 |
| 5.00% 12/01/24 | 15,000 | 14,880 |
| 5.13% 07/20/45 | 6,000 | 5,467 |
| 5.30% 12/05/43 | 12,000 | 11,239 |
| Daimler Trucks Finance North America LLC | | |
| 2.00% 12/14/26 (h) | 150,000 | 131,790 |
| Danaher Corp. | | |
| 2.80% 12/10/51 | 48,000 | 31,935 |
| Dell International LLC/EMC Corp. | | |
| 4.00% 07/15/24 | 20,000 | 19,628 |
| 5.45% 06/15/23 | 3,000 | 3,000 |
| 6.02% 06/15/26 | 5,000 | 5,104 |
| Deutsche Bank AG (2.31% fixed rate until 11/16/26; 1.22% + SOFR thereafter) | | |
| 2.31% 11/16/27 (d) | 150,000 | 127,435 |
| Devon Energy Corp. | | |
| 5.00% 06/15/45 | 4,000 | 3,443 |
| DH Europe Finance II Sarl | | |
| 2.60% 11/15/29 | 11,000 | 9,624 |
| 3.25% 11/15/39 | 8,000 | 6,416 |
| 3.40% 11/15/49 | 5,000 | 3,775 |
| Diamondback Energy Inc. | | |
| 3.13% 03/24/31 | 19,000 | 15,748 |
| 3.25% 12/01/26 | 10,000 | 9,316 |
| 3.50% 12/01/29 | 10,000 | 8,773 |
| 4.40% 03/24/51 | 11,000 | 8,411 |
| Digital Realty Trust LP | | |
| 3.60% 07/01/29 | 24,000 | 21,454 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Discovery Communications LLC | | |
| 3.95% 03/20/28 | $ 23,000 | $ 20,411 |
| 4.95% 05/15/42 | 4,000 | 3,024 |
| 5.00% 09/20/37 | 6,000 | 4,837 |
| Dollar General Corp. | | |
| 3.50% 04/03/30 | 40,000 | 35,849 |
| 4.13% 04/03/50 | 10,000 | 8,012 |
| Dollar Tree Inc. | | |
| 4.00% 05/15/25 | 86,000 | 83,988 |
| Dominion Energy Inc. | | |
| 3.07% 08/15/24 (i) | 19,000 | 18,308 |
| 3.38% 04/01/30 | 19,000 | 16,740 |
| Dover Corp. | | |
| 2.95% 11/04/29 | 14,000 | 12,169 |
| Dow Chemical Co. | | |
| 6.30% 03/15/33 | 30,000 | 31,609 |
| DTE Energy Co. | | |
| 2.85% 10/01/26 | 24,000 | 22,116 |
| Duke Energy Carolinas LLC | | |
| 3.95% 03/15/48 | 8,000 | 6,443 |
| Duke Energy Corp. | | |
| 2.55% 06/15/31 | 28,000 | 22,850 |
| 3.30% 06/15/41 | 35,000 | 25,611 |
| 3.50% 06/15/51 | 70,000 | 49,139 |
| 3.75% 09/01/46 | 53,000 | 39,491 |
| 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 | 36,498 |
| Duke Energy Progress LLC | | |
| 4.15% 12/01/44 | 17,000 | 14,222 |
| DuPont de Nemours Inc. | | |
| 5.42% 11/15/48 | 7,000 | 6,683 |
| Duquesne Light Holdings Inc. | | |
| 3.62% 08/01/27 (h) | 16,000 | 14,251 |
| Eastman Chemical Co. | | |
| 4.65% 10/15/44 | 11,000 | 9,110 |
| Eaton Corp. | | |
| 3.10% 09/15/27 | 8,000 | 7,451 |
| Ecolab Inc. | | |
| 1.30% 01/30/31 | 14,000 | 10,681 |
| 5.25% 01/15/28 | 90,000 | 91,736 |
| Edison International | | |
| 4.95% 04/15/25 | 37,000 | 36,533 |
| 5.75% 06/15/27 | 7,000 | 7,023 |
| EI du Pont de Nemours & Co. | | |
| 2.30% 07/15/30 | 39,000 | 32,649 |
| | Principal
Amount | Fair
Value |
| Elevance Health Inc. | | |
| 2.88% 09/15/29 | $ 127,000 | $ 111,394 |
| 3.30% 01/15/23 | 13,000 | 12,993 |
| 3.60% 03/15/51 | 10,000 | 7,528 |
| 3.70% 09/15/49 | 9,000 | 6,875 |
| Emera US Finance LP | | |
| 2.64% 06/15/31 | 33,000 | 25,781 |
| Emerson Electric Co. | | |
| 1.80% 10/15/27 | 49,000 | 42,817 |
| 2.75% 10/15/50 | 59,000 | 38,284 |
| Empower Finance 2020 LP | | |
| 1.36% 09/17/27 (h) | 24,000 | 20,032 |
| 1.78% 03/17/31 (h) | 35,000 | 26,290 |
| Enbridge Energy Partners LP | | |
| 5.50% 09/15/40 | 4,000 | 3,744 |
| Enbridge Inc. | | |
| 1.60% 10/04/26 | 81,000 | 70,959 |
| Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | | |
| 5.75% 07/15/80 (d) | 52,000 | 47,001 |
| Energy Transfer LP | | |
| 4.25% 03/15/23 | 13,000 | 12,970 |
| 4.50% 04/15/24 | 23,000 | 22,681 |
| 4.95% 06/15/28 (d) | 9,000 | 8,693 |
| 5.30% 04/01/44 - 04/15/47 | 22,000 | 18,495 |
| 5.35% 05/15/45 | 21,000 | 17,898 |
| 5.75% 02/15/33 | 20,000 | 19,618 |
| 6.13% 12/15/45 | 5,000 | 4,637 |
| 6.50% 02/01/42 (d) | 9,000 | 8,892 |
| 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 | 73,525 |
| Energy Transfer LP/Regency Energy Finance Corp. | | |
| 4.50% 11/01/23 | 11,000 | 10,905 |
| Enterprise Products Operating LLC | | |
| 4.25% 02/15/48 | 27,000 | 21,772 |
| 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 | 5,722 |
| EOG Resources Inc. | | |
| 4.15% 01/15/26 | 4,000 | 3,925 |
| 4.95% 04/15/50 | 8,000 | 7,652 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 5.10% 01/15/36 | $ 8,000 | $ 7,568 |
| Equinix Inc. | | |
| 1.25% 07/15/25 | 14,000 | 12,681 |
| 2.15% 07/15/30 | 19,000 | 15,150 |
| ERP Operating LP | | |
| 4.50% 07/01/44 | 9,000 | 7,650 |
| Everest Reinsurance Holdings Inc. | | |
| 3.13% 10/15/52 | 26,000 | 16,157 |
| Eversource Energy | | |
| 3.45% 01/15/50 | 14,000 | 10,239 |
| Exelon Corp. | | |
| 4.05% 04/15/30 | 20,000 | 18,627 |
| 4.45% 04/15/46 | 11,000 | 9,328 |
| 4.70% 04/15/50 | 11,000 | 9,662 |
| Extra Space Storage LP | | |
| 3.90% 04/01/29 | 15,000 | 13,465 |
| Exxon Mobil Corp. | | |
| 2.61% 10/15/30 | 61,000 | 53,255 |
| 3.45% 04/15/51 | 12,000 | 9,096 |
| FedEx Corp. | | |
| 4.10% 02/01/45 | 38,000 | 29,392 |
| Fidelity National Financial Inc. | | |
| 3.20% 09/17/51 | 23,000 | 13,437 |
| Fidelity National Information Services Inc. | | |
| 1.65% 03/01/28 | 18,000 | 14,967 |
| 3.10% 03/01/41 | 6,000 | 4,155 |
| FirstEnergy Transmission LLC | | |
| 4.55% 04/01/49 (h) | 23,000 | 18,723 |
| Fiserv Inc. | | |
| 3.50% 07/01/29 | 44,000 | 39,650 |
| 4.40% 07/01/49 | 6,000 | 4,880 |
| Florida Power & Light Co. | | |
| 2.85% 04/01/25 | 38,000 | 36,412 |
| 4.13% 02/01/42 | 11,000 | 9,527 |
| Flowers Foods Inc. | | |
| 2.40% 03/15/31 | 18,000 | 14,477 |
| Flowserve Corp. | | |
| 2.80% 01/15/32 | 24,000 | 17,934 |
| Ford Motor Co. | | |
| 4.35% 12/08/26 | 38,000 | 36,010 |
| Fox Corp. | | |
| 3.50% 04/08/30 | 30,000 | 26,530 |
| Freeport-McMoRan Inc. | | |
| 4.25% 03/01/30 | 31,000 | 28,288 |
| GA Global Funding Trust | | |
| 1.63% 01/15/26 (h) | 28,000 | 24,849 |
| | Principal
Amount | Fair
Value |
| General Mills Inc. | | |
| 3.00% 02/01/51 | $ 20,000 | $ 13,657 |
| General Motors Co. | | |
| 5.20% 04/01/45 | 3,000 | 2,453 |
| 5.40% 04/01/48 | 8,000 | 6,581 |
| 6.13% 10/01/25 | 70,000 | 71,362 |
| 6.80% 10/01/27 | 9,000 | 9,346 |
| General Motors Financial Company Inc. | | |
| 1.25% 01/08/26 | 138,000 | 121,657 |
| 2.35% 01/08/31 | 14,000 | 10,574 |
| 5.25% 03/01/26 | 37,000 | 36,437 |
| Genuine Parts Co. | | |
| 2.75% 02/01/32 | 19,000 | 15,287 |
| Georgia-Pacific LLC | | |
| 1.75% 09/30/25 (h) | 34,000 | 31,062 |
| 3.60% 03/01/25 (h) | 89,000 | 86,241 |
| Gilead Sciences Inc. | | |
| 2.60% 10/01/40 | 10,000 | 7,007 |
| 2.80% 10/01/50 | 15,000 | 9,707 |
| 2.95% 03/01/27 | 3,000 | 2,794 |
| 3.50% 02/01/25 | 10,000 | 9,687 |
| 3.65% 03/01/26 | 8,000 | 7,722 |
| 4.15% 03/01/47 | 9,000 | 7,451 |
| 4.75% 03/01/46 | 20,000 | 18,082 |
| GlaxoSmithKline Capital Inc. | | |
| 3.63% 05/15/25 | 17,000 | 16,608 |
| GlaxoSmithKline Capital PLC | | |
| 3.38% 06/01/29 | 14,000 | 12,917 |
| Glencore Funding LLC | | |
| 3.88% 04/27/51 (h) | 5,000 | 3,615 |
| Graphic Packaging International LLC | | |
| 1.51% 04/15/26 (h) | 33,000 | 28,820 |
| Gray Oak Pipeline LLC | | |
| 2.00% 09/15/23 (h) | 59,000 | 57,294 |
| 2.60% 10/15/25 (h) | 35,000 | 31,782 |
| Halliburton Co. | | |
| 3.80% 11/15/25 | 2,000 | 1,945 |
| 5.00% 11/15/45 | 8,000 | 7,093 |
| HCA Inc. | | |
| 3.13% 03/15/27 (h) | 50,000 | 45,482 |
| 3.50% 09/01/30 | 19,000 | 16,348 |
| 3.63% 03/15/32 (h) | 28,000 | 23,683 |
| 4.63% 03/15/52 (h) | 10,000 | 7,831 |
| 5.38% 02/01/25 | 133,000 | 132,856 |
| Health Care Service Corp. | | |
| 2.20% 06/01/30 (h) | 18,000 | 14,410 |
| 3.20% 06/01/50 (h) | 7,000 | 4,865 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Healthcare Realty Holdings LP | | |
| 2.00% 03/15/31 | $ 10,000 | $ 7,562 |
| Helmerich & Payne Inc. | | |
| 2.90% 09/29/31 | 14,000 | 11,335 |
| Hess Corp. | | |
| 5.60% 02/15/41 | 3,000 | 2,841 |
| 5.80% 04/01/47 | 2,000 | 1,916 |
| Hewlett Packard Enterprise Co. | | |
| 6.35% 10/15/45 | 3,000 | 2,999 |
| Highwoods Realty LP | | |
| 4.13% 03/15/28 (d) | 9,000 | 8,104 |
| 4.20% 04/15/29 | 23,000 | 19,902 |
| Honeywell International Inc. | | |
| 1.75% 09/01/31 | 21,000 | 16,637 |
| 2.70% 08/15/29 | 14,000 | 12,440 |
| Hormel Foods Corp. | | |
| 1.80% 06/11/30 | 36,000 | 29,354 |
| HSBC Holdings PLC (2.87% fixed rate until 11/22/31; 1.41% + SOFR thereafter) | | |
| 2.87% 11/22/32 (d) | 200,000 | 153,154 |
| Humana Inc. | | |
| 1.35% 02/03/27 | 47,000 | 40,587 |
| 2.15% 02/03/32 | 17,000 | 13,297 |
| Huntington Bancshares Inc. | | |
| 2.55% 02/04/30 | 24,000 | 19,741 |
| Huntington Ingalls Industries Inc. | | |
| 2.04% 08/16/28 | 51,000 | 42,048 |
| Huntsman International LLC | | |
| 4.50% 05/01/29 | 35,000 | 31,450 |
| Hyundai Capital America | | |
| 1.30% 01/08/26 (h) | 70,000 | 61,289 |
| Indiana Michigan Power Co. | | |
| 3.25% 05/01/51 | 15,000 | 10,263 |
| Intel Corp. | | |
| 2.00% 08/12/31 | 314,000 | 249,024 |
| 2.45% 11/15/29 | 29,000 | 24,875 |
| 2.60% 05/19/26 | 23,000 | 21,468 |
| 2.80% 08/12/41 | 27,000 | 18,817 |
| 2.88% 05/11/24 | 10,000 | 9,738 |
| 3.10% 02/15/60 | 10,000 | 6,237 |
| Intercontinental Exchange Inc. | | |
| 1.85% 09/15/32 | 8,000 | 6,019 |
| 2.65% 09/15/40 | 8,000 | 5,566 |
| International Business Machines Corp. | | |
| 2.95% 05/15/50 | 100,000 | 65,262 |
| | Principal
Amount | Fair
Value |
| International Paper Co. | | |
| 4.40% 08/15/47 | $ 9,000 | $ 7,409 |
| ITC Holdings Corp. | | |
| 2.95% 05/14/30 (h) | 40,000 | 33,828 |
| Jabil Inc. | | |
| 3.95% 01/12/28 | 9,000 | 8,383 |
| 4.25% 05/15/27 | 70,000 | 66,245 |
| John Deere Capital Corp. | | |
| 2.45% 01/09/30 | 156,000 | 134,491 |
| 3.90% 06/07/32 (d) | 15,000 | 13,990 |
| Johnson & Johnson | | |
| 3.63% 03/03/37 (d) | 9,000 | 8,010 |
| Johnson Controls International PLC | | |
| 4.50% 02/15/47 (d) | 4,000 | 3,315 |
| JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | | |
| 1.58% 04/22/27 (d) | 213,000 | 187,472 |
| JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | | |
| 2.96% 05/13/31 (d) | 69,000 | 56,810 |
| JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | | |
| 3.16% 04/22/42 (d) | 21,000 | 15,267 |
| JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | | |
| 3.88% 07/24/38 (d) | 14,000 | 11,626 |
| JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | | |
| 3.90% 01/23/49 (d) | 53,000 | 40,845 |
| JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | | |
| 3.96% 01/29/27 (d) | 28,000 | 26,729 |
| JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | | |
| 4.01% 04/23/29 (d) | 11,000 | 10,190 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 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 | $ 7,144 |
| JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | | |
| 4.49% 03/24/31 (d) | 75,000 | 70,138 |
| JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | | |
| 4.60% 12/31/99 (d) | 48,000 | 42,621 |
| Kaiser Foundation Hospitals | | |
| 3.00% 06/01/51 | 22,000 | 14,961 |
| Kansas City Southern/old | | |
| 3.50% 05/01/50 | 11,000 | 7,851 |
| Keurig Dr Pepper Inc. | | |
| 3.20% 05/01/30 | 13,000 | 11,313 |
| 3.80% 05/01/50 | 9,000 | 6,767 |
| Kinder Morgan Energy Partners LP | | |
| 4.70% 11/01/42 | 3,000 | 2,485 |
| 5.00% 03/01/43 | 8,000 | 6,849 |
| 6.38% 03/01/41 | 8,000 | 7,947 |
| Kinder Morgan Inc. | | |
| 1.75% 11/15/26 | 95,000 | 83,824 |
| 5.05% 02/15/46 | 8,000 | 6,819 |
| KLA Corp. | | |
| 3.30% 03/01/50 | 20,000 | 14,500 |
| 4.65% 11/01/24 | 5,000 | 4,991 |
| Kraft Heinz Foods Co. | | |
| 5.20% 07/15/45 | 26,000 | 23,958 |
| L3Harris Technologies Inc. | | |
| 3.85% 12/15/26 | 23,000 | 21,976 |
| Lear Corp. | | |
| 4.25% 05/15/29 | 8,000 | 7,204 |
| Leidos Inc. | | |
| 3.63% 05/15/25 | 9,000 | 8,650 |
| 4.38% 05/15/30 | 66,000 | 59,587 |
| Liberty Mutual Group Inc. | | |
| 3.95% 05/15/60 (h) | 8,000 | 5,261 |
| Life Storage LP | | |
| 2.20% 10/15/30 | 19,000 | 14,742 |
| Lincoln National Corp. | | |
| 4.35% 03/01/48 | 52,000 | 39,019 |
| | Principal
Amount | Fair
Value |
| Lincoln National Corp. (9.25% fixed rate until 12/01/27; 5.32% + 5 year CMT Rate thereafter) | | |
| 9.25% 12/31/99 | $ 40,000 | $ 42,303 |
| Lockheed Martin Corp. | | |
| 3.55% 01/15/26 | 4,000 | 3,885 |
| 3.80% 03/01/45 | 4,000 | 3,278 |
| 4.50% 05/15/36 | 10,000 | 9,527 |
| Lowe's Companies Inc. | | |
| 1.30% 04/15/28 | 9,000 | 7,474 |
| 1.70% 09/15/28 - 10/15/30 | 185,000 | 146,156 |
| 3.00% 10/15/50 | 9,000 | 5,771 |
| 3.70% 04/15/46 | 3,000 | 2,230 |
| 4.05% 05/03/47 | 13,000 | 10,207 |
| 5.63% 04/15/53 | 29,000 | 27,950 |
| LYB International Finance III LLC | | |
| 3.63% 04/01/51 | 20,000 | 13,405 |
| 3.80% 10/01/60 | 8,000 | 5,203 |
| Marsh & McLennan Companies Inc. | | |
| 2.90% 12/15/51 | 41,000 | 26,391 |
| Masco Corp. | | |
| 3.50% 11/15/27 | 3,000 | 2,775 |
| McCormick & Company Inc. | | |
| 1.85% 02/15/31 | 11,000 | 8,511 |
| 3.25% 11/15/25 | 130,000 | 123,254 |
| McDonald's Corp. | | |
| 3.60% 07/01/30 | 27,000 | 24,772 |
| 3.63% 09/01/49 | 9,000 | 6,850 |
| 4.88% 12/09/45 | 8,000 | 7,416 |
| Medtronic Inc. | | |
| 4.63% 03/15/45 | 4,000 | 3,719 |
| Memorial Sloan-Kettering Cancer Center | | |
| 4.13% 07/01/52 | 18,000 | 14,887 |
| Mercedes-Benz Finance North America LLC | | |
| 5.38% 11/26/25 | 150,000 | 150,916 |
| Merck & Company Inc. | | |
| 1.90% 12/10/28 | 46,000 | 39,589 |
| 2.45% 06/24/50 | 11,000 | 7,035 |
| 2.75% 02/10/25 - 12/10/51 | 48,000 | 41,445 |
| 2.90% 12/10/61 | 10,000 | 6,445 |
| 4.00% 03/07/49 | 4,000 | 3,428 |
| Meta Platforms Inc. | | |
| 3.85% 08/15/32 | 60,000 | 52,796 |
| 4.45% 08/15/52 | 60,000 | 47,679 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| MetLife Inc. | | |
| 4.72% 12/15/44 | $ 11,000 | $ 9,963 |
| Microchip Technology Inc. | | |
| 2.67% 09/01/23 | 99,000 | 97,042 |
| Micron Technology Inc. | | |
| 3.37% 11/01/41 | 22,000 | 14,709 |
| 3.48% 11/01/51 | 42,000 | 26,163 |
| Microsoft Corp. | | |
| 2.40% 08/08/26 | 26,000 | 24,254 |
| 2.68% 06/01/60 | 14,000 | 9,048 |
| 2.92% 03/17/52 | 50,000 | 35,624 |
| 3.45% 08/08/36 | 4,000 | 3,550 |
| 3.50% 02/12/35 | 10,000 | 9,060 |
| Mid-America Apartments LP | | |
| 2.88% 09/15/51 | 27,000 | 17,318 |
| Molson Coors Beverage Co. | | |
| 4.20% 07/15/46 | 5,000 | 3,897 |
| Morgan Stanley | | |
| 3.63% 01/20/27 | 4,000 | 3,776 |
| 3.70% 10/23/24 | 11,000 | 10,745 |
| 4.35% 09/08/26 | 86,000 | 83,590 |
| 4.38% 01/22/47 (d) | 11,000 | 9,378 |
| Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | | |
| 1.51% 07/20/27 (d) | 328,000 | 284,852 |
| Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | | |
| 2.48% 09/16/36 (d) | 148,000 | 107,956 |
| Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | | |
| 2.80% 01/25/52 (d) | 62,000 | 38,503 |
| Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | | |
| 3.97% 07/22/38 (d) | 11,000 | 9,236 |
| MPLX LP | | |
| 2.65% 08/15/30 | 16,000 | 12,981 |
| 5.20% 12/01/47 | 8,000 | 6,818 |
| Mylan Inc. | | |
| 5.20% 04/15/48 (d) | 7,000 | 5,241 |
| National Retail Properties Inc. | | |
| 4.00% 11/15/25 | 11,000 | 10,598 |
| NewMarket Corp. | | |
| 2.70% 03/18/31 | 14,000 | 11,041 |
| Newmont Corp. | | |
| 4.88% 03/15/42 | 9,000 | 8,288 |
| | 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 | $ 9,117 |
| NGPL PipeCo LLC | | |
| 3.25% 07/15/31 (h) | 39,000 | 31,773 |
| NIKE Inc. | | |
| 3.38% 03/27/50 | 9,000 | 7,052 |
| NiSource Inc. | | |
| 3.60% 05/01/30 | 14,000 | 12,482 |
| 3.95% 03/30/48 | 4,000 | 3,124 |
| Norfolk Southern Corp. | | |
| 3.95% 10/01/42 | 9,000 | 7,412 |
| Northern Trust Corp. | | |
| 6.13% 11/02/32 | 40,000 | 42,285 |
| NOV Inc. | | |
| 3.60% 12/01/29 | 20,000 | 17,591 |
| Novant Health Inc. | | |
| 3.32% 11/01/61 | 15,000 | 10,037 |
| Novartis Capital Corp. | | |
| 2.20% 08/14/30 | 23,000 | 19,549 |
| 3.00% 11/20/25 | 4,000 | 3,836 |
| Nutrien Ltd. | | |
| 4.90% 06/01/43 | 8,000 | 7,059 |
| NVIDIA Corp. | | |
| 2.85% 04/01/30 | 16,000 | 13,976 |
| 3.50% 04/01/50 | 9,000 | 6,811 |
| NXP BV/NXP Funding LLC/NXP USA Inc. | | |
| 3.25% 11/30/51 | 35,000 | 21,853 |
| Oklahoma Gas & Electric Co. | | |
| 3.25% 04/01/30 | 10,000 | 8,689 |
| Oncor Electric Delivery Company LLC | | |
| 3.80% 09/30/47 | 6,000 | 4,883 |
| ONEOK Inc. | | |
| 4.35% 03/15/29 | 11,000 | 10,200 |
| 6.10% 11/15/32 | 30,000 | 30,109 |
| Oracle Corp. | | |
| 1.65% 03/25/26 | 47,000 | 42,120 |
| 2.30% 03/25/28 | 10,000 | 8,672 |
| 2.40% 09/15/23 | 10,000 | 9,797 |
| 2.65% 07/15/26 | 11,000 | 10,115 |
| 2.88% 03/25/31 | 117,000 | 97,067 |
| 2.95% 04/01/30 | 30,000 | 25,608 |
| 3.60% 04/01/50 | 11,000 | 7,504 |
| 3.65% 03/25/41 | 15,000 | 11,090 |
| 3.80% 11/15/37 | 4,000 | 3,156 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 3.95% 03/25/51 | $ 8,000 | $ 5,764 |
| 4.00% 07/15/46 - 11/15/47 | 19,000 | 13,951 |
| 4.10% 03/25/61 | 19,000 | 13,267 |
| 6.15% 11/09/29 | 65,000 | 67,575 |
| 6.90% 11/09/52 | 15,000 | 16,232 |
| Otis Worldwide Corp. | | |
| 2.06% 04/05/25 | 72,000 | 67,419 |
| 2.57% 02/15/30 | 32,000 | 26,903 |
| 3.36% 02/15/50 | 59,000 | 41,364 |
| Owens Corning | | |
| 4.40% 01/30/48 | 6,000 | 4,675 |
| Pacific Gas & Electric Co. | | |
| 2.10% 08/01/27 | 10,000 | 8,562 |
| 2.50% 02/01/31 | 23,000 | 17,882 |
| 3.00% 06/15/28 | 19,000 | 16,470 |
| 3.30% 08/01/40 | 23,000 | 15,598 |
| 3.50% 08/01/50 | 9,000 | 5,665 |
| 4.30% 03/15/45 | 19,000 | 13,592 |
| PacifiCorp | | |
| 2.70% 09/15/30 | 15,000 | 12,889 |
| 2.90% 06/15/52 | 93,000 | 61,209 |
| 6.25% 10/15/37 | 14,000 | 14,878 |
| Packaging Corp. of America | | |
| 3.05% 10/01/51 | 28,000 | 17,980 |
| Paramount Global | | |
| 2.90% 01/15/27 | 7,000 | 6,284 |
| 3.70% 06/01/28 | 8,000 | 7,137 |
| 5.25% 04/01/44 | 3,000 | 2,312 |
| Parker-Hannifin Corp. | | |
| 3.25% 06/14/29 | 10,000 | 8,939 |
| 4.50% 09/15/29 | 63,000 | 60,586 |
| 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) | 25,000 | 21,391 |
| PayPal Holdings Inc. | | |
| 2.65% 10/01/26 | 16,000 | 14,779 |
| 3.25% 06/01/50 | 9,000 | 6,189 |
| PepsiCo Inc. | | |
| 1.63% 05/01/30 | 10,000 | 8,160 |
| 2.63% 07/29/29 | 16,000 | 14,130 |
| 2.75% 10/21/51 | 42,000 | 29,319 |
| Pfizer Inc. | | |
| 2.70% 05/28/50 | 39,000 | 26,549 |
| 3.45% 03/15/29 | 7,000 | 6,595 |
| 3.60% 09/15/28 | 15,000 | 14,375 |
| 3.90% 03/15/39 | 9,000 | 7,941 |
| 4.13% 12/15/46 | 7,000 | 6,191 |
| | Principal
Amount | Fair
Value |
| 4.40% 05/15/44 | $ 4,000 | $ 3,715 |
| Philip Morris International Inc. | | |
| 1.50% 05/01/25 | 102,000 | 94,354 |
| 2.10% 05/01/30 | 8,000 | 6,477 |
| 3.38% 08/15/29 | 9,000 | 8,112 |
| 4.13% 03/04/43 | 4,000 | 3,163 |
| 5.63% 11/17/29 | 150,000 | 152,767 |
| Phillips 66 Co. | | |
| 2.15% 12/15/30 | 74,000 | 59,180 |
| 3.15% 12/15/29 (h) | 49,000 | 42,739 |
| 3.30% 03/15/52 | 29,000 | 20,119 |
| 3.75% 03/01/28 (h) | 9,000 | 8,302 |
| 4.68% 02/15/45 (h) | 9,000 | 7,827 |
| Pioneer Natural Resources Co. | | |
| 1.13% 01/15/26 | 57,000 | 50,795 |
| 2.15% 01/15/31 | 14,000 | 11,104 |
| Plains All American Pipeline LP/PAA Finance Corp. | | |
| 3.55% 12/15/29 | 19,000 | 16,513 |
| PPL Capital Funding Inc. | | |
| 3.10% 05/15/26 | 15,000 | 14,037 |
| Precision Castparts Corp. | | |
| 4.38% 06/15/45 | 7,000 | 6,123 |
| Prologis LP | | |
| 3.05% 03/01/50 | 6,000 | 4,047 |
| 3.25% 06/30/26 | 8,000 | 7,598 |
| Prospect Capital Corp. | | |
| 3.36% 11/15/26 | 36,000 | 30,027 |
| Prudential Financial Inc. | | |
| 3.94% 12/07/49 | 18,000 | 14,130 |
| Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | | |
| 5.70% 09/15/48 (d) | 14,000 | 13,412 |
| Public Service Company of Colorado | | |
| 3.70% 06/15/28 | 15,000 | 14,288 |
| Public Service Electric & Gas Co. | | |
| 2.38% 05/15/23 | 39,000 | 38,635 |
| PVH Corp. | | |
| 4.63% 07/10/25 | 43,000 | 41,524 |
| QUALCOMM Inc. | | |
| 1.30% 05/20/28 | 5,000 | 4,234 |
| 4.30% 05/20/47 | 3,000 | 2,602 |
| Quanta Services Inc. | | |
| 2.35% 01/15/32 | 27,000 | 20,522 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 3.05% 10/01/41 | $ 32,000 | $ 20,961 |
| Quest Diagnostics Inc. | | |
| 2.95% 06/30/30 | 6,000 | 5,187 |
| Raytheon Technologies Corp. | | |
| 1.90% 09/01/31 | 82,000 | 64,301 |
| 2.82% 09/01/51 | 59,000 | 38,480 |
| 3.13% 05/04/27 | 49,000 | 45,664 |
| 3.50% 03/15/27 | 9,000 | 8,575 |
| 3.95% 08/16/25 | 10,000 | 9,775 |
| 4.15% 05/15/45 | 9,000 | 7,504 |
| 4.45% 11/16/38 | 8,000 | 7,272 |
| Realty Income Corp. | | |
| 2.85% 12/15/32 | 14,000 | 11,372 |
| 3.00% 01/15/27 | 5,000 | 4,630 |
| 3.25% 01/15/31 | 10,000 | 8,672 |
| Regeneron Pharmaceuticals Inc. | | |
| 1.75% 09/15/30 | 28,000 | 21,678 |
| Regions Financial Corp. | | |
| 1.80% 08/12/28 | 71,000 | 60,236 |
| Republic Services Inc. | | |
| 2.38% 03/15/33 | 50,000 | 39,790 |
| Reynolds American Inc. | | |
| 4.45% 06/12/25 | 5,000 | 4,893 |
| Rio Tinto Finance USA Ltd. | | |
| 2.75% 11/02/51 | 12,000 | 7,962 |
| Rio Tinto Finance USA PLC | | |
| 4.13% 08/21/42 | 7,000 | 6,041 |
| Rockwell Automation Inc. | | |
| 2.80% 08/15/61 | 18,000 | 10,790 |
| 4.20% 03/01/49 | 9,000 | 7,727 |
| Rogers Communications Inc. | | |
| 5.00% 03/15/44 | 3,000 | 2,555 |
| Roper Technologies Inc. | | |
| 2.95% 09/15/29 | 12,000 | 10,407 |
| Ross Stores Inc. | | |
| 4.70% 04/15/27 | 6,000 | 5,904 |
| Royalty Pharma PLC | | |
| 0.75% 09/02/23 | 15,000 | 14,536 |
| 1.20% 09/02/25 | 18,000 | 16,115 |
| 1.75% 09/02/27 | 9,000 | 7,645 |
| 2.15% 09/02/31 | 17,000 | 12,839 |
| 2.20% 09/02/30 | 8,000 | 6,251 |
| 3.30% 09/02/40 | 2,000 | 1,399 |
| RPM International Inc. | | |
| 3.75% 03/15/27 | 8,000 | 7,458 |
| Ryder System Inc. | | |
| 2.90% 12/01/26 | 50,000 | 45,525 |
| | Principal
Amount | Fair
Value |
| Salesforce Inc. | | |
| 1.95% 07/15/31 | $ 33,000 | $ 26,422 |
| 2.70% 07/15/41 | 28,000 | 20,008 |
| Schlumberger Holdings Corp. | | |
| 3.90% 05/17/28 (h) | 17,000 | 15,879 |
| Sealed Air Corp. | | |
| 1.57% 10/15/26 (h) | 114,000 | 98,438 |
| Selective Insurance Group Inc. | | |
| 5.38% 03/01/49 | 4,000 | 3,410 |
| Sempra Energy | | |
| 3.80% 02/01/38 | 6,000 | 4,919 |
| 4.00% 02/01/48 | 8,000 | 6,290 |
| Sempra Energy (4.13% fixed rate until 01/01/27; 2.87% + 5 year CMT Rate thereafter) | | |
| 4.13% 04/01/52 (d) | 47,000 | 37,010 |
| Shell International Finance BV | | |
| 3.13% 11/07/49 | 18,000 | 12,722 |
| 3.75% 09/12/46 | 8,000 | 6,339 |
| Shire Acquisitions Investments Ireland DAC | | |
| 2.88% 09/23/23 | 3,000 | 2,948 |
| 3.20% 09/23/26 | 4,000 | 3,760 |
| Simon Property Group LP | | |
| 3.38% 06/15/27 | 9,000 | 8,400 |
| Sonoco Products Co. | | |
| 2.85% 02/01/32 | 31,000 | 25,169 |
| Southern California Edison Co. | | |
| 4.00% 04/01/47 | 30,000 | 23,555 |
| 4.20% 03/01/29 | 23,000 | 21,880 |
| Southern Company Gas Capital Corp. | | |
| 3.95% 10/01/46 | 11,000 | 8,280 |
| 4.40% 05/30/47 | 2,000 | 1,597 |
| Southwest Airlines Co. | | |
| 2.63% 02/10/30 | 30,000 | 24,827 |
| Southwestern Electric Power Co. | | |
| 2.75% 10/01/26 | 9,000 | 8,252 |
| Spectra Energy Partners LP | | |
| 3.38% 10/15/26 | 3,000 | 2,800 |
| 4.50% 03/15/45 | 2,000 | 1,645 |
| Stanley Black & Decker Inc. | | |
| 3.00% 05/15/32 | 40,000 | 33,767 |
| Starbucks Corp. | | |
| 4.00% 11/15/28 | 8,000 | 7,623 |
| Stryker Corp. | | |
| 1.95% 06/15/30 | 34,000 | 27,667 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Suncor Energy Inc. | | |
| 4.00% 11/15/47 | $ 3,000 | $ 2,281 |
| Sysco Corp. | | |
| 3.25% 07/15/27 | 9,000 | 8,329 |
| 5.95% 04/01/30 | 4,000 | 4,148 |
| 6.60% 04/01/50 | 3,000 | 3,268 |
| Take-Two Interactive Software Inc. | | |
| 3.70% 04/14/27 | 75,000 | 70,599 |
| 4.00% 04/14/32 | 15,000 | 13,269 |
| Tampa Electric Co. | | |
| 2.40% 03/15/31 | 34,000 | 27,537 |
| 3.45% 03/15/51 | 19,000 | 13,358 |
| 4.35% 05/15/44 | 20,000 | 16,424 |
| Tapestry Inc. | | |
| 4.13% 07/15/27 | 3,000 | 2,807 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | |
| 5.00% 01/15/28 | 85,000 | 81,185 |
| Target Corp. | | |
| 2.50% 04/15/26 | 9,000 | 8,431 |
| Teck Resources Ltd. | | |
| 5.40% 02/01/43 (d) | 4,000 | 3,590 |
| Telefonica Emisiones S.A. | | |
| 4.10% 03/08/27 (d) | 150,000 | 142,171 |
| Texas Instruments Inc. | | |
| 3.88% 03/15/39 (d) | 9,000 | 7,941 |
| The Allstate Corp. | | |
| 4.20% 12/15/46 | 25,000 | 20,690 |
| The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | | |
| 5.75% 08/15/53 (d) | 33,000 | 31,079 |
| The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | | |
| 4.63% 12/31/99 (d) | 57,000 | 48,612 |
| The Bank of Nova Scotia (6.57% fixed rate until 04/12/23; 2.65% + 3 month USD LIBOR thereafter) | | |
| 6.57% 12/31/99 (d) | 35,000 | 32,577 |
| The Boeing Co. | | |
| 2.20% 02/04/26 | 73,000 | 66,351 |
| 2.70% 02/01/27 | 208,000 | 187,822 |
| 2.95% 02/01/30 | 7,000 | 5,925 |
| 3.25% 03/01/28 | 8,000 | 7,161 |
| | Principal
Amount | Fair
Value |
| 3.55% 03/01/38 | $ 6,000 | $ 4,420 |
| 3.75% 02/01/50 (d) | 42,000 | 28,951 |
| 5.04% 05/01/27 | 52,000 | 51,457 |
| 5.15% 05/01/30 | 18,000 | 17,555 |
| 5.81% 05/01/50 | 14,000 | 13,026 |
| The Charles Schwab Corp. | | |
| 2.45% 03/03/27 | 45,000 | 41,129 |
| 2.90% 03/03/32 | 15,000 | 12,746 |
| 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) | 49,000 | 38,960 |
| The Cleveland Electric Illuminating Co. | | |
| 4.55% 11/15/30 (h) | 39,000 | 36,517 |
| The Coca-Cola Co. | | |
| 2.60% 06/01/50 | 14,000 | 9,410 |
| 2.75% 06/01/60 | 7,000 | 4,711 |
| The Dow Chemical Co. | | |
| 2.10% 11/15/30 | 25,000 | 20,101 |
| 3.60% 11/15/50 | 9,000 | 6,488 |
| 4.25% 10/01/34 | 8,000 | 7,190 |
| 5.55% 11/30/48 | 54,000 | 50,618 |
| The Estee Lauder Companies Inc. | | |
| 2.38% 12/01/29 (d) | 9,000 | 7,727 |
| The George Washington University | | |
| 4.13% 09/15/48 (d) | 15,000 | 12,550 |
| The Goldman Sachs Group Inc. | | |
| 3.85% 01/26/27 (d) | 399,000 | 379,904 |
| 4.25% 10/21/25 | 137,000 | 134,005 |
| 5.15% 05/22/45 (d) | 10,000 | 9,044 |
| The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | | |
| 1.54% 09/10/27 (d) | 31,000 | 26,781 |
| The Goldman Sachs Group Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) | | |
| 2.38% 07/21/32 (d) | 19,000 | 14,729 |
| The Goldman Sachs Group Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) | | |
| 2.91% 07/21/42 (d) | 15,000 | 10,227 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | | |
| 3.21% 04/22/42 (d) | $ 22,000 | $ 15,835 |
| The Goldman Sachs Group Inc. (3.44% fixed rate until 02/24/42; 1.63% + SOFR thereafter) | | |
| 3.44% 02/24/43 (d) | 37,000 | 27,265 |
| 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) | 11,000 | 10,008 |
| 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 | 6,561 |
| 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) | 22,000 | 20,491 |
| The Hartford Financial Services Group Inc. | | |
| 2.80% 08/19/29 | 74,000 | 63,291 |
| The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR | | |
| 6.73% 02/12/67 (d)(h) | 16,000 | 13,371 |
| The Home Depot Inc. | | |
| 2.70% 04/15/30 | 110,000 | 96,038 |
| 3.35% 04/15/50 | 13,000 | 9,687 |
| 3.50% 09/15/56 | 8,000 | 5,987 |
| 3.90% 12/06/28 - 06/15/47 | 16,000 | 14,457 |
| 4.50% 12/06/48 | 7,000 | 6,410 |
| 4.95% 09/15/52 | 10,000 | 9,662 |
| The Kroger Co. | | |
| 2.20% 05/01/30 | 10,000 | 8,092 |
| 4.65% 01/15/48 | 5,000 | 4,317 |
| The Northwestern Mutual Life Insurance Co. | | |
| 3.45% 03/30/51 (h) | 34,000 | 23,909 |
| The Progressive Corp. | | |
| 3.00% 03/15/32 | 57,000 | 49,505 |
| 3.70% 03/15/52 (d) | 15,000 | 11,540 |
| | Principal
Amount | Fair
Value |
| The Southern Co. | | |
| 3.25% 07/01/26 | $ 5,000 | $ 4,710 |
| 3.70% 04/30/30 | 42,000 | 37,942 |
| The Toronto-Dominion Bank | | |
| 3.20% 03/10/32 | 71,000 | 61,186 |
| 4.46% 06/08/32 | 35,000 | 33,272 |
| The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + 5 year Swap Rate thereafter) | | |
| 3.63% 09/15/31 (d) | 36,000 | 33,150 |
| The Travelers Companies Inc. | | |
| 2.55% 04/27/50 | 85,000 | 53,088 |
| The Walt Disney Co. | | |
| 2.65% 01/13/31 | 215,000 | 183,700 |
| 3.38% 11/15/26 | 2,000 | 1,891 |
| 3.60% 01/13/51 | 11,000 | 8,435 |
| 4.75% 11/15/46 | 4,000 | 3,660 |
| 6.65% 11/15/37 | 16,000 | 18,011 |
| The Williams Companies Inc. | | |
| 3.75% 06/15/27 | 2,000 | 1,885 |
| 4.85% 03/01/48 | 9,000 | 7,668 |
| 4.90% 01/15/45 | 16,000 | 13,608 |
| 5.30% 08/15/52 | 15,000 | 13,512 |
| 5.40% 03/04/44 | 3,000 | 2,737 |
| The Williams Cos. Inc. | | |
| 6.10% 10/15/52 | 15,000 | 16,155 |
| Thermo Fisher Scientific Inc. | | |
| 2.80% 10/15/41 | 17,000 | 12,528 |
| Time Warner Cable LLC | | |
| 6.55% 05/01/37 | 8,000 | 7,586 |
| T-Mobile USA Inc. | | |
| 3.75% 04/15/27 | 236,000 | 222,513 |
| 3.88% 04/15/30 | 28,000 | 25,416 |
| 4.50% 04/15/50 | 16,000 | 13,211 |
| TotalEnergies Capital International S.A. | | |
| 3.46% 02/19/29 (d) | 30,000 | 27,853 |
| Trane Technologies Luxembourg Finance S.A. | | |
| 3.55% 11/01/24 | 15,000 | 14,597 |
| 3.80% 03/21/29 | 15,000 | 13,826 |
| TransCanada PipeLines Ltd. | | |
| 4.25% 05/15/28 | 31,000 | 29,447 |
| 4.88% 01/15/26 | 8,000 | 7,960 |
| Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | | |
| 5.63% 05/20/75 (d) | 44,000 | 41,619 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Transcontinental Gas Pipe Line Company LLC | | |
| 4.00% 03/15/28 | $ 9,000 | $ 8,461 |
| Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | | |
| 4.80% 12/31/99 (d) | 65,000 | 58,623 |
| TWDC Enterprises 18 Corp. | | |
| 4.13% 06/01/44 | 4,000 | 3,456 |
| Tyco Electronics Group S.A. | | |
| 3.13% 08/15/27 | 9,000 | 8,303 |
| Tyson Foods Inc. | | |
| 4.00% 03/01/26 | 38,000 | 36,763 |
| UDR Inc. | | |
| 2.10% 08/01/32 | 16,000 | 11,883 |
| 3.00% 08/15/31 | 9,000 | 7,512 |
| Union Pacific Corp. | | |
| 3.55% 05/20/61 | 21,000 | 15,365 |
| 3.60% 09/15/37 | 6,000 | 5,085 |
| 3.80% 04/06/71 | 11,000 | 8,121 |
| 4.10% 09/15/67 | 9,000 | 7,093 |
| UnitedHealth Group Inc. | | |
| 2.00% 05/15/30 | 250,000 | 206,910 |
| 4.20% 05/15/32 | 25,000 | 23,762 |
| 4.45% 12/15/48 | 15,000 | 13,375 |
| 4.75% 07/15/45 - 05/15/52 | 85,000 | 78,992 |
| 6.05% 02/15/63 | 10,000 | 11,011 |
| Utah Acquisition Sub Inc. | | |
| 3.95% 06/15/26 | 5,000 | 4,673 |
| Ventas Realty LP | | |
| 3.25% 10/15/26 | 18,000 | 16,653 |
| Verizon Communications Inc. | | |
| 2.10% 03/22/28 | 256,000 | 222,077 |
| 2.36% 03/15/32 | 131,000 | 103,888 |
| 2.55% 03/21/31 | 187,000 | 153,901 |
| 3.00% 03/22/27 | 52,000 | 48,354 |
| 3.40% 03/22/41 | 19,000 | 14,308 |
| 3.55% 03/22/51 | 14,000 | 10,022 |
| 3.70% 03/22/61 | 29,000 | 20,327 |
| 4.40% 11/01/34 | 48,000 | 44,130 |
| 4.86% 08/21/46 | 21,000 | 19,022 |
| Viatris Inc. | | |
| 4.00% 06/22/50 | 10,000 | 6,195 |
| Virginia Electric & Power Co. | | |
| 4.00% 11/15/46 | 15,000 | 11,878 |
| Visa Inc. | | |
| 2.70% 04/15/40 | 12,000 | 9,089 |
| | Principal
Amount | Fair
Value |
| Vistra Operations Company LLC | | |
| 3.55% 07/15/24 (h) | $ 55,000 | $ 52,781 |
| Viterra Finance BV | | |
| 2.00% 04/21/26 (h) | 200,000 | 172,772 |
| Vodafone Group PLC | | |
| 5.25% 05/30/48 | 4,000 | 3,552 |
| Vontier Corp. | | |
| 2.40% 04/01/28 | 42,000 | 33,155 |
| 2.95% 04/01/31 | 39,000 | 28,359 |
| Vornado Realty LP | | |
| 2.15% 06/01/26 | 48,000 | 40,662 |
| 3.50% 01/15/25 | 10,000 | 9,395 |
| Vulcan Materials Co. | | |
| 3.90% 04/01/27 | 4,000 | 3,798 |
| Walgreens Boots Alliance Inc. | | |
| 4.10% 04/15/50 | 3,000 | 2,208 |
| Walmart Inc. | | |
| 1.80% 09/22/31 | 17,000 | 13,861 |
| 2.50% 09/22/41 | 17,000 | 12,415 |
| 2.65% 09/22/51 | 8,000 | 5,479 |
| Warnermedia Holdings Inc. | | |
| 5.05% 03/15/42 (h) | 22,000 | 16,918 |
| 5.14% 03/15/52 (h) | 10,000 | 7,343 |
| 5.39% 03/15/62 (h) | 10,000 | 7,326 |
| Waste Connections Inc. | | |
| 2.20% 01/15/32 (d) | 77,000 | 61,253 |
| 2.95% 01/15/52 | 37,000 | 24,632 |
| WEC Energy Group Inc. | | |
| 3.55% 06/15/25 | 9,000 | 8,608 |
| Wells Fargo & Co. | | |
| 4.15% 01/24/29 | 31,000 | 29,126 |
| 4.75% 12/07/46 (d) | 28,000 | 23,459 |
| Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | | |
| 2.39% 06/02/28 (d) | 108,000 | 95,247 |
| Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | | |
| 3.07% 04/30/41 (d) | 36,000 | 25,736 |
| Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | | |
| 3.20% 06/17/27 (d) | 253,000 | 234,865 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | | |
| 5.88% 12/31/99 (d) | $ 71,000 | $ 68,993 |
| Westlake Corp. | | |
| 2.88% 08/15/41 | 11,000 | 7,223 |
| 3.13% 08/15/51 | 11,000 | 6,834 |
| 3.38% 08/15/61 | 10,000 | 5,902 |
| Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | | |
| 2.89% 02/04/30 (d) | 24,000 | 22,003 |
| Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | | |
| 4.11% 07/24/34 (d) | 15,000 | 12,848 |
| Weyerhaeuser Co. | | |
| 4.00% 03/09/52 | 25,000 | 18,950 |
| Willis North America Inc. | | |
| 3.88% 09/15/49 | 14,000 | 9,958 |
| Workday Inc. | | |
| 3.50% 04/01/27 | 144,000 | 134,686 |
| 3.70% 04/01/29 | 55,000 | 50,451 |
| WPP Finance 2010 | | |
| 3.75% 09/19/24 | 18,000 | 17,434 |
| Xcel Energy Inc. | | |
| 3.40% 06/01/30 | 16,000 | 14,271 |
| Yamana Gold Inc. | | |
| 2.63% 08/15/31 | 34,000 | 25,459 |
| Zoetis Inc. | | |
| 3.00% 09/12/27 | 5,000 | 4,623 |
| 3.90% 08/20/28 (d) | 9,000 | 8,556 |
| 5.60% 11/16/32 | 60,000 | 62,254 |
| | | 24,311,582 |
| Non-Agency Collateralized Mortgage Obligations - 2.0% |
| BANK 2017-BNK7 | | |
| 3.18% 09/15/60 | 617,000 | 561,157 |
| BANK 2018-BNK15 | | |
| 4.41% 11/15/61 (d) | 320,000 | 306,498 |
| BPR Trust 2022-OANA 1.90% + 1 month Term SOFR | | |
| 6.23% 04/15/37 (d)(h) | 117,967 | 116,163 |
| Cantor Commercial Real Estate Lending 2019-CF3 | | |
| 3.01% 01/15/53 | 139,000 | 120,029 |
| | Principal
Amount | Fair
Value |
| CD 2019-CD8 Mortgage Trust | | |
| 2.91% 08/15/57 | $ 246,000 | $ 212,526 |
| Citigroup Commercial Mortgage Trust 2015-GC33 | | |
| 3.78% 09/10/58 | 100,000 | 95,347 |
| Citigroup Commercial Mortgage Trust 2016-P6 | | |
| 3.72% 12/10/49 (d) | 119,583 | 112,302 |
| 4.03% 12/10/49 (d) | 78,331 | 71,607 |
| COMM 2012-CCRE3 Mortgage Trust | | |
| 3.92% 10/15/45 (h) | 100,000 | 88,827 |
| COMM 2014-CR14 Mortgage Trust | | |
| 4.53% 02/10/47 (d) | 55,000 | 53,584 |
| GS Mortgage Securities Trust 2015-GS1 | | |
| 4.42% 11/10/48 (d) | 117,000 | 93,889 |
| GS Mortgage Securities Trust 2017-GS5 | | |
| 3.67% 03/10/50 (d) | 240,062 | 224,181 |
| GS Mortgage Securities Trust 2018-GS9 | | |
| 4.14% 03/10/51 (d) | 73,000 | 66,945 |
| GS Mortgage Securities Trust 2019-GC42 | | |
| 2.75% 09/01/52 | 419,000 | 358,573 |
| GS Mortgage Securities Trust 2019-GSA1 | | |
| 3.05% 11/10/52 (d) | 493,000 | 428,710 |
| JPMBB Commercial Mortgage Securities Trust 2013-C12 | | |
| 4.05% 07/15/45 (d) | 25,000 | 24,708 |
| JPMBB Commercial Mortgage Securities Trust 2015-C32 | | |
| 4.65% 11/15/48 (d) | 71,000 | 51,473 |
| MASTR Alternative Loan Trust 2003-5 | | |
| 5.00% 08/25/18 (f) | 226 | 28 |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | | |
| 0.85% 03/15/48 (d)(f) | 706,841 | 9,431 |
| Wells Fargo Commercial Mortgage Trust 2014-LC16 | | |
| 4.32% 08/15/50 | 129,943 | 109,621 |
| Wells Fargo Commercial Mortgage Trust 2015-C26 | | |
| 1.20% 02/15/48 (d)(f) | 752,804 | 14,868 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| WFRBS Commercial Mortgage Trust 2013-C17 | | |
| 4.26% 12/15/46 | $ 55,000 | $ 53,977 |
| WFRBS Commercial Mortgage Trust 2014-LC14 | | |
| 4.35% 03/15/47 (d) | 123,000 | 119,055 |
| | | 3,293,499 |
| Municipal Bonds and Notes - 0.1% |
| American Municipal Power Inc. | | |
| 6.27% 02/15/50 | 25,000 | 26,429 |
| Board of Regents of the University of Texas System | | |
| 3.35% 08/15/47 | 25,000 | 19,226 |
| Port Authority of New York & New Jersey | | |
| 4.46% 10/01/62 | 70,000 | 60,742 |
| State of California | | |
| 4.60% 04/01/38 | 50,000 | 47,068 |
| State of Illinois | | |
| 5.10% 06/01/33 | 25,000 | 23,994 |
| | | 177,459 |
Total Bonds and Notes
(Cost $73,193,127) | | 67,739,371 |
| | Number
of Shares | |
| Exchange Traded & Mutual Funds - 25.7% |
State Street Global All Cap Equity ex-U.S. Index Portfolio
(Cost $42,251,968) | 425,386 | 42,695,979 |
Total Investments in Securities
(Cost $157,596,442) | | 164,130,114 |
| | Number
of Shares | Fair
Value |
| Short-Term Investments - 10.6% |
| Dreyfus Treasury Obligations Cash Management Fund - Institutional Shares 3.56% | 116,548 | $ 116,548 |
| State Street Institutional Treasury Money Market Fund - Premier Class 3.79% (j)(k) | 8,599,525 | 8,599,525 |
| State Street Institutional Treasury Plus Fund - Premier Class 4.14% (j)(k) | 116,548 | 116,548 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares 4.16% (j)(k) | 8,748,612 | 8,748,612 |
Total Short-Term Investments
(Cost $17,581,233) | | 17,581,233 |
Total Investments
(Cost $175,177,675) | | 181,711,347 |
| Liabilities in Excess of Other Assets, net - (9.5)% | | (15,705,403) |
| NET ASSETS - 100.0% | | $ 166,005,944 |
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 | $2,515 | 5.00%/
Quarterly | 12/20/27 | $14,692 | $(99,785) | $114,477 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| The Fund had the following long futures contracts open at December 31, 2022: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| U.S. Long Bond Futures | March 2023 | 15 | $ 1,908,619 | $ 1,880,156 | $ (28,463) |
| U.S. Ultra Long-Term Treasury Bond Futures | March 2023 | 7 | 957,739 | 940,187 | (17,552) |
| 2 Yr. U.S. Treasury Notes Futures | March 2023 | 29 | 5,938,696 | 5,947,266 | 8,570 |
| S&P 500 E-mini Index Futures | March 2023 | 2 | 399,683 | 386,100 | (13,583) |
| | | | | | $ (51,028) |
| The Fund had the following short futures contracts open at December 31, 2022: |
| Description | Expiration
date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | March 2023 | 26 | $ (2,945,009) | $ (2,919,719) | $ 25,290 |
| 10 Yr. U.S. Treasury Ultra Futures | March 2023 | 4 | (479,379) | (473,125) | 6,254 |
| 5 Yr. U.S. Treasury Notes Futures | March 2023 | 24 | (2,592,885) | (2,590,112) | 2,773 |
| | | | | | $ 34,317 |
| During the fiscal year ended December 31, 2022, average notional values related to derivative contracts were as follows: |
| | Long
Futures
Contracts | Short
Futures
Contracts | Credit
Default
Swap
Contracts |
| Average Notional Value | $10,732,477 | $6,142,468 | $2,285,854 |
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, 2022, 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, 2022. 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. |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| (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, 2022, these securities amounted to $1,876,265 or 1.13% 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) | 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. |
| (k) | Coupon amount represents effective yield. |
| † | Percentages are based on net assets as of December 31, 2022. |
| * | Less than 0.05%. |
| 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 |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2022:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Domestic Equity | $ 52,395,423 | | $ — | | $ — | | $ 52,395,423 |
| Foreign Equity | 1,299,341 | | — | | — | | 1,299,341 |
| U.S. Treasuries | — | | 18,067,640 | | — | | 18,067,640 |
| Agency Mortgage Backed | — | | 21,471,678 | | — | | 21,471,678 |
| Agency Collateralized Mortgage Obligations | — | | 333,742 | | — | | 333,742 |
| Asset Backed | — | | 83,771 | | — | | 83,771 |
| Corporate Notes | — | | 24,311,582 | | — | | 24,311,582 |
| Non-Agency Collateralized Mortgage Obligations | — | | 3,293,499 | | — | | 3,293,499 |
| Municipal Bonds and Notes | — | | 177,459 | | — | | 177,459 |
| Exchange Traded & Mutual Funds | 42,695,979 | | — | | — | | 42,695,979 |
| Short-Term Investments | 17,581,233 | | — | | — | | 17,581,233 |
| Total Investments in Securities | $ 113,971,976 | | $ 67,739,371 | | $ — | | $ 181,711,347 |
| Other Financial Instruments | | | | | | | |
| Credit Default Swap Contracts - Unrealized Appreciation | $ — | | $ 114,477 | | $ — | | $ 114,477 |
| Long Futures Contracts - Unrealized Appreciation | 8,570 | | — | | — | | 8,570 |
| Long Futures Contracts - Unrealized Depreciation | (59,598) | | — | | — | | (59,598) |
| Short Futures Contracts - Unrealized Appreciation | 34,317 | | — | | — | | 34,317 |
| Total Other Financial Instruments | $ (16,711) | | $ 114,477 | | $ — | | $ 97,766 |
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2022 (unaudited):
| Industry | Domestic | Foreign | Total |
| Exchange Traded Funds | 23.50% | 0.00% | 23.50% |
| Systems Software | 1.87% | 0.00% | 1.87% |
| Technology Hardware, Storage & Peripherals | 1.85% | 0.01% | 1.86% |
| Pharmaceuticals | 1.43% | 0.00% | 1.43% |
| Semiconductors | 1.23% | 0.04% | 1.27% |
| Interactive Media & Services | 1.17% | 0.00% | 1.17% |
| Data Processing & Outsourced Services | 0.94% | 0.00% | 0.94% |
| Diversified Banks | 0.87% | 0.00% | 0.87% |
| Healthcare Equipment | 0.70% | 0.10% | 0.80% |
| Integrated Oil & Gas | 0.75% | 0.00% | 0.75% |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| Industry | Domestic | Foreign | Total |
| Biotechnology | 0.74% | 0.00% | 0.74% |
| Internet & Direct Marketing Retail | 0.72% | 0.00% | 0.72% |
| Managed Healthcare | 0.69% | 0.00% | 0.69% |
| Electric Utilities | 0.62% | 0.00% | 0.62% |
| Application Software | 0.60% | 0.00% | 0.60% |
| Life Sciences Tools & Services | 0.58% | 0.00% | 0.58% |
| Aerospace & Defense | 0.56% | 0.00% | 0.56% |
| Soft Drinks | 0.51% | 0.00% | 0.51% |
| Multi-Sector Holdings | 0.51% | 0.00% | 0.51% |
| Household Products | 0.47% | 0.00% | 0.47% |
| Oil & Gas Exploration & Production | 0.41% | 0.00% | 0.41% |
| Home Improvement Retail | 0.41% | 0.00% | 0.41% |
| Automobile Manufacturers | 0.39% | 0.00% | 0.39% |
| Restaurants | 0.38% | 0.00% | 0.38% |
| Specialized REITs | 0.38% | 0.00% | 0.38% |
| Hypermarkets & Super Centers | 0.37% | 0.00% | 0.37% |
| IT Consulting & Other Services | 0.19% | 0.15% | 0.34% |
| Financial Exchanges & Data | 0.34% | 0.00% | 0.34% |
| Investment Banking & Brokerage | 0.34% | 0.00% | 0.34% |
| Packaged Foods & Meats | 0.31% | 0.00% | 0.31% |
| Movies & Entertainment | 0.30% | 0.00% | 0.30% |
| Property & Casualty Insurance | 0.18% | 0.10% | 0.28% |
| Industrial Conglomerates | 0.28% | 0.00% | 0.28% |
| Regional Banks | 0.27% | 0.00% | 0.27% |
| Integrated Telecommunication Services | 0.27% | 0.00% | 0.27% |
| Multi-Utilities | 0.27% | 0.00% | 0.27% |
| Communications Equipment | 0.26% | 0.00% | 0.26% |
| Industrial Machinery | 0.24% | 0.01% | 0.25% |
| Healthcare Services | 0.25% | 0.00% | 0.25% |
| Semiconductor Equipment | 0.23% | 0.02% | 0.25% |
| Asset Management & Custody Banks | 0.24% | 0.00% | 0.24% |
| Railroads | 0.23% | 0.00% | 0.23% |
| Tobacco | 0.22% | 0.00% | 0.22% |
| Specialty Chemicals | 0.21% | 0.00% | 0.21% |
| Industrial Gases | 0.06% | 0.15% | 0.21% |
| Insurance Brokers | 0.18% | 0.02% | 0.20% |
| Construction Machinery & Heavy Trucks | 0.20% | 0.00% | 0.20% |
| Air Freight & Logistics | 0.18% | 0.00% | 0.18% |
| Cable & Satellite | 0.18% | 0.00% | 0.18% |
| Electrical Components & Equipment | 0.17% | 0.00% | 0.17% |
| Hotels, Resorts & Cruise Lines | 0.17% | 0.00% | 0.17% |
| Consumer Finance | 0.15% | 0.00% | 0.15% |
| Life & Health Insurance | 0.15% | 0.00% | 0.15% |
| Oil & Gas Refining & Marketing | 0.14% | 0.00% | 0.14% |
| General Merchandise Stores | 0.14% | 0.00% | 0.14% |
| Footwear | 0.14% | 0.00% | 0.14% |
| Building Products | 0.09% | 0.04% | 0.13% |
| Oil & Gas Equipment & Services | 0.13% | 0.00% | 0.13% |
| Apparel Retail | 0.12% | 0.00% | 0.12% |
| Oil & Gas Storage & Transportation | 0.11% | 0.00% | 0.11% |
| Automotive Retail | 0.11% | 0.00% | 0.11% |
| Agricultural & Farm Machinery | 0.11% | 0.00% | 0.11% |
| Residential REITs | 0.11% | 0.00% | 0.11% |
| Research & Consulting Services | 0.11% | 0.00% | 0.11% |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| Industry | Domestic | Foreign | Total |
| Retail REITs | 0.10% | 0.00% | 0.10% |
| Healthcare Distributors | 0.10% | 0.00% | 0.10% |
| Industrial REITs | 0.10% | 0.00% | 0.10% |
| Interactive Home Entertainment | 0.09% | 0.00% | 0.09% |
| Environmental & Facilities Services | 0.09% | 0.00% | 0.09% |
| Fertilizers & Agricultural Chemicals | 0.08% | 0.00% | 0.08% |
| Wireless Telecommunication Services | 0.08% | 0.00% | 0.08% |
| Trading Companies & Distributors | 0.07% | 0.00% | 0.07% |
| Multi-Line Insurance | 0.07% | 0.00% | 0.07% |
| Electronic Equipment & Instruments | 0.07% | 0.00% | 0.07% |
| Home Building | 0.07% | 0.00% | 0.07% |
| Paper Packaging | 0.05% | 0.02% | 0.07% |
| Electronic Components | 0.06% | 0.00% | 0.06% |
| Diversified Support Services | 0.06% | 0.00% | 0.06% |
| Airlines | 0.06% | 0.00% | 0.06% |
| Health Care REITs | 0.06% | 0.00% | 0.06% |
| Healthcare Facilities | 0.05% | 0.00% | 0.05% |
| Specialty Stores | 0.05% | 0.00% | 0.05% |
| Personal Products | 0.05% | 0.00% | 0.05% |
| Commodity Chemicals | 0.05% | 0.00% | 0.05% |
| Copper | 0.05% | 0.00% | 0.05% |
| Steel | 0.05% | 0.00% | 0.05% |
| Agricultural Products | 0.05% | 0.00% | 0.05% |
| Distributors | 0.05% | 0.00% | 0.05% |
| Distillers & Vintners | 0.04% | 0.00% | 0.04% |
| Casinos & Gaming | 0.04% | 0.00% | 0.04% |
| Construction Materials | 0.04% | 0.00% | 0.04% |
| Trucking | 0.04% | 0.00% | 0.04% |
| Gold | 0.04% | 0.00% | 0.04% |
| Food Distributors | 0.03% | 0.00% | 0.03% |
| Electronic Manufacturing Services | 0.00% | 0.03% | 0.03% |
| Healthcare Supplies | 0.03% | 0.00% | 0.03% |
| Auto Parts & Equipment | 0.01% | 0.02% | 0.03% |
| Office REITs | 0.03% | 0.00% | 0.03% |
| Internet Services & Infrastructure | 0.03% | 0.00% | 0.03% |
| Advertising | 0.03% | 0.00% | 0.03% |
| Food Retail | 0.03% | 0.00% | 0.03% |
| Water Utilities | 0.03% | 0.00% | 0.03% |
| Drug Retail | 0.02% | 0.00% | 0.02% |
| Real Estate Services | 0.02% | 0.00% | 0.02% |
| Technology Distributors | 0.02% | 0.00% | 0.02% |
| Apparel, Accessories & Luxury Goods | 0.02% | 0.00% | 0.02% |
| Broadcasting | 0.02% | 0.00% | 0.02% |
| Construction & Engineering | 0.02% | 0.00% | 0.02% |
| Independent Power Producers & Energy Traders | 0.02% | 0.00% | 0.02% |
| Computer & Electronics Retail | 0.02% | 0.00% | 0.02% |
| Gas Utilities | 0.02% | 0.00% | 0.02% |
| Metal & Glass Containers | 0.01% | 0.00% | 0.01% |
| Reinsurance | 0.00% | 0.01% | 0.01% |
| Consumer Electronics | 0.00% | 0.01% | 0.01% |
| Hotel & Resort REITs | 0.01% | 0.00% | 0.01% |
| Brewers | 0.01% | 0.00% | 0.01% |
| Publishing | 0.01% | 0.00% | 0.01% |
| Household Appliances | 0.01% | 0.00% | 0.01% |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Diversified Fund
Schedule of Investments, continued — December 31, 2022
| Industry | Domestic | Foreign | Total |
| Human Resource & Employment Services | 0.01% | 0.00% | 0.01% |
| Leisure Products | 0.01% | 0.00% | 0.01% |
| Home Furnishings | 0.00% | 0.00% | 0.00%*** |
| Housewares & Specialties | 0.00% | 0.00% | 0.00%*** |
| Alternative Carriers | 0.00% | 0.00% | 0.00%*** |
| | | | 53.04% |
| Sector | Percentage (based
on Fair Value) |
| Corporate Notes | | | 13.38% |
| Agency Mortgage Backed | | | 11.82% |
| U.S. Treasuries | | | 9.94% |
| Non-Agency Collateralized Mortgage Obligations | | | 1.81% |
| Agency Collateralized Mortgage Obligations | | | 0.18% |
| Municipal Bonds and Notes | | | 0.10% |
| Asset Backed | | | 0.05% |
| | | | 37.28% |
| Sector | Percentage (based
on Fair Value) |
| Short-Term Investments | | | 9.68% |
| | | | 9.68% |
| | | | 100.00% |
| | Number
of Shares
Held at
12/31/21 | Value at
12/31/21 | | Cost of
Purchases | | Proceeds
from
Shares
Sold | | Realized
Gain
(Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/22 | Value at
12/31/22 | | Dividend
Income |
| State Street Corp. | 712 | $ 66,216 | | $ 22,012 | | $ 31,554 | | $ (2,484) | | $ (8,269) | 592 | $ 45,921 | | $ 1,574 |
| State Street Global All Cap Equity ex-U.S. Index Portfolio | 439,651 | 54,037,441 | | 9,120,590 | | 11,244,999 | | 175,662 | | (9,392,715) | 425,386 | 42,695,979 | | 980,590 |
| State Street Institutional Treasury Money Market Fund - Premier Class | 5,372,404 | 5,372,404 | | 31,371,375 | | 28,144,254 | | — | | — | 8,599,525 | 8,599,525 | | 84,281 |
| State Street Institutional Treasury Plus Fund - Premier Class | 2,309,897 | 2,309,897 | | 7,909,544 | | 10,102,893 | | — | | — | 116,548 | 116,548 | | 50,978 |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 5,658,078 | 5,658,078 | | 57,068,804 | | 53,978,270 | | — | | — | 8,748,612 | 8,748,612 | | 92,603 |
| TOTAL | | $67,444,036 | | $105,492,325 | | $103,501,970 | | $173,178 | | $(9,400,984) | | $60,206,585 | | $1,210,026 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Tax-Exempt Income Fund
Management's Discussion of Fund Performance — December 31, 2022 (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, 2022 (the “Reporting Period”), the total return for the Fund was -8.44% and the return for the Index was -8.53%. 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 un-managed; therefore, Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
It’s not an understatement to say that 2022 will be recorded in the record books for all the wrong reasons for bondholders, as we experienced a decline in new issuance, a rise in geopolitics, concerns about inflation, tight labor markets, and the U.S. dollar’s surge. These factors led the Federal Reserve Board to adopt a much more hawkish stance as it embarked on an aggressive tightening cycle. The tax-exempt market experienced both liquidity pressures (which has persisted throughout the year) and uncommon market volatility creating a need to remain nimble in managing the fund. The tax-exempt market started the year very rich to treasuries but as we moved into the spring, tax-exempt municipals cheapened to historical levels driven by liquidity and market volatility pressure. As we closed out the year the tax-exempt market yields have returned to being rich compared to Treasuries.
During the past year, performance of the Fund was influenced by its defensive credit profile as well as curve positioning. We have shortened the overall portfolio duration in response to the Federal Reserve’s continued path toward higher rates. We have positioned the Fund for a narrowing between short and long-term yields using a barbell approach. An overweight in the front-end of the yield curve helps to minimize negative impact of rising rates. An overweight in long-end of the yield curve is used to maximum tax-exempt income. During 2022 yields increased across the curve providing the fund with the opportunity to increase the Fund’s book yield. We have also significantly increased the overall portfolio quality as we remain defensive headed into the new year.
We remain focused on managing the Fund’s credit risk while maximizing tax-exempt income. The increased liquidity pressures and market volatility experienced during the past year led us to be more defensive in the Fund’s composition. We believe the Fund is well positioned for the current market conditions. Tax-exempt ratios remain at multi-year tights. Flows out of the asset class were at record levels during 2022.
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.
| 56 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Performance Summary — December 31, 2022 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $1,041,290 (in thousands) as of December 31, 2022 (a)(b) |
| Quality Ratings |
| as of December 31, 2022 as a % of Fair Value (a)(b) |
| Moody’s / S&P / Rating* | | Percentage of
Fair Value |
| Aaa / AAA | | 12.64% |
| Aa / AA | | 52.18% |
| A / A | | 26.59% |
| Baa / BBB | | 5.50% |
| NR / Other | | 3.09% |
| | | 100.00% |
| Average Annual Total Return for the years ended December 31, 2022 |
| (Inception date 1/1/80) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Tax-Exempt Income Fund | (8.44)% | | 1.02% | | 1.86% | | $12,028 |
| Bloomberg U.S. Municipal Bond Index | (8.53)% | | 1.25% | | 2.13% | | $12,348 |
|
| (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. |
| * | 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 Tax-Exempt Income Fund | 57 |
Elfun Tax-Exempt Income Fund
Performance Summary, continued — December 31, 2022 (Unaudited)
Change in Value of a $10,000 Investment
Yearly periods ended December 31
| 58 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Understanding Your Fund’s Expenses — December 31, 2022 (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, 2022.
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, 2022 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2022 | $1,002.40 | | $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, 2022 - December 31, 2022), 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 Tax-Exempt Income Fund | 59 |
Elfun Tax-Exempt Income Fund
Schedule of Investments — December 31, 2022
| | Principal
Amount | Fair
Value |
| Municipal Bonds and Notes - 97.9% † |
| Alaska - 0.1% |
| Municipality of Anchorage AK Solid Waste Services Revenue |
| 5.00% 11/01/35 | $ 1,230,000 | $ 1,401,984 |
| Arizona - 1.9% |
| Arizona State University Revenue |
| 5.00% 07/01/41 | 1,000,000 | 1,031,476 |
| City of Mesa AZ Utility System Revenue |
| 5.00% 07/01/43 | 1,500,000 | 1,616,283 |
| City of Phoenix Civic Improvement Corp. Revenue |
| 5.00% 07/01/42 | 1,665,000 | 1,697,773 |
| City of Phoenix Civic Improvement Corp. Revenue (NPFG Insured) |
| 5.50% 07/01/23 - 07/01/24 | 7,260,000 | 7,441,973 |
| Maricopa County Industrial Development Authority Revenue |
| 4.00% 01/01/41 | 3,000,000 | 2,883,799 |
| The University of Arizona Revenue |
| 5.00% 06/01/46 | 5,000,000 | 5,166,897 |
| | | 19,838,201 |
| Arkansas - 0.4% |
| University of Arkansas Revenue |
| 5.00% 11/01/46 - 11/01/47 | 3,580,000 | 3,749,444 |
| California - 8.9% |
| California Health Facilities Financing Authority Revenue |
| 5.00% 11/15/39 - 11/15/49 | 6,315,000 | 6,379,735 |
| California State Public Works Board Revenue |
| 5.25% 09/01/29 | 10,160,000 | 10,331,227 |
| California State University Revenue |
| 4.00% 11/01/45 | 5,900,000 | 5,771,048 |
| City of Los Angeles CA Wastewater System Revenue |
| 5.00% 06/01/48 | 10,000,000 | 10,635,480 |
| City of Los Angeles Department of Airports Revenue |
| 5.00% 05/15/36 | 205,000 | 215,162 |
| 5.50% 05/15/36 | 1,000,000 | 1,112,066 |
| Fresno Unified School District GO, |
| 4.00% 08/01/47 (a) | 5,000,000 | 5,103,212 |
| Los Angeles Department of Water & Power Revenue |
| 5.00% 07/01/48 | 5,500,000 | 5,823,705 |
| Mount San Antonio Community College District GO, |
| 4.00% 08/01/49 | 3,000,000 | 2,905,943 |
| San Francisco Bay Area Rapid Transit District GO, |
| 3.00% 08/01/37 | 2,440,000 | 2,158,946 |
| San Francisco City & County Airport Comm-San Francisco International Airport Revenue |
| 5.00% 05/01/49 | 7,000,000 | 7,384,711 |
| San Francisco Unified School District GO, |
| 4.00% 06/15/31 | 1,115,000 | 1,183,485 |
| State of California GO, |
| 4.00% 04/01/49 | 700,000 | 673,476 |
| 5.00% 02/01/31 - 08/01/46 | 14,605,000 | 15,322,499 |
| 5.00% 12/01/43 (a) | 450,000 | 458,760 |
| | Principal
Amount | Fair
Value |
| State of California Department of Water Resources Revenue |
| 5.00% 12/01/29 (a) | $ 8,120,000 | $ 8,496,344 |
| University of California Revenue |
| 5.00% 05/15/38 - 05/15/48 | 9,000,000 | 9,301,743 |
| | | 93,257,542 |
| Colorado - 2.0% |
| City & County of Denver Co. Airport System Revenue |
| 5.00% 11/15/28 | 500,000 | 530,831 |
| City & County of Denver Co. Dedicated Excise Tax Revenue |
| 4.00% 08/01/46 | 2,485,000 | 2,381,635 |
| City of Colorado Springs Co. Utilities System Revenue |
| 5.00% 11/15/42 - 11/15/47 | 3,000,000 | 3,191,467 |
| Colorado Health Facilities Authority Revenue |
| 5.00% 06/01/47 (a) | 1,750,000 | 1,908,672 |
| Regional Transportation District Revenue |
| 4.25% 11/01/36 | 3,405,000 | 3,684,475 |
| 5.00% 11/01/29 | 7,925,000 | 9,041,955 |
| | | 20,739,035 |
| Connecticut - 4.4% |
| City of Norwalk GO, |
| 5.00% 08/15/36 | 1,000,000 | 1,129,055 |
| Connecticut State Health & Educational Facilities Authority Revenue |
| 1.10% 07/01/48 | 1,000,000 | 997,292 |
| 5.00% 07/01/46 | 6,500,000 | 6,608,153 |
| South Central Connecticut Regional Water Authority Revenue |
| 5.00% 08/01/27 - 08/01/28 (a) | 2,195,000 | 2,221,169 |
| State of Connecticut GO, |
| 4.00% 08/01/33 | 1,000,000 | 1,018,398 |
| 5.00% 01/15/26 - 08/15/32 | 1,700,000 | 1,761,082 |
| State of Connecticut Special Tax Revenue |
| 5.00% 10/01/27 - 10/01/36 | 23,325,000 | 23,946,758 |
| State of Connecticut Clean Water Fund - State Revolving Fund Revenue |
| 5.00% 05/01/37 | 7,000,000 | 7,507,373 |
| State of Connecticut Special Tax Revenue |
| 5.00% 07/01/27 | 500,000 | 549,241 |
| | | 45,738,521 |
| Delaware - 1.3% |
| Delaware Transportation Authority Revenue |
| 3.00% 07/01/28 | 2,000,000 | 2,004,332 |
| 5.00% 09/01/31 - 06/01/55 | 8,930,000 | 9,294,011 |
| State of Delaware GO, |
| 3.00% 02/01/33 | 2,760,000 | 2,738,203 |
| | | 14,036,546 |
| District of Columbia - 4.2% |
| District of Columbia GO, |
| 4.00% 06/01/35 - 10/15/44 | 10,485,000 | 10,448,915 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 60 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 5.00% 06/01/38 | $ 3,000,000 | $ 3,056,671 |
| District of Columbia Revenue |
| 4.00% 05/01/45 | 1,500,000 | 1,448,443 |
| 5.00% 04/01/42 (a) | 6,250,000 | 6,835,958 |
| District of Columbia Water & Sewer Authority Revenue |
| 4.00% 10/01/38 | 2,185,000 | 2,187,592 |
| 5.00% 10/01/47 | 2,000,000 | 2,160,492 |
| Metropolitan Washington Airports Authority Aviation Revenue |
| 5.00% 10/01/25 - 10/01/47 | 2,130,000 | 2,174,077 |
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue |
| 5.00% 10/01/44 | 5,000,000 | 5,223,313 |
| Washington Convention & Sports Authority Revenue |
| 5.00% 10/01/28 - 10/01/29 | 710,000 | 800,454 |
| Washington Convention & Sports Authority Tax Allocation Revenue., |
| 5.00% 10/01/29 | 750,000 | 850,113 |
| Washington Metropolitan Area Transit Authority Revenue |
| 5.00% 07/01/34 - 07/01/43 | 8,375,000 | 8,845,108 |
| | | 44,031,136 |
| Florida - 2.7% |
| Broward County FL Water & Sewer Utility Revenue (AGM Insured) |
| 4.00% 10/01/44 | 1,300,000 | 1,228,168 |
| City of Fort Lauderdale FL Water & Sewer Revenue |
| 4.00% 09/01/41 | 1,000,000 | 1,000,730 |
| City of Lakeland FL Department of Electric Utilities Revenue (AGM Insured) |
| 5.25% 10/01/29 | 825,000 | 960,368 |
| County of Broward FL Port Facilities Revenue |
| 4.00% 09/01/38 | 1,000,000 | 974,324 |
| 5.00% 09/01/26 | 500,000 | 531,278 |
| County of Hillsborough FL Utility Revenue |
| 4.00% 08/01/31 | 3,215,000 | 3,428,758 |
| County of Miami-Dade Revenue |
| 5.00% 04/01/42 | 1,000,000 | 1,093,473 |
| County of Miami-Dade FL Aviation Revenue |
| 5.00% 10/01/36 | 2,000,000 | 2,006,986 |
| County of Miami-Dade Seaport Department Revenue |
| 4.00% 10/01/40 | 3,000,000 | 2,820,454 |
| County of Miami-Dade Water & Sewer System Revenue |
| 4.00% 10/01/37 | 3,000,000 | 2,963,941 |
| 5.00% 10/01/43 | 5,000,000 | 5,217,957 |
| Martin County Health Facilities Authority Revenue |
| 4.00% 01/01/46 | 5,000,000 | 4,647,881 |
| State of Florida GO, |
| 4.00% 07/01/33 | 335,000 | 346,208 |
| 5.00% 06/01/26 | 520,000 | 561,278 |
| | | 27,781,804 |
| | Principal
Amount | Fair
Value |
| Georgia - 5.3% |
| City of Atlanta GA Airport Passenger Facility Charge Revenue |
| 5.00% 01/01/34 | $ 3,500,000 | $ 3,561,323 |
| City of Atlanta GA Department of Aviation Revenue |
| 5.00% 07/01/35 | 1,000,000 | 1,079,719 |
| City of Atlanta GA Water & Wastewater Revenue |
| 4.00% 11/01/38 | 1,500,000 | 1,494,874 |
| 5.00% 11/01/28 - 11/01/41 | 6,000,000 | 6,350,015 |
| 5.25% 11/01/30 (a) | 5,690,000 | 5,799,979 |
| City of Atlanta GA Water & Wastewater Revenue (AGM Insured) |
| 5.75% 11/01/30 | 4,500,000 | 5,455,584 |
| Development Authority of Gwinnett County Revenue |
| 5.00% 07/01/37 - 07/01/40 | 9,325,000 | 9,780,294 |
| Georgia Ports Authority Revenue |
| 5.00% 07/01/42 | 1,000,000 | 1,115,047 |
| Municipal Electric Authority of Georgia Revenue |
| 5.00% 01/01/35 | 5,500,000 | 5,606,613 |
| Private Colleges & Universities Authority Revenue |
| 4.00% 10/01/38 | 1,500,000 | 1,502,134 |
| State of Georgia GO, |
| 4.00% 07/01/36 - 07/01/38 | 13,795,000 | 14,182,448 |
| | | 55,928,030 |
| Hawaii - 0.5% |
| State of Hawaii GO, |
| 5.00% 01/01/36 | 4,850,000 | 5,339,702 |
| Illinois - 3.4% |
| Chicago O'Hare International Airport Revenue |
| 5.00% 01/01/38 - 01/01/48 | 9,605,000 | 9,816,947 |
| 5.25% 01/01/42 | 8,000,000 | 8,257,990 |
| Cook County Community College District No. 508 GO, |
| 5.13% 12/01/38 | 1,000,000 | 1,000,593 |
| Cook County High School District No 202 Evanston Township GO, |
| 5.00% 12/01/29 | 1,190,000 | 1,257,276 |
| Illinois State Toll Highway Authority Revenue |
| 5.00% 01/01/46 | 500,000 | 528,555 |
| Metropolitan Water Reclamation District of Greater Chicago GO, |
| 5.00% 12/01/35 | 975,000 | 1,033,977 |
| State of Illinois GO, |
| 4.00% 02/01/30 | 1,500,000 | 1,512,319 |
| 5.00% 03/01/25 - 10/01/30 | 10,900,000 | 11,199,083 |
| State of Illinois Sales Tax Revenue |
| 5.00% 06/15/28 | 500,000 | 529,471 |
| | | 35,136,211 |
| Indiana - 0.6% |
| Indianapolis Local Public Improvement Bond Bank Revenue |
| 4.00% 02/01/44 | 6,500,000 | 6,312,676 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Tax-Exempt Income Fund | 61 |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Iowa - 0.2% |
| Cedar Rapids Community School District Infrastructure Sales Services & Use Tax Revenue |
| 4.00% 07/01/34 | $ 1,055,000 | $ 1,107,763 |
| State of Iowa GO, |
| 5.00% 06/01/29 | 360,000 | 408,661 |
| State of Iowa Board of Regents Revenue |
| 3.00% 09/01/30 | 1,000,000 | 1,001,458 |
| | | 2,517,882 |
| Kentucky - 1.3% |
| Kentucky State Property & Building Commission Revenue |
| 5.00% 02/01/33 - 04/01/37 | 11,705,000 | 12,357,270 |
| Louisville Water Co. Revenue |
| 3.00% 11/15/34 | 1,000,000 | 944,012 |
| | | 13,301,282 |
| Maine - 0.2% |
| Maine Health & Higher Educational Facilities Authority Revenue |
| 5.00% 07/01/48 | 1,990,000 | 2,093,019 |
| Maine Municipal Bond Bank Revenue |
| 5.00% 09/01/26 | 500,000 | 538,627 |
| | | 2,631,646 |
| Maryland - 3.2% |
| City of Baltimore Revenue |
| 4.00% 07/01/34 - 07/01/44 | 4,400,000 | 4,312,367 |
| 5.00% 07/01/35 - 07/01/46 | 15,155,000 | 15,795,100 |
| 5.00% 07/01/38 (a) | 9,375,000 | 9,572,622 |
| County of Anne Arundel GO, |
| 5.00% 10/01/47 | 1,000,000 | 1,059,392 |
| County of Prince George's GO, |
| 4.00% 07/15/31 | 1,000,000 | 1,077,307 |
| State of Maryland Department of Transportation Revenue |
| 4.00% 12/01/29 | 1,140,000 | 1,187,145 |
| | | 33,003,933 |
| Massachusetts - 3.4% |
| Commonwealth of Massachusetts GO, |
| 4.00% 09/01/42 - 05/01/44 | 3,005,000 | 2,906,514 |
| 5.00% 03/01/46 | 7,000,000 | 7,085,244 |
| 5.25% 09/01/43 - 01/01/44 | 17,950,000 | 19,380,488 |
| Massachusetts Bay Transportation Authority Sales Tax Revenue, Series A-1 |
| 4.00% 07/01/38 | 1,150,000 | 1,146,177 |
| Massachusetts Development Finance Agency Revenue |
| 4.00% 06/01/49 (a) | 1,000,000 | 1,077,891 |
| Massachusetts Water Resources Authority Revenue |
| 5.00% 08/01/32 (a) | 4,140,000 | 4,189,357 |
| | | 35,785,671 |
| | Principal
Amount | Fair
Value |
| Michigan - 0.8% |
| Michigan Finance Authority Revenue |
| 5.00% 11/01/31 | $ 1,395,000 | $ 1,549,162 |
| State of Michigan Revenue |
| 5.00% 03/15/27 | 4,415,000 | 4,808,376 |
| University of Michigan Revenue |
| 5.00% 04/01/46 (a) | 1,000,000 | 1,074,380 |
| Warren Consolidated Schools GO, |
| 5.00% 05/01/35 | 715,000 | 751,057 |
| | | 8,182,975 |
| Minnesota - 2.1% |
| City of Minneapolis GO, |
| 3.00% 12/01/34 | 1,315,000 | 1,250,465 |
| City of Rochester Revenue |
| 4.00% 11/15/48 | 5,330,000 | 5,087,826 |
| City of St Cloud Revenue |
| 5.00% 05/01/48 | 2,000,000 | 2,041,992 |
| City of St Paul MN Sales & Use Tax Revenue |
| 5.00% 11/01/31 | 1,400,000 | 1,447,529 |
| Cloquet Independent School District No 94 GO, |
| 4.00% 02/01/36 | 1,675,000 | 1,695,113 |
| Maple River Independent School District No 2135 GO, |
| 5.00% 02/01/28 | 750,000 | 833,056 |
| Minneapolis-St Paul Metropolitan Airports Commission Revenue |
| 5.00% 01/01/25 | 1,000,000 | 1,014,756 |
| State of Minnesota GO, |
| 3.00% 10/01/36 | 1,220,000 | 1,113,558 |
| University of Minnesota Revenue |
| 5.00% 09/01/39 | 4,350,000 | 4,669,416 |
| Virginia Independent School District No 706 GO, |
| 5.00% 02/01/30 | 2,500,000 | 2,770,406 |
| | | 21,924,117 |
| Missouri - 0.6% |
| City of Kansas City MO Sanitary Sewer System Revenue |
| 4.00% 01/01/40 | 1,725,000 | 1,686,373 |
| Health & Educational Facilities Authority of the State of Missouri Revenue |
| 4.00% 11/15/48 | 2,200,000 | 1,960,078 |
| Metropolitan St Louis Sewer District Revenue |
| 5.00% 05/01/45 (a) | 480,000 | 503,717 |
| 5.00% 05/01/45 - 05/01/46 | 2,520,000 | 2,626,328 |
| | | 6,776,496 |
| Nebraska - 0.1% |
| Omaha Public Power District Revenue |
| 5.00% 02/01/35 | 500,000 | 576,900 |
| New Hampshire - 0.1% |
| New Hampshire Business Finance Authority Revenue |
| 5.00% 08/15/27 | 250,000 | 271,385 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 62 | Elfun Tax-Exempt Income Fund |
Elfun Tax-Exempt Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| New Hampshire Municipal Bond Bank Revenue |
| 3.00% 02/15/32 | $ 1,000,000 | $ 976,993 |
| | | 1,248,378 |
| New Jersey - 6.4% |
| New Jersey Economic Development Authority Revenue |
| 5.00% 06/15/41 - 06/15/43 | 11,750,000 | 11,952,096 |
| 5.25% 06/15/40 (a) | 220,000 | 233,558 |
| New Jersey Educational Facilities Authority Revenue |
| 5.50% 09/01/30 - 09/01/33 | 14,700,000 | 15,644,273 |
| New Jersey Health Care Facilities Financing Authority Revenue (AGM Insured) |
| 4.13% 07/01/38 | 6,215,000 | 6,212,136 |
| New Jersey Transportation Trust Fund Authority Revenue |
| 5.00% 12/15/32 - 06/15/45 | 8,250,000 | 8,647,137 |
| 5.25% 06/15/32 | 500,000 | 566,147 |
| New Jersey Turnpike Authority Revenue |
| 4.00% 01/01/35 - 01/01/48 | 6,090,000 | 5,841,585 |
| 5.00% 01/01/28 - 01/01/45 | 16,400,000 | 16,957,672 |
| State of New Jersey GO, |
| 2.00% 06/01/34 | 1,000,000 | 810,725 |
| | | 66,865,329 |
| New York - 11.4% |
| Battery Park City Authority Revenue |
| 4.00% 11/01/44 | 1,590,000 | 1,556,493 |
| Build NYC Resource Corp. Revenue |
| 5.00% 07/01/41 | 2,000,000 | 2,004,851 |
| City of New York GO, |
| 5.00% 08/01/26 - 08/01/43 | 4,500,000 | 4,779,952 |
| Hudson Yards Infrastructure Corp. Revenue |
| 4.00% 02/15/43 - 02/15/47 | 6,830,000 | 6,263,376 |
| 5.00% 02/15/39 - 02/15/45 | 11,000,000 | 11,576,005 |
| Metropolitan Transportation Authority Revenue (AGM Insured) |
| 4.00% 11/15/49 | 5,000,000 | 4,476,712 |
| Metropolitan Transportation Authority Revenue |
| 5.00% 11/15/29 - 11/15/37 | 7,960,000 | 8,008,055 |
| 5.25% 11/15/55 | 1,000,000 | 999,933 |
| New York City Transitional Finance Authority Building Aid Revenue |
| 5.00% 07/15/36 | 6,000,000 | 6,452,510 |
| New York City Transitional Finance Authority Future Tax Secured Revenue |
| 4.00% 11/01/42 | 5,000,000 | 4,755,539 |
| 5.00% 02/01/41 - 02/01/43 | 17,500,000 | 18,101,493 |
| New York City Water & Sewer System Revenue |
| 5.00% 06/15/49 | 6,460,000 | 6,761,433 |
| New York Liberty Development Corp. Revenue |
| 3.00% 09/15/43 | 2,000,000 | 1,565,560 |
| New York State Dormitory Authority Revenue |
| 4.00% 08/01/38 - 03/15/47 | 7,655,000 | 7,315,033 |
| 4.25% 10/01/51 | 610,000 | 593,425 |
| 5.00% 03/15/39 - 03/15/45 | 18,500,000 | 19,534,992 |
| | Principal
Amount | Fair
Value |
| 5.00% 07/01/46 (a) | $ 4,000,000 | $ 4,397,486 |
| New York Transportation Development Corp. Revenue |
| 4.00% 07/01/35 | 2,000,000 | 1,877,306 |
| Port Authority of New York & New Jersey Revenue |
| 5.00% 01/15/36 - 09/01/48 | 6,760,000 | 7,128,088 |
| Utility Debt Securitization Authority Revenue |
| 5.00% 12/15/40 | 1,000,000 | 1,074,838 |
| | | 119,223,080 |
| North Carolina - 0.8% |
| County of Brunswick Revenue |
| 4.00% 08/01/39 | 2,235,000 | 2,262,286 |
| Greater Asheville Regional Airport Authority Revenue |
| 5.00% 07/01/27 | 550,000 | 583,796 |
| North Carolina Capital Facilities Finance Agency Revenue |
| 4.00% 10/01/44 | 2,000,000 | 2,000,082 |
| The University of North Carolina at Charlotte Revenue |
| 5.00% 10/01/47 | 3,545,000 | 3,719,295 |
| | | 8,565,459 |
| North Dakota - 0.0%* |
| City of Grand Forks Revenue |
| 5.00% 12/01/27 | 250,000 | 265,587 |
| Ohio - 5.7% |
| City of Cleveland GO, |
| 5.00% 12/01/29 | 1,250,000 | 1,323,534 |
| City of Columbus GO, |
| 5.00% 07/01/26 - 08/15/30 (a) | 13,055,000 | 13,195,096 |
| City of Toledo Water System Revenue |
| 5.00% 11/15/27 - 11/15/28 (a) | 2,000,000 | 2,014,754 |
| Columbus Metropolitan Library Revenue |
| 4.00% 12/01/30 | 995,000 | 1,076,790 |
| County of Franklin Revenue |
| 5.00% 12/01/47 | 1,125,000 | 1,136,443 |
| County of Summit GO, |
| 5.00% 12/01/43 | 1,000,000 | 1,096,802 |
| Dublin City School District GO, |
| 4.00% 12/01/30 | 1,010,000 | 1,079,597 |
| Northeast Ohio Regional Sewer District Revenue |
| 3.00% 11/15/34 | 1,385,000 | 1,287,989 |
| 4.00% 11/15/43 | 7,550,000 | 7,446,622 |
| 5.00% 11/15/38 (a) | 12,000,000 | 12,088,528 |
| Ohio Higher Educational Facility Commission Revenue |
| 4.00% 10/01/47 | 750,000 | 697,237 |
| Ohio Turnpike & Infrastructure Commission Revenue |
| 5.25% 02/15/39 | 13,250,000 | 13,283,387 |
| University of Cincinnati Revenue |
| 5.00% 06/01/45 | 3,500,000 | 3,632,978 |
| | | 59,359,757 |
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, 2022
| | Principal
Amount | Fair
Value |
| Oklahoma - 0.8% |
| City of Bixby OK GO, |
| 4.00% 06/01/32 | $ 1,000,000 | $ 1,086,142 |
| Oklahoma Capitol Improvement Authority Revenue |
| 5.00% 07/01/28 - 07/01/29 | 5,000,000 | 5,141,122 |
| Oklahoma City Zoological Trust OK Sales Tax Revenue |
| 4.00% 06/01/29 | 1,340,000 | 1,441,230 |
| The University of Oklahoma Revenue |
| 5.00% 07/01/44 | 1,000,000 | 1,005,185 |
| | | 8,673,679 |
| Oregon - 1.1% |
| City of Eugene OR Water Utility System Revenue |
| 4.00% 08/01/45 | 1,000,000 | 975,154 |
| Clackamas County School District No 7J Lake Oswego GO, |
| 4.00% 06/01/33 | 1,000,000 | 1,047,338 |
| Clackamas County School District No 86 Canby GO, |
| 4.00% 06/15/40 | 3,470,000 | 3,499,865 |
| Jackson County School District No. 5 Ashland GO, |
| 5.00% 06/15/31 | 880,000 | 993,604 |
| Oregon State University Revenue |
| 5.00% 04/01/45 | 2,000,000 | 2,062,517 |
| Port of Portland OR Airport Revenue |
| 5.00% 07/01/27 - 07/01/38 | 2,520,000 | 2,582,780 |
| | | 11,161,258 |
| Pennsylvania - 6.1% |
| Allegheny County Hospital Development Authority Revenue |
| 4.00% 07/15/39 | 1,500,000 | 1,414,761 |
| City of Philadelphia GO, |
| 5.00% 02/01/24 - 08/01/36 | 8,605,000 | 9,064,211 |
| City of Philadelphia Airport Revenue |
| 5.00% 07/01/28 | 1,000,000 | 1,068,978 |
| City of Philadelphia PA Airport Revenue, Series A |
| 4.00% 07/01/40 | 3,000,000 | 2,884,555 |
| City of Philadelphia PA Water & Wastewater Revenue |
| 5.00% 10/01/43 - 10/01/47 | 15,000,000 | 15,642,796 |
| City of Philadelphia PA Water & Wastewater Revenue |
| 4.00% 10/01/31 | 4,980,000 | 5,120,688 |
| City of Pittsburgh GO, |
| 5.00% 09/01/32 | 250,000 | 283,606 |
| Commonwealth of Pennsylvania GO, |
| 4.00% 09/15/34 | 1,475,000 | 1,497,795 |
| 5.00% 07/15/27 | 640,000 | 700,667 |
| Delaware River Joint Toll Bridge Commission Revenue |
| 5.00% 07/01/26 | 1,000,000 | 1,076,386 |
| Delaware River Port Authority Revenue |
| 5.00% 01/01/26 - 01/01/40 | 4,100,000 | 4,385,560 |
| General Authority of Southcentral Pennsylvania Revenue |
| 4.00% 06/01/49 | 3,015,000 | 2,786,670 |
| Middletown Area School District GO, (AGM Insured) |
| 4.00% 03/01/36 | 1,000,000 | 1,015,257 |
| | Principal
Amount | Fair
Value |
| Montgomery County Higher Education and Health Authority Revenue |
| 4.00% 09/01/49 | $ 3,000,000 | $ 2,599,113 |
| Pennsylvania Economic Development Financing Authority Revenue |
| 4.00% 11/15/42 | 5,000,000 | 4,541,096 |
| Pennsylvania Higher Educational Facilities Authority Revenue |
| 5.00% 05/01/41 | 1,000,000 | 1,028,760 |
| Pennsylvania Turnpike Commission Revenue |
| 5.00% 12/01/28 - 12/01/43 | 3,350,000 | 3,565,306 |
| Springfield School District/Delaware County GO, |
| 4.00% 03/01/43 | 1,000,000 | 959,321 |
| The Pennsylvania State University Revenue |
| 5.00% 09/01/47 | 2,000,000 | 2,099,379 |
| The School District of Philadelphia GO, |
| 4.00% 09/01/38 | 1,750,000 | 1,691,427 |
| 5.00% 09/01/28 | 840,000 | 917,437 |
| | | 64,343,769 |
| Rhode Island - 0.9% |
| Rhode Island Health and Educational Building Corp. Revenue |
| 4.00% 05/15/34 | 1,400,000 | 1,463,360 |
| 5.00% 09/01/43 | 5,000,000 | 5,038,555 |
| Rhode Island Health and Educational Building Corp. Revenue (BAM Insured) |
| 5.00% 05/15/29 | 200,000 | 225,990 |
| Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund Revenue |
| 5.00% 10/01/28 (a) | 2,200,000 | 2,338,270 |
| | | 9,066,175 |
| South Carolina - 1.6% |
| Beaufort County School District GO, |
| 4.00% 03/01/33 | 2,200,000 | 2,338,359 |
| City of Columbia Waterworks & Sewer System Revenue Revenue |
| 5.00% 02/01/47 | 2,425,000 | 2,652,999 |
| South Carolina Public Service Authority Revenue |
| 5.00% 12/01/37 - 12/01/38 | 12,000,000 | 12,206,038 |
| | | 17,197,396 |
| Tennessee - 1.5% |
| City of Knoxville TN Electric System Revenue |
| 5.00% 07/01/40 | 2,840,000 | 3,142,773 |
| City of Memphis GO, |
| 4.00% 05/01/38 - 06/01/46 | 9,920,000 | 9,515,258 |
| County of Hamblen GO, |
| 4.00% 05/01/40 | 780,000 | 761,310 |
| Memphis-Shelby County Airport Authority Revenue |
| 5.00% 07/01/31 | 375,000 | 408,845 |
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, 2022
| | Principal
Amount | Fair
Value |
| Metropolitan Government of Nashville & Davidson County TN Water & Sewer Revenue |
| 5.00% 07/01/46 | $ 2,000,000 | $ 2,095,735 |
| | | 15,923,921 |
| Texas - 6.3% |
| Arlington Higher Education Finance Corp. Revenue |
| 5.00% 08/15/28 | 500,000 | 554,442 |
| Arlington Independent School District GO, |
| 4.00% 02/15/36 | 1,220,000 | 1,241,319 |
| Board of Regents of the University of Texas System Revenue |
| 5.00% 08/15/26 | 10,000,000 | 10,842,672 |
| City of Austin TX Airport System Revenue |
| 5.00% 11/15/46 | 3,000,000 | 3,052,518 |
| City of Dallas TX Waterworks & Sewer System Revenue |
| 5.00% 10/01/46 | 3,550,000 | 3,731,512 |
| City of Houston TX Combined Utility System Revenue |
| 5.00% 05/15/28 | 5,000,000 | 5,142,166 |
| City of North Richland Hills GO, |
| 4.00% 02/15/27 | 1,045,000 | 1,097,250 |
| Conroe Independent School District GO, |
| 5.00% 02/15/33 | 500,000 | 589,513 |
| Dallas Area Rapid Transit Revenue |
| 4.00% 12/01/38 | 1,700,000 | 1,682,376 |
| Dallas Fort Worth International Airport Revenue |
| 5.25% 11/01/29 | 5,000,000 | 5,099,732 |
| Dallas Independent School District GO, |
| 5.00% 02/15/34 | 560,000 | 625,912 |
| Del Valle Independent School District GO, |
| 4.00% 06/15/37 | 500,000 | 503,937 |
| Forney Independent School District GO, |
| 5.00% 08/15/39 | 500,000 | 559,046 |
| Grand Parkway Transportation Corp. Revenue |
| 5.00% 10/01/48 | 1,050,000 | 1,089,471 |
| Greater Texoma Utility Authority Revenue |
| 5.00% 10/01/35 | 600,000 | 671,526 |
| Hays Consolidated Independent School District GO, |
| 4.00% 02/15/38 | 550,000 | 550,560 |
| Klein Independent School District GO, |
| 5.00% 02/01/43 | 500,000 | 535,961 |
| Lower Colorado River Authority Revenue |
| 5.00% 05/15/44 | 2,000,000 | 2,042,501 |
| North Texas Tollway Authority Revenue |
| 5.00% 01/01/26 - 01/01/48 | 10,095,000 | 10,537,008 |
| Port Authority of Houston of Harris County Texas GO, |
| 5.00% 10/01/27 | 1,000,000 | 1,094,176 |
| State of Texas GO, |
| 4.00% 10/01/44 | 1,985,000 | 1,932,152 |
| Texas A&M University Revenue |
| 5.00% 05/15/28 | 500,000 | 557,480 |
| Texas Municipal Power Agency Revenue (AGM Insured) |
| 3.00% 09/01/28 | 275,000 | 271,957 |
| | Principal
Amount | Fair
Value |
| Texas Transportation Commission State Highway Fund Revenue |
| 5.00% 04/01/23 | $ 10,750,000 | $ 10,804,119 |
| Upper Trinity Regional Water District Revenue, (BAM Insured) |
| 5.00% 08/01/28 | 500,000 | 556,007 |
| Willis Independent School District GO, |
| 5.00% 02/15/32 | 500,000 | 576,444 |
| | | 65,941,757 |
| Utah - 0.9% |
| Central Valley Water Reclamation Facility Revenue |
| 3.00% 03/01/30 | 1,145,000 | 1,152,907 |
| City of Salt Lake City Public Utilities Revenue |
| 4.00% 02/01/45 | 1,220,000 | 1,190,348 |
| City of Salt Lake City UT Airport Revenue |
| 5.00% 07/01/48 | 2,000,000 | 2,039,176 |
| City of Salt Lake City UT Public Utilities Revenue |
| 5.00% 02/01/50 | 3,080,000 | 3,258,024 |
| The University of Utah Revenue |
| 5.00% 08/01/42 | 1,685,000 | 1,860,093 |
| | | 9,500,548 |
| Virginia - 3.1% |
| Chesapeake Bay Bridge & Tunnel District Revenue |
| 5.00% 07/01/51 | 2,000,000 | 1,964,958 |
| City of Richmond VA Public Utility Revenue |
| 4.00% 01/15/36 | 4,350,000 | 4,410,577 |
| County of Fairfax GO, |
| 4.00% 10/01/35 | 6,645,000 | 6,928,532 |
| County of Fairfax Sewer Revenue, Series A |
| 4.00% 07/15/40 | 2,245,000 | 2,302,857 |
| County of Loudoun GO, |
| 4.00% 12/01/37 | 2,000,000 | 2,071,052 |
| University of Virginia Revenue |
| 5.00% 04/01/47 | 6,000,000 | 6,370,036 |
| Virginia College Building Authority Revenue |
| 4.00% 09/01/35 | 1,000,000 | 1,033,137 |
| Virginia Resources Authority Revenue |
| 4.00% 11/01/41 | 5,585,000 | 5,625,833 |
| 5.00% 11/01/46 | 1,720,000 | 1,817,528 |
| | | 32,524,510 |
| Washington - 3.0% |
| City of Seattle WA Drainage & Wastewater Revenue |
| 4.00% 09/01/51 | 2,000,000 | 1,874,197 |
| City of Seattle WA Municipal Light & Power Revenue |
| 4.00% 10/01/35 - 09/01/40 | 5,590,000 | 5,637,461 |
| 5.00% 07/01/52 | 1,000,000 | 1,086,213 |
| City of Spokane GO, |
| 3.13% 12/01/33 | 1,260,000 | 1,207,584 |
| County of King GO, |
| 4.00% 12/01/34 | 2,150,000 | 2,193,271 |
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, 2022
| | Principal
Amount | Fair
Value |
| County of King WA Sewer Revenue |
| 5.00% 07/01/28 | $ 1,060,000 | $ 1,093,428 |
| Pierce & King Counties School District No 417 Fife GO, |
| 4.00% 12/01/35 | 1,450,000 | 1,497,389 |
| Port of Seattle Revenue |
| 5.00% 04/01/29 - 08/01/42 | 5,485,000 | 5,775,125 |
| Snohomish County Public Utility District No 1 Electric System Revenue |
| 5.00% 12/01/51 | 2,000,000 | 2,147,020 |
| Spokane County School District No 81 Spokane GO, |
| 4.00% 12/01/39 | 1,000,000 | 1,007,362 |
| State of Washington GO, |
| 4.00% 07/01/27 | 1,175,000 | 1,242,811 |
| 5.00% 08/01/29 - 06/01/44 | 6,105,000 | 6,603,470 |
| | | 31,365,331 |
| Wisconsin - 0.6% |
| State of Wisconsin GO, |
| 4.00% 05/01/30 - 05/01/40 | 3,975,000 | 4,010,449 |
| 5.00% 05/01/38 | 2,105,000 | 2,187,780 |
| | | 6,198,229 |
Total Municipal Bonds and Notes
(Cost $1,040,934,261) | 1,025,415,897 |
| Short-Term Investments - 1.5% |
State Street Institutional Treasury Plus Fund - Premier Class 4.15% (b)(c)
(Cost $15,874,392) | 15,874,392 | 15,874,392 |
Total Investments
(Cost $1,056,808,653) | 1,041,290,289 |
| Other Assets and Liabilities, net - 0.6% | 5,946,145 |
| NET ASSETS - 100.0% | $ 1,047,236,434 |
Notes to Schedule of Investments – December 31, 2022
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) | 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, 2022. |
| * | Less than 0.05%. |
| 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, 2022:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Municipal Bonds and Notes | $ — | | $ 1,025,415,897 | | $ — | | $ 1,025,415,897 |
| Short-Term Investments | 15,874,392 | | — | | — | | 15,874,392 |
| Total Investments in Securities | $ 15,874,392 | | $ 1,025,415,897 | | $ — | | $ 1,041,290,289 |
| | Number
of Shares
Held at
12/31/21 | Value at
12/31/21 | Cost of
Purchases | Proceeds
from
Shares
Sold | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/22 | Value at
12/31/22 | Dividend
Income |
| State Street Institutional Treasury Plus Fund - Premier Class | 3,950,909 | $3,950,909 | $188,950,816 | $177,027,333 | $— | $— | 15,874,392 | $15,874,392 | $167,743 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 66 | Elfun Tax-Exempt Income Fund |
Elfun Income Fund
Management's Discussion of Fund Performance — December 31, 2022 (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, 2022 (the “Reporting Period”), the total return for the Fund was -13.47%, and the return for the Index was -13.01%. 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.
Duration was the primary driver of the Fund's performance during the Reporting Period relative to the Index. A modest duration over-weight relative to the Index during the Reporting Period, where the ten year Treasury yield increased 237bps, explains the Fund’s under-performance relative to the Index, and it explains the negative absolute return for both the Fund and the Index. Asset allocation and security selection, which each had a positive impact, had a limited impact on the Fund’s relative performance to the Index.
Our view in the fourth quarter of 2021 was that the Fed would have the latitude to engineer a soft landing of the economy during the Reporting Period and that the market had priced in too many rate hikes for the Reporting Period, which led to a modest duration over-weight relative to the Index. Despite this positive economic outlook, credit spreads began the Reporting Period at the rich side of long-term fair value with a bearish trend, which led the Fund to have a cyclically low over-weight allocation relative to the Index. During the Reporting Period, Russia’s invasion of Ukraine and China COVID-19 lock-downs caused inflation and interest rates to rise sharply and caused credit spreads to widen. The Fund’s cyclically low credit over-weight relative to the Index was increased over the Reporting Period at wider spreads and positive trend signals, which is why the Fund’s credit allocation was a positive contributor to performance, despite the fact that credit performance versus duration-equivalent treasuries was negative over the Reporting Period, with investment-grade credit and high yield under-performing risk-free assets during the Reporting Period. The Fund’s asset allocation over-weight to high yield generated positive excess returns to the Index.
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.
Security selection in the commercial mortgage-backed securities and agency mortgage-backed securities allocations generated positive excess returns as our bottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities, while security selection in investment-grade credit detracted from the Fund's performance relative to the Index.
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, 2022 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $189,843 (in thousands) as of December 31, 2022 (a)(b) |
| Quality Ratings |
| as of December 31, 2022 as a % of Fair Value (a)(b) |
| Moody’s / S&P / Rating* | | Percentage of
Fair Value |
| Aaa / AAA | | 4.43% |
| Aa / AA | | 48.28% |
| A / A | | 6.51% |
| Baa / BBB | | 19.59% |
| Ba / BB and lower | | 1.80% |
| NR / Other | | 19.39% |
| | | 100.00% |
| Average Annual Total Return for the years ended December 31, 2022 |
| (Inception date 12/31/84) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Income Fund | (13.47)% | | 0.07% | | 1.26% | | $11,329 |
| Bloomberg U.S. Aggregate Bond Index | (13.01)% | | 0.02% | | 1.06% | | $11,108 |
|
| (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, 2022 (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, 2022 (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, 2022.
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, 2022 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2022 | $ 973.40 | | $1,023.60 |
| Expenses Paid During Period* | $ 1.59 | | $ 1.63 |
| * | Expenses are equal to the Fund's annualized net expense ratio of 0.32%** (for the period July 1, 2022 - December 31, 2022), 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, 2022
| | Principal
Amount | Fair
Value |
| Bonds and Notes - 97.1% † |
| U.S. Treasuries - 23.7% |
| U.S. Treasury Bonds | | |
| 1.88%, 02/15/41 - 02/15/51 | $ 1,873,000 | $ 1,261,081 |
| 2.25%, 08/15/46 (a) | 1,518,000 | 1,079,203 |
| 2.38%, 02/15/42 | 166,000 | 126,834 |
| 3.00%, 08/15/48 (a) | 2,843,000 | 2,345,475 |
| U.S. Treasury Notes | | |
| 0.25%, 07/31/25 (a) | 5,738,400 | 5,177,113 |
| 0.75%, 12/31/23 | 6,679,000 | 6,422,015 |
| 0.75%, 01/31/28 (a) | 11,719,000 | 9,967,559 |
| 1.13%, 01/15/25 | 882,000 | 825,359 |
| 1.25%, 11/30/26 | 673,000 | 603,807 |
| 1.50%, 02/29/24 | 1,388,000 | 1,337,685 |
| 1.63%, 05/15/31 | 5,724,000 | 4,816,209 |
| 1.75%, 01/31/29 | 1,113,000 | 978,049 |
| 2.63%, 02/15/29 (a) | 1,518,000 | 1,403,676 |
| 2.88%, 05/15/32 | 546,000 | 503,344 |
| 4.25%, 10/15/25 | 1,205,000 | 1,204,247 |
| | | 38,051,656 |
| Agency Mortgage Backed - 31.2% |
| Federal Home Loan Mortgage Corp. | | |
| 3.00%, 04/01/43 - 10/01/49 (a) | 4,437,393 | 3,990,092 |
| 4.50%, 06/01/33 - 02/01/35 (a) | 6,286 | 6,205 |
| 5.00%, 07/01/35 (a) | 47,997 | 48,322 |
| 5.50%, 01/01/38 - 04/01/39 (a) | 79,709 | 82,138 |
| 6.00%, 06/01/33 - 11/01/37 (a) | 176,160 | 184,580 |
| 7.00%, 01/01/27 - 08/01/36 (a) | 42,308 | 44,787 |
| 7.50%, 11/01/29 - 09/01/33 (a) | 5,575 | 5,812 |
| 8.00%, 11/01/30 (a) | 1,970 | 2,065 |
| Federal National Mortgage Assoc. | | |
| 2.50%, 03/01/51 (a) | 3,198,967 | 2,707,139 |
| 3.50%, 08/01/45 - 01/01/48 (a) | 3,626,419 | 3,388,265 |
| 4.00%, 01/01/41 - 01/01/50 (a) | 1,920,793 | 1,842,633 |
| 4.50%, 07/01/33 - 12/01/48 (a) | 1,012,621 | 999,064 |
| 5.00%, 03/01/34 - 05/01/39 (a) | 105,331 | 106,187 |
| 5.50%, 12/01/32 - 01/01/39 (a) | 281,207 | 288,441 |
| 6.00%, 01/01/29 - 05/01/41 (a) | 666,923 | 697,158 |
| 6.50%, 08/01/28 - 08/01/36 (a) | 32,910 | 34,789 |
| | Principal
Amount | Fair
Value |
| 7.00%, 10/01/32 - 02/01/34 (a) | $ 7,264 | $ 7,540 |
| 7.50%, 12/01/26 - 03/01/33 (a) | 21,244 | 22,127 |
| 8.00%, 06/01/24 - 10/01/31 (a) | 4,141 | 4,234 |
| 8.50%, 04/01/30 (a) | 1,053 | 1,136 |
| Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | | |
| 2.97%, 04/01/37 (a)(b) | 1,849 | 1,830 |
| Federal National Mortgage Assoc. TBA | | |
| 2.00%, 01/17/38 - 01/01/53 (c) | 13,089,788 | 10,728,583 |
| 2.50%, 01/01/53 (c) | 4,481,805 | 3,790,729 |
| 3.00%, 01/01/53 (c) | 1,121,007 | 982,951 |
| 3.50%, 01/01/53 (c) | 2,483,779 | 2,254,653 |
| 4.00%, 01/01/53 (c) | 3,505,175 | 3,285,667 |
| 4.50%, 01/01/53 (c) | 3,733,973 | 3,594,151 |
| Government National Mortgage Assoc. | | |
| 3.00%, 12/20/42 - 05/20/45 (a) | 3,767,365 | 3,416,402 |
| 3.50%, 08/20/48 (a) | 717,532 | 668,506 |
| 4.00%, 01/20/41 - 04/20/43 (a) | 618,305 | 602,709 |
| 4.50%, 08/15/33 - 03/20/41 (a) | 287,420 | 286,003 |
| 5.00%, 08/15/33 (a) | 16,367 | 16,556 |
| 6.00%, 04/15/27 - 04/15/35 (a) | 96,938 | 101,154 |
| 6.50%, 03/15/24 - 09/15/36 (a) | 34,937 | 36,542 |
| 7.00%, 11/15/27 - 10/15/36 (a) | 27,886 | 29,261 |
| 7.50%, 08/15/23 - 10/15/28 (a) | 5,568 | 5,720 |
| 8.00%, 09/15/27 - 06/15/30 (a) | 16,047 | 16,382 |
| Government National Mortgage Assoc. TBA | | |
| 2.00%, 01/23/53 | 3,004,205 | 2,510,674 |
| 2.50%, 01/23/53 | 3,010,193 | 2,600,048 |
| 4.00%, 01/01/53 (c) | 595,406 | 562,809 |
| | | 49,954,044 |
| Agency Collateralized Mortgage Obligations - 0.7% |
| Federal Home Loan Mortgage Corp. | | |
| 0.08%, 09/25/43 (b)(d) | 573,977 | 1,770 |
| 2.51%, 07/25/29 | 745,000 | 661,045 |
| 4.05%, 09/25/28 (b) | 300,000 | 293,286 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Federal Home Loan Mortgage Corp. REMIC | | |
| 3.50%, 11/15/30 (d) | $ 12,198 | $ 124 |
| 5.50%, 06/15/33 (d) | 15,629 | 2,505 |
| Federal Home Loan Mortgage Corp. STRIPS | | |
| 0.00%, 08/01/27 (e) | 286 | 265 |
| 8.00%, 02/01/23 (d)** | 3 | — |
| 8.00%, 07/01/24 (d) | 249 | 12 |
| Federal National Mortgage Assoc. REMIC | | |
| 1.15%, 12/25/42 (b)(d) | 125,490 | 4,882 |
| 5.00%, 02/25/40 - 09/25/40 (d) | 33,229 | 3,669 |
| Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | | |
| 1.61%, 07/25/38 (b)(d) | 16,866 | 1,433 |
| Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | | |
| 2.16%, 11/25/41 (b)(d) | 1,756,433 | 206,038 |
| Federal National Mortgage Assoc. STRIPS | | |
| 0.01%, 12/25/34 (e) | 16,894 | 13,009 |
| 4.50%, 08/25/35 - 01/25/36 (d) | 30,031 | 3,847 |
| 5.00%, 03/25/38 - 05/25/38 (d) | 18,461 | 2,817 |
| 5.50%, 12/25/33 (d) | 5,502 | 1,017 |
| 6.00%, 01/25/35 (d) | 21,787 | 3,837 |
| 7.50%, 11/25/23 (d) | 271 | 5 |
| 8.00%, 07/25/24 (d) | 509 | 23 |
| | | 1,199,584 |
| Asset Backed - 0.2% |
| Chase Funding Trust 2004-1 | | |
| 4.99%, 11/25/33 | 65,449 | 64,430 |
| Ford Credit Auto Owner Trust 2020-B | | |
| 0.56%, 10/15/24 | 265,045 | 261,888 |
| | | 326,318 |
| Corporate Notes - 33.8% |
| 3M Co. | | |
| 3.13%, 09/19/46 (a) | 19,000 | 13,051 |
| 7-Eleven Inc. | | |
| 0.95%, 02/10/26 (a)(f) | 263,000 | 230,107 |
| Abbott Laboratories | | |
| 3.75%, 11/30/26 (a) | 28,000 | 27,290 |
| 4.90%, 11/30/46 (a) | 66,000 | 64,578 |
| AbbVie Inc. | | |
| 2.60%, 11/21/24 (a) | 111,000 | 106,274 |
| | Principal
Amount | Fair
Value |
| 3.20%, 05/14/26 - 11/21/29 (a) | $ 148,000 | $ 135,820 |
| 4.05%, 11/21/39 (a) | 46,000 | 39,395 |
| 4.25%, 11/21/49 (a) | 93,000 | 78,173 |
| 4.40%, 11/06/42 (a) | 33,000 | 28,656 |
| 4.63%, 10/01/42 (a) | 7,000 | 6,259 |
| 4.70%, 05/14/45 (a) | 13,000 | 11,613 |
| 4.88%, 11/14/48 (a) | 10,000 | 9,208 |
| Advance Auto Parts Inc. | | |
| 3.90%, 04/15/30 (a) | 179,000 | 157,278 |
| Advanced Micro Devices Inc. | | |
| 4.39%, 06/01/52 (a) | 70,000 | 61,900 |
| AEP Texas Inc. | | |
| 3.45%, 05/15/51 (a) | 112,000 | 79,229 |
| Aetna Inc. | | |
| 3.50%, 11/15/24 (a) | 51,000 | 49,586 |
| Aircastle Ltd. | | |
| 4.25%, 06/15/26 (a) | 78,000 | 73,435 |
| Alcoa Nederland Holding BV | | |
| 5.50%, 12/15/27 (a)(f) | 203,000 | 195,595 |
| Alcon Finance Corp. | | |
| 2.60%, 05/27/30 (a)(f) | 239,000 | 202,913 |
| Alexandria Real Estate Equities Inc. | | |
| 1.88%, 02/01/33 (a) | 46,000 | 34,273 |
| 2.95%, 03/15/34 (a) | 77,000 | 62,690 |
| 3.55%, 03/15/52 (a) | 62,000 | 44,467 |
| 4.70%, 07/01/30 (a) | 20,000 | 19,215 |
| Altria Group Inc. | | |
| 3.40%, 05/06/30 - 02/04/41 (a) | 56,000 | 40,201 |
| 4.00%, 02/04/61 (a) | 20,000 | 13,035 |
| 4.25%, 08/09/42 (a) | 6,000 | 4,445 |
| 4.45%, 05/06/50 (a) | 27,000 | 19,126 |
| 4.50%, 05/02/43 (a) | 20,000 | 15,050 |
| Amazon.com Inc. | | |
| 1.50%, 06/03/30 (a) | 33,000 | 26,513 |
| 2.50%, 06/03/50 (a) | 38,000 | 24,111 |
| 2.70%, 06/03/60 (a) | 30,000 | 18,260 |
| 2.88%, 05/12/41 (a) | 67,000 | 50,034 |
| 3.15%, 08/22/27 (a) | 15,000 | 14,123 |
| 3.25%, 05/12/61 (a) | 51,000 | 35,467 |
| 4.05%, 08/22/47 (a) | 16,000 | 13,833 |
| 4.25%, 08/22/57 (a) | 10,000 | 8,673 |
| Ameren Corp. | | |
| 2.50%, 09/15/24 (a) | 159,000 | 151,917 |
| 3.65%, 02/15/26 (a) | 28,000 | 26,769 |
| American Electric Power Company Inc. | | |
| 2.30%, 03/01/30 (a) | 35,000 | 28,653 |
| 3.25%, 03/01/50 (a) | 15,000 | 10,114 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 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 | $ 9,556 |
| American Tower Corp. | | |
| 1.50%, 01/31/28 (a) | 124,000 | 102,713 |
| 2.90%, 01/15/30 (a) | 45,000 | 38,123 |
| 3.70%, 10/15/49 (a) | 26,000 | 18,486 |
| 3.80%, 08/15/29 (a) | 54,000 | 49,106 |
| American Water Capital Corp. | | |
| 2.95%, 09/01/27 (a) | 35,000 | 32,276 |
| Amgen Inc. | | |
| 2.00%, 01/15/32 (a) | 77,000 | 60,031 |
| 2.45%, 02/21/30 (a) | 20,000 | 16,877 |
| 3.00%, 01/15/52 (a) | 43,000 | 27,638 |
| 3.15%, 02/21/40 (a) | 76,000 | 56,123 |
| AngloGold Ashanti Holdings PLC | | |
| 3.38%, 11/01/28 (a) | 200,000 | 175,344 |
| Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | | |
| 3.65%, 02/01/26 (a) | 74,000 | 71,278 |
| 4.70%, 02/01/36 (a) | 22,000 | 20,741 |
| 4.90%, 02/01/46 (a) | 48,000 | 43,925 |
| Anheuser-Busch InBev Worldwide Inc. | | |
| 3.50%, 06/01/30 (a) | 51,000 | 46,385 |
| 4.00%, 04/13/28 (a) | 12,000 | 11,454 |
| 4.35%, 06/01/40 (a) | 50,000 | 44,185 |
| 4.38%, 04/15/38 (a) | 70,000 | 62,934 |
| 4.60%, 04/15/48 (a) | 27,000 | 23,767 |
| 4.75%, 04/15/58 (a) | 23,000 | 20,361 |
| 5.55%, 01/23/49 (a) | 50,000 | 49,832 |
| ANZ Bank New Zealand Ltd. (5.55% fixed rate until 08/11/27; 2.70% + 5 year CMT Rate thereafter) | | |
| 5.55%, 08/11/32 (b)(f) | 209,000 | 203,125 |
| Aon Corp./Aon Global Holdings PLC | | |
| 2.90%, 08/23/51 (a) | 78,000 | 49,511 |
| 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)(f) | 53,000 | 44,521 |
| Apple Inc. | | |
| 2.65%, 02/08/51 (a) | 61,000 | 40,706 |
| 2.80%, 02/08/61 (a) | 53,000 | 34,007 |
| 2.95%, 09/11/49 (a) | 30,000 | 21,422 |
| 3.35%, 02/09/27 (a) | 16,000 | 15,317 |
| 3.45%, 02/09/45 (a) | 69,000 | 55,531 |
| | Principal
Amount | Fair
Value |
| 3.85%, 08/04/46 (a) | $ 49,000 | $ 41,725 |
| 3.95%, 08/08/52 | 65,000 | 55,505 |
| Applied Materials Inc. | | |
| 4.35%, 04/01/47 (a) | 27,000 | 24,390 |
| Aptiv PLC | | |
| 4.40%, 10/01/46 (a) | 19,000 | 14,370 |
| ArcelorMittal S.A. | | |
| 6.80%, 11/29/32 | 260,000 | 259,204 |
| Archer-Daniels-Midland Co. | | |
| 2.50%, 08/11/26 (a) | 24,000 | 22,271 |
| Ares Capital Corp. | | |
| 2.88%, 06/15/28 (a) | 171,000 | 137,361 |
| 3.25%, 07/15/25 (a) | 352,000 | 323,812 |
| Arthur J Gallagher & Co. | | |
| 3.50%, 05/20/51 (a) | 83,000 | 58,133 |
| Ascension Health | | |
| 4.85%, 11/15/53 (a) | 59,000 | 55,938 |
| Ashtead Capital Inc. | | |
| 1.50%, 08/12/26 (a)(f) | 200,000 | 170,548 |
| Astrazeneca Finance LLC | | |
| 1.75%, 05/28/28 (a) | 109,000 | 93,618 |
| AstraZeneca PLC | | |
| 3.00%, 05/28/51 (a) | 51,000 | 36,019 |
| 4.00%, 01/17/29 (a) | 15,000 | 14,419 |
| 4.38%, 08/17/48 (a) | 7,000 | 6,278 |
| AT&T Inc. | | |
| 1.70%, 03/25/26 (a) | 292,000 | 263,550 |
| 2.30%, 06/01/27 (a) | 76,000 | 67,726 |
| 2.75%, 06/01/31 (a) | 154,000 | 127,874 |
| 3.85%, 06/01/60 (a) | 70,000 | 48,862 |
| 4.35%, 03/01/29 (a) | 55,000 | 52,342 |
| 4.50%, 05/15/35 (a) | 51,000 | 46,386 |
| 4.55%, 03/09/49 (a) | 24,000 | 19,653 |
| 4.75%, 05/15/46 (a) | 14,000 | 11,947 |
| 4.85%, 03/01/39 (a) | 41,000 | 36,701 |
| Athene Holding Ltd. | | |
| 4.13%, 01/12/28 (a) | 32,000 | 29,425 |
| 6.15%, 04/03/30 (a) | 76,000 | 76,579 |
| Avangrid Inc. | | |
| 3.15%, 12/01/24 (a) | 77,000 | 73,808 |
| Bain Capital Specialty Finance Inc. | | |
| 2.95%, 03/10/26 (a) | 112,000 | 96,537 |
| Bank of America Corp. | | |
| 3.25%, 10/21/27 (a) | 52,000 | 48,061 |
| 4.18%, 11/25/27 (a) | 95,000 | 90,230 |
| 4.25%, 10/22/26 (a) | 75,000 | 72,515 |
| Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | | |
| 2.09%, 06/14/29 (a)(b) | 156,000 | 131,223 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Bank of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) | | |
| 2.97%, 07/21/52 (a)(b) | $ 112,000 | $ 70,666 |
| 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) | 26,000 | 24,802 |
| 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) | 36,000 | 32,653 |
| 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) | 101,000 | 93,601 |
| Bank of America Corp. (3.85% fixed rate until 03/08/32; 2.00% + 5 year CMT Rate thereafter) | | |
| 3.85%, 03/08/37 (a)(b) | 102,000 | 84,364 |
| 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) | 61,000 | 47,121 |
| 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) | 49,000 | 41,913 |
| 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) | 13,000 | 12,143 |
| 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) | 103,000 | 89,600 |
| Barrick North America Finance LLC | | |
| 5.70%, 05/30/41 (a) | 7,000 | 7,040 |
| BAT Capital Corp. | | |
| 2.73%, 03/25/31 (a) | 75,000 | 58,492 |
| 4.39%, 08/15/37 (a) | 51,000 | 39,661 |
| 4.54%, 08/15/47 (a) | 20,000 | 14,216 |
| 4.70%, 04/02/27 (a) | 48,000 | 46,104 |
| 4.91%, 04/02/30 (a) | 50,000 | 45,826 |
| 7.75%, 10/19/32 | 35,000 | 37,661 |
| BAT International Finance PLC | | |
| 1.67%, 03/25/26 (a) | 48,000 | 42,499 |
| | Principal
Amount | Fair
Value |
| Baxter International Inc. | | |
| 2.54%, 02/01/32 (a) | $ 61,000 | $ 48,587 |
| Baylor Scott & White Holdings | | |
| 2.84%, 11/15/50 (a) | 11,000 | 7,258 |
| Becton Dickinson & Co. | | |
| 3.70%, 06/06/27 (a) | 38,000 | 35,946 |
| 4.67%, 06/06/47 (a) | 8,000 | 7,056 |
| 4.69%, 12/15/44 (a) | 5,000 | 4,449 |
| Berkshire Hathaway Energy Co. | | |
| 3.25%, 04/15/28 (a) | 15,000 | 13,899 |
| 3.70%, 07/15/30 (a) | 56,000 | 51,265 |
| 3.80%, 07/15/48 (a) | 18,000 | 13,919 |
| 4.25%, 10/15/50 (a) | 50,000 | 41,683 |
| 6.13%, 04/01/36 (a) | 8,000 | 8,404 |
| Berkshire Hathaway Finance Corp. | | |
| 2.85%, 10/15/50 (a) | 145,000 | 97,540 |
| 3.85%, 03/15/52 (a) | 103,000 | 83,130 |
| 4.25%, 01/15/49 (a) | 27,000 | 24,205 |
| Berry Global Inc. | | |
| 4.88%, 07/15/26 (a)(f) | 144,000 | 139,071 |
| BHP Billiton Finance USA Ltd. | | |
| 5.00%, 09/30/43 (a) | 10,000 | 9,707 |
| Biogen Inc. | | |
| 2.25%, 05/01/30 (a) | 21,000 | 17,068 |
| Block Financial LLC | | |
| 2.50%, 07/15/28 (a) | 72,000 | 61,099 |
| 3.88%, 08/15/30 (a) | 21,000 | 18,393 |
| Boardwalk Pipelines LP | | |
| 4.80%, 05/03/29 (a) | 49,000 | 46,099 |
| Boston Properties LP | | |
| 6.75%, 12/01/27 | 100,000 | 103,271 |
| Boston Scientific Corp. | | |
| 4.70%, 03/01/49 (a) | 6,000 | 5,418 |
| BP Capital Markets America Inc. | | |
| 3.00%, 02/24/50 (a) | 59,000 | 40,026 |
| 3.38%, 02/08/61 (a) | 84,000 | 58,077 |
| BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | | |
| 4.38%, 06/22/25 (a)(b) | 109,000 | 103,821 |
| 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) | 76,000 | 66,538 |
| Bristol-Myers Squibb Co. | | |
| 1.45%, 11/13/30 (a) | 52,000 | 41,012 |
| 2.35%, 11/13/40 (a) | 26,000 | 17,846 |
| 2.95%, 03/15/32 (a) | 70,000 | 61,067 |
| 3.20%, 06/15/26 (a) | 25,000 | 23,863 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 3.40%, 07/26/29 (a) | $ 16,000 | $ 14,856 |
| 3.55%, 03/15/42 (a) | 30,000 | 24,396 |
| 4.13%, 06/15/39 (a) | 37,000 | 32,987 |
| 4.25%, 10/26/49 (a) | 37,000 | 32,001 |
| 4.35%, 11/15/47 (a) | 2,000 | 1,767 |
| 4.55%, 02/20/48 (a) | 8,000 | 7,267 |
| Brixmor Operating Partnership LP | | |
| 2.25%, 04/01/28 (a) | 101,000 | 83,997 |
| 3.90%, 03/15/27 (a) | 21,000 | 19,365 |
| Broadcom Inc. | | |
| 3.14%, 11/15/35 (a)(f) | 29,000 | 21,276 |
| 3.19%, 11/15/36 (a)(f) | 4,000 | 2,887 |
| 3.42%, 04/15/33 (a)(f) | 66,000 | 52,977 |
| 3.47%, 04/15/34 (a)(f) | 8,000 | 6,343 |
| 4.15%, 11/15/30 (a) | 31,000 | 27,772 |
| 4.30%, 11/15/32 (a) | 50,000 | 44,142 |
| 4.93%, 05/15/37 (a)(f) | 41,000 | 35,835 |
| Brooklyn Union Gas Co. | | |
| 4.87%, 08/05/32 (f) | 200,000 | 186,992 |
| Brown-Forman Corp. | | |
| 4.00%, 04/15/38 (a) | 8,000 | 7,012 |
| Brunswick Corp. | | |
| 2.40%, 08/18/31 (a) | 187,000 | 137,368 |
| Bunge Limited Finance Corp. | | |
| 3.75%, 09/25/27 (a) | 10,000 | 9,352 |
| Burlington Northern Santa Fe LLC | | |
| 4.15%, 12/15/48 (a) | 46,000 | 39,167 |
| 4.55%, 09/01/44 (a) | 66,000 | 59,915 |
| Cameron LNG LLC | | |
| 3.30%, 01/15/35 (a)(f) | 9,000 | 7,316 |
| Canadian Natural Resources Ltd. | | |
| 3.85%, 06/01/27 (a) | 34,000 | 32,090 |
| 4.95%, 06/01/47 (a) | 26,000 | 22,757 |
| Canadian Pacific Railway Co. | | |
| 1.75%, 12/02/26 (a) | 103,000 | 91,786 |
| 2.45%, 12/02/31 (a) | 89,000 | 74,078 |
| 3.00%, 12/02/41 (a) | 31,000 | 23,295 |
| 3.10%, 12/02/51 (a) | 31,000 | 21,127 |
| Cantor Fitzgerald LP | | |
| 4.88%, 05/01/24 (a)(f) | 176,000 | 172,656 |
| Capital One Financial Corp. | | |
| 3.75%, 07/28/26 (a) | 86,000 | 81,188 |
| Cardinal Health Inc. | | |
| 3.08%, 06/15/24 (a) | 18,000 | 17,478 |
| Carlisle Companies Inc. | | |
| 2.20%, 03/01/32 (a) | 112,000 | 85,148 |
| Carrier Global Corp. | | |
| 2.72%, 02/15/30 (a) | 48,000 | 40,452 |
| 3.58%, 04/05/50 (a) | 53,000 | 37,962 |
| | Principal
Amount | Fair
Value |
| Caterpillar Inc. | | |
| 3.25%, 09/19/49 - 04/09/50 (a) | $ 75,000 | $ 57,066 |
| Cenovus Energy Inc. | | |
| 2.65%, 01/15/32 (a) | 52,000 | 41,455 |
| 3.75%, 02/15/52 (a) | 59,000 | 41,610 |
| Centene Corp. | | |
| 3.00%, 10/15/30 (a) | 49,000 | 40,144 |
| 3.38%, 02/15/30 (a) | 223,000 | 188,736 |
| 4.25%, 12/15/27 (a) | 370,000 | 347,448 |
| CenterPoint Energy Inc. | | |
| 2.65%, 06/01/31 (a) | 80,000 | 65,930 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | |
| 3.50%, 06/01/41 (a) | 68,000 | 44,718 |
| 3.70%, 04/01/51 (a) | 127,000 | 77,311 |
| 4.80%, 03/01/50 (a) | 102,000 | 74,636 |
| 5.05%, 03/30/29 (a) | 25,000 | 23,507 |
| 5.75%, 04/01/48 (a) | 27,000 | 22,205 |
| Cheniere Corpus Christi Holdings LLC | | |
| 5.88%, 03/31/25 (a) | 144,000 | 144,815 |
| 7.00%, 06/30/24 (a) | 282,000 | 286,989 |
| Cheniere Energy Partners LP | | |
| 4.50%, 10/01/29 | 195,000 | 175,504 |
| Chevron Corp. | | |
| 2.24%, 05/11/30 (a) | 23,000 | 19,691 |
| 3.08%, 05/11/50 (a) | 25,000 | 18,182 |
| Chevron USA Inc. | | |
| 3.85%, 01/15/28 (a) | 92,000 | 88,832 |
| 3.90%, 11/15/24 (a) | 26,000 | 25,562 |
| Choice Hotels International Inc. | | |
| 3.70%, 01/15/31 (a) | 53,000 | 45,088 |
| Chubb INA Holdings Inc. | | |
| 4.35%, 11/03/45 (a) | 35,000 | 30,374 |
| Church & Dwight Company Inc. | | |
| 2.30%, 12/15/31 (a) | 56,000 | 44,844 |
| Cigna Corp. | | |
| 2.40%, 03/15/30 (a) | 46,000 | 38,546 |
| 3.25%, 04/15/25 (a) | 42,000 | 40,455 |
| 3.40%, 03/01/27 - 03/15/50 (a) | 44,000 | 38,087 |
| 3.75%, 07/15/23 (a) | 12,000 | 11,912 |
| 3.88%, 10/15/47 (a) | 9,000 | 6,947 |
| 4.13%, 11/15/25 (a) | 65,000 | 63,560 |
| 4.38%, 10/15/28 (a) | 17,000 | 16,399 |
| 4.80%, 08/15/38 (a) | 15,000 | 13,978 |
| 4.90%, 12/15/48 (a) | 7,000 | 6,354 |
| Cintas Corp. No 2 | | |
| 4.00%, 05/01/32 (a) | 155,000 | 145,715 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Cisco Systems Inc. | | |
| 5.90%, 02/15/39 (a) | $ 24,000 | $ 25,907 |
| Citigroup Inc. | | |
| 4.45%, 09/29/27 (a) | 12,000 | 11,462 |
| 4.65%, 07/23/48 (a) | 103,000 | 89,557 |
| Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | | |
| 2.56%, 05/01/32 (a)(b) | 77,000 | 60,801 |
| Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | | |
| 2.98%, 11/05/30 (a)(b) | 36,000 | 30,261 |
| Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | | |
| 3.88%, 01/24/39 (a)(b) | 22,000 | 18,207 |
| Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | | |
| 4.70%, 12/31/99 (a)(b) | 94,000 | 78,273 |
| CME Group Inc. | | |
| 2.65%, 03/15/32 (a) | 55,000 | 46,124 |
| CMS Energy Corp. | | |
| 4.88%, 03/01/44 (a) | 81,000 | 73,705 |
| CNH Industrial Capital LLC | �� | |
| 1.95%, 07/02/23 (a) | 115,000 | 113,040 |
| Comcast Corp. | | |
| 2.65%, 08/15/62 (a) | 36,000 | 20,538 |
| 2.80%, 01/15/51 (a) | 43,000 | 27,401 |
| 2.89%, 11/01/51 (a) | 37,000 | 23,945 |
| 2.94%, 11/01/56 (a) | 54,000 | 33,870 |
| 2.99%, 11/01/63 (a) | 37,000 | 22,528 |
| 3.20%, 07/15/36 (a) | 46,000 | 37,295 |
| 3.25%, 11/01/39 (a) | 61,000 | 47,616 |
| 3.97%, 11/01/47 (a) | 55,000 | 44,125 |
| 4.15%, 10/15/28 (a) | 43,000 | 41,329 |
| CommonSpirit Health | | |
| 4.35%, 11/01/42 | 130,000 | 109,274 |
| Conagra Brands Inc. | | |
| 5.30%, 11/01/38 (a) | 19,000 | 17,972 |
| 5.40%, 11/01/48 (a) | 11,000 | 10,221 |
| ConocoPhillips Co. | | |
| 4.30%, 11/15/44 (a) | 45,000 | 38,973 |
| Consolidated Edison Company of New York Inc. | | |
| 2.90%, 12/01/26 (a) | 44,000 | 40,328 |
| 3.35%, 04/01/30 (a) | 20,000 | 17,945 |
| 3.88%, 06/15/47 (a) | 22,000 | 17,017 |
| 3.95%, 04/01/50 (a) | 18,000 | 14,316 |
| Constellation Brands Inc. | | |
| 3.15%, 08/01/29 (a) | 102,000 | 89,382 |
| 3.70%, 12/06/26 (a) | 45,000 | 42,823 |
| | Principal
Amount | Fair
Value |
| 4.50%, 05/09/47 (a) | $ 35,000 | $ 29,495 |
| Continental Resources Inc. | | |
| 2.88%, 04/01/32 (a)(f) | 80,000 | 59,401 |
| 3.80%, 06/01/24 (a) | 368,000 | 357,814 |
| Corebridge Financial Inc. | | |
| 3.90%, 04/05/32 (a)(f) | 240,000 | 210,216 |
| Corning Inc. | | |
| 4.38%, 11/15/57 (a) | 22,000 | 17,120 |
| Corporate Office Properties LP | | |
| 2.00%, 01/15/29 (a) | 85,000 | 65,436 |
| 2.25%, 03/15/26 (a) | 69,000 | 60,975 |
| 2.75%, 04/15/31 (a) | 42,000 | 31,440 |
| Crown Castle Inc. | | |
| 2.90%, 03/15/27 (a) | 170,000 | 154,749 |
| 3.30%, 07/01/30 (a) | 141,000 | 123,182 |
| 4.15%, 07/01/50 (a) | 30,000 | 23,096 |
| 5.20%, 02/15/49 (a) | 31,000 | 27,859 |
| CSL Finance PLC | | |
| 4.25%, 04/27/32 (a)(f) | 103,000 | 96,969 |
| CSX Corp. | | |
| 4.50%, 03/15/49 - 08/01/54 (a) | 79,000 | 68,291 |
| CubeSmart LP | | |
| 2.50%, 02/15/32 (a) | 94,000 | 71,982 |
| 4.38%, 02/15/29 (a) | 66,000 | 60,984 |
| Cummins Inc. | | |
| 1.50%, 09/01/30 (a) | 51,000 | 40,138 |
| 2.60%, 09/01/50 (a) | 51,000 | 31,822 |
| CVS Health Corp. | | |
| 3.00%, 08/15/26 (a) | 51,000 | 47,629 |
| 3.25%, 08/15/29 (a) | 40,000 | 35,786 |
| 3.63%, 04/01/27 (a) | 49,000 | 46,507 |
| 3.75%, 04/01/30 (a) | 35,000 | 31,764 |
| 3.88%, 07/20/25 (a) | 24,000 | 23,432 |
| 4.25%, 04/01/50 (a) | 23,000 | 18,467 |
| 4.30%, 03/25/28 (a) | 4,000 | 3,869 |
| 4.78%, 03/25/38 (a) | 26,000 | 23,823 |
| 5.00%, 12/01/24 (a) | 59,000 | 58,526 |
| 5.13%, 07/20/45 (a) | 27,000 | 24,602 |
| 5.30%, 12/05/43 (a) | 51,000 | 47,768 |
| Daimler Trucks Finance North America LLC | | |
| 2.00%, 12/14/26 (a)(f) | 274,000 | 240,736 |
| 2.38%, 12/14/28 (a)(f) | 155,000 | 130,566 |
| 2.50%, 12/14/31 (a)(f) | 155,000 | 120,440 |
| Danaher Corp. | | |
| 2.80%, 12/10/51 (a) | 130,000 | 86,490 |
| Dell International LLC/EMC Corp. | | |
| 4.00%, 07/15/24 (a) | 83,000 | 81,458 |
| 5.45%, 06/15/23 (a) | 11,000 | 11,001 |
| 6.02%, 06/15/26 (a) | 11,000 | 11,230 |
| 8.35%, 07/15/46 (a) | 2,000 | 2,294 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Deutsche Bank AG (2.31% fixed rate until 11/16/26; 1.22% + SOFR thereafter) | | |
| 2.31%, 11/16/27 (a)(b) | $ 320,000 | $ 271,862 |
| Deutsche Telekom AG | | |
| 3.63%, 01/21/50 (a)(f) | 191,000 | 137,736 |
| Devon Energy Corp. | | |
| 5.00%, 06/15/45 (a) | 15,000 | 12,910 |
| DH Europe Finance II Sarl | | |
| 2.60%, 11/15/29 (a) | 45,000 | 39,370 |
| 3.25%, 11/15/39 (a) | 24,000 | 19,249 |
| 3.40%, 11/15/49 (a) | 10,000 | 7,551 |
| Diamondback Energy Inc. | | |
| 3.13%, 03/24/31 (a) | 69,000 | 57,191 |
| 3.25%, 12/01/26 (a) | 43,000 | 40,058 |
| 3.50%, 12/01/29 (a) | 35,000 | 30,706 |
| 4.40%, 03/24/51 (a) | 25,000 | 19,117 |
| Digital Realty Trust LP | | |
| 3.60%, 07/01/29 (a) | 80,000 | 71,512 |
| Discover Bank | | |
| 2.70%, 02/06/30 (a) | 250,000 | 200,180 |
| Discovery Communications LLC | | |
| 3.95%, 03/20/28 (a) | 28,000 | 24,848 |
| 4.95%, 05/15/42 (a) | 7,000 | 5,292 |
| 5.00%, 09/20/37 (a) | 10,000 | 8,062 |
| Dollar General Corp. | | |
| 3.50%, 04/03/30 (a) | 29,000 | 25,991 |
| 4.13%, 04/03/50 (a) | 44,000 | 35,254 |
| Dollar Tree Inc. | | |
| 4.00%, 05/15/25 (a) | 51,000 | 49,807 |
| Dominion Energy Inc. | | |
| 3.07%, 08/15/24 (a)(g) | 66,000 | 63,597 |
| 3.38%, 04/01/30 (a) | 76,000 | 66,958 |
| Dover Corp. | | |
| 2.95%, 11/04/29 (a) | 51,000 | 44,329 |
| Dow Chemical Co. | | |
| 6.30%, 03/15/33 | 90,000 | 94,827 |
| DTE Energy Co. | | |
| 2.85%, 10/01/26 (a) | 22,000 | 20,273 |
| Duke Energy Carolinas LLC | | |
| 3.95%, 03/15/48 (a) | 26,000 | 20,941 |
| Duke Energy Corp. | | |
| 2.55%, 06/15/31 (a) | 114,000 | 93,033 |
| 3.30%, 06/15/41 (a) | 102,000 | 74,639 |
| 3.50%, 06/15/51 (a) | 87,000 | 61,073 |
| 3.75%, 09/01/46 (a) | 146,000 | 108,786 |
| 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 | 118,619 |
| Duke Energy Progress LLC | | |
| 4.15%, 12/01/44 (a) | 33,000 | 27,607 |
| | Principal
Amount | Fair
Value |
| DuPont de Nemours Inc. | | |
| 5.42%, 11/15/48 (a) | $ 10,000 | $ 9,548 |
| Duquesne Light Holdings Inc. | | |
| 3.62%, 08/01/27 (a)(f) | 64,000 | 57,003 |
| Eastman Chemical Co. | | |
| 4.65%, 10/15/44 (a) | 50,000 | 41,410 |
| Eaton Corp. | | |
| 3.10%, 09/15/27 (a) | 24,000 | 22,353 |
| Ecolab Inc. | | |
| 1.30%, 01/30/31 (a) | 51,000 | 38,909 |
| 5.25%, 01/15/28 | 244,000 | 248,707 |
| Edison International | | |
| 4.95%, 04/15/25 (a) | 121,000 | 119,473 |
| 5.75%, 06/15/27 (a) | 16,000 | 16,054 |
| EI du Pont de Nemours & Co. | | |
| 2.30%, 07/15/30 (a) | 35,000 | 29,300 |
| Electronic Arts Inc. | | |
| 1.85%, 02/15/31 (a) | 61,000 | 47,998 |
| Elevance Health Inc. | | |
| 2.88%, 09/15/29 (a) | 26,000 | 22,805 |
| 3.30%, 01/15/23 (a) | 51,000 | 50,973 |
| 3.60%, 03/15/51 (a) | 27,000 | 20,327 |
| 3.70%, 09/15/49 (a) | 26,000 | 19,861 |
| Emera US Finance LP | | |
| 2.64%, 06/15/31 (a) | 112,000 | 87,499 |
| Emerson Electric Co. | | |
| 1.80%, 10/15/27 (a) | 33,000 | 28,836 |
| 2.75%, 10/15/50 (a) | 32,000 | 20,764 |
| Empower Finance 2020 LP | | |
| 1.36%, 09/17/27 (a)(f) | 76,000 | 63,433 |
| 1.78%, 03/17/31 (a)(f) | 58,000 | 43,567 |
| Enbridge Energy Partners LP | | |
| 5.50%, 09/15/40 (a) | 6,000 | 5,615 |
| Enbridge Inc. | | |
| 1.60%, 10/04/26 (a) | 211,000 | 184,844 |
| Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | | |
| 5.75%, 07/15/80 (a)(b) | 129,000 | 116,598 |
| Energy Transfer LP | | |
| 4.25%, 03/15/23 (a) | 67,000 | 66,847 |
| 4.50%, 04/15/24 (a) | 46,000 | 45,362 |
| 4.95%, 06/15/28 (a) | 19,000 | 18,352 |
| 5.30%, 04/01/44 - 04/15/47 (a) | 83,000 | 69,759 |
| 5.35%, 05/15/45 (a) | 67,000 | 57,103 |
| 5.75%, 02/15/33 | 45,000 | 44,141 |
| 6.13%, 12/15/45 (a) | 8,000 | 7,418 |
| 6.50%, 02/01/42 (a) | 42,000 | 41,496 |
| 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 | 246,525 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Energy Transfer LP/Regency Energy Finance Corp. | | |
| 4.50%, 11/01/23 (a) | $ 30,000 | $ 29,740 |
| Enterprise Products Operating LLC | | |
| 4.25%, 02/15/48 (a) | 61,000 | 49,189 |
| 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) | 20,000 | 16,349 |
| EOG Resources Inc. | | |
| 4.15%, 01/15/26 (a) | 5,000 | 4,907 |
| 4.95%, 04/15/50 (a) | 24,000 | 22,956 |
| 5.10%, 01/15/36 (a) | 15,000 | 14,190 |
| Equinix Inc. | | |
| 1.25%, 07/15/25 (a) | 95,000 | 86,050 |
| 2.15%, 07/15/30 (a) | 72,000 | 57,409 |
| Equinor ASA | | |
| 3.25%, 11/18/49 (a) | 50,000 | 36,521 |
| ERP Operating LP | | |
| 4.50%, 07/01/44 (a) | 21,000 | 17,851 |
| Everest Reinsurance Holdings Inc. | | |
| 3.13%, 10/15/52 (a) | 28,000 | 17,399 |
| Eversource Energy | | |
| 3.45%, 01/15/50 (a) | 49,000 | 35,837 |
| Exelon Corp. | | |
| 4.05%, 04/15/30 (a) | 76,000 | 70,782 |
| 4.45%, 04/15/46 (a) | 50,000 | 42,402 |
| 4.70%, 04/15/50 (a) | 50,000 | 43,920 |
| Extra Space Storage LP | | |
| 3.90%, 04/01/29 (a) | 45,000 | 40,395 |
| Exxon Mobil Corp. | | |
| 2.61%, 10/15/30 (a) | 80,000 | 69,842 |
| 3.45%, 04/15/51 (a) | 80,000 | 60,639 |
| FedEx Corp. | | |
| 4.10%, 02/01/45 (a) | 100,000 | 77,347 |
| Fidelity National Financial Inc. | | |
| 3.20%, 09/17/51 (a) | 78,000 | 45,569 |
| Fidelity National Information Services Inc. | | |
| 1.15%, 03/01/26 (a) | 62,000 | 54,409 |
| 1.65%, 03/01/28 (a) | 56,000 | 46,563 |
| 3.10%, 03/01/41 (a) | 11,000 | 7,618 |
| FirstEnergy Transmission LLC | | |
| 4.55%, 04/01/49 (a)(f) | 84,000 | 68,379 |
| Fiserv Inc. | | |
| 3.50%, 07/01/29 (a) | 19,000 | 17,121 |
| 4.40%, 07/01/49 (a) | 19,000 | 15,453 |
| Florida Power & Light Co. | | |
| 2.85%, 04/01/25 (a) | 132,000 | 126,482 |
| 4.13%, 02/01/42 (a) | 35,000 | 30,314 |
| | Principal
Amount | Fair
Value |
| Flowers Foods Inc. | | |
| 2.40%, 03/15/31 (a) | $ 58,000 | $ 46,647 |
| Flowserve Corp. | | |
| 2.80%, 01/15/32 (a) | 79,000 | 59,033 |
| Ford Motor Co. | | |
| 4.35%, 12/08/26 (a) | 54,000 | 51,172 |
| Fox Corp. | | |
| 3.50%, 04/08/30 (a) | 51,000 | 45,100 |
| Freeport-McMoRan Inc. | | |
| 4.25%, 03/01/30 (a) | 87,000 | 79,389 |
| GA Global Funding Trust | | |
| 1.63%, 01/15/26 (a)(f) | 92,000 | 81,646 |
| General Dynamics Corp. | | |
| 4.25%, 04/01/50 (a) | 35,000 | 31,163 |
| General Mills Inc. | | |
| 3.00%, 02/01/51 (a) | 32,000 | 21,851 |
| General Motors Co. | | |
| 5.20%, 04/01/45 (a) | 6,000 | 4,906 |
| 5.40%, 04/01/48 (a) | 12,000 | 9,871 |
| 6.13%, 10/01/25 (a) | 98,000 | 99,907 |
| 6.80%, 10/01/27 (a) | 38,000 | 39,460 |
| General Motors Financial Company Inc. | | |
| 1.25%, 01/08/26 (a) | 116,000 | 102,262 |
| 2.35%, 01/08/31 (a) | 49,000 | 37,009 |
| 5.25%, 03/01/26 (a) | 38,000 | 37,422 |
| Genuine Parts Co. | | |
| 2.75%, 02/01/32 (a) | 51,000 | 41,034 |
| Georgia-Pacific LLC | | |
| 1.75%, 09/30/25 (a)(f) | 131,000 | 119,680 |
| 3.60%, 03/01/25 (a)(f) | 213,000 | 206,397 |
| Gilead Sciences Inc. | | |
| 2.60%, 10/01/40 (a) | 35,000 | 24,525 |
| 2.80%, 10/01/50 (a) | 54,000 | 34,947 |
| 2.95%, 03/01/27 (a) | 6,000 | 5,588 |
| 3.50%, 02/01/25 (a) | 21,000 | 20,343 |
| 3.65%, 03/01/26 (a) | 21,000 | 20,271 |
| 4.15%, 03/01/47 (a) | 20,000 | 16,558 |
| 4.75%, 03/01/46 | 49,000 | 44,302 |
| GlaxoSmithKline Capital Inc. | | |
| 3.63%, 05/15/25 (a) | 57,000 | 55,687 |
| GlaxoSmithKline Capital PLC | | |
| 3.38%, 06/01/29 (a) | 56,000 | 51,666 |
| Glencore Funding LLC | | |
| 3.88%, 04/27/51 (f) | 63,000 | 45,551 |
| Graphic Packaging International LLC | | |
| 1.51%, 04/15/26 (a)(f) | 76,000 | 66,372 |
| Gray Oak Pipeline LLC | | |
| 2.00%, 09/15/23 (a)(f) | 180,000 | 174,796 |
| 2.60%, 10/15/25 (a)(f) | 119,000 | 108,060 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| GSK Consumer Healthcare Capital U.S. LLC | | |
| 3.63%, 03/24/32 | $ 250,000 | $ 220,257 |
| GSK CONSUMER HEALTHCARE Co. GUAR 03/27 3.375 | | |
| 3.38%, 03/24/27 | 250,000 | 232,932 |
| Halliburton Co. | | |
| 3.80%, 11/15/25 (a) | 2,000 | 1,945 |
| 5.00%, 11/15/45 (a) | 21,000 | 18,618 |
| HCA Inc. | | |
| 3.13%, 03/15/27 (f) | 145,000 | 131,899 |
| 3.50%, 09/01/30 | 49,000 | 42,160 |
| 3.63%, 03/15/32 (f) | 77,000 | 65,129 |
| 4.63%, 03/15/52 (f) | 25,000 | 19,579 |
| 5.38%, 02/01/25 | 381,000 | 380,589 |
| Health Care Service Corp. | | |
| 2.20%, 06/01/30 (a)(f) | 71,000 | 56,838 |
| 3.20%, 06/01/50 (a)(f) | 25,000 | 17,373 |
| Healthcare Realty Holdings LP | | |
| 2.00%, 03/15/31 (a) | 38,000 | 28,735 |
| Helmerich & Payne Inc. | | |
| 2.90%, 09/29/31 | 39,000 | 31,576 |
| Hess Corp. | | |
| 5.60%, 02/15/41 | 7,000 | 6,628 |
| 5.80%, 04/01/47 (a) | 6,000 | 5,747 |
| Hewlett Packard Enterprise Co. | | |
| 6.35%, 10/15/45 (a) | 8,000 | 7,997 |
| Highwoods Realty LP | | |
| 4.13%, 03/15/28 (a) | 26,000 | 23,412 |
| 4.20%, 04/15/29 (a) | 70,000 | 60,572 |
| Honeywell International Inc. | | |
| 1.75%, 09/01/31 | 77,000 | 61,002 |
| 2.70%, 08/15/29 (a) | 3,000 | 2,666 |
| Hormel Foods Corp. | | |
| 1.80%, 06/11/30 (a) | 102,000 | 83,170 |
| HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | | |
| 2.01%, 09/22/28 (a)(b) | 330,000 | 275,408 |
| HSBC Holdings PLC (2.25% fixed rate until 11/22/26; 1.10% + SOFR thereafter) | | |
| 2.25%, 11/22/27 (b) | 200,000 | 173,252 |
| HSBC Holdings PLC (2.87% fixed rate until 11/22/31; 1.41% + SOFR thereafter) | | |
| 2.87%, 11/22/32 (b) | 200,000 | 153,154 |
| 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 | 405,868 |
| | Principal
Amount | Fair
Value |
| HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + 5 year US ISDA thereafter) | | |
| 6.00%, 05/22/27 (a)(b) | $ 465,000 | $ 427,465 |
| HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + 5 year US ISDA thereafter) | | |
| 6.50%, 03/23/28 (a)(b) | 205,000 | 189,078 |
| Humana Inc. | | |
| 1.35%, 02/03/27 (a) | 124,000 | 107,081 |
| 2.15%, 02/03/32 (a) | 64,000 | 50,060 |
| Huntington Bancshares Inc. | | |
| 2.55%, 02/04/30 (a) | 101,000 | 83,079 |
| Huntington Ingalls Industries Inc. | | |
| 2.04%, 08/16/28 (a) | 98,000 | 80,798 |
| Huntsman International LLC | | |
| 4.50%, 05/01/29 | 100,000 | 89,856 |
| Hyundai Capital America | | |
| 1.30%, 01/08/26 (a)(f) | 194,000 | 169,859 |
| Imperial Brands Finance PLC | | |
| 3.13%, 07/26/24 (a)(f) | 264,000 | 252,909 |
| 3.50%, 02/11/23 - 07/26/26 (a)(f) | 490,000 | 472,337 |
| Indiana Michigan Power Co. | | |
| 3.25%, 05/01/51 (a) | 51,000 | 34,893 |
| ING Groep N.V. 1.01% + SOFR | | |
| 5.33%, 04/01/27 (a)(b) | 470,000 | 452,460 |
| Ingredion Inc. | | |
| 3.90%, 06/01/50 (a) | 23,000 | 16,653 |
| Intel Corp. | | |
| 2.00%, 08/12/31 (a) | 78,000 | 61,859 |
| 2.80%, 08/12/41 (a) | 89,000 | 62,025 |
| 2.88%, 05/11/24 (a) | 10,000 | 9,738 |
| 3.10%, 02/15/60 (a) | 31,000 | 19,334 |
| Intercontinental Exchange Inc. | | |
| 2.65%, 09/15/40 (a) | 24,000 | 16,697 |
| International Business Machines Corp. | | |
| 3.45%, 02/19/26 (a) | 254,000 | 243,975 |
| 4.15%, 05/15/39 (a) | 150,000 | 129,147 |
| 4.25%, 05/15/49 (a) | 150,000 | 124,496 |
| International Paper Co. | | |
| 4.40%, 08/15/47 (a) | 35,000 | 28,812 |
| Interstate Power & Light Co. | | |
| 3.40%, 08/15/25 (a) | 185,000 | 176,355 |
| ITC Holdings Corp. | | |
| 2.95%, 05/14/30 (a)(f) | 127,000 | 107,404 |
| JAB HOLDINGS BV | | |
| 2.20%, 11/23/30 (a)(f) | 250,000 | 187,382 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Jabil Inc. | | |
| 4.25%, 05/15/27 (a) | $ 205,000 | $ 194,004 |
| John Deere Capital Corp. | | |
| 2.45%, 01/09/30 (a) | 127,000 | 109,489 |
| 3.90%, 06/07/32 (a) | 40,000 | 37,306 |
| Johnson & Johnson | | |
| 3.63%, 03/03/37 (a) | 22,000 | 19,579 |
| Johnson Controls International PLC | | |
| 4.50%, 02/15/47 (a) | 10,000 | 8,288 |
| JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | | |
| 1.58%, 04/22/27 (a)(b) | 142,000 | 124,981 |
| JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | | |
| 2.96%, 05/13/31 (a)(b) | 83,000 | 68,337 |
| JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | | |
| 3.16%, 04/22/42 (a)(b) | 68,000 | 49,437 |
| 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) | 28,000 | 23,251 |
| 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) | 155,000 | 119,452 |
| 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) | 85,000 | 81,143 |
| 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) | 31,000 | 28,716 |
| 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) | 20,000 | 15,875 |
| JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | | |
| 4.49%, 03/24/31 (a)(b) | 124,000 | 115,962 |
| | Principal
Amount | Fair
Value |
| JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | | |
| 4.60%, 12/31/99 (a)(b) | $ 147,000 | $ 130,526 |
| Kaiser Foundation Hospitals | | |
| 3.00%, 06/01/51 (a) | 69,000 | 46,922 |
| 3.27%, 11/01/49 (a) | 154,000 | 110,889 |
| Kansas City Southern/old | | |
| 3.50%, 05/01/50 (a) | 37,000 | 26,409 |
| Keurig Dr Pepper Inc. | | |
| 3.20%, 05/01/30 (a) | 57,000 | 49,603 |
| 3.80%, 05/01/50 (a) | 42,000 | 31,578 |
| Kinder Morgan Energy Partners LP | | |
| 4.70%, 11/01/42 (a) | 7,000 | 5,799 |
| 5.00%, 03/01/43 (a) | 21,000 | 17,978 |
| 6.38%, 03/01/41 (a) | 21,000 | 20,862 |
| Kinder Morgan Inc. | | |
| 1.75%, 11/15/26 (a) | 237,000 | 209,119 |
| 5.05%, 02/15/46 (a) | 20,000 | 17,048 |
| KLA Corp. | | |
| 3.30%, 03/01/50 (a) | 51,000 | 36,974 |
| 4.65%, 11/01/24 (a) | 21,000 | 20,964 |
| Kraft Heinz Foods Co. | | |
| 5.20%, 07/15/45 (a) | 77,000 | 70,952 |
| Kyndryl Holdings Inc. | | |
| 2.05%, 10/15/26 | 96,000 | 79,374 |
| 2.70%, 10/15/28 | 193,000 | 145,279 |
| L3Harris Technologies Inc. | | |
| 3.85%, 12/15/26 (a) | 36,000 | 34,397 |
| Lear Corp. | | |
| 4.25%, 05/15/29 (a) | 31,000 | 27,914 |
| Leidos Inc. | | |
| 2.95%, 05/15/23 (a) | 146,000 | 144,741 |
| 3.63%, 05/15/25 (a) | 40,000 | 38,443 |
| 4.38%, 05/15/30 (a) | 179,000 | 161,607 |
| Liberty Mutual Group Inc. | | |
| 3.95%, 05/15/60 (a)(f) | 22,000 | 14,469 |
| Life Storage LP | | |
| 2.20%, 10/15/30 (a) | 70,000 | 54,314 |
| Lincoln National Corp. | | |
| 4.35%, 03/01/48 (a) | 78,000 | 58,528 |
| Lincoln National Corp. (9.25% fixed rate until 12/01/27; 5.32% + 5 year CMT Rate thereafter) | | |
| 9.25%, 12/31/99 | 97,000 | 102,585 |
| 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 | 185,822 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Lockheed Martin Corp. | | |
| 3.55%, 01/15/26 (a) | $ 10,000 | $ 9,713 |
| 4.50%, 05/15/36 (a) | 46,000 | 43,822 |
| Lowe's Companies Inc. | | |
| 1.30%, 04/15/28 (a) | 30,000 | 24,914 |
| 1.70%, 09/15/28 - 10/15/30 (a) | 104,000 | 86,063 |
| 3.00%, 10/15/50 (a) | 48,000 | 30,780 |
| 3.70%, 04/15/46 (a) | 8,000 | 5,946 |
| 4.05%, 05/03/47 (a) | 36,000 | 28,266 |
| 5.63%, 04/15/53 | 73,000 | 70,356 |
| LYB International Finance III LLC | | |
| 1.25%, 10/01/25 (a) | 35,000 | 31,288 |
| 3.63%, 04/01/51 (a) | 49,000 | 32,842 |
| 3.80%, 10/01/60 (a) | 21,000 | 13,658 |
| Marsh & McLennan Companies Inc. | | |
| 2.90%, 12/15/51 (a) | 51,000 | 32,828 |
| McCormick & Company Inc. | | |
| 1.85%, 02/15/31 (a) | 33,000 | 25,532 |
| 3.25%, 11/15/25 (a) | 363,000 | 344,164 |
| McDonald's Corp. | | |
| 3.60%, 07/01/30 (a) | 76,000 | 69,730 |
| 3.63%, 09/01/49 (a) | 16,000 | 12,178 |
| 4.88%, 12/09/45 (a) | 20,000 | 18,540 |
| Medtronic Inc. | | |
| 4.63%, 03/15/45 (a) | 6,000 | 5,578 |
| Memorial Sloan-Kettering Cancer Center | | |
| 4.13%, 07/01/52 (a) | 88,000 | 72,780 |
| Mercedes-Benz Finance North America LLC | | |
| 5.38%, 11/26/25 | 245,000 | 246,497 |
| Merck & Company Inc. | | |
| 1.90%, 12/10/28 (a) | 132,000 | 113,602 |
| 2.45%, 06/24/50 (a) | 64,000 | 40,931 |
| 2.75%, 02/10/25 - 12/10/51 (a) | 78,000 | 63,065 |
| 2.90%, 12/10/61 (a) | 21,000 | 13,534 |
| 4.00%, 03/07/49 (a) | 14,000 | 11,997 |
| Meta Platforms Inc. | | |
| 3.85%, 08/15/32 | 171,000 | 150,469 |
| 4.45%, 08/15/52 | 171,000 | 135,885 |
| MetLife Inc. | | |
| 4.72%, 12/15/44 (a) | 32,000 | 28,984 |
| Microchip Technology Inc. | | |
| 2.67%, 09/01/23 (a) | 356,000 | 348,958 |
| Micron Technology Inc. | | |
| 3.37%, 11/01/41 (a) | 64,000 | 42,790 |
| 3.48%, 11/01/51 (a) | 89,000 | 55,441 |
| Microsoft Corp. | | |
| 2.40%, 08/08/26 (a) | 35,000 | 32,650 |
| 2.68%, 06/01/60 (a) | 14,000 | 9,048 |
| | Principal
Amount | Fair
Value |
| 2.92%, 03/17/52 (a) | $ 95,000 | $ 67,686 |
| 3.45%, 08/08/36 (a) | 10,000 | 8,874 |
| 3.50%, 02/12/35 (a) | 29,000 | 26,275 |
| Mid-America Apartments LP | | |
| 2.88%, 09/15/51 (a) | 77,000 | 49,388 |
| Molson Coors Beverage Co. | | |
| 4.20%, 07/15/46 (a) | 14,000 | 10,911 |
| Morgan Stanley | | |
| 3.70%, 10/23/24 (a) | 22,000 | 21,489 |
| 4.35%, 09/08/26 (a) | 102,000 | 99,142 |
| 4.38%, 01/22/47 (a) | 30,000 | 25,575 |
| Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | | |
| 1.51%, 07/20/27 (a)(b) | 78,000 | 67,739 |
| Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | | |
| 2.48%, 09/16/36 (a)(b) | 305,000 | 222,476 |
| Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | | |
| 2.80%, 01/25/52 (a)(b) | 150,000 | 93,153 |
| Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | | |
| 3.97%, 07/22/38 (a)(b) | 32,000 | 26,870 |
| MPLX LP | | |
| 2.65%, 08/15/30 (a) | 58,000 | 47,057 |
| 5.20%, 12/01/47 (a) | 14,000 | 11,931 |
| Mylan Inc. | | |
| 5.20%, 04/15/48 (a) | 20,000 | 14,975 |
| National Australia Bank Ltd. (3.35% fixed rate until 01/12/32; 1.70% + 5 year CMT Rate thereafter) | | |
| 3.35%, 01/12/37 (a)(b)(f) | 254,000 | 193,769 |
| National Retail Properties Inc. | | |
| 4.00%, 11/15/25 (a) | 44,000 | 42,391 |
| NewMarket Corp. | | |
| 2.70%, 03/18/31 (a) | 50,000 | 39,432 |
| Newmont Corp. | | |
| 4.88%, 03/15/42 (a) | 32,000 | 29,469 |
| 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) | 45,000 | 41,025 |
| NGPL PipeCo LLC | | |
| 3.25%, 07/15/31 (a)(f) | 101,000 | 82,283 |
| NIKE Inc. | | |
| 3.38%, 03/27/50 (a) | 20,000 | 15,672 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| NiSource Inc. | | |
| 3.60%, 05/01/30 (a) | $ 52,000 | $ 46,361 |
| 3.95%, 03/30/48 (a) | 10,000 | 7,810 |
| Norfolk Southern Corp. | | |
| 3.95%, 10/01/42 (a) | 31,000 | 25,531 |
| Northern Trust Corp. | | |
| 6.13%, 11/02/32 | 115,000 | 121,569 |
| NOV Inc. | | |
| 3.60%, 12/01/29 (a) | 76,000 | 66,847 |
| Novant Health Inc. | | |
| 3.32%, 11/01/61 (a) | 52,000 | 34,796 |
| Novartis Capital Corp. | | |
| 2.20%, 08/14/30 (a) | 76,000 | 64,597 |
| 3.00%, 11/20/25 (a) | 6,000 | 5,753 |
| Nutrien Ltd. | | |
| 4.90%, 06/01/43 (a) | 30,000 | 26,473 |
| NVIDIA Corp. | | |
| 3.50%, 04/01/50 (a) | 35,000 | 26,487 |
| NXP BV/NXP Funding LLC/NXP USA Inc. | | |
| 3.25%, 11/30/51 (a) | 100,000 | 62,438 |
| Oklahoma Gas & Electric Co. | | |
| 3.25%, 04/01/30 (a) | 43,000 | 37,362 |
| Oncor Electric Delivery Company LLC | | |
| 3.80%, 09/30/47 (a) | 10,000 | 8,139 |
| ONEOK Inc. | | |
| 4.35%, 03/15/29 (a) | 46,000 | 42,656 |
| 6.10%, 11/15/32 | 70,000 | 70,255 |
| Oracle Corp. | | |
| 2.30%, 03/25/28 (a) | 33,000 | 28,616 |
| 2.65%, 07/15/26 (a) | 49,000 | 45,056 |
| 2.88%, 03/25/31 (a) | 51,000 | 42,311 |
| 2.95%, 04/01/30 (a) | 76,000 | 64,874 |
| 3.60%, 04/01/50 (a) | 50,000 | 34,111 |
| 3.65%, 03/25/41 (a) | 54,000 | 39,923 |
| 3.80%, 11/15/37 (a) | 9,000 | 7,100 |
| 3.95%, 03/25/51 (a) | 29,000 | 20,894 |
| 4.00%, 07/15/46 - 11/15/47 (a) | 63,000 | 46,258 |
| 4.10%, 03/25/61 (a) | 65,000 | 45,388 |
| 6.15%, 11/09/29 | 170,000 | 176,735 |
| 6.90%, 11/09/52 | 45,000 | 48,696 |
| Otis Worldwide Corp. | | |
| 2.06%, 04/05/25 (a) | 89,000 | 83,337 |
| 2.57%, 02/15/30 (a) | 30,000 | 25,222 |
| 3.36%, 02/15/50 (a) | 32,000 | 22,435 |
| Pacific Gas & Electric Co. | | |
| 2.10%, 08/01/27 (a) | 43,000 | 36,818 |
| 2.50%, 02/01/31 (a) | 76,000 | 59,089 |
| 3.00%, 06/15/28 (a) | 72,000 | 62,412 |
| 3.30%, 08/01/40 (a) | 76,000 | 51,540 |
| 3.50%, 08/01/50 (a) | 30,000 | 18,883 |
| | Principal
Amount | Fair
Value |
| 4.30%, 03/15/45 (a) | $ 50,000 | $ 35,768 |
| PacifiCorp | | |
| 2.70%, 09/15/30 (a) | 46,000 | 39,526 |
| 2.90%, 06/15/52 (a) | 97,000 | 63,842 |
| 6.25%, 10/15/37 (a) | 2,000 | 2,125 |
| Packaging Corp. of America | | |
| 3.05%, 10/01/51 (a) | 68,000 | 43,666 |
| Paramount Global | | |
| 2.90%, 01/15/27 (a) | 21,000 | 18,851 |
| 3.70%, 06/01/28 (a) | 20,000 | 17,842 |
| 5.25%, 04/01/44 (a) | 6,000 | 4,623 |
| Parker-Hannifin Corp. | | |
| 3.25%, 06/14/29 (a) | 44,000 | 39,333 |
| 4.50%, 09/15/29 (a) | 75,000 | 72,126 |
| 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) | 40,000 | 34,226 |
| PayPal Holdings Inc. | | |
| 2.65%, 10/01/26 (a) | 66,000 | 60,962 |
| 3.25%, 06/01/50 (a) | 35,000 | 24,068 |
| PepsiCo Inc. | | |
| 1.63%, 05/01/30 (a) | 48,000 | 39,169 |
| 2.63%, 07/29/29 (a) | 65,000 | 57,403 |
| 2.75%, 10/21/51 (a) | 117,000 | 81,674 |
| Pfizer Inc. | | |
| 2.70%, 05/28/50 (a) | 92,000 | 62,629 |
| 3.45%, 03/15/29 (a) | 19,000 | 17,900 |
| 3.60%, 09/15/28 (a) | 49,000 | 46,959 |
| 3.90%, 03/15/39 (a) | 25,000 | 22,058 |
| 4.13%, 12/15/46 (a) | 21,000 | 18,574 |
| 4.40%, 05/15/44 (a) | 7,000 | 6,502 |
| Philip Morris International Inc. | | |
| 1.50%, 05/01/25 (a) | 56,000 | 51,802 |
| 2.10%, 05/01/30 (a) | 23,000 | 18,622 |
| 3.38%, 08/15/29 (a) | 34,000 | 30,644 |
| 4.13%, 03/04/43 (a) | 18,000 | 14,232 |
| 5.63%, 11/17/29 | 220,000 | 224,059 |
| Phillips 66 Co. | | |
| 2.15%, 12/15/30 (a) | 279,000 | 223,125 |
| 3.15%, 12/15/29 (a)(f) | 137,000 | 119,494 |
| 3.30%, 03/15/52 (a) | 83,000 | 57,581 |
| 3.75%, 03/01/28 (a)(f) | 10,000 | 9,225 |
| 4.68%, 02/15/45 (a)(f) | 24,000 | 20,871 |
| Pioneer Natural Resources Co. | | |
| 1.13%, 01/15/26 (a) | 78,000 | 69,509 |
| 2.15%, 01/15/31 (a) | 44,000 | 34,897 |
| Plains All American Pipeline LP/PAA Finance Corp. | | |
| 3.55%, 12/15/29 (a) | 59,000 | 51,276 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| PPL Capital Funding Inc. | | |
| 3.10%, 05/15/26 (a) | $ 54,000 | $ 50,533 |
| Precision Castparts Corp. | | |
| 4.38%, 06/15/45 (a) | 30,000 | 26,240 |
| Prologis LP | | |
| 3.05%, 03/01/50 | 20,000 | 13,491 |
| 3.25%, 06/30/26 | 20,000 | 18,996 |
| Prospect Capital Corp. | | |
| 3.36%, 11/15/26 (a) | 92,000 | 76,735 |
| Prudential Financial Inc. | | |
| 3.94%, 12/07/49 (a) | 52,000 | 40,821 |
| 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) | 46,000 | 44,068 |
| Public Service Company of Colorado | | |
| 3.70%, 06/15/28 (a) | 45,000 | 42,863 |
| Public Service Electric & Gas Co. | | |
| 2.38%, 05/15/23 (a) | 103,000 | 102,035 |
| PVH Corp. | | |
| 4.63%, 07/10/25 (a) | 144,000 | 139,056 |
| QUALCOMM Inc. | | |
| 1.30%, 05/20/28 (a) | 13,000 | 11,009 |
| 4.30%, 05/20/47 (a) | 7,000 | 6,070 |
| Quanta Services Inc. | | |
| 2.35%, 01/15/32 (a) | 84,000 | 63,847 |
| 3.05%, 10/01/41 (a) | 92,000 | 60,262 |
| Quest Diagnostics Inc. | | |
| 2.95%, 06/30/30 (a) | 18,000 | 15,562 |
| Raytheon Technologies Corp. | | |
| 1.90%, 09/01/31 (a) | 96,000 | 75,279 |
| 2.82%, 09/01/51 (a) | 64,000 | 41,741 |
| 3.13%, 05/04/27 (a) | 77,000 | 71,757 |
| 3.50%, 03/15/27 (a) | 25,000 | 23,819 |
| 3.95%, 08/16/25 (a) | 22,000 | 21,504 |
| 4.15%, 05/15/45 (a) | 27,000 | 22,513 |
| 4.45%, 11/16/38 (a) | 23,000 | 20,907 |
| Realty Income Corp. | | |
| 2.85%, 12/15/32 (a) | 46,000 | 37,364 |
| 3.00%, 01/15/27 (a) | 11,000 | 10,186 |
| 3.25%, 01/15/31 (a) | 48,000 | 41,628 |
| Regeneron Pharmaceuticals Inc. | | |
| 1.75%, 09/15/30 (a) | 89,000 | 68,906 |
| Regions Financial Corp. | | |
| 1.80%, 08/12/28 (a) | 195,000 | 165,438 |
| Republic Services Inc. | | |
| 2.38%, 03/15/33 (a) | 135,000 | 107,434 |
| Reynolds American Inc. | | |
| 4.45%, 06/12/25 (a) | 4,000 | 3,914 |
| | Principal
Amount | Fair
Value |
| Rio Tinto Finance USA Ltd. | | |
| 2.75%, 11/02/51 (a) | $ 126,000 | $ 83,604 |
| Rio Tinto Finance USA PLC | | |
| 4.13%, 08/21/42 | 18,000 | 15,533 |
| Rockwell Automation Inc. | | |
| 2.80%, 08/15/61 (a) | 26,000 | 15,586 |
| 4.20%, 03/01/49 (a) | 34,000 | 29,189 |
| Rogers Communications Inc. | | |
| 5.00%, 03/15/44 (a) | 10,000 | 8,516 |
| Roper Technologies Inc. | | |
| 2.95%, 09/15/29 (a) | 51,000 | 44,231 |
| Ross Stores Inc. | | |
| 4.70%, 04/15/27 (a) | 16,000 | 15,744 |
| Royalty Pharma PLC | | |
| 0.75%, 09/02/23 (a) | 57,000 | 55,237 |
| 1.20%, 09/02/25 (a) | 77,000 | 68,935 |
| 1.75%, 09/02/27 (a) | 37,000 | 31,428 |
| 2.15%, 09/02/31 (a) | 64,000 | 48,333 |
| 2.20%, 09/02/30 (a) | 13,000 | 10,158 |
| 3.30%, 09/02/40 (a) | 7,000 | 4,896 |
| RPM International Inc. | | |
| 3.75%, 03/15/27 (a) | 20,000 | 18,646 |
| Ryder System Inc. | | |
| 2.90%, 12/01/26 (a) | 134,000 | 122,007 |
| Salesforce Inc. | | |
| 1.95%, 07/15/31 (a) | 62,000 | 49,642 |
| 2.70%, 07/15/41 (a) | 83,000 | 59,308 |
| Santander UK Group Holdings PLC | | |
| 4.75%, 09/15/25 (a)(f) | 200,000 | 191,866 |
| Saudi Arabian Oil Co. | | |
| 3.50%, 04/16/29 (a)(f) | 254,000 | 233,190 |
| 4.38%, 04/16/49 (a)(f) | 254,000 | 218,039 |
| Schlumberger Holdings Corp. | | |
| 3.90%, 05/17/28 (a)(f) | 39,000 | 36,429 |
| Sealed Air Corp. | | |
| 1.57%, 10/15/26 (a)(f) | 352,000 | 303,948 |
| Selective Insurance Group Inc. | | |
| 5.38%, 03/01/49 (a) | 19,000 | 16,200 |
| Sempra Energy | | |
| 3.80%, 02/01/38 (a) | 10,000 | 8,199 |
| 4.00%, 02/01/48 (a) | 16,000 | 12,580 |
| Sempra Energy (4.13% fixed rate until 01/01/27; 2.87% + 5 year CMT Rate thereafter) | | |
| 4.13%, 04/01/52 (a)(b) | 122,000 | 96,069 |
| Shell International Finance BV | | |
| 3.13%, 11/07/49 (a) | 48,000 | 33,925 |
| 3.75%, 09/12/46 (a) | 16,000 | 12,678 |
| Shire Acquisitions Investments Ireland DAC | | |
| 2.88%, 09/23/23 (a) | 4,000 | 3,930 |
| 3.20%, 09/23/26 (a) | 8,000 | 7,520 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Simon Property Group LP | | |
| 3.38%, 06/15/27 (a) | $ 27,000 | $ 25,199 |
| Sonoco Products Co. | | |
| 2.85%, 02/01/32 (a) | 94,000 | 76,318 |
| Southern California Edison Co. | | |
| 4.00%, 04/01/47 (a) | 91,000 | 71,450 |
| 4.20%, 03/01/29 (a) | 66,000 | 62,786 |
| Southern Company Gas Capital Corp. | | |
| 3.95%, 10/01/46 (a) | 49,000 | 36,882 |
| 4.40%, 05/30/47 (a) | 7,000 | 5,590 |
| Southwest Airlines Co. | | |
| 2.63%, 02/10/30 (a) | 76,000 | 62,896 |
| Southwestern Electric Power Co. | | |
| 2.75%, 10/01/26 (a) | 32,000 | 29,341 |
| Spectra Energy Partners LP | | |
| 3.38%, 10/15/26 (a) | 8,000 | 7,467 |
| 4.50%, 03/15/45 (a) | 7,000 | 5,757 |
| Stanley Black & Decker Inc. | | |
| 3.00%, 05/15/32 (a) | 109,000 | 92,016 |
| Starbucks Corp. | | |
| 4.00%, 11/15/28 (a) | 20,000 | 19,057 |
| STERIS Irish FinCo UnLtd Co. | | |
| 2.70%, 03/15/31 (a) | 198,000 | 160,865 |
| Stryker Corp. | | |
| 1.95%, 06/15/30 (a) | 102,000 | 83,003 |
| Sumitomo Mitsui Financial Group Inc. | | |
| 4.44%, 04/02/24 (a)(f) | 466,000 | 458,316 |
| Sumitomo Mitsui Trust Bank Ltd. | | |
| 1.35%, 09/16/26 (a)(f) | 484,000 | 420,373 |
| Suncor Energy Inc. | | |
| 4.00%, 11/15/47 (a) | 8,000 | 6,081 |
| 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)(f) | 250,000 | 219,040 |
| Sysco Corp. | | |
| 3.25%, 07/15/27 (a) | 22,000 | 20,359 |
| 5.95%, 04/01/30 (a) | 8,000 | 8,296 |
| 6.60%, 04/01/50 (a) | 11,000 | 11,982 |
| Takeda Pharmaceutical Company Ltd. | | |
| 2.05%, 03/31/30 (a) | 200,000 | 163,222 |
| 3.18%, 07/09/50 (a) | 200,000 | 136,802 |
| Take-Two Interactive Software Inc. | | |
| 3.70%, 04/14/27 (a) | 235,000 | 221,210 |
| 4.00%, 04/14/32 (a) | 50,000 | 44,230 |
| | Principal
Amount | Fair
Value |
| Tampa Electric Co. | | |
| 2.40%, 03/15/31 (a) | $ 95,000 | $ 76,941 |
| 3.45%, 03/15/51 (a) | 54,000 | 37,965 |
| 4.35%, 05/15/44 (a) | 64,000 | 52,557 |
| Tapestry Inc. | | |
| 4.13%, 07/15/27 (a) | 9,000 | 8,420 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | |
| 5.00%, 01/15/28 (a) | 230,000 | 219,678 |
| Target Corp. | | |
| 2.50%, 04/15/26 (a) | 26,000 | 24,358 |
| Teck Resources Ltd. | | |
| 5.40%, 02/01/43 (a) | 25,000 | 22,438 |
| Texas Instruments Inc. | | |
| 3.88%, 03/15/39 (a) | 36,000 | 31,766 |
| The Allstate Corp. | | |
| 4.20%, 12/15/46 (a) | 66,000 | 54,621 |
| 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) | 98,000 | 92,296 |
| The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | | |
| 4.63%, 12/31/99 (a)(b) | 50,000 | 42,643 |
| The Boeing Co. | | |
| 2.20%, 02/04/26 (a) | 145,000 | 131,793 |
| 2.70%, 02/01/27 (a) | 124,000 | 111,971 |
| 2.95%, 02/01/30 (a) | 28,000 | 23,701 |
| 3.25%, 03/01/28 (a) | 7,000 | 6,266 |
| 3.55%, 03/01/38 (a) | 6,000 | 4,420 |
| 3.75%, 02/01/50 (a) | 30,000 | 20,679 |
| 5.04%, 05/01/27 (a) | 181,000 | 179,109 |
| 5.15%, 05/01/30 (a) | 101,000 | 98,502 |
| 5.81%, 05/01/50 (a) | 62,000 | 57,685 |
| The Charles Schwab Corp. | | |
| 2.45%, 03/03/27 (a) | 80,000 | 73,118 |
| 2.90%, 03/03/32 (a) | 45,000 | 38,237 |
| 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) | 126,000 | 100,184 |
| The Cleveland Electric Illuminating Co. | | |
| 4.55%, 11/15/30 (a)(f) | 123,000 | 115,169 |
| The Clorox Co. | | |
| 1.80%, 05/15/30 (a) | 70,000 | 55,710 |
| The Coca-Cola Co. | | |
| 2.60%, 06/01/50 (a) | 51,000 | 34,279 |
| 2.75%, 06/01/60 (a) | 38,000 | 25,573 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| The Dow Chemical Co. | | |
| 2.10%, 11/15/30 (a) | $ 37,000 | $ 29,749 |
| 3.60%, 11/15/50 (a) | 37,000 | 26,674 |
| 4.25%, 10/01/34 (a) | 23,000 | 20,671 |
| 5.55%, 11/30/48 (a) | 24,000 | 22,497 |
| The Estee Lauder Companies Inc. | | |
| 2.38%, 12/01/29 (a) | 35,000 | 30,051 |
| The George Washington University | | |
| 4.13%, 09/15/48 | 100,000 | 83,670 |
| The Goldman Sachs Group Inc. | | |
| 3.85%, 01/26/27 (a) | 219,000 | 208,519 |
| 4.25%, 10/21/25 (a) | 5,000 | 4,891 |
| 5.15%, 05/22/45 (a) | 24,000 | 21,706 |
| The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | | |
| 1.54%, 09/10/27 (b) | 93,000 | 80,343 |
| The Goldman Sachs Group Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) | | |
| 2.38%, 07/21/32 (b) | 52,000 | 40,310 |
| The Goldman Sachs Group Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) | | |
| 2.91%, 07/21/42 (b) | 39,000 | 26,589 |
| The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | | |
| 3.21%, 04/22/42 (b) | 61,000 | 43,907 |
| The Goldman Sachs Group Inc. (3.44% fixed rate until 02/24/42; 1.63% + SOFR thereafter) | | |
| 3.44%, 02/24/43 (b) | 98,000 | 72,215 |
| 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) | 24,000 | 21,835 |
| 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) | 27,000 | 22,144 |
| | Principal
Amount | Fair
Value |
| 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) | $ 44,000 | $ 40,982 |
| The Hartford Financial Services Group Inc. | | |
| 2.80%, 08/19/29 (a) | 108,000 | 92,371 |
| The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR | | |
| 6.73%, 02/12/67 (a)(b)(f) | 67,000 | 55,992 |
| The Home Depot Inc. | | |
| 2.70%, 04/15/30 (a) | 27,000 | 23,573 |
| 3.35%, 04/15/50 (a) | 50,000 | 37,260 |
| 3.50%, 09/15/56 (a) | 30,000 | 22,453 |
| 3.90%, 12/06/28 - 06/15/47 (a) | 42,000 | 37,726 |
| 4.50%, 12/06/48 (a) | 19,000 | 17,399 |
| 4.95%, 09/15/52 | 30,000 | 28,986 |
| The Kroger Co. | | |
| 2.20%, 05/01/30 (a) | 44,000 | 35,603 |
| 4.65%, 01/15/48 (a) | 14,000 | 12,088 |
| The Northwestern Mutual Life Insurance Co. | | |
| 3.45%, 03/30/51 (a)(f) | 108,000 | 75,947 |
| The Progressive Corp. | | |
| 3.00%, 03/15/32 (a) | 148,000 | 128,539 |
| 3.70%, 03/15/52 (a) | 25,000 | 19,234 |
| The Southern Co. | | |
| 3.25%, 07/01/26 (a) | 10,000 | 9,420 |
| 3.70%, 04/30/30 | 97,000 | 87,629 |
| The Toronto-Dominion Bank | | |
| 3.20%, 03/10/32 (a) | 205,000 | 176,663 |
| 4.46%, 06/08/32 (a) | 105,000 | 99,815 |
| The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + 5 year Swap Rate thereafter) | | |
| 3.63%, 09/15/31 (a)(b) | 38,000 | 34,991 |
| The Travelers Companies Inc. | | |
| 2.55%, 04/27/50 (a) | 81,000 | 50,589 |
| The Walt Disney Co. | | |
| 2.65%, 01/13/31 (a) | 76,000 | 64,936 |
| 3.38%, 11/15/26 (a) | 7,000 | 6,620 |
| 3.60%, 01/13/51 (a) | 48,000 | 36,807 |
| 4.75%, 11/15/46 (a) | 7,000 | 6,406 |
| 6.65%, 11/15/37 (a) | 50,000 | 56,284 |
| The Williams Companies Inc. | | |
| 3.75%, 06/15/27 (a) | 7,000 | 6,598 |
| 4.85%, 03/01/48 (a) | 22,000 | 18,744 |
| 4.90%, 01/15/45 (a) | 58,000 | 49,328 |
| 5.30%, 08/15/52 | 40,000 | 36,033 |
| 5.40%, 03/04/44 (a) | 7,000 | 6,386 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| The Williams Cos. Inc. | | |
| 6.10%, 10/15/52 | $ 40,000 | $ 43,079 |
| Thermo Fisher Scientific Inc. | | |
| 2.80%, 10/15/41 (a) | 56,000 | 41,269 |
| Time Warner Cable LLC | | |
| 6.55%, 05/01/37 | 21,000 | 19,914 |
| T-Mobile USA Inc. | | |
| 3.50%, 04/15/25 (a) | 90,000 | 86,641 |
| 3.75%, 04/15/27 (a) | 114,000 | 107,485 |
| 3.88%, 04/15/30 (a) | 28,000 | 25,416 |
| 4.50%, 04/15/50 (a) | 22,000 | 18,165 |
| TotalEnergies Capital International S.A. | | |
| 3.46%, 02/19/29 (a) | 53,000 | 49,206 |
| Trane Technologies Luxembourg Finance S.A. | | |
| 3.55%, 11/01/24 (a) | 48,000 | 46,711 |
| 3.80%, 03/21/29 (a) | 10,000 | 9,218 |
| TransCanada PipeLines Ltd. | | |
| 4.25%, 05/15/28 (a) | 67,000 | 63,643 |
| 4.88%, 01/15/26 (a) | 14,000 | 13,929 |
| Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | | |
| 5.63%, 05/20/75 (a)(b) | 145,000 | 137,154 |
| Transcontinental Gas Pipe Line Company LLC | | |
| 4.00%, 03/15/28 (a) | 27,000 | 25,384 |
| 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) | 197,000 | 177,674 |
| TWDC Enterprises 18 Corp. | | |
| 4.13%, 06/01/44 (a) | 7,000 | 6,048 |
| Tyco Electronics Group S.A. | | |
| 3.13%, 08/15/27 (a) | 26,000 | 23,987 |
| Tyson Foods Inc. | | |
| 4.00%, 03/01/26 (a) | 123,000 | 118,995 |
| 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)(f) | 259,000 | 218,728 |
| UDR Inc. | | |
| 2.10%, 08/01/32 (a) | 64,000 | 47,532 |
| 3.00%, 08/15/31 (a) | 38,000 | 31,717 |
| 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)(f) | 360,000 | 318,640 |
| Union Pacific Corp. | | |
| 3.55%, 05/20/61 (a) | 59,000 | 43,167 |
| 3.60%, 09/15/37 (a) | 10,000 | 8,475 |
| | Principal
Amount | Fair
Value |
| 3.80%, 04/06/71 (a) | $ 29,000 | $ 21,409 |
| 4.10%, 09/15/67 (a) | 21,000 | 16,550 |
| UnitedHealth Group Inc. | | |
| 2.00%, 05/15/30 (a) | 80,000 | 66,211 |
| 4.20%, 05/15/32 (a) | 80,000 | 76,038 |
| 4.45%, 12/15/48 (a) | 49,000 | 43,693 |
| 4.75%, 07/15/45 - 05/15/52 (a) | 88,000 | 81,753 |
| 6.05%, 02/15/63 | 30,000 | 33,035 |
| Utah Acquisition Sub Inc. | | |
| 3.95%, 06/15/26 (a) | 8,000 | 7,477 |
| Ventas Realty LP | | |
| 3.25%, 10/15/26 (a) | 36,000 | 33,306 |
| Verizon Communications Inc. | | |
| 2.10%, 03/22/28 (a) | 101,000 | 87,616 |
| 2.36%, 03/15/32 (a) | 137,000 | 108,646 |
| 2.55%, 03/21/31 (a) | 95,000 | 78,185 |
| 3.00%, 03/22/27 (a) | 180,000 | 167,378 |
| 3.40%, 03/22/41 (a) | 69,000 | 51,961 |
| 3.55%, 03/22/51 (a) | 50,000 | 35,793 |
| 3.70%, 03/22/61 (a) | 75,000 | 52,571 |
| 4.40%, 11/01/34 (a) | 52,000 | 47,807 |
| 4.86%, 08/21/46 (a) | 114,000 | 103,263 |
| Viatris Inc. | | |
| 4.00%, 06/22/50 | 24,000 | 14,867 |
| Virginia Electric & Power Co. | | |
| 4.00%, 11/15/46 (a) | 55,000 | 43,552 |
| Visa Inc. | | |
| 2.70%, 04/15/40 (a) | 51,000 | 38,628 |
| Vistra Operations Company LLC | | |
| 3.55%, 07/15/24 (a)(f) | 179,000 | 171,777 |
| Viterra Finance BV | | |
| 2.00%, 04/21/26 (a)(f) | 373,000 | 322,220 |
| Vodafone Group PLC | | |
| 5.25%, 05/30/48 (a) | 21,000 | 18,647 |
| Volkswagen Group of America Finance LLC | | |
| 1.63%, 11/24/27 (a)(f) | 232,000 | 194,511 |
| Vontier Corp. | | |
| 2.40%, 04/01/28 (a) | 133,000 | 104,992 |
| 2.95%, 04/01/31 (a) | 102,000 | 74,169 |
| Vornado Realty LP | | |
| 2.15%, 06/01/26 (a) | 120,000 | 101,654 |
| 3.50%, 01/15/25 (a) | 23,000 | 21,608 |
| Walgreens Boots Alliance Inc. | | |
| 4.10%, 04/15/50 (a) | 6,000 | 4,415 |
| Walmart Inc. | | |
| 1.80%, 09/22/31 (a) | 64,000 | 52,184 |
| 2.50%, 09/22/41 (a) | 64,000 | 46,738 |
| 2.65%, 09/22/51 (a) | 31,000 | 21,233 |
| Warnermedia Holdings Inc. | | |
| 5.05%, 03/15/42 (a)(f) | 25,000 | 19,225 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| 5.14%, 03/15/52 (a)(f) | $ 25,000 | $ 18,357 |
| 5.39%, 03/15/62 (a)(f) | 25,000 | 18,314 |
| Waste Connections Inc. | | |
| 2.20%, 01/15/32 (a) | 89,000 | 70,799 |
| 2.95%, 01/15/52 (a) | 89,000 | 59,249 |
| WEC Energy Group Inc. | | |
| 3.55%, 06/15/25 (a) | 10,000 | 9,565 |
| Wells Fargo & Co. | | |
| 4.15%, 01/24/29 (a) | 87,000 | 81,741 |
| 4.75%, 12/07/46 (a) | 87,000 | 72,889 |
| Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | | |
| 1.65%, 06/02/24 (a)(b) | 96,000 | 94,474 |
| Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | | |
| 2.19%, 04/30/26 (a)(b) | 115,000 | 107,036 |
| Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | | |
| 2.39%, 06/02/28 (a)(b) | 208,000 | 183,439 |
| Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | | |
| 3.07%, 04/30/41 (a)(b) | 105,000 | 75,063 |
| 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) | 238,000 | 220,940 |
| Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | | |
| 5.88%, 12/31/99 (a)(b) | 165,000 | 160,335 |
| Westlake Corp. | | |
| 2.88%, 08/15/41 (a) | 35,000 | 22,983 |
| 3.13%, 08/15/51 (a) | 40,000 | 24,850 |
| 3.38%, 08/15/61 (a) | 39,000 | 23,019 |
| 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) | 80,000 | 73,343 |
| 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) | 57,000 | 48,823 |
| Weyerhaeuser Co. | | |
| 4.00%, 03/09/52 (a) | 70,000 | 53,060 |
| Willis North America Inc. | | |
| 3.88%, 09/15/49 (a) | 51,000 | 36,277 |
| Workday Inc. | | |
| 3.50%, 04/01/27 (a) | 85,000 | 79,502 |
| | Principal
Amount | Fair
Value |
| 3.70%, 04/01/29 (a) | $ 170,000 | $ 155,941 |
| WPP Finance 2010 | | |
| 3.75%, 09/19/24 (a) | 31,000 | 30,025 |
| Xcel Energy Inc. | | |
| 3.40%, 06/01/30 (a) | 61,000 | 54,409 |
| Yamana Gold Inc. | | |
| 2.63%, 08/15/31 (a) | 102,000 | 76,378 |
| Zoetis Inc. | | |
| 3.00%, 09/12/27 (a) | 7,000 | 6,472 |
| 3.90%, 08/20/28 (a) | 27,000 | 25,669 |
| 5.60%, 11/16/32 | 160,000 | 166,010 |
| | | 54,182,503 |
| Non-Agency Collateralized Mortgage Obligations - 6.0% |
| BANK 2017-BNK7 | | |
| 3.18%, 09/15/60 | 2,398,000 | 2,180,963 |
| BANK 2018-BNK15 | | |
| 4.41%, 11/15/61 (b) | 1,001,000 | 958,763 |
| BPR Trust 2022-OANA 1.90% + 1 month Term SOFR | | |
| 6.23%, 04/15/37 (b)(f) | 372,398 | 366,704 |
| Cantor Commercial Real Estate Lending 2019-CF3 | | |
| 3.01%, 01/15/53 | 460,000 | 397,217 |
| CD 2019-CD8 Mortgage Trust | | |
| 2.91%, 08/15/57 | 839,000 | 724,835 |
| Citigroup Commercial Mortgage Trust 2016-P6 | | |
| 4.03%, 12/10/49 (b) | 336,823 | 307,910 |
| COMM 2012-CCRE3 Mortgage Trust | | |
| 3.92%, 10/15/45 (f) | 191,000 | 169,660 |
| COMM 2013-LC13 Mortgage Trust | | |
| 4.56%, 08/10/46 (b)(f) | 170,000 | 168,111 |
| COMM 2014-CR14 Mortgage Trust | | |
| 4.53%, 02/10/47 (b) | 240,000 | 233,821 |
| GS Mortgage Securities Trust 2015-GS1 | | |
| 4.42%, 11/10/48 (b) | 380,000 | 304,940 |
| GS Mortgage Securities Trust 2018-GS9 | | |
| 4.14%, 03/10/51 (b) | 291,000 | 266,864 |
| GS Mortgage Securities Trust 2019-GC42 | | |
| 2.75%, 09/01/52 | 1,523,000 | 1,303,359 |
| GS Mortgage Securities Trust 2019-GSA1 | | |
| 3.05%, 11/10/52 | 743,000 | 646,109 |
| Impac CMB Trust 2004-5 0.72% + 1 month USD LIBOR | | |
| 5.11%, 10/25/34 (b) | 16,737 | 16,015 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| JPMBB Commercial Mortgage Securities Trust 2013-C12 | | |
| 4.05%, 07/15/45 (b) | $ 125,000 | $ 123,538 |
| JPMBB Commercial Mortgage Securities Trust 2015-C32 | | |
| 4.65%, 11/15/48 (b) | 250,000 | 181,242 |
| MASTR Alternative Loan Trust 2003-5 | | |
| 5.00%, 08/25/18 (d) | 1,531 | 190 |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | | |
| 0.85%, 03/15/48 (b)(d) | 3,043,098 | 40,603 |
| Wells Fargo Commercial Mortgage Trust 2014-LC16 | | |
| 4.32%, 08/15/50 | 485,082 | 409,218 |
| Wells Fargo Commercial Mortgage Trust 2015-C26 | | |
| 1.20%, 02/15/48 (b)(d) | 2,421,617 | 47,826 |
| WFRBS Commercial Mortgage Trust 2013-C17 | | |
| 4.26%, 12/15/46 | 235,000 | 230,630 |
| WFRBS Commercial Mortgage Trust 2014-LC14 | | |
| 4.35%, 03/15/47 (b) | 533,000 | 515,904 |
| | | 9,594,422 |
| Sovereign Bonds - 1.1% |
| Government of Chile | | |
| 2.55%, 01/27/32 (a) | 290,000 | 237,704 |
| 3.86%, 06/21/47 (a) | 200,000 | 156,444 |
| Government of Mexico | | |
| 4.75%, 03/08/44 (a) | 200,000 | 161,558 |
| Government of Panama | | |
| 3.16%, 01/23/30 (a) | 200,000 | 172,108 |
| 3.87%, 07/23/60 (a) | 200,000 | 129,410 |
| Government of Peru | | |
| 1.86%, 12/01/32 (a) | 140,000 | 102,371 |
| 2.78%, 12/01/60 (a) | 230,000 | 135,024 |
| 5.63%, 11/18/50 (a) | 105,000 | 104,184 |
| Government of Philippines | | |
| 3.95%, 01/20/40 (a) | 200,000 | 169,342 |
| Government of Qatar | | |
| 4.82%, 03/14/49 (a)(f) | 258,000 | 250,709 |
| Government of Uruguay | | |
| 5.10%, 06/18/50 (a) | 105,744 | 103,890 |
| | | 1,722,744 |
| | Principal
Amount | Fair
Value |
| Municipal Bonds and Notes - 0.4% |
| American Municipal Power Inc. | | |
| 6.27%, 02/15/50 | $ 130,000 | $ 137,432 |
| Board of Regents of the University of Texas System | | |
| 3.35%, 08/15/47 | 115,000 | 88,439 |
| Port Authority of New York & New Jersey | | |
| 4.46%, 10/01/62 | 220,000 | 190,903 |
| State of California | | |
| 4.60%, 04/01/38 | 200,000 | 188,274 |
| State of Illinois | | |
| 5.10%, 06/01/33 | 95,000 | 91,175 |
| | | 696,223 |
Total Bonds and Notes
(Cost $173,861,205) | | 155,727,494 |
| | Number
of Shares | |
| Domestic Equity - 0.1% |
| Preferred Stock - 0.1% |
Wells Fargo & Co. 5.85%, (5.85% fixed rate until 09/15/23; 3.09% + 3 month USD LIBOR thereafter)
(Cost $186,475) (b) | 7,459 | 171,631 |
Total Investments in Securities
(Cost $174,047,680) | | 155,899,125 |
| Short-Term Investments - 21.2% |
State Street Institutional U.S. Government Money Market Fund - Class G Shares 4.16% (h)(i)
(Cost $33,943,475) | 33,943,475 | 33,943,475 |
Total Investments
(Cost $207,991,155) | | 189,842,600 |
| Liabilities in Excess of Other Assets, net - (18.4)% | | (29,556,340) |
| NET ASSETS - 100.0% | | $ 160,286,260 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
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 | $6,182 | 5.00%/
Quarterly | 12/20/27 | $36,109 | $(244,983) | $281,092 |
| The Fund had the following long futures contracts open at December 31, 2022: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| U.S. Long Bond Futures | March 2023 | 18 | $ 2,276,901 | $ 2,256,188 | $ (20,713) |
| U.S. Ultra Long-Term Treasury Bond Futures | March 2023 | 18 | 2,443,057 | 2,417,625 | (25,432) |
| 2 Yr. U.S. Treasury Notes Futures | March 2023 | 82 | 16,789,136 | 16,816,406 | 27,270 |
| | | | | | $ (18,875) |
| The Fund had the following short futures contracts open at December 31, 2022: |
| Description | Expiration
date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | March 2023 | 57 | $ (6,448,131) | $ (6,400,922) | $ 47,209 |
| 10 Yr. U.S. Treasury Ultra Futures | March 2023 | 7 | (837,334) | (827,969) | 9,366 |
| 5 Yr. U.S. Treasury Notes Futures | March 2023 | 52 | (5,621,184) | (5,612,344) | 8,840 |
| | | | | | $ 65,415 |
| During the fiscal year ended December 31, 2022, average notional values related to derivative contracts were as follows: |
| | Long
Futures
Contracts | Short
Futures
Contracts | Credit
Default
Swap
Contracts |
| Average Notional Value | $27,601,015 | $15,107,839 | $8,022,577 |
Notes to Schedule of Investments – December 31, 2022
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, 2022, 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, 2022. 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. |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Income Fund
Schedule of Investments, continued — December 31, 2022
| (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) | 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, 2022, these securities amounted to $10,189,195 or 6.36% 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. |
| (g) | Step coupon bond. |
| (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, 2022. |
| ** | Amount is less than $0.50. |
| Abbreviations: |
| CMT - Constant Maturity Treasury |
| ISDA - International Swaps and Derivatives Association |
| 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, 2022:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| U.S. Treasuries | $ — | | $ 38,051,656 | | $ — | | $ 38,051,656 |
| Agency Mortgage Backed | — | | 49,954,044 | | — | | 49,954,044 |
| Agency Collateralized Mortgage Obligations | — | | 1,199,584 | | — | | 1,199,584 |
| Asset Backed | — | | 326,318 | | — | | 326,318 |
| Corporate Notes | — | | 54,182,503 | | — | | 54,182,503 |
| Non-Agency Collateralized Mortgage Obligations | — | | 9,594,422 | | — | | 9,594,422 |
| Sovereign Bonds | — | | 1,722,744 | | — | | 1,722,744 |
| Municipal Bonds and Notes | — | | 696,223 | | — | | 696,223 |
| Preferred Stock | 171,631 | | — | | — | | 171,631 |
| Short-Term Investments | 33,943,475 | | — | | — | | 33,943,475 |
| Total Investments in Securities | $ 34,115,106 | | $ 155,727,494 | | $ — | | $ 189,842,600 |
| Other Financial Instruments | | | | | | | |
| Credit Default Swap Contracts - Unrealized Appreciation | $ — | | $ 281,092 | | $ — | | $ 281,092 |
| Long Futures Contracts - Unrealized Appreciation | 27,270 | | — | | — | | 27,270 |
| Long Futures Contracts - Unrealized Depreciation | (46,145) | | — | | — | | (46,145) |
| Short Futures Contracts - Unrealized Appreciation | 65,415 | | — | | — | | 65,415 |
| Total Other Financial Instruments | $ 46,540 | | $ 281,092 | | $ — | | $ 327,632 |
| | Number
of Shares
Held at
12/31/21 | Value at
12/31/21 | Cost of
Purchases | Proceeds
from
Shares
Sold | Realized
Gain
(Loss) | Change in
Unrealized
Appreciation
(Depreciation) | Number of
Shares
Held at
12/31/22 | Value at
12/31/22 | Dividend
Income |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 25,377,841 | $25,377,841 | $87,957,011 | $79,391,377 | $— | $— | 33,943,475 | $33,943,475 | $416,866 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Elfun Government Money Market Fund
Management's Discussion of Fund Performance — December 31, 2022 (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 (the “Index”).
For the 12-month period ended December 31, 2022 (the “Reporting Period”), the total return for the Fund was 1.45%, and the return for the Index was 1.46%. 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 U.S. Federal Reserve’s (the “Fed”) aggressive hiking cycle in response to high inflation readings was the primary driver of Fund performance during the Reporting Period relative to the Index.
The Fed hiked interest rates by 4.25% throughout 2022, bringing the policy rate to 4.25-4.50% by the end of the Reporting Period. Because of the lift-off in interest rates, yields in both Prime and Government funds were untethered from the ultra-low territory they have been in for multiple years now. One-month T-Bill yields took off after the first rate hike, ending the year at 4.00%, up from 0.03% at the beginning of the year. Similarly, 12-month T-Bill yields rose strongly and steadily throughout the period, ending the year at 4.71%, up from just 0.37% at the beginning of the year.
T-Bill supply decreased over the first half of the year before being boosted slightly mid-summer, helping to nudge yields higher. Nevertheless, demand for bills continued to outpace supply during the period, as indicated by demand for the Fed’s reverse repo program (“RRP”). Demand hovered around $2.2 trillion in the second half of the year (compared to $1.6 trillion in January), and spiked as high as $2.5 trillion at year end.
Over the course of 2022 the fund adhered to its primary objective of principle preservation and liquidity while generating a market rate of return. At year end, the weighted average maturity (WAM) of the fund, measuring interest rate sensitivity, was around 12 days, a decrease from 18 days at the start of the year. The weighted average life (WAL) reflecting the credit risk for the fund was 50 days, a decrease from 82 days in January. At the end of the Reporting Period, the Fund held 63% in Treasury repo, 25% in U.S. Agency debt, and 12% in Treasuries. Just under 75% of the securities had overnight liquidity. The choice to sit shorter in duration with heavy investment in overnight repo and the Fed’s RRP benefitted the Fund as these securities often performed more favorably compared to longer-duration securities.
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 Government Money Market Fund | 91 |
Elfun Government Money Market Fund
Performance Summary — December 31, 2022 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $159,029 (in thousands) as of December 31, 2022 (a) |
| Average Annual Total Return for the years ended December 31, 2022 |
| (Inception date 6/13/90) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| Elfun Government Money Market Fund | 1.45% | | 1.06% | | 0.61% | | $10,627 |
| Daily-linked 90-Day T-Bill | 1.46% | | 1.20% | | 0.74% | | $10,752 |
|
| (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. |
| 92 | Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Performance Summary, continued — December 31, 2022 (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.
| Elfun Government Money Market Fund | 93 |
Elfun Government Money Market Fund
Understanding Your Fund’s Expenses — December 31, 2022 (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, 2022.
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, 2022 | $1,000.00 | | $1,000.00 |
Ending Account value
December 31, 2022 | $1,013.20 | | $1,023.80 |
| Expenses Paid During Period* | $ 1.42 | | $ 1.43 |
| * | Expenses are equal to the Fund's annualized net expense ratio of 0.28%** (for the period July 1, 2022 - December 31, 2022), 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. |
| 94 | Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Schedule of Investments — December 31, 2022
| | Principal
Amount | Fair
Value |
| Short-Term Investments - 99.9% † |
| U.S. Treasuries - 11.9% |
| U.S. Treasury Bills | | |
| 2.04% 04/20/23 (a) | $ 250,000 | $ 248,529 |
| 2.18% 05/18/23 (a) | 50,000 | 49,606 |
| 2.92% 02/02/23 (a) | 500,000 | 498,816 |
3.00%
01/10/23 - 01/26/23 (a) | 500,000 | 499,328 |
| 3.03% 01/26/23 (a) | 200,000 | 199,624 |
| 3.17% 07/13/23 (a) | 150,000 | 147,585 |
| 3.18% 01/03/23 (a) | 500,000 | 500,000 |
3.20%
02/23/23 - 06/20/23 (a) | 670,000 | 666,057 |
3.23%
02/16/23 - 08/10/23 (a) | 400,000 | 396,966 |
| 3.27% 02/14/23 (a) | 200,000 | 199,254 |
| 3.34% 02/14/23 (a) | 200,000 | 199,239 |
| 4.10% 01/17/23 (a) | 1,000,000 | 998,437 |
4.20%
01/24/23 (a) | 1,470,000 | 1,466,470 |
| U.S. Treasury Notes | | |
| 0.13% 03/31/23 | 812,000 | 809,469 |
| U.S. Treasury Notes 0.02% + 3 month Treasury Money Market Yield | | |
| 4.38% 01/31/24 (b) | 60,000 | 60,023 |
| U.S. Treasury Notes 0.03% + 3 month Treasury Money Market Yield | | |
4.43%
04/30/23 - 07/31/23 (b) | 4,947,000 | 4,947,065 |
| U.S. Treasury Notes 0.04% + 3 month Treasury Money Market Yield | | |
| 4.43% 10/31/23 (b) | 1,575,000 | 1,575,520 |
| 4.44% 07/31/24 (b) | 1,000,000 | 999,140 |
| U.S. Treasury Notes 0.05% + 3 month Treasury Money Market Yield | | |
| 4.45% 01/31/23 (b) | 1,356,000 | 1,356,031 |
| U.S. Treasury Notes 0.08% + 3 month Treasury Money Market Yield | | |
| 4.32% 04/30/24 (b) | 3,050,000 | 3,047,243 |
| | | 18,864,402 |
| U.S. Government Agency Obligations - 24.9% |
| Federal Farm Credit Banks Funding Corp. | | |
| 2.10% 05/25/23 | 500,000 | 499,889 |
| Federal Farm Credit Banks Funding Corp. 0.02% + SOFR | | |
4.32%
06/12/23 - 08/21/23 (b) | 1,050,000 | 1,050,003 |
| | Principal
Amount | Fair
Value |
| Federal Farm Credit Banks Funding Corp. 0.03% + SOFR | | |
4.33%
01/12/23 - 06/14/23 (b) | $ 1,050,000 | $ 1,050,026 |
| Federal Farm Credit Banks Funding Corp. 0.04% + 3 month Treasury money market yield | | |
| 4.43% 05/03/23 (b) | 520,000 | 520,000 |
| Federal Farm Credit Banks Funding Corp. 0.05% + SOFR | | |
4.35%
05/09/24 - 06/03/24 (b) | 700,000 | 700,000 |
| Federal Farm Credit Banks Funding Corp. 0.06% + SOFR | | |
| 4.36% 05/13/24 (b) | 80,000 | 80,014 |
| Federal Home Loan Bank | | |
| 2.30% 05/18/23 (a) | 200,000 | 198,328 |
| 2.32% 05/12/23 (a) | 750,000 | 743,967 |
| 3.21% 01/26/23 (a) | 200,000 | 199,600 |
3.22%
07/13/23 (a) | 700,000 | 688,529 |
| Federal Home Loan Bank Discount Notes | | |
| 1.23% 02/23/23 (a) | 500,000 | 499,150 |
| 2.04% 04/20/23 (a) | 250,000 | 248,529 |
| 2.18% 05/12/23 (a) | 500,000 | 496,237 |
| 2.24% 05/18/23 (a) | 200,000 | 198,380 |
| 2.67% 01/11/23 (a) | 1,180,000 | 1,179,318 |
| 3.09% 02/01/23 (a) | 100,000 | 99,758 |
| 3.19% 06/20/23 (a) | 300,000 | 295,716 |
| 3.20% 01/26/23 (a) | 600,000 | 598,804 |
| 3.22% 07/13/23 (a) | 200,000 | 196,726 |
| 3.23% 02/28/23 (a) | 600,000 | 597,079 |
| 3.30% 08/11/23 (a) | 400,000 | 392,288 |
| 4.20% 01/25/23 (a) | 1,500,000 | 1,496,223 |
| Federal Home Loan Banks | | |
| 3.13% 08/10/23 | 1,000,000 | 1,000,000 |
| Federal Home Loan Banks 0.02% + SOFR | | |
4.32%
01/06/23 - 04/21/23 (b) | 6,850,000 | 6,850,000 |
| Federal Home Loan Banks 0.03% + SOFR | | |
4.33%
01/13/23 - 03/02/23 (b) | 3,870,000 | 3,870,000 |
| Federal Home Loan Banks 0.04% + SOFR | | |
4.34%
01/26/23 - 06/05/23 (b) | 6,550,000 | 6,550,000 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Government Money Market Fund | 95 |
Elfun Government Money Market Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
| Federal Home Loan Banks 0.05% + SOFR | | |
4.35%
02/06/23 - 04/03/23 (b) | $ 3,000,000 | $ 3,000,000 |
| Federal Home Loan Banks 0.06% + SOFR | | |
4.36%
03/16/23 - 07/27/23 (b) | 2,200,000 | 2,200,000 |
| Federal Home Loan Banks 0.07% + SOFR | | |
| 4.37% 03/27/23 (b) | 1,500,000 | 1,500,000 |
| Federal Home Loan Banks 0.09% + SOFR | | |
| 4.39% 08/15/23 (b) | 2,400,000 | 2,400,000 |
| Federal Home Loan Mortgage Corp. | | |
| 0.25% 06/26/23 | 280,000 | 276,143 |
| | | 39,674,707 |
| Repurchase Agreements - 63.1% |
BNP Paribas Securities Corp. U.S. Treasury Repo 4.26% dated 12/30/22, to be repurchased $300,000,000
01/03/23 | 20,000,000 | 20,000,000 |
Citigroup Global Markets, Inc. U.S. Treasury Repo 4.27% dated 12/30/22, to be repurchased $100,000,000 on 01/03/2023, Collateralized by $48,193 U.S. Treasury Note, 0.125% to 2.625% Maturing from 08/31/2023 - 08/15/2029, Collateralized by $101,951,862 U.S. Treasury Inflation Index Note, 0.125% to 0.250% Maturing from 07/15/2029 - 01/15/2032.
01/03/23 | 15,000,000 | 15,000,000 |
HSBC Securities USA, Inc. U.S. Treasury Repo 4.27% dated 12/30/22, to be repurchased $305,000,000 on 12/30/2022, Collateralized by $238,197,170 U.S. Treasury Bond, 2.000% to 7.625% Maturing on 02/15/2025 -
01/03/23 | 15,000,000 | 15,000,000 |
| | Principal
Amount | Fair
Value |
Merrill Lynch, Pierce, Fenner & Smith, Inc. U.S. Treasury Repo 4.25% dated 12/30/22, to be repurchased $302,831,000 on 01/03/2022, Collateralized by $308,887,621 U.S. Treasury Note, 1.000% to 2.250% Maturing from
01/03/23 | $ 15,490,000 | $ 15,490,000 |
Mitsubishi UFJ U.S. Treasury Repo 4.27% dated 12/30/22, to be repurchased $30,000,000 on 12/30/2022, Collateralized by $6,627,378 U.S. Treasury Bond, 1.250% to 4.750% Maturing from 02/15/2037 - 02/15/2052, Collateralized by $12,781,748 U.S. Government Obligation, 0.250% to 5.500% Maturing from 08/24/2023 - 09/01/2052, Collateralized by $292 U.S. Treasury Note, 3.1250% Maturing on 08/31/2027, Collateralized by $10,966,674 U.S. Treasury Inflation Index Note, 0.125% to 0.8750% Maturing from 01/15/2029 to 01/15/2030, Collateralized by $292 U.S. Treasury Note, 3.1250% Maturing on 08/31/2027, Collateralized by $223,908 U.S. Treasury Inflation Index Note, 2.500% Maturing on 01/15/2029.
01/03/23 | 30,000,000 | 30,000,000 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 96 | Elfun Government Money Market Fund |
Elfun Government Money Market Fund
Schedule of Investments, continued — December 31, 2022
| | Principal
Amount | Fair
Value |
Standard Chartered U.S. Treasury Repo 4.27% dated 12/30/22, to be repurchased $5,000,000 on 01/03/2023, Collateralized by $1,055,041 U.S. Treasury Bond, 2.875% to 3.000% Maturing from 11/15/2046 - 05/15/2047, Collateralized by $56,232 U.S. Treasury Note, 0.125% to 2.875% Maturing on 07/31/2023 - 05/15/2032, Collateralized by $3,988,727 U.S. Government Obligation, 2.00% to 4.500% Maturing on 01/01/2041 - 11/01/2052.
01/03/23 | $ 5,000,000 | $ 5,000,000 |
| | | 100,490,000 |
Total Short-Term Investments
(Cost $159,029,109) | | 159,029,109 |
| Other Assets and Liabilities, net - 0.1% | | 98,357 |
| NET ASSETS - 100.0% | | $ 159,127,466 |
Notes to Schedule of Investments – December 31, 2022
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. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. 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, 2022. |
| 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, 2022:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| U.S. Treasuries | $ — | | $ 18,864,402 | | $ — | | $ 18,864,402 |
| U.S. Government Agency Obligations | — | | 39,674,707 | | — | | 39,674,707 |
| Repurchase Agreements | — | | 100,490,000 | | — | | 100,490,000 |
| Total Investments in Securities | $ — | | $ 159,029,109 | | $ — | | $ 159,029,109 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| Elfun Government Money Market Fund | 97 |
Elfun International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
| | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Inception date | | | 1/1/88 |
| Net asset value, beginning of period | $ 26.73 | | $ 26.53 | | $ 23.69 | | $ 18.51 | | $ 22.68 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.56 | | 0.83 | | 0.29 | | 0.43 | | 0.45 |
| Net realized and unrealized gains/(losses) on investments | (4.86) | | 1.57 | | 2.86 | | 5.15 | | (4.16) |
| Total income/(loss) from investment operations | (4.30) | | 2.40 | | 3.15 | | 5.58 | | (3.71) |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.55 | | 0.86 | | 0.31 | | 0.40 | | 0.46 |
| Net realized gains | 0.91 | | 1.34 | | — | | — | | — |
| Total distributions | 1.46 | | 2.20 | | 0.31 | | 0.40 | | 0.46 |
| Net asset value, end of period | $ 20.97 | | $ 26.73 | | $ 26.53 | | $ 23.69 | | $ 18.51 |
| Total Return(b) | (16.11)% | | 9.05% | | 13.31% | | 30.14% | | (16.33)% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $153,897 | | $204,799 | | $201,200 | | $199,123 | | $183,982 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.44% | | 0.37% | | 0.40% | | 0.38% | | 0.36% |
| Gross expenses | 0.44% | | 0.37% | | 0.40% | | 0.38% | | 0.36% |
| Net investment income | 2.46% | | 2.93% | | 1.31% | | 2.02% | | 2.06% |
| Portfolio turnover rate | 16% | | 17% | | 20% | | 15% | | 27% |
| 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
| | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Inception date | | | 5/27/35 |
| Net asset value, beginning of period | $ 79.73 | | $ 71.55 | | $ 62.16 | | $ 50.14 | | $ 60.36 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.72 | | 0.72 | | 0.64 | | 0.71 | | 0.74 |
| Net realized and unrealized gains/(losses) on investments | (16.59) | | 16.72 | | 14.90 | | 17.15 | | (2.85) |
| Total income/(loss) from investment operations | (15.87) | | 17.44 | | 15.54 | | 17.86 | | (2.11) |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.75 | | 0.74 | | 0.69 | | 0.67 | | 0.76 |
| Net realized gains | 4.53 | | 8.52 | | 5.46 | | 5.17 | | 7.35 |
| Total distributions | 5.28 | | 9.26 | | 6.15 | | 5.84 | | 8.11 |
| Net asset value, end of period | $ 58.58 | | $ 79.73 | | $ 71.55 | | $ 62.16 | | $ 50.14 |
| Total Return(b) | (19.87)% | | 24.28% | | 25.07% | | 35.57% | | (3.39)% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $2,912,901 | | $3,965,156 | | $3,419,765 | | $2,979,222 | | $2,427,667 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.18% | | 0.18% | | 0.18% | | 0.18% | | 0.19% |
| Gross expenses | 0.18% | | 0.18% | | 0.18% | | 0.18% | | 0.19% |
| Net investment income | 1.03% | | 0.89% | | 0.99% | | 1.20% | | 1.17% |
| Portfolio turnover rate | 29% | | 26% | | 25% | | 17% | | 18% |
| 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
| | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Inception date | | | 1/1/88 |
| Net asset value, beginning of period | $ 21.68 | | $ 20.97 | | $ 19.54 | | $ 17.02 | | $ 18.60 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.35 | | 0.34 | | 0.37 | | 0.41 | | 0.42 |
| Net realized and unrealized gains/(losses) on investments | (3.67) | | 2.08 | | 2.02 | | 2.93 | | (1.45) |
| Total income/(loss) from investment operations | (3.32) | | 2.42 | | 2.39 | | 3.34 | | (1.03) |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.42 | | 0.42 | | 0.38 | | 0.42 | | 0.43 |
| Net realized gains | 0.92 | | 1.29 | | 0.58 | | 0.40 | | 0.12 |
| Total distributions | 1.34 | | 1.71 | | 0.96 | | 0.82 | | 0.55 |
| Net asset value, end of period | $ 17.02 | | $ 21.68 | | $ 20.97 | | $ 19.54 | | $ 17.02 |
| Total Return(b) | (15.31)% | | 11.56% | | 12.23% | | 19.58% | | (5.51)% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $166,006 | | $211,716 | | $205,144 | | $199,011 | | $181,943 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.33% | | 0.30% | | 0.31% | | 0.30% | | 0.33% |
| Gross expenses | 0.34% | | 0.30% | | 0.31% | | 0.30% | | 0.33% |
| Net investment income | 1.83% | | 1.53% | | 1.88% | | 2.20% | | 2.26% |
| Portfolio turnover rate | 49% (c) | | 41% (c) | | 56% (c) | | 162% | | 72% |
| 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 fiscal years ended 12/31/2022, 12/31/2021 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 116%, 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
| | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Inception date | | | 1/1/80 |
| Net asset value, beginning of period | $ 11.47 | | $ 11.67 | | $ 11.54 | | $ 11.19 | | $ 11.55 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.31 | | 0.31 | | 0.37 | | 0.38 | | 0.46 |
| Net realized and unrealized gains/(losses) on investments | (1.28) | | (0.14) | | 0.17 | | 0.41 | | (0.36) |
| Total income/(loss) from investment operations | (0.97) | | 0.17 | | 0.54 | | 0.79 | | 0.10 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.37 | | 0.37 | | 0.41 | | 0.44 | | 0.46 |
| Total distributions | 0.37 | | 0.37 | | 0.41 | | 0.44 | | 0.46 |
| Net asset value, end of period | $ 10.13 | | $ 11.47 | | $ 11.67 | | $ 11.54 | | $ 11.19 |
| Total Return(b) | (8.44)% | | 1.44% | | 4.77% | | 7.13% | | 0.90% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $1,047,236 | | $1,250,501 | | $1,341,617 | | $1,377,821 | | $1,376,980 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.21% | | 0.21% | | 0.21% | | 0.20% | | 0.21% |
| Gross expenses | 0.21% | | 0.21% | | 0.21% | | 0.20% | | 0.21% |
| Net investment income | 2.96% | | 2.65% | | 3.24% | | 3.35% | | 4.06% |
| Portfolio turnover rate | 43% | | 42% | | 41% | | 25% | | 18% |
| 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
| | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Inception date | | | 12/31/84 |
| Net asset value, beginning of period | $ 11.67 | | $ 12.25 | | $ 11.74 | | $ 11.02 | | $ 11.44 |
| Income/(loss) from investment operations: | | | | | | | | | |
| Net investment income(a) | 0.25 | | 0.24 | | 0.29 | | 0.32 | | 0.32 |
| Net realized and unrealized gains/(losses) on investments | (1.80) | | (0.38) | | 0.63 | | 0.73 | | (0.41) |
| Total income/(loss) from investment operations | (1.55) | | (0.14) | | 0.92 | | 1.05 | | (0.09) |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.27 | | 0.27 | | 0.34 | | 0.33 | | 0.33 |
| Net realized gains | 0.17 | | 0.17 | | 0.07 | | — | | — |
| Total distributions | 0.44 | | 0.44 | | 0.41 | | 0.33 | | 0.33 |
| Net asset value, end of period | $ 9.68 | | $ 11.67 | | $ 12.25 | | $ 11.74 | | $ 11.02 |
| Total Return(b) | (13.47)% | | (1.19)% | | 8.03% | | 9.50% | | (0.80)% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $160,286 | | $218,824 | | $244,329 | | $233,663 | | $229,477 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.32% | | 0.29% | | 0.27% | | 0.29% | | 0.34% |
| Gross expenses | 0.32% | | 0.29% | | 0.27% | | 0.29% | | 0.34% |
| Net investment income | 2.41% | | 2.03% | | 2.44% | | 2.77% | | 2.88% |
| Portfolio turnover rate | 40% (c) | | 71% (c) | | 108% (c) | | 107% | | 207% |
| 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 12/31/22, 12/31/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 187%, 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
| | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| 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) | 0.01 | | — | | 0.00 (b) | | 0.02 | | 0.02 |
| Total income from investment operations | 0.01 | | — | | 0.00 (b) | | 0.02 | | 0.02 |
| Less distributions from: | | | | | | | | | |
| Net investment income | 0.01 | | — | | 0.00 (b) | | 0.02 | | 0.02 |
| Net realized gains | — | | — | | — | | — | | — |
| Total distributions | 0.01 | | — | | 0.00 (b) | | 0.02 | | 0.02 |
| Net asset value, end of period | $ 1.00 | | $ 1.00 | | $ 1.00 | | $ 1.00 | | $ 1.00 |
| Total Return(c) | 1.45% | | —% | | 0.32% | | 1.99% | | 1.55% |
| Ratios/Supplemental Data: | | | | | | | | | |
| Net assets, end of period (in thousands) | $159,127 | | $142,430 | | $153,251 | | $128,561 | | $104,275 |
| Ratios to average net assets: | | | | | | | | | |
| Net expenses | 0.24% | | 0.09% | | 0.19% | | 0.26% | | 0.32% |
| Gross expenses | 0.27% | | 0.26% | | 0.25% | | 0.26% | | 0.32% |
| Net investment income | 1.50% | | —% | | 0.30% | | 1.96% | | 1.53% |
| 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.
Elfun Funds
Statements of Assets and Liabilities — December 31, 2022
| | Elfun
International
Equity Fund | | Elfun
Trusts |
| Assets | | | |
| Investments in securities, at fair value (cost $124,901,407; $1,756,288,011; $115,302,264; $1,040,934,261; $174,047,680 and $0, respectively) | $ 151,412,772 | | $ 2,872,162,633 |
| Investments in affiliated securities, at fair value (cost $0; $0; $42,294,178; $0; $0 and $0, respectively) | — | | — |
| Short-term investments, at fair value (cost $0; $0; $116,548; $0; $0 and $0, respectively) | — | | — |
| Investments in affiliated securities, at fair value | 2,127,943 | | 38,776,883 |
| Repurchase agreements | — | | — |
| Cash | — | | — |
| Net cash collateral on deposit with broker for future contracts | 86,942 | | — |
| Foreign currency (cost $1,738, $0, $32,020, $0, $0 and $0, respectively) | 1,739 | | — |
| Receivable for investments sold | — | | — |
| Income receivables | 894,712 | | 2,670,403 |
| Receivable for fund shares sold | 1,505 | | 140,173 |
| Income receivable from affiliated investments | 12,829 | | 178,857 |
| Receivable for accumulated variation margin on swap contracts | — | | — |
| Receivable for accumulated variation margin on futures contracts | — | | — |
| Prepaid expenses and other assets | 448 | | 8,724 |
| Total assets | 154,538,890 | | 2,913,937,673 |
| Liabilities | | | |
| Distribution payable to shareholders | — | | — |
| Net cash collateral on swap contracts due to broker | — | | — |
| Payable for investments purchased | — | | — |
| Payable for fund shares redeemed | 7,505 | | 324,828 |
| Payable for accumulated variation margin on futures contracts | 5,991 | | — |
| Payable to the Adviser | 28,126 | | 359,524 |
| Payable for custody, fund accounting and sub-administration fees | 19,567 | | 94,804 |
| Accrued other expenses | 580,950 | | 257,039 |
| Total liabilities | 642,139 | | 1,036,195 |
|
| Net Assets | $ 153,896,751 | | $ 2,912,901,478 |
| Net Assets Consist of: | | | |
| Capital paid in | $ 130,322,596 | | $ 1,771,462,243 |
| Total distributable earnings (loss) | 23,574,155 | | 1,141,439,235 |
| Net Assets | $ 153,896,751 | | $ 2,912,901,478 |
| Shares outstanding (Par value $10; $10; $10; $10; $10; and $1, respectively; unlimited shares authorized) | 7,338,205 | | 49,721,764 |
| Net asset value, offering and redemption price per share | $ 20.97 | | $ 58.58 |
The accompanying Notes are an integral part of these financial statements.
| 104 | Statements of Assets and Liabilities |
Elfun
Diversified
Fund | | Elfun
Tax-Exempt
Income Fund | | Elfun Income
Fund | | Elfun
Government
Money Market
Fund |
| | | | | | | |
| $ 121,299,213 | | $ 1,025,415,897 | | $ 155,899,125 | | $ — |
| 42,741,900 | | — | | — | | — |
| 116,548 | | — | | — | | — |
| 17,464,685 | | 15,874,392 | | 33,943,475 | | 58,539,109 |
| — | | — | | — | | 100,490,000 |
| 536,670 | | — | | 431,186 | | 181 |
| 34,390 | | — | | 231,320 | | — |
| 33,814 | | — | | — | | — |
| 96,238 | | 7,925,457 | | 9 | | — |
| 383,633 | | 14,446,024 | | 929,006 | | — |
| 985 | | 23,462 | | 25,789 | | 237,650 |
| 58,068 | | 48,674 | | 122,929 | | 319,566 |
| 18,884 | | — | | 48,130 | | — |
| — | | — | | 47,102 | | — |
| 492 | | 3,055 | | 506 | | 429 |
| 182,785,520 | | 1,063,736,961 | | 191,678,577 | | 159,586,935 |
| | | | | | | |
| — | | 983,945 | | 96,061 | | 56,548 |
| 17,667 | | — | | 40,384 | | — |
| 16,505,985 | | 14,798,360 | | 30,872,052 | | — |
| 101,357 | | 395,344 | | 259,279 | | 307,996 |
| 16,711 | | — | | — | | — |
| 22,741 | | 143,163 | | 19,063 | | 13,986 |
| 18,107 | | 35,216 | | 12,919 | | 16,247 |
| 97,008 | | 144,499 | | 92,559 | | 64,692 |
| 16,779,576 | | 16,500,527 | | 31,392,317 | | 459,469 |
|
| $ 166,005,944 | | $ 1,047,236,434 | | $ 160,286,260 | | $ 159,127,466 |
| | | | | | | |
| $ 162,245,407 | | $ 1,152,692,892 | | $ 191,457,561 | | $ 159,127,200 |
| 3,760,537 | | (105,456,458) | | (31,171,301) | | 266 |
| $ 166,005,944 | | $ 1,047,236,434 | | $ 160,286,260 | | $ 159,127,466 |
| 9,751,048 | | 103,332,462 | | 16,565,843 | | 159,127,181 |
| $ 17.02 | | $ 10.13 | | $ 9.68 | | $ 1.00 |
The accompanying Notes are an integral part of these financial statements.
| Statements of Assets and Liabilities | 105 |
Elfun Funds
Statements of Operations — For the year ended December 31, 2022
| | Elfun
International
Equity Fund | | Elfun
Trusts |
| Investment Income | | | |
| Income | | | |
| Dividend | $ 4,700,381 | | $ 39,017,825 |
| EU Reclaims | 943,627 | | — |
| Less: Taxes | (399,602) | | — |
| Interest | — | | — |
| Income from affiliated investments | 54,720 | | 1,216,128 |
| Less: Foreign taxes withheld | (468,223) | | (6,292) |
| Total income | 4,830,903 | | 40,227,661 |
| Expenses | | | |
| Advisory and administration fees | 349,672 | | 4,643,767 |
| Blue Sky fees | 25,995 | | 31,987 |
| Transfer agent fees | 124,980 | | 571,969 |
| Trustees' fees | 22,020 | | 40,959 |
| Custody, fund accounting and sub-administration fees | 69,793 | | 432,288 |
| Professional fees | 130,065 | | 56,771 |
| Printing and shareholder reports | 8,364 | | 66,448 |
| Registration fees | — | | 15,701 |
| Other expenses | 6,625 | | 66,713 |
| Total expenses before waivers | 737,514 | | 5,926,603 |
| Fees waived and/or reimbursed by the adviser | — | | — |
| Net expenses | 737,514 | | 5,926,603 |
| Net investment income | $ 4,093,389 | | $ 34,301,058 |
| Net Realized and Unrealized Gain (Loss) on Investments | | | |
| Realized gain (loss) on: | | | |
| Unaffiliated investments | $ 1,331,638 | | $ 29,082,241 |
| Affiliated investments | — | | — |
| Futures | (61,264) | | — |
| Swap contracts | — | | — |
| Foreign currency transactions | (257,930) | | — |
| Increase (decrease) in unrealized appreciation/depreciation on: | | | |
| Unaffiliated investments | (38,088,306) | | (838,339,517) |
| Affiliated investments | — | | — |
| Futures | (44,749) | | — |
| Swap contracts | — | | — |
| Foreign currency translations | (58,913) | | — |
| Net realized and unrealized gain (loss) on investments | (37,179,524) | | (809,257,276) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ (33,086,135) | | $ (774,956,218) |
The accompanying Notes are an integral part of these financial statements.
| 106 | Statements of Operations |
Elfun
Diversified
Fund | | Elfun
Tax-Exempt
Income Fund | | Elfun Income
Fund | | Elfun
Government
Money Market
Fund |
| | | | | | | |
| | | | | | | |
| $ 1,189,914 | | $ — | | $ 13,280 | | $ — |
| — | | — | | — | | — |
| — | | — | | — | | — |
| 1,547,329 | | 34,907,098 | | 4,635,792 | | 2,602,026 |
| 1,210,026 | | 167,743 | | 416,866 | | — |
| (396) | | — | | — | | — |
| 3,946,873 | | 35,074,841 | | 5,065,938 | | 2,602,026 |
| | | | | | | |
| 309,829 | | 1,772,665 | | 315,979 | | 149,665 |
| 28,195 | | 36,262 | | 34,113 | | 34,396 |
| 106,418 | | 235,042 | | 116,030 | | 80,778 |
| 22,091 | | 27,534 | | 22,351 | | 21,851 |
| 75,814 | | 160,985 | | 55,763 | | 57,032 |
| 49,332 | | 48,053 | | 41,598 | | 29,044 |
| 15,064 | | 29,024 | | 8,532 | | 26,237 |
| — | | 805 | | — | | — |
| 5,304 | | 19,025 | | 6,199 | | 1,944 |
| 612,047 | | 2,329,395 | | 600,565 | | 400,947 |
| (7,108) | | — | | (14,684) | | (43,973) |
| 604,939 | | 2,329,395 | | 585,881 | | 356,974 |
| $ 3,341,934 | | $ 32,745,446 | | $ 4,480,057 | | $ 2,245,052 |
| | | | | | | |
| | | | | | | |
| $ 3,107,728 | | $ (38,399,737) | | $ (9,502,143) | | $ 211 |
| 173,178 | | — | | — | | — |
| (335,287) | | — | | (1,306,777) | | — |
| (64,622) | | — | | (176,099) | | — |
| (18,967) | | — | | — | | — |
| | | | | | | |
| (28,954,762) | | (97,949,642) | | (22,757,235) | | — |
| (9,400,984) | | — | | — | | — |
| (4,980) | | — | | 95,663 | | — |
| 118,746 | | — | | 301,705 | | — |
| (563) | | — | | — | | — |
| (35,380,513) | | (136,349,379) | | (33,344,886) | | 211 |
| $ (32,038,579) | | $ (103,603,933) | | $ (28,864,829) | | $ 2,245,263 |
The accompanying Notes are an integral part of these financial statements.
| Statements of Operations | 107 |
Elfun Funds
Statements of Changes in Net Assets
| | Elfun International Equity Fund | | Elfun Trusts |
| | Year Ended
December 31,
2022 | | Year Ended
December 31,
2021 | | Year Ended
December 31,
2022 | | Year Ended
December 31,
2021 |
| Increase (Decrease) in Net Assets | | | | | | | |
| Operations: | | | | | | | |
| Net investment income | $ 4,093,389 | | $ 6,120,473 | | $ 34,301,058 | | $ 33,815,592 |
| Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | 1,012,444 | | 15,203,963 | | 29,082,241 | | 526,019,203 |
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | (38,191,968) | | (3,340,021) | | (838,339,517) | | 254,514,072 |
| Net increase (decrease) from operations | (33,086,135) | | 17,984,415 | | (774,956,218) | | 814,348,867 |
| Distributions to shareholders: | | | | | | | |
| Total distributions | (10,109,923) | | (15,724,016) | | (244,921,749) | | (421,275,229) |
| Increase (decrease) in assets from operations and distributions | (43,196,058) | | 2,260,399 | | (1,019,877,967) | | 393,073,638 |
| Share transactions: | | | | | | | |
| Proceeds from sale of shares | 1,319,728 | | 2,858,069 | | 46,867,193 | | 73,991,073 |
| Value of distributions reinvested | 8,739,289 | | 13,507,831 | | 199,361,109 | | 344,793,733 |
| Cost of shares redeemed | (17,765,665) | | (15,026,462) | | (278,604,671) | | (266,467,198) |
| Net increase (decrease) from share transactions | (7,706,648) | | 1,339,438 | | (32,376,369) | | 152,317,608 |
| Total increase (decrease) in net assets | (50,902,706) | | 3,599,837 | | (1,052,254,336) | | 545,391,246 |
| Net Assets | | | | | | | |
| Beginning of year | 204,799,457 | | 201,199,620 | | 3,965,155,814 | | 3,419,764,568 |
| End of year | $ 153,896,751 | | $ 204,799,457 | | $ 2,912,901,478 | | $ 3,965,155,814 |
| Changes in Fund Shares | | | | | | | |
| Shares sold | 57,624 | | 102,485 | | 682,298 | | 924,232 |
| Issued for distributions reinvested | 414,965 | | 505,533 | | 3,419,573 | | 4,291,874 |
| Shares redeemed | (796,024) | | (531,166) | | (4,109,858) | | (3,281,753) |
| Net increase (decrease) in fund shares | (323,435) | | 76,852 | | (7,987) | | 1,934,353 |
The accompanying Notes are an integral part of these financial statements.
| 108 | Statements of Changes in Net Assets |
| Elfun Diversified Fund | | Elfun Tax-Exempt Income Fund |
Year Ended
December 31,
2022 | | Year Ended
December 31,
2021 | | Year Ended
December 31,
2022 | | Year Ended
December 31,
2021 |
| | | | | | | |
| | | | | | | |
| $ 3,341,934 | | $ 3,224,928 | | $ 32,745,446 | | $ 34,533,678 |
| 2,862,030 | | 14,601,462 | | (38,399,737) | | (312,845) |
| (38,242,543) | | 5,260,848 | | (97,949,642) | | (15,370,341) |
| (32,038,579) | | 23,087,238 | | (103,603,933) | | 18,850,492 |
| | | | | | | |
| (12,253,898) | | (15,754,251) | | (39,613,148) | | (41,209,578) |
| (44,292,477) | | 7,332,987 | | (143,217,081) | | (22,359,086) |
| | | | | | | |
| 4,806,152 | | 4,772,080 | | 27,813,701 | | 40,093,917 |
| 10,857,841 | | 13,873,358 | | 28,329,020 | | 29,155,146 |
| (17,081,582) | | (19,406,904) | | (116,189,891) | | (138,005,800) |
| (1,417,589) | | (761,466) | | (60,047,170) | | (68,756,737) |
| (45,710,066) | | 6,571,521 | | (203,264,251) | | (91,115,823) |
| | | | | | | |
| 211,716,010 | | 205,144,489 | | 1,250,500,685 | | 1,341,616,508 |
| $ 166,005,944 | | $ 211,716,010 | | $ 1,047,236,434 | | $ 1,250,500,685 |
| | | | | | | |
| 245,078 | | 216,554 | | 2,667,177 | | 3,462,715 |
| 637,197 | | 635,917 | | 2,728,399 | | 2,525,649 |
| (896,699) | | (871,621) | | (11,098,604) | | (11,950,926) |
| (14,424) | | (19,150) | | (5,703,028) | | (5,962,562) |
The accompanying Notes are an integral part of these financial statements.
| Statements of Changes in Net Assets | 109 |
Elfun Funds
Statements of Changes in Net Assets
| | Elfun Income Fund | | Elfun Government Money
Market Fund |
| | Year Ended
December 31,
2022 | | Year Ended
December 31,
2021 | | Year Ended
December 31,
2022 | | Year Ended
December 31,
2021 |
| Increase (Decrease) in Net Assets | | | | | | | |
| Operations: | | | | | | | |
| Net investment income | $ 4,480,057 | | $ 4,752,937 | | $ 2,245,052 | | $ — |
| Net realized gain (loss) on investments, futures and swap contracts | (10,985,019) | | 2,980,049 | | 211 | | 55 |
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | (22,359,867) | | (10,560,616) | | — | | — |
| Net increase (decrease) from operations | (28,864,829) | | (2,827,630) | | 2,245,263 | | 55 |
| Distributions to shareholders: | | | | | | | |
| Total distributions | (7,501,246) | | (8,337,782) | | (2,245,052) | | — |
| Increase (decrease) in assets from operations and distributions | (36,366,075) | | (11,165,412) | | 211 | | 55 |
| Share transactions: | | | | | | | |
| Proceeds from sale of shares | 10,181,575 | | 18,127,991 | | 76,139,491 | | 50,569,988 |
| Value of distributions reinvested | 6,014,489 | | 6,571,744 | | 2,101,565 | | 422 |
| Cost of shares redeemed | (38,368,027) | | (39,039,271) | | (61,544,131) | | (61,391,100) |
| Net increase (decrease) from share transactions | (22,171,963) | | (14,339,536) | | 16,696,925 | | (10,820,690) |
| Total increase (decrease) in net assets | (58,538,038) | | (25,504,948) | | 16,697,136 | | (10,820,635) |
| Net Assets | | | | | | | |
| Beginning of year | 218,824,298 | | 244,329,246 | | 142,430,330 | | 153,250,965 |
| End of year | $ 160,286,260 | | $ 218,824,298 | | $ 159,127,466 | | $ 142,430,330 |
| Changes in Fund Shares | | | | | | | |
| Shares sold | 943,220 | | 1,518,468 | | 76,139,492 | | 50,569,987 |
| Issued for distributions reinvested | 598,767 | | 555,624 | | 2,101,565 | | 422 |
| Shares redeemed | (3,722,118) | | (3,276,520) | | (61,544,131) | | (61,391,100) |
| Net increase (decrease) in fund shares | (2,180,131) | | (1,202,428) | | 16,696,926 | | (10,820,691) |
The accompanying Notes are an integral part of these financial statements.
| 110 | Statements of Changes in Net Assets |
Elfun Funds
Notes to Financial Statements — December 31, 2022
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 and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
| Notes to Financial Statements | 111 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
| • | 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, 2022 is disclosed in each Fund’s Schedule of Investments.
| 112 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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, 2022, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
As a result of several court cases, in certain countries across the European Union (“EU"), certain Funds filed for additional tax reclaims for previously withheld taxes on dividends earned in those countries. These additional filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for such EU reclaims is reflected in the Statement of Operations and presented separately as "EU Reclaims" in cases where such reclaims exceed 5% of total investment income. When uncertainty exists as to the ultimate resolution of these proceedings, the likelihood of receipt of these EU reclaims, and the potential timing of payment, no amounts are reflected in the financial statements.
For U.S. income tax purposes, EU reclaims received by a Fund, if any, reduce the amounts of foreign taxes the Fund’s shareholders can use as tax credits in their individual income tax returns. In the event that EU reclaims received by a Fund during the fiscal year exceed foreign withholding taxes paid, and the Fund previously passed foreign tax credit on to its shareholders, a Fund will enter into a closing agreement with the Internal Revenue Service (IRS) in order to pay the associated tax liability on behalf of a Fund’s shareholders.
During the year ended December 31, 2022, the Elfun International Equity Fund received EU reclaims in the amount of $943,627, less estimated taxes and professional fees of $399,602 and $84,121, respectively, as a result as included on the Statement of Operations.
| Notes to Financial Statements | 113 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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 for compliance 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 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, 2022, the Elfun Government Money Market Fund had invested in repurchase agreements with the gross values of $100,490,000 and associated collateral equal to $102,499,980.
| 114 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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.
During the fiscal year ended December 31, 2022, 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, 2022, 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
| Notes to Financial Statements | 115 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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.
The following tables summarize the value of the Funds’ derivative instruments as of December 31, 2022 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 Diversified Fund | | | | | | |
| Swap Contracts | $ — | $ — | $ 18,884 | $ — | $ — | $ 18,884 |
| Elfun Income Fund | | | | | | |
| Futures Contracts | $ 47,102 | $ — | $ — | $ — | $ — | $ 47,102 |
| Swap Contracts | — | — | 48,130 | — | — | 48,130 |
| Liability Derivatives |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun International Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ 5,991 | $ — | $ 5,991 |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ 16,711 | $ — | $ 16,711 |
| Realized Gain/Loss |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun International Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | $ (61,264) | $ — | $ (61,264) |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ (259,892) | $ — | $ — | $ (75,395) | $ — | $ (335,287) |
| Swap Contracts | — | — | (64,622) | — | — | (64,622) |
| Elfun Income Fund | | | | | | |
| Futures Contracts | $ (1,306,777) | $ — | $ — | $ — | $ — | $ (1,306,777) |
| Swap Contracts | (176,099) | — | — | — | — | (176,099) |
| 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 | $ — | $ — | $ — | $ (44,749) | $ — | $ (44,749) |
| 116 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
| Net Change in Unrealized Appreciation (Depreciation) |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| Elfun Diversified Fund | | | | | | |
| Futures Contracts | $ 14,150 | $ — | $ — | $ (19,130) | $ — | $ (4,980) |
| Swap Contracts | — | — | 118,746 | — | — | 118,746 |
| Elfun Income Fund | | | | | | |
| Futures Contracts | $ 95,663 | $ — | $ — | $ — | $ — | $ 95,663 |
| Swap Contracts | — | — | 301,705 | — | — | 301,705 |
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, 2023 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, 2023 except with approval of the Board.
Amounts waived or reimbursed are included in the respective Statement of Operations.
Each of the Adviser and certain of its affiliates (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, 2022 were $43,973.
| Notes to Financial Statements | 117 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
As of December 31, 2022, 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 |
| 12/31/2025 | $ 43,973 |
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, 2022 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, 2022 were as follows:
| | U.S. Government
Obligations | | Other
Securities |
| Fund | Purchases | Sales | | Purchases | Sales |
| Elfun International Equity Fund | $ — | $ — | | $ 26,764,787 | $ 35,308,713 |
| Elfun Trusts | — | — | | 937,148,018 | 1,203,926,035 |
| Elfun Diversified Fund | 30,552,077 | 34,157,870 | | 49,996,780 | 57,819,678 |
| Elfun Tax-Exempt Income Fund | — | — | | 470,509,472 | 535,983,071 |
| Elfun Income Fund | 328,354,498 | 342,304,859 | | 11,130,592 | 18,108,868 |
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,
| 118 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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, 2022 were as follows:
| Fund | Exempt
Income | Ordinary
Income | Long-Term
Capital Gains | Total |
| Elfun International Equity Fund | $ — | $ 4,234,360 | $ 5,875,563 | $ 10,109,923 |
| Elfun Trusts | — | 41,029,943 | 203,891,806 | 244,921,749 |
| Elfun Diversified Fund | — | 4,049,986 | 8,203,912 | 12,253,898 |
| Elfun Tax-Exempt Income Fund | 39,349,026 | 264,122 | — | 39,613,148 |
| Elfun Income Fund | — | 5,213,578 | 2,287,668 | 7,501,246 |
| Elfun Government Money Market Fund | — | 2,245,052 | — | 2,245,052 |
The tax character of distributions paid during the fiscal year ended December 31, 2021 was 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 |
At December 31, 2022, 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 | $ 193,939 | $ — | $ — | $ — | $ 25,484,313 | $(2,104,097) | $ 23,574,155 |
| Elfun Trusts | 2,023,730 | — | — | 30,324,561 | 1,109,090,944 | — | 1,141,439,235 |
| Elfun Diversified Fund | 43,362 | — | — | 709,197 | 3,007,978 | — | 3,760,537 |
| Elfun Tax-Exempt Income Fund | — | 282,302 | (63,627,894) | — | (42,110,866) | — | (105,456,458) |
| Elfun Income Fund | 191,560 | — | (12,750,509) | — | (18,612,352) | — | (31,171,301) |
| Elfun Government Money Market Fund | 266 | — | — | — | — | — | 266 |
| Notes to Financial Statements | 119 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
As of December 31, 2022, 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 | $39,207,699 | $24,420,195 |
| Elfun Income Fund | 5,263,034 | 7,487,475 |
As of December 31, 2022, 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 | $ 127,997,344 | $ 36,875,751 | $11,338,402 | $ 25,537,349 |
| Elfun Trusts | 1,801,848,573 | 1,175,300,505 | 66,209,562 | 1,109,090,943 |
| Elfun Diversified Fund | 178,713,927 | 11,688,584 | 8,593,398 | 3,095,186 |
| Elfun Tax-Exempt Income Fund | 1,083,401,155 | 4,932,932 | 47,043,798 | (42,110,866) |
| Elfun Income Fund | 208,782,584 | 111,715 | 18,724,067 | (18,612,352) |
| Elfun Government Money Market Fund | 159,029,109 | — | — | — |
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 $1.275 billion ($1.1 billion prior to October 6, 2022) revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2023 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.
The Funds had no outstanding loans as of December 31, 2022.
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. The U.S. Federal Reserve has been engaged in an aggressive campaign to raise interest rates in an effort to combat historically high levels of inflation. Interest rate increases may continue. High levels of inflation and/or a significantly changing interest rate environment can lead to heightened levels of volatility and reduced liquidity.
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
| 120 | Notes to Financial Statements |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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.
Russian Sanctions Risk Sanctions threatened or imposed by a number of jurisdictions, including the United States, the European Union and the United Kingdom, and other intergovernmental actions that have been or may be undertaken in the future, against Russia, Russian entities or Russian individuals, may result in the devaluation of Russian currency, a downgrade in the country’s credit rating, an immediate freeze of Russian assets, a decline in the value and liquidity of Russian securities, property or interests, and/or other adverse consequences to the Russian economy or a Fund. The scope and scale of sanctions in place at a particular time may be expanded or otherwise modified in a way that have negative effects on a Fund. Sanctions, or the threat of new or modified sanctions, could impair the ability of a Fund to buy, sell, hold, receive, deliver or otherwise transact in certain affected securities or other investment instruments. Sanctions could also result in Russia taking counter measures or other actions in response, which may further impair the value and liquidity of Russian securities. These sanctions, and the resulting disruption of the Russian economy, may cause volatility in other regional and global markets and may negatively impact the performance of various sectors and industries, as well as companies in other countries, which could have a negative effect on the performance of a Fund, even if a Fund does not have direct exposure to securities of Russian issuers. As a collective result of the imposition of sanctions, Russian government countermeasures and the impact that they have had on the trading markets for Russian securities, certain Funds have used, and may in the future use, fair valuation procedures approved by the Fund’s Board to value certain Russian securities, which could result in such securities being deemed to have a zero value.
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.
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, such as COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
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
| Notes to Financial Statements | 121 |
Elfun Funds
Notes to Financial Statements, continued — December 31, 2022
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.
| 122 | Notes to Financial Statements |
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, 2022, 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 each of the Funds at December 31, 2022, 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 Trust’s 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 Trust 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 Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s 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 Trust’s 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, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 24, 2023
| Report of Independent Registered Public Accounting Firm | 123 |
Elfun Funds
Other Information — December 31, 2022 (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, 2022.
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, 2022 is considered qualified dividend income and is eligible for reduced tax rates. Each Fund reports the maximum amount allowable of its 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, 2022:
| | Amount |
| Elfun International Equity Fund | $ 5,875,563 |
| Elfun Trusts | 203,891,806 |
| Elfun Diversified Fund | 8,203,912 |
| Elfun Income Fund | 2,287,668 |
Tax-Exempt Income
For the fiscal year ended December 31, 2022, 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 | $39,349,026 |
Elfun Funds
Other Information, continued — December 31, 2022 (Unaudited)
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' 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-month 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 Funds' 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 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 (toll free).
Monthly Portfolio Schedule
The Elfun Government Money Market Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Fund’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, 2022 (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(1)
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). | 55 | 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 | Associate Justice of the Superior Court, Commonwealth of Massachusetts (2002 – May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 – 2002); Independent Director, State Street Global Advisors Ireland, Ltd. (investment company) (1998 – Present); Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc) (1998 – Present); Independent Director, SSGA Fixed Income plc (January 2009 – Present); and Independent Director, SSGA Qualified Funds PLC (January 2009-2019).Fund PLC); (1998 -
present), Independent Director,
SSGA Fixed Income PLC; and
(January 2009 – present),
Independent Director, SSGA
Qualified Funds PLC (January 2009-2019). | 55 | Board Director and Chairman,
SPDR Europe I PLC Board
(2011 – present); Board
Director and Chairman, SPDR
Europe II, PLC (2013 –
present). |
Elfun Funds
Other Information, continued — December 31, 2022 (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 2020 –
present); Managing General
Partner, NGN Capital LLC
(2006 – December 2019). | 55 | 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 (2019-present);
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. | 55 | Director- Graduate
Management Admissions
Council (2015 – present);
Trustee of Emmanuel College
(2010 – 2019). |
Elfun Funds
Other Information, continued — December 31, 2022 (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) |
| | | | | |
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 | Chairman (March 2001 - April 2002),
President and Chief Executive Officer (1996 - March 2001),
Cerulean
Companies, Inc. (holding
company) (Retired);
President and
Chief Executive Officer, Blue
Cross Blue Shield of Georgia
(health insurer,
managed healthcare) (1992 - March 2001). | 55 | Chairman and Board Member
(December 2008-present) and
Investment Committee
Member (December 2008 - present), Healthcare Georgia
Foundation (private
foundation);
Lead Director and
Board Member, Amerigroup
Corp. (managed health care)
(September 2002 - 2012), Board Member
(1999 - 2013) Investment
Committee Member (2001 - 2017), Woodruff
Arts Center;
Trustee, Gettysburg College (2003 - 2009);
Board member, Aerocare
Holdings (2003 - January 2021), Regenesis
Biomedical Inc. (April 2012 - present). |
| | | | | | |
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). | 55 | None. |
| | | | | | |
Margaret McLaughlin
c/o SSGA Funds
Management,Inc.
One Iron Street
Boston,MA 02210
YOB: 1967 | Trustee | Term:
Indefinite
Appointed: 9/22 | Consultant,Bates Group(consultants)(2021-2023)
consultant,Madison Dearborn Partners (private equity)(2019-2020)
General Counsel/CCO,
kramer Van Krik Credit strategies L.P./Mariana Systems LLC
(Investment Adviser/SaaS Technology)(2011-2019) | 55 | Director,Manning & Naiper
Fund Inc(2021-2022) |
Elfun Funds
Other Information, continued — December 31, 2022 (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) |
George M. Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | Trustee | Term:
Indefinite
Appointed: 9/22 | Chief Operating Officer
(January 2011 – September 2020) and
Chief Financial Officer
(November 2004 – September 2020),
Charles Schwab Investment Management. | 55 | Director, Pacific Premier
Bancorp,Pacific Premier Bank(2021-present)
Director, Charles Schwab
Asset Management (Ireland) Ltd.,
& Charles Schwab Worldwide Funds plc. (2005 – 2020);
Director, Rotaplast International, Inc.
. (non-profit providing free medical services to children worldwide) (2012 – 2018). |
| INTERESTED TRUSTEES(2) |
Ellen M. Needham(3)
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). | 55 | Board Director, SSGA
SPDR ETFs Europe I PLC
(May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). |
| (1) | Mr. Holland retired as a Trustee of the Trust effective December 31, 2022. |
| (2) | The individual listed above is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Funds (“Interested Trustee”). |
| (3) | 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, 2022 (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 |
Ellen M. Needham
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | President and
Trustee | Term:
Indefinite
served: since
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
served:since 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
served:since 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
served: since7/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President. |
| | | | |
Darlene Anderson-Vasquez
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | Deputy
Treasurer | Term:
Indefinite
served:since 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
served:since 7/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); |
| | | | |
David K. Lancaster
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term:
Indefinite
served: since 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, 2022 (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) |
| | | |
Ryan Hill
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB:1982 | Assistant Treasurer | Term:
Indefinite
served: since 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Company (May 2014 - May 2017). |
| | | | |
John Bettencourt
SSGA Funds Management, Inc.
One Iron Street
Boston MA 02210
YOB:1976 | Assistant Treasurer | Term:
Indefinite
served: since 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc.(March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
| | | | |
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 served: since 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
served: since 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
served: since 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). |
| | | | |
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
Patrick J. Riley
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Margaret McLaughlin
Richard D. Shirk
Ellen M. Needham
George M. Pereira
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
Ryan Hill, Assistant Treasurer
John Bettencourt, Assistant Treasurer
David Barr, 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. Richard D. Shirk, John R. Costantino and George M. Pereira 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, 2022 and December 31, 2021, 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 $43,713 and $39,107, respectively.
For the fiscal years ended December 31, 2022 and December 31, 2021, 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 the fiscal years ended December 31, 2022 and December 31, 2021 were $2,159 and $5,398, respectively. Tax services related to the review of year-end distribution requirements for the fiscal year ended December 31, 2022 and the review of year-end distribution requirements as well as tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal year ended December 31, 2021.
For the fiscal years ended December 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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 $9,327,125 and $8,904,469, 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, 2022 and December 31, 2021, 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 $38,000,000, 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 Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective 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 8, 2023 |
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 8, 2023 |
| |
| By: | | /s/ Bruce S. Rosenberg |
| | Bruce S. Rosenberg |
| | Treasurer (Principal Financial and Accounting Officer) |
| |
| Date: | | March 8, 2023 |
